Loomis Sayles Funds I NCSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

Loomis Sayles Funds I

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Coleen Downs Dinneen, Esq.

Natixis Distributors, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: September 30

Date of reporting period: September 30, 2011

Item 1.

Reports to Stockholders.

The Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			14
Statements of Assets and Liabilities			27
Statements of Operations			28
Statements of Changes in Net Assets			29
Financial Highlights			31
Notes to Financial Statements			33

ANNUAL REPORT

SEPTEMBER 30, 2011

LOOMIS SAYLES SMALL CAP GROWTH FUND

Fund and manager review

FUND FACTS

Managers:

Mark F. Burns, CFA

John Slavik, CFA

Symbols:


Institutional Class		LSSIX
Retail Class		LCGRX

Objective:

Long-term capital growth from investments in common stocks or other equity securities

Strategy:

Invests at least 80% of its net assets (plus any borrowings made for investment purposes) in equity securities of companies with market capitalizations that fall within the capitalization range of the Russell 2000 Index or is $3 billion or less at the time of investment. Unlike the Index, the Fund may invest in companies of any size.

The fund may invest any portion of its assets in Canadian securities and up to 20% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

December 31, 1996

Net Assets:

$267.4 million

Market Conditions

The period began positively, as prospects for global economic growth appeared to be in place. Nevertheless, the markets began to struggle following a multitude of shocks, including a devastating earthquake and tsunami in Japan, which caused negative growth in the world’s third largest economy and disrupted the global supply chain, unrest in the Middle East and Northern Africa, which caused oil to spike above $100 a barrel, and Standard & Poor’s downgrade of the United States’ long-term credit rating. In Europe, the sovereign-debt crisis sent fears through the region’s banking system further roiling markets. These headwinds, coupled with weaker-than-anticipated U.S. economic data, led to an increase in market volatility as the second half of the period unfolded. Small-cap stocks were hit especially hard during the market volatility.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 7.34%. The fund outperformed its benchmark, the Russell 2000 Growth Index, which returned -1.12% for the period.

Explanation of Fund Performance

Robust stock selection in most sectors drove the fund’s outperformance. Relative to the benchmark, only the financial services sector underperformed, and the lagging results were due primarily to stock selection. Overall, positions in the consumer discretionary, producer durables, energy and materials and processing sectors made the greatest contributions to the fund’s 12-month relative return. In terms of individual holdings, Pharmasset, IPG Photonics and Ulta Salon Cosmetics & Fragrance were among the fund’s top performers. Pharmasset, a biotechnology company, advanced during the period after reporting multiple strong quarters and releasing positive data relating to its hepatitis C treatment, which was effective in 98% of patients participating in a recent clinical trial. Fiber laser

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manufacturer IPG Photonics, a long-time holding of the fund, performed well after reporting a strong fourth quarter resulting from higher-than-expected revenues. Beauty products retailer Ulta Salon Cosmetics & Fragrance’s shares rose sharply from new product launches leading to successful penetration of their existing customer base and success in acquiring new customers.

On a sector basis, financial services was the only negative performer. In terms of individual holdings, Newpark Resources, Nektar Therapeutics and Dice Holdings were among the largest detractors from fund performance. Newpark Resources, a drilling services company, declined after reporting earnings that fell short of estimates, as a large customer reduced their usage of a Newpark product. Shares of Nektar Therapeutics, a biopharmaceutical company, declined after the company decided not to add a financial partner to help develop its cancer drug. The company raised capital to fund the drug’s development, which diluted earnings and caused the stock to sell off. In addition, shares of career services company Dice Holdings declined as the employment outlook weakened, which put pressure on Dice’s key business segments.

Outlook

The market remains highly responsive to and strongly influenced by macroeconomic and related geopolitical considerations, and we think it’s unlikely this pattern will change in the near term. It appears corporate earnings growth rates have peaked. For certain sectors, industries and many companies, earnings actually may decline in the year ahead. We also believe much of this bad news already has been priced into the market. Stock market valuation indicators point to equities being attractively valued relative to history, and equity valuations appear especially attractive relative to interest rates. While our long-term conviction in equities remains intact, especially at these low historical valuation levels, the near to intermediate term could offer a wide range of outcomes and continued volatility.

What You Should Know:

Investments in the fund are subject to a number of risks. Please see the “Principal Risks” section of the fund’s prospectus. The purchase of fund shares should be seen as a long-term investment.

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LOOMIS SAYLES SMALL CAP GROWTH FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 12/31/96)		7.34	%		4.65	%		5.48	%
Retail Class (Inception 12/31/96)		7.16			4.40			5.23

Comparative Performance
Russell 2000 Growth Index^(c)		-1.12			0.96			5.45
Russell 2000 Index^(c)		-3.53			-1.02			6.12
Lipper Small-Cap Growth Funds Index^(c)		-1.10			0.27			4.52
Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 1.03% Retail: 1.28%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

September 30, 2001 to September 30, 2011^(a)(b)

LOGO

Performance data quoted represents past performance and is no guarantee of future results. Total return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit loomissayles.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Performance data reflects certain fee waivers and/or expense reimbursements, if any, without which performance would be lower.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees and expenses.

^(b)

The mountain chart is based on the initial investment minimum of $100,000 for the Institutional Class.

^(c)

See page 7 for a description of the indices.

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LOOMIS SAYLES SMALL CAP VALUE FUND

Fund and manager review

FUND FACTS

Managers:

Joseph Gatz, CFA

Symbols:


Institutional Class		LSSCX
Retail Class		LSCRX
Admin Class		LSVAX

Objective:

Long-term capital growth from investments in common stocks or other equity securities

Strategy:

The fund may invest up to 20% of its assets in securities of foreign issuers including emerging market securities.

Fund Inception Date:

May 13, 1991

Class Inception Date:

Institutional Class: May 13, 1991

Retail Class: December 31, 1996

Admin Class: January 2, 1998

Net Assets:

$845.0 million

Market Conditions

Small cap value stocks began the period with robust gains in late 2010 and early 2011, only to see markets reverse in the late spring and summer of 2011. Initial gains were fueled by a modest improvement in U.S. business conditions and investor optimism stemming from continued accommodation from the Federal Reserve Board. The subsequent decline was triggered by moderating economic data points and renewed concerns over global sovereign debt, the European banking sector, and the lack of political initiative to solve these problems. Nearly all sectors in the Russell 2000 Value Index declined during the period, with economically sensitive sectors suffering the most. Utilities were the only sector to record a material gain for the 12-month period, aided by higher dividend yields and less sensitivity to economic trends.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned -1.88%. The fund outperformed its benchmark, the Russell 2000 Value Index, which returned -5.99% for the period.

Explanation of Fund Performance

Favorable stock selection in the producer durables, financial services and consumer discretionary sectors drove the fund’s relative outperformance, offsetting a slight shortfall in the materials and processing sector. The leading stocks during the period included Baldor Electric, a manufacturer of industrial electric motors and power transmission products. Baldor was among the fund’s largest holdings during the fourth quarter of 2010, when the company announced a merger agreement with Switzerland-based power and automation engineering company ABB Ltd. Another leading performer was DFC Global Corporation, a provider of consumer loans, including pawn and payday lending services. The company has maintained strong earnings growth through international expansion and a

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growing available market due to traditional banks cutting back on consumer lending services. Genesco Inc., a specialty retailer of footwear and headwear, also was a leading contributor. The company’s shares advanced after earnings exceeded expectations and the company announced a potentially promising international acquisition.

Among the worst individual performers were industrial battery supplier EnerSys Inc., specialty chemical manufacturer Ferro Corporation., and hotel real estate investment trust Hersha Hospitality. All three stocks declined on mounting concerns about economic growth and the potential for reduced earnings.

In terms of absolute performance, a positive contribution was achieved within the producer durables and consumer discretionary sectors, offset by a negative contribution from materials & processing and financial services.

Outlook

The market remains highly responsive to and strongly influenced by macroeconomic and related geopolitical considerations, and we think it’s unlikely this pattern will change in the near term. It appears corporate earnings growth rates have peaked. For certain sectors, industries and many companies: earnings actually may decline in the year ahead. We also believe much of this bad news already has been priced into the market. Stock market valuation indicators point to equities being attractively priced relative to history, and equity valuations appear especially attractive relative to interest rates. While our long-term conviction in equities remains intact, especially at these low historical valuation levels, the near to intermediate term could offer a wide range of outcomes and continued volatility.

What You Should Know:

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LOOMIS SAYLES SMALL CAP VALUE FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 5/13/91)		-1.88	%		0.55	%		7.22	%
Retail Class (Inception 12/31/96)		-2.12			0.31			6.96
Admin Class (Inception 1/2/98)		-2.40			0.04			6.69

Comparative Performance
Russell 2000 Value Index^(c)		-5.99			-3.08			6.47
Russell 2000 Index^(c)		-3.53			-1.02			6.12
Lipper Small-Cap Core Funds Index^(c)		-2.54			0.26			6.52

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.96% Retail: 1.21% Admin: 1.46%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

September 30, 2001 to September 30, 2011^(a)(b)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail and Admin Classes would be lower due to higher fees and expenses.

^(b)

The mountain chart is based on the initial investment minimum of $100,000 for the Institutional Class.

^(c)

See page 7 for a description of the indices.

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ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Index Definitions

Indices are unmanaged and do not have expenses that affect results, unlike mutual funds. Index returns are adjusted for the reinvestment of capital gain distributions and income dividends. It is not possible to invest directly in an index.

Lipper Small-Cap Core Funds Index is an unmanaged index that tracks the average performance of the 30 largest small-cap core funds according to Lipper Inc.

Lipper Small-Cap Growth Funds Index is an unmanaged index that tracks the average performance of the 30 largest small-cap growth funds according to Lipper Inc.

Source: Lipper, Inc.

Russell 2000 Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe.

Russell 2000 Growth Index is an unmanaged index that measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

Russell 2000 Value Index is an unmanaged index that measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values.

Proxy Voting Information

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330; (ii) on the funds’ website, www.loomissayles.com, and (iii) on the SEC’s website, www.sec.gov. Information about how the funds voted proxies relating to portfolio securities during the 12 months ended June 30, 2011 is available on (i) the funds’ website and (ii) the SEC’s website.

Quarterly Portfolio Schedules

The funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

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UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the funds’ prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table of each fund shows the actual amount of fund expenses you would have paid on a $1,000 investment in the fund from April 1, 2011 through September 30, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

The second line in the table of each fund provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown reflect ongoing costs only, and do not include any transaction costs. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative costs of owning different funds. If transaction costs were included, total costs would be higher.

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$810.50		$4.36
Hypothetical (5% return before expenses)		$1,000.00		$1,020.26		$4.86

Retail Class
Actual		$1,000.00		$809.80		$5.67
Hypothetical (5% return before expenses)		$1,000.00		$1,018.80		$6.33
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.96% and 1.25% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$778.00		$4.01
Hypothetical (5% return before expenses)		$1,000.00		$1,020.56		$4.56

Retail Class
Actual		$1,000.00		$777.10		$5.12
Hypothetical (5% return before expenses)		$1,000.00		$1,019.30		$5.82

Admin Class
Actual		$1,000.00		$776.00		$6.23
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$7.08
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15% and 1.40% for Institutional, Retail and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees, including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements.

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser and to those of peer groups of funds and information about applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion of a questionnaire by the Adviser (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

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funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its peer group. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates. The Trustees also considered the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Funds.

For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the nature, extent and quality of services provided supported the renewal of the Agreements.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of the Loomis Sayles Small Cap Value Fund, the performance of which lagged that of a relevant peer group of funds for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the relevant Agreement, including (1) that the underperformance was attributable, to a significant

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extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that although the Fund’s performance lagged that of its relevant peer group for certain recent periods, performance was stronger when compared to the Fund’s relevant performance benchmark; and (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the Funds’ performance as a fund family generally (as noted by certain financial publications), and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the performance of the Funds and the Adviser supported the renewal of the Agreements.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund and the need for the Adviser to offer competitive compensation. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that both of the Loomis Sayles Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser under these caps.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, and whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

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After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee charged to each of the Funds was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Funds supported the renewal of the Agreements.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that although each Fund’s management fee was not subject to breakpoints, each Fund’s management fee and overall net expense ratio was at or below the median fee for a peer group of funds and that each of the Funds was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the extent to which economies of scale were shared with the Funds supported the renewal of the Agreements.

The Trustees also considered other factors, which included but were not limited to the following:

•

The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund.

•

Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds.

•

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreements and under separate agreements covering administrative services.

•

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of an affiliated Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2012.

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Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)


	Common Stocks – 95.7% of Net Assets

		Aerospace & Defense – 2.4%
	60,185	HEICO Corp.	$	2,963,510
	160,695	Hexcel Corp.(b)		3,561,001

				6,524,511

		Air Freight & Logistics – 1.4%
	57,775	Atlas Air Worldwide Holdings, Inc.(b)		1,923,330
	68,723	HUB Group, Inc., Class A(b)		1,942,799

				3,866,129

		Auto Components – 1.7%
	196,986	Amerigon, Inc.(b)		2,507,632
	78,838	Tenneco, Inc.(b)		2,019,041

				4,526,673

		Biotechnology – 3.1%
	84,556	Cepheid, Inc.(b)		3,283,310
	84,410	Cubist Pharmaceuticals, Inc.(b)		2,981,361
	137,162	Incyte Corp. Ltd.(b)		1,916,153

				8,180,824

		Building Products – 0.6%
	204,644	NCI Building Systems, Inc.(b)		1,547,109

		Capital Markets – 2.5%
	102,159	Evercore Partners, Inc., Class A		2,329,225
	104,582	Financial Engines, Inc.(b)		1,893,980
	91,736	Stifel Financial Corp.(b)		2,436,508

				6,659,713

		Commercial Banks – 1.9%
	58,796	Signature Bank(b)		2,806,333
	59,482	SVB Financial Group(b)		2,200,834

				5,007,167

		Commercial Services & Supplies – 2.6%
	148,959	Mobile Mini, Inc.(b)		2,448,886
	133,826	Waste Connections, Inc.		4,525,995

				6,974,881

		Construction & Engineering – 0.8%
	128,529	MasTec, Inc.(b)		2,263,396

		Consumer Finance – 1.0%
	62,573	First Cash Financial Services, Inc.(b)		2,624,937

		Diversified Consumer Services – 0.9%
	92,548	K12, Inc.(b)		2,356,272

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Diversified Financial Services – 1.0%
	93,208	MSCI, Inc., Class A(b)	$	2,826,999

		Electrical Equipment – 0.9%
	43,056	Polypore International, Inc.(b)		2,433,525

		Electronic Equipment, Instruments & Components – 2.6%
	46,299	IPG Photonics Corp.(b)		2,011,229
	149,293	Maxwell Technologies, Inc.(b)		2,748,484
	83,786	Measurement Specialties, Inc.(b)		2,175,084

				6,934,797

		Energy Equipment & Services – 3.2%
	73,262	C&J Energy Services, Inc.(b)		1,204,427
	44,253	Lufkin Industries, Inc.		2,354,702
	347,434	Newpark Resources, Inc.(b)		2,115,873
	81,263	Oceaneering International, Inc.		2,871,835

				8,546,837

		Food & Staples Retailing – 1.1%
	76,237	Fresh Market, Inc. (The)(b)		2,909,204

		Food Products – 0.8%
	25,990	Diamond Foods, Inc.		2,073,742

		Health Care Equipment & Supplies – 5.9%
	59,397	Cyberonics, Inc.(b)		1,680,935
	173,627	DexCom, Inc.(b)		2,083,524
	164,904	Insulet Corp.(b)		2,516,435
	107,574	Masimo Corp.		2,328,977
	95,650	NxStage Medical, Inc.(b)		1,995,259
	86,239	Tornier NV(b)		1,767,037
	113,049	Volcano Corp.(b)		3,349,642

				15,721,809

		Health Care Providers & Services – 6.9%
	49,567	Catalyst Health Solutions, Inc.(b)		2,859,520
	173,616	Hanger Orthopedic Group, Inc.(b)		3,279,606
	174,753	HMS Holdings Corp.(b)		4,262,226
	36,344	MWI Veterinary Supply, Inc.(b)		2,501,194
	144,289	PSS World Medical, Inc.(b)		2,841,051
	171,036	Team Health Holdings, Inc.(b)		2,808,411

				18,552,008

		Health Care Technology – 1.7%
	82,771	SXC Health Solutions Corp.(b)		4,610,345

		Hotels, Restaurants & Leisure – 2.0%
	25,791	Panera Bread Co., Class A(b)		2,680,717
	204,966	Texas Roadhouse, Inc.		2,709,650

				5,390,367

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Household Durables – 0.9%
	44,346	Tempur-Pedic International, Inc.(b)	$	2,333,043

		Internet & Catalog Retail – 0.8%
	55,525	Shutterfly, Inc.(b)		2,286,520

		Internet Software & Services – 5.1%
	74,549	Ancestry.com, Inc.(b)		1,751,901
	122,882	Constant Contact, Inc.(b)		2,124,630
	166,132	DealerTrack Holdings, Inc.(b)		2,603,288
	195,308	Dice Holdings, Inc.(b)		1,527,309
	63,486	Liquidity Services, Inc.(b)		2,035,996
	33,174	OpenTable, Inc.(b)		1,526,336
	120,870	Vocus, Inc.(b)		2,025,781

				13,595,241

		IT Services – 0.9%
	210,608	InterXion Holding NV(b)		2,487,281

		Life Sciences Tools & Services – 0.8%
	96,838	Luminex Corp.(b)		2,146,898

		Machinery – 4.1%
	54,116	Chart Industries, Inc.(b)		2,282,072
	84,356	RBC Bearings, Inc.(b)		2,867,260
	82,027	Robbins & Myers, Inc.		2,847,157
	101,793	Westport Innovations, Inc.(b)		2,944,872

				10,941,361

		Media – 0.9%
	159,329	MDC Partners, Inc., Class A		2,297,524

		Oil, Gas & Consumable Fuels – 3.9%
	97,948	Approach Resources, Inc.(b)		1,664,136
	82,154	Brigham Exploration Co.(b)		2,075,210
	82,388	Oasis Petroleum, Inc.(b)		1,839,724
	66,821	Rosetta Resources, Inc.(b)		2,286,615
	78,703	World Fuel Services Corp.		2,569,653

				10,435,338

		Pharmaceuticals – 2.8%
	134,350	Aegerion Pharmaceuticals, Inc.(b)		1,702,215
	106,374	Auxilium Pharmaceuticals, Inc.(b)		1,594,546
	95,775	Impax Laboratories, Inc.(b)		1,715,330
	89,532	Questcor Pharmaceuticals, Inc.(b)		2,440,642

				7,452,733

		Professional Services – 5.3%
	79,206	Advisory Board Co. (The)(b)		5,111,163
	104,325	Corporate Executive Board Co. (The)		3,108,885

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Professional Services – continued
	54,510	CoStar Group, Inc.(b)	$	2,832,885
	82,322	FTI Consulting, Inc.(b)		3,030,273

				14,083,206

		Road & Rail – 1.0%
	57,354	Genesee & Wyoming, Inc., Class A(b)		2,668,108

		Semiconductors & Semiconductor Equipment – 6.5%
	79,277	Cavium, Inc.(b)		2,141,272
	102,989	Ceva, Inc.(b)		2,503,663
	64,719	Cymer, Inc.(b)		2,406,252
	53,329	EZchip Semiconductor Ltd.(b)		1,771,589
	54,107	Hittite Microwave Corp.(b)		2,635,011
	35,891	Netlogic Microsystems, Inc.(b)		1,726,716
	61,930	Power Integrations, Inc.		1,895,677
	70,501	Silicon Laboratories, Inc.(b)		2,362,489

				17,442,669

		Software – 9.0%
	169,816	Allot Communications Ltd.(b)		1,655,706
	172,687	Ariba, Inc.(b)		4,785,157
	60,587	CommVault Systems, Inc.(b)		2,245,354
	59,369	Concur Technologies, Inc.(b)		2,209,714
	92,578	QLIK Technologies, Inc.(b)		2,005,240
	100,447	RealPage, Inc.(b)		2,054,141
	127,932	Sourcefire, Inc.(b)		3,423,460
	111,043	SuccessFactors, Inc.(b)		2,552,879
	67,735	Ultimate Software Group, Inc.(The)(b)		3,164,579

				24,096,230

		Specialty Retail – 5.6%
	151,881	Asbury Automotive Group, Inc.(b)		2,504,518
	62,514	DSW, Inc., Class A		2,886,896
	97,376	Hibbett Sports, Inc.(b)		3,300,073
	91,065	Lumber Liquidators Holdings, Inc.(b)		1,375,081
	41,207	Ulta Salon, Cosmetics & Fragrance, Inc.(b)		2,564,312
	63,935	Vitamin Shoppe, Inc.(b)		2,393,726

				15,024,606

		Textiles, Apparel & Luxury Goods – 3.1%
	33,947	Deckers Outdoor Corp.(b)		3,165,897
	101,786	G-III Apparel Group Ltd.(b)		2,326,828
	46,841	PVH Corp.		2,728,020

				8,220,745


		Total Common Stocks (Identified Cost $258,763,531)		256,042,748

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Growth Fund – continued


Principal Amount		Description	Value (†)


	Short-Term Investments – 4.0%
$	10,586,037	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $10,586,037 on 10/03/2011 collateralized by $10,785,000 Federal Home Loan Mortgage Corp., 0.600% due 8/23/2013 valued at $10,798,575 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $10,586,037)	$	10,586,037


		Total Investments – 99.7% (Identified Cost $269,349,568)(a)		266,628,785
		Other assets less liabilities – 0.3%		793,664

		Net Assets – 100.0%	$	267,422,449


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized depreciation on investments based on a cost of $269,670,904 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	23,376,035
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(26,418,154	)

		Net unrealized depreciation	$	(3,042,119	)

	(b)	Non-income producing security.

Industry Summary at September 30, 2011 (Unaudited)


Software	9.0	%
Health Care Providers & Services	6.9
Semiconductors & Semiconductor Equipment	6.5
Health Care Equipment & Supplies	5.9
Specialty Retail	5.6
Professional Services	5.3
Internet Software & Services	5.1
Machinery	4.1
Oil, Gas & Consumable Fuels	3.9
Energy Equipment & Services	3.2
Textiles, Apparel & Luxury Goods	3.1
Biotechnology	3.1
Pharmaceuticals	2.8
Commercial Services & Supplies	2.6
Electronic Equipment, Instruments & Components	2.6
Capital Markets	2.5
Aerospace & Defense	2.4
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	19.1
Short-Term Investments	4.0

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)


	Common Stocks – 96.8% of Net Assets

		Air Freight & Logistics – 0.2%
	52,301	Atlas Air Worldwide Holdings, Inc.(b)	$	1,741,100

		Auto Components – 1.1%
	459,158	Dana Holding Corp.(b)		4,821,159
	172,744	Tenneco, Inc.(b)		4,423,974

				9,245,133

		Building Products – 1.0%
	147,180	Armstrong World Industries, Inc.		5,068,879
	376,559	Griffon Corp.(b)		3,080,253

				8,149,132

		Capital Markets – 1.7%
	777,711	Fifth Street Finance Corp.		7,248,266
	269,619	Stifel Financial Corp.(b)		7,161,081

				14,409,347

		Chemicals – 4.2%
	300,663	Chemtura Corp.(b)		3,015,650
	642,823	Ferro Corp.(b)		3,953,361
	230,016	Koppers Holdings, Inc.		5,890,710
	80,553	Minerals Technologies, Inc.		3,968,846
	282,814	Olin Corp.		5,093,480
	421,127	Omnova Solutions, Inc.(b)		1,507,635
	228,186	WR Grace & Co.(b)		7,598,594
	285,865	Zep, Inc.		4,293,692

				35,321,968

		Commercial Banks – 8.1%
	587,102	BancorpSouth, Inc.		5,154,756
	618,248	Cathay General Bancorp		7,035,662
	181,773	City National Corp.		6,863,748
	495,700	CVB Financial Corp.		3,811,933
	556,621	First Financial Bancorp		7,681,370
	160,056	IBERIABANK Corp.		7,532,235
	379,315	Pinnacle Financial Partners, Inc.(b)		4,149,706
	2,604,324	Popular, Inc.(b)		3,906,486
	183,036	Prosperity Bancshares, Inc.		5,981,616
	180,927	Signature Bank(b)		8,635,646
	299,455	Wintrust Financial Corp.		7,728,934

				68,482,092

		Commercial Services & Supplies – 4.8%
	351,957	KAR Auction Services, Inc.(b)		4,262,199
	336,098	McGrath Rentcorp		7,995,771
	567,866	Rollins, Inc.		10,624,773

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Commercial Services & Supplies – continued
	406,373	Standard Parking Corp.(b)	$	6,355,674
	130,259	Team, Inc.(b)		2,732,834
	247,808	Waste Connections, Inc.		8,380,867

				40,352,118

		Communications Equipment – 1.9%
	229,374	ADTRAN, Inc.		6,069,236
	318,695	Brocade Communications Systems, Inc.(b)		1,376,763
	853,097	Harmonic, Inc.(b)		3,634,193
	205,280	NETGEAR, Inc.(b)		5,314,699

				16,394,891

		Construction & Engineering – 0.3%
	168,632	MYR Group, Inc.(b)		2,974,668

		Consumer Finance – 2.4%
	182,778	Cash America International, Inc.		9,350,922
	506,243	DFC Global Corp.(b)		11,061,410

				20,412,332

		Distributors – 0.4%
	109,064	Core-Mark Holding Co., Inc.(b)		3,340,630

		Diversified Financial Services – 1.6%
	309,746	MarketAxess Holdings, Inc.		8,059,591
	346,060	PHH Corp.(b)		5,564,645

				13,624,236

		Electric Utilities – 2.9%
	178,898	ALLETE, Inc.		6,553,034
	131,699	ITC Holdings Corp.		10,197,454
	224,693	UIL Holdings Corp.		7,399,140

				24,149,628

		Electrical Equipment – 3.5%
	151,992	AZZ, Inc.		5,892,730
	287,466	EnerSys(b)		5,755,069
	130,525	Global Power Equipment Group, Inc.(b)		3,037,317
	449,943	II-VI, Inc.(b)		7,874,002
	169,536	Thomas & Betts Corp.(b)		6,766,182

				29,325,300

		Electronic Equipment, Instruments & Components – 4.3%
	134,768	Cognex Corp.		3,653,560
	359,931	GSI Group, Inc.(b)		2,764,270
	168,298	Littelfuse, Inc.		6,767,263
	537,821	Methode Electronics, Inc.		3,996,010

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Electronic Equipment, Instruments & Components – continued
	246,260	Rofin-Sinar Technologies, Inc.(b)	$	4,728,192
	122,746	Rogers Corp.(b)		4,803,051
	278,194	ScanSource, Inc.(b)		8,223,415
	127,627	TTM Technologies, Inc.(b)		1,213,733

				36,149,494

		Energy Equipment & Services – 2.3%
	289,873	Helix Energy Solutions Group, Inc.(b)		3,797,336
	120,001	Lufkin Industries, Inc.		6,385,253
	269,710	Oceaneering International, Inc.		9,531,552

				19,714,141

		Food & Staples Retailing – 1.1%
	75,937	Casey’s General Stores, Inc.		3,314,650
	410,633	Spartan Stores, Inc.		6,356,599

				9,671,249

		Food Products – 2.6%
	112,798	Corn Products International, Inc.		4,426,194
	535,716	Darling International, Inc.(b)		6,744,664
	100,125	Fresh Del Monte Produce, Inc.		2,322,900
	168,066	J & J Snack Foods Corp.		8,075,571

				21,569,329

		Gas Utilities – 1.2%
	381,155	UGI Corp.		10,012,942

		Health Care Equipment & Supplies – 1.3%
	155,947	SurModics, Inc.(b)		1,419,118
	112,062	Teleflex, Inc.		6,025,574
	85,911	West Pharmaceutical Services, Inc.		3,187,298

				10,631,990

		Health Care Providers & Services – 2.1%
	116,531	MEDNAX, Inc.(b)		7,299,502
	271,045	Vanguard Health Systems, Inc.(b)		2,753,817
	206,504	WellCare Health Plans, Inc.(b)		7,843,022

				17,896,341

		Hotels, Restaurants & Leisure – 2.0%
	107,958	Churchill Downs, Inc.		4,213,601
	89,415	Cracker Barrel Old Country Store, Inc.		3,583,753
	95,722	Six Flags Entertainment Corp.		2,653,414
	222,622	Wyndham Worldwide Corp.		6,346,953

				16,797,721

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Household Durables – 1.2%
	163,170	Jarden Corp.	$	4,611,184
	405,244	La-Z-Boy, Inc.(b)		3,002,858
	117,495	Leggett & Platt, Inc.		2,325,226

				9,939,268

		Industrial Conglomerates – 0.8%
	137,270	Raven Industries, Inc.		6,616,414

		Insurance – 3.5%
	446,540	Employers Holdings, Inc.		5,697,851
	326,467	HCC Insurance Holdings, Inc.		8,830,932
	108,309	ProAssurance Corp.		7,800,414
	156,558	Reinsurance Group of America, Inc., Class A		7,193,840

				29,523,037

		Internet & Catalog Retail – 0.5%
	127,655	HSN, Inc.(b)		4,229,210

		Internet Software & Services – 1.0%
	144,398	IAC/InterActiveCorp(b)		5,710,941
	341,227	Perficient, Inc.(b)		2,497,782

				8,208,723

		IT Services – 1.1%
	234,247	Wright Express Corp.(b)		8,910,756

		Leisure Equipment & Products – 0.3%
	554,470	Callaway Golf Co.		2,866,610

		Life Sciences Tools & Services – 0.5%
	155,622	Pharmaceutical Product Development, Inc.		3,993,261

		Machinery – 4.7%
	334,348	Actuant Corp., Class A		6,603,373
	146,584	Alamo Group, Inc.		3,047,481
	439,916	Albany International Corp., Class A		8,028,467
	402,453	Altra Holdings, Inc.(b)		4,656,381
	308,158	Commercial Vehicle Group, Inc.(b)		2,024,598
	283,740	John Bean Technologies Corp.		4,046,133
	54,759	Middleby Corp. (The)(b)		3,858,319
	139,684	RBC Bearings, Inc.(b)		4,747,859
	49,107	Wabtec Corp.		2,596,287

				39,608,898

		Marine – 0.8%
	121,016	Kirby Corp.(b)		6,370,282

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Media – 2.6%
	137,892	Arbitron, Inc.	$	4,561,468
	186,322	John Wiley & Sons, Inc., Class A		8,276,423
	149,604	Liberty Media Corp. - Liberty Starz, Class A(b)		9,508,830

				22,346,721

		Metals & Mining – 1.6%
	102,828	Haynes International, Inc.		4,467,876
	560,885	Horsehead Holding Corp.(b)		4,161,767
	154,083	Reliance Steel & Aluminum Co.		5,240,363

				13,870,006

		Multiline Retail – 0.6%
	486,031	Fred’s, Inc. Class A		5,181,090

		Oil, Gas & Consumable Fuels – 2.3%
	149,607	Berry Petroleum Co., Class A		5,293,096
	349,136	Cloud Peak Energy, Inc.(b)		5,917,855
	506,035	Energy Partners Ltd.(b)		5,601,807
	678,926	Magnum Hunter Resources Corp.(b)		2,247,245

				19,060,003

		Paper & Forest Products – 0.5%
	67,695	Deltic Timber Corp.		4,040,038

		Pharmaceuticals – 0.9%
	287,573	Impax Laboratories, Inc.(b)		5,150,432
	296,279	Obagi Medical Products, Inc.(b)		2,687,251

				7,837,683

		REITs - Apartments – 3.8%
	277,338	American Campus Communities, Inc.		10,319,747
	124,279	Home Properties, Inc.		7,054,076
	133,984	Mid-America Apartment Communities, Inc.		8,068,517
	309,208	UDR, Inc.		6,845,865

				32,288,205

		REITs - Diversified – 1.5%
	364,429	DuPont Fabros Technology, Inc.		7,175,607
	185,220	Potlatch Corp.		5,838,134

				13,013,741

		REITs - Healthcare – 0.8%
	427,396	Omega Healthcare Investors, Inc.		6,808,418

		REITs - Hotels – 0.7%
	1,629,443	Hersha Hospitality Trust		5,637,873

		REITs - Office Property – 1.0%
	532,268	BioMed Realty Trust, Inc.		8,819,681

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		REITs - Single Tenant – 0.9%
	290,796	National Retail Properties, Inc.	$	7,813,689

		REITs - Storage – 1.5%
	707,732	CubeSmart		6,036,954
	180,366	Sovran Self Storage, Inc.		6,704,204

				12,741,158

		Road & Rail – 1.8%
	121,198	Genesee & Wyoming, Inc., Class A(b)		5,638,131
	218,510	Old Dominion Freight Line, Inc.(b)		6,330,235
	163,188	Werner Enterprises, Inc.		3,399,206

				15,367,572

		Semiconductors & Semiconductor Equipment – 1.8%
	965,558	Lattice Semiconductor Corp.(b)		5,069,179
	278,294	Semtech Corp.(b)		5,872,003
	373,453	Teradyne, Inc.(b)		4,111,718

				15,052,900

		Software – 1.8%
	322,712	Monotype Imaging Holdings, Inc.(b)		3,914,497
	320,750	Progress Software Corp.(b)		5,629,162
	420,295	SS&C Technologies Holdings, Inc.(b)		6,006,016

				15,549,675

		Specialty Retail – 4.0%
	169,583	Genesco, Inc.(b)		8,738,612
	1,077,563	Hot Topic, Inc.		8,221,806
	219,819	RadioShack Corp.		2,554,297
	175,920	Rent-A-Center, Inc.		4,829,004
	554,071	Sally Beauty Holdings, Inc.(b)		9,197,578

				33,541,297

		Textiles, Apparel & Luxury Goods – 0.8%
	160,273	Kenneth Cole Productions, Inc., Class A(b)		1,719,729
	418,305	Movado Group, Inc.		5,094,955

				6,814,684

		Thrifts & Mortgage Finance – 1.2%
	216,184	BankUnited, Inc.		4,487,980
	557,049	Capitol Federal Financial, Inc.		5,882,437

				10,370,417

		Trading Companies & Distributors – 0.8%
	290,065	H&E Equipment Services, Inc.(b)		2,393,036
	299,808	Rush Enterprises, Inc., Class A(b)		4,245,282

				6,638,318

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Water Utilities – 0.5%
	272,189	Middlesex Water Co.	$	4,646,266


		Total Common Stocks (Identified Cost $783,582,072)		818,071,676


	Closed End Investment Companies – 0.9%
	527,881	Ares Capital Corp. (Identified Cost $7,110,703)		7,268,921


	Principal Amount

	Short-Term Investments – 3.1%
$	26,703,466	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $26,703,466 on 10/03/2011 collateralized by $26,770,000 U.S. Treasury Note, 1.375% due 2/15/2013 valued at $27,238,475 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $26,703,466)		26,703,466


		Total Investments – 100.8% (Identified Cost $817,396,241)(a)		852,044,063
		Other assets less liabilities—(0.8)%		(7,022,971	)

		Net Assets – 100.0%	$	845,021,092


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $818,658,243 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	116,877,704
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(83,491,884	)

		Net unrealized appreciation	$	33,385,820

	(b)	Non-income producing security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at September 30, 2011 (Unaudited)


Commercial Banks	8.1	%
Commercial Services & Supplies	4.8
Machinery	4.7
Electronic Equipment, Instruments & Components	4.3
Chemicals	4.2
Specialty Retail	4.0
REITs – Apartments	3.8
Insurance	3.5
Electrical Equipment	3.5
Electric Utilities	2.9
Media	2.6
Food Products	2.6
Consumer Finance	2.4
Energy Equipment & Services	2.3
Oil, Gas & Consumable Fuels	2.3
Health Care Providers & Services	2.1
Hotels, Restaurants & Leisure	2.0
Other Investments, less than 2% each	37.6
Short-Term Investments	3.1

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 26

Statements of Assets and Liabilities

September 30, 2011


	Small Cap Growth Fund			Small Cap Value Fund
ASSETS
Investments at cost	$	269,349,568		$	817,396,241
Net unrealized appreciation (depreciation)		(2,720,783	)		34,647,822

Investments at value		266,628,785			852,044,063
Receivable for Fund shares sold		790,188			809,440
Receivable for securities sold		3,282,377			895,003
Dividends receivable		2,900			1,038,817

TOTAL ASSETS		270,704,250			854,787,323

LIABILITIES
Payable for securities purchased		2,461,160			6,795,534
Payable for Fund shares redeemed		482,225			2,190,936
Management fees payable (Note 5)		189,542			498,561
Deferred Trustees’ fees (Note 5)		69,983			141,018
Administrative fees payable (Note 5)		10,464			34,363
Other accounts payable and accrued expenses		68,427			105,819

TOTAL LIABILITIES		3,281,801			9,766,231

NET ASSETS	$	267,422,449		$	845,021,092

NET ASSETS CONSIST OF:
Paid-in capital	$	297,408,833		$	867,065,886
Distributions in excess of net investment income/Accumulated net investment (loss)		(69,983	)		(141,018	)
Accumulated net realized loss on investments		(27,195,618	)		(56,551,598	)
Net unrealized appreciation (depreciation) on investments		(2,720,783	)		34,647,822

NET ASSETS	$	267,422,449		$	845,021,092


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	154,312,625		$	431,761,314

Shares of beneficial interest		10,243,263			19,308,454

Net asset value, offering and redemption price per share	$	15.06		$	22.36

Retail Class:
Net assets	$	113,109,824		$	347,759,400

Shares of beneficial interest		7,791,683			15,710,385

Net asset value, offering and redemption price per share	$	14.52		$	22.14

Admin Class:
Net assets	$	—		$	65,500,378

Shares of beneficial interest		—			3,015,902

Net asset value, offering and redemption price per share	$	—		$	21.72

See accompanying notes to financial statements.

27 |

Statements of Operations

For the Year Ended September 30, 2011


	Small Cap Growth Fund			Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	426,462		$	12,766,557	(a)
Less net foreign taxes withheld		(4,900	)		—

		421,562			12,766,557

Expenses
Management fees (Note 5)		1,692,500			7,809,927
Service and distribution fees (Note 5)		284,823			1,484,623
Administrative fees (Note 5)		104,735			483,829
Trustees’ fees and expenses (Note 5)		26,536			48,139
Transfer agent fees and expenses (Notes 5 and 6)		252,076			1,264,012
Audit and tax services fees		37,707			43,244
Custodian fees and expenses		31,125			40,668
Legal fees		3,654			16,884
Registration fees		50,274			65,746
Shareholder reporting expenses		19,737			116,288
Miscellaneous expenses		10,875			34,263

Total expenses		2,514,042			11,407,623
Fee/expense recovery (Note 5)		29,470			—
Less waiver and/or expense reimbursement (Note 5)		(27,094	)		(551,088	)

Net expenses		2,516,418			10,856,535

Net investment income (loss)		(2,094,856	)		1,910,022


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain on:
Investments		24,546,166			92,685,709
Net change in unrealized appreciation (depreciation) on:
Investments		(32,206,864	)		(102,463,891	)

Net realized and unrealized loss on investments		(7,660,698	)		(9,778,182	)


NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(9,755,554	)	$	(7,868,160	)

(a)	Includes a non-recurring dividend of $465,154.

See accompanying notes to financial statements.

| 28

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income (loss)	$	(2,094,856	)	$	(1,245,082	)	$	1,910,022		$	3,463,326
Net realized gain on investments		24,546,166			14,954,786			92,685,709			58,619,537
Net change in unrealized appreciation (depreciation) on investments		(32,206,864	)		10,136,058			(102,463,891	)		34,774,717

Net increase (decrease) in net assets resulting from operations		(9,755,554	)		23,845,762			(7,868,160	)		96,857,580

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		—			—			(3,276,433	)		(1,798,397	)
Retail Class		—			—			(1,768,636	)		(522,660	)
Admin Class		—			—			(178,569	)		—

Total distributions		—			—			(5,223,638	)		(2,321,057	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		149,332,650			(17,035,340	)		(54,117,495	)		(150,208,179	)

Net increase (decrease) in net assets		139,577,096			6,810,422			(67,209,293	)		(55,671,656	)
NET ASSETS
Beginning of the year		127,845,353			121,034,931			912,230,385			967,902,041

End of the year	$	267,422,449		$	127,845,353		$	845,021,092		$	912,230,385

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(69,983	)	$	(53,431	)	$	(141,018	)	$	2,319,360

See accompanying notes to financial statements.

29 |

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| 30

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income (loss) (a)(b)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income (b)			Distributions from net realized capital gains			Total distributions
Small Cap Growth Fund
Institutional Class
9/30/2011	$	14.03	$	(0.13	)	$	1.16	(g)	$	1.03		$	—		$	—		$	—
9/30/2010		11.58		(0.11	)(i)		2.56			2.45			—			—			—
9/30/2009		13.07		(0.07	)		(1.42	)		(1.49	)		—			—			—
9/30/2008		15.87		(0.07	)		(2.73	)		(2.80	)		—			—			—
9/30/2007		12.00		(0.06	)(j)		3.93			3.87			—			—			—
Retail Class
9/30/2011		13.55		(0.18	)		1.15	(g)		0.97			—			—			—
9/30/2010		11.21		(0.13	)(i)		2.47			2.34			—			—			—
9/30/2009		12.69		(0.09	)		(1.39	)		(1.48	)		—			—			—
9/30/2008		15.45		(0.10	)		(2.66	)		(2.76	)		—			—			—
9/30/2007		11.71		(0.09	)(j)		3.83			3.74			—			—			—

Small Cap Value Fund
Institutional Class
9/30/2011	$	22.93	$	0.09	(k)	$	(0.50	)	$	(0.41	)	$	(0.16	)	$	—		$	(0.16	)
9/30/2010		20.66		0.11			2.23			2.34			(0.07	)		—			(0.07	)
9/30/2009		22.01		0.09			(1.32	)		(1.23	)		(0.11	)		(0.01	)		(0.12	)
9/30/2008		28.77		0.11	(l)		(4.03	)		(3.92	)		(0.06	)		(2.78	)		(2.84	)
9/30/2007		27.69		0.12	(j)(m)		4.29			4.41			(0.17	)		(3.16	)		(3.33	)
Retail Class
9/30/2011		22.71		0.02	(k)		(0.48	)		(0.46	)		(0.11	)		—			(0.11	)
9/30/2010		20.47		0.06			2.21			2.27			(0.03	)		—			(0.03	)
9/30/2009		21.79		0.04			(1.30	)		(1.26	)		(0.05	)		(0.01	)		(0.06	)
9/30/2008		28.52		0.05	(l)		(4.00	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.46		0.04	(j)(m)		4.28			4.32			(0.10	)		(3.16	)		(3.26	)
Admin Class
9/30/2011		22.30		(0.04	)(k)		(0.49	)		(0.53	)		(0.05	)		—			(0.05	)
9/30/2010		20.11		0.00			2.19			2.19			—			—			—
9/30/2009		21.40		0.00			(1.28	)		(1.28	)		(0.00	)		(0.01	)		(0.01	)
9/30/2008		28.13		(0.01	)(l)		(3.94	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.14		(0.03	)(j)(m)		4.22			4.19			(0.04	)		(3.16	)		(3.20	)

(a)

Per share net investment income (loss) has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Effective June 1, 2009, redemption fees were eliminated.

(d)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

The investment adviser and/or administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, if applicable, expenses would have been higher.

(g)

The amount shown for a share outstanding does not correspond with the aggregate realized and unrealized gain (loss) on investments for the period due to the timing of sales and redemptions of fund shares in relation to fluctuating market values of investments of the Fund.

(h)

Includes fee/expense recovery of 0.03%.

See accompanying notes to financial statements.

31 |


									Ratios to Average Net Assets:
Redemption fees (b)(c)		Net asset value, end of the period		Total return (%) (d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%)(e)			Net investment income (loss) (%) (e)			Portfolio turnover rate (%)


$	—	$	15.06		7.34		$	154,313		0.98	(h)		0.98	(h)		(0.78	)		76
	—		14.03		21.16			52,501		1.00			1.06			(0.85	)(i)		69
	—		11.58		(11.40	)		45,557		1.00			1.01			(0.68	)		107
	0.00		13.07		(17.64	)		44,540		1.00			1.01			(0.47	)		92
	0.00		15.87		32.25			28,088		1.00			1.23			(0.47	)		83

	—		14.52		7.16			113,110		1.25			1.27			(1.07	)		76
	—		13.55		20.87			75,344		1.25			1.39			(1.10	)(i)		69
	—		11.21		(11.66	)		75,478		1.25			1.43			(0.93	)		107
	0.00		12.69		(17.86	)		79,897		1.25			1.42			(0.70	)		92
	0.00		15.45		31.94			20,924		1.25			1.50			(0.66	)		83



$	—	$	22.36		(1.88	)(k)	$	431,761		0.90			0.93			0.33	(k)		42
	—		22.93		11.39			454,853		0.90			0.94			0.50			52
	0.00		20.66		(5.42	)		506,324		0.90			0.94			0.52			55
	0.00		22.01		(15.02	)		553,268		0.89			0.89			0.47			61
	0.00		28.77		17.02			534,776		0.89			0.89			0.43			57

	—		22.14		(2.12	)(k)		347,759		1.15			1.22			0.08	(k)		42
	—		22.71		11.10			383,934		1.15			1.24			0.26			52
	0.00		20.47		(5.66	)		387,383		1.15			1.31			0.26			55
	0.00		21.79		(15.21	)		464,525		1.15			1.27			0.21			61
	0.00		28.52		16.74			465,055		1.15			1.24			0.15			57

	—		21.72		(2.40	)(k)		65,500		1.40			1.52			(0.17	)(k)		42
	—		22.30		10.89			73,443		1.40			1.56			0.02			52
	0.00		20.11		(5.93	)		74,195		1.40			1.77			0.02			55
	0.00		21.40		(15.44	)		77,855		1.40			1.68			(0.04	)		61
	0.00		28.13		16.41			76,783		1.40			1.56			(0.10	)		57

(i)

Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.12) and $(0.14) for Institutional Class and Retail Class, respectively, and the ratio of net investment loss to average net assets would have been (0.92)% and (1.17)% for Institutional Class and Retail Class, respectively.

(j)

Includes a non-recurring payment of $0.01 per share and $0.00 per share for Small Cap Growth Fund and Small Cap Value Fund, respectively.

(k)

Includes a non-recurring dividend. Without this dividend, net investment income (loss) per share would have been $0.07, $0.01 and $(0.06) for Institutional Class, Retail Class and Admin Class, respectively, total return would have been (1.93)%, (2.16)% and (2.44)% for Institutional Class, Retail Class and Admin Class, respectively and the ratio of net investment income (loss) to average net assets would have been 0.28%, 0.03% and (0.22)% for Institutional Class, Retail Class and Admin Class, respectively.

(l)

Includes a non-recurring dividend of $0.02 per share.

(m)

Includes a non-recurring dividend of $0.05 per share.

See accompanying notes to financial statements.

| 32

Notes to Financial Statements

September 30, 2011

1. Organization. Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts” and each a “Trust”) are each organized as a Massachusetts business trust. Each Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trusts are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Funds I:

Loomis Sayles Small Cap Value Fund (the “Small Cap Value Fund”)

Loomis Sayles Funds II:

Loomis Sayles Small Cap Growth Fund (the “Small Cap Growth Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class Shares and Retail Class Shares. In addition, Small Cap Value Fund offers Admin Class Shares.

Most expenses of the Trusts can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trusts. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a. Valuation. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued

33 |

Notes to Financial Statements – continued

September 30, 2011

at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Funds calculate their net asset values.

| 34

Notes to Financial Statements – continued

September 30, 2011

distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

c. Foreign Currency Translation. The books and records of the Funds are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

Since the values of investment securities are presented at the foreign exchange rates prevailing at the end of the period, it is not practical to isolate that portion of the results of operations arising from changes in exchange rates from fluctuations which arise due to changes in market prices of investment securities. Such changes are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

Each Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Federal and Foreign Income Taxes. Each Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

35 |

Notes to Financial Statements – continued

September 30, 2011

A Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

e. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as expired capital loss carryforwards, distributions in excess of current earnings, net operating losses and deferred Trustees’ fees. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to securities lending collateral gain/loss adjustment, deferred Trustees’ fees and wash sales. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2011 and 2010 were as follows:


	2011 Distributions Paid From:						2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	—	$	—	$	—	$	—	$	—
Small Cap Value Fund		5,223,638		—		5,223,638		2,321,057		—		2,321,057

As of September 30, 2011, the components of distributable earnings on a tax basis were as follows:


	Small Cap Growth Fund			Small Cap Value Fund
Undistributed ordinary income	$	—		$	—
Undistributed long-term capital gains		—			—

Total undistributed earnings		—			—

Capital loss carryforward:
Expires September 30, 2017		(14,995,800	)		—
Expires September 30, 2018		(11,878,485	)		(55,289,597	)

Total capital loss carryforward		(26,874,285	)		(55,289,597	)
Deferred net capital losses (post-October 2010)		—			—
Unrealized appreciation (depreciation)		(3,042,116	)		33,385,821

Total accumulated losses	$	(29,916,401	)	$	(21,903,776	)

Capital loss carryforward utilized in the current year	$	(24,342,443	)	$	(91,474,906	)

| 36

Notes to Financial Statements – continued

September 30, 2011

The Small Cap Growth Fund had $34,940,597 of capital loss carryforwards expire in the current year.

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect as of the report date limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.

f. Repurchase Agreements. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

g. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2011, neither Fund had loaned securities under this agreement.

h. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their

37 |

Notes to Financial Statements – continued

September 30, 2011

duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.);

•

Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2011, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	256,042,748	$	—	$	—	$	256,042,748
Short-Term Investments		—		10,586,037		—		10,586,037

Total	$	256,042,748	$	10,586,037	$	—	$	266,628,785

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Small Cap Value Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Common Stocks	$	818,071,676	$	—	$	—	$	818,071,676
Closed End Investment Companies		7,268,921		—		—		7,268,921
Short-Term Investments		—		26,703,466		—		26,703,466

Total	$	825,340,597	$	26,703,466	$	—	$	852,044,063

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

| 38

Notes to Financial Statements – continued

September 30, 2011

4. Purchases and Sales of Securities. For the year ended September 30, 2011, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	304,753,106	$	165,116,650
Small Cap Value Fund		426,899,177		491,443,524

5. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Under the terms of the management agreements, each Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on each Fund’s average daily net assets:


Fund	Percentage of Average Daily Net Assets
Small Cap Growth Fund		0.75%
Small Cap Value Fund		0.75%

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. These undertakings are in effect until January 31, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings.

For the year ended September 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund		1.00%		1.25%		—
Small Cap Value Fund		0.90%		1.15%		1.40%

Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreements (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended September 30, 2011, the management fees for each Fund were as follows:


Fund	Management Fees		Percentage of Average Daily Net Assets
Small Cap Growth Fund	$	1,692,500		0.75%
Small Cap Value Fund		7,809,927		0.75%

39 |

Notes to Financial Statements – continued

September 30, 2011

For the year ended September 30, 2011, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class		Retail Class		Admin Class		Total
Small Cap Growth Fund	$	—	$	27,094	$	—	$	27,094
Small Cap Value Fund		133,329		316,740		101,019		551,088

¹Expense reimbursements are subject to possible recovery until September 30, 2012.

For the year ended September 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:


	Recovered Expenses
Fund	Institutional Class		Retail Class		Total
Small Cap Growth Fund	$	29,470	$	—	$	29,470

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trust. Loomis Sayles’ general partner is indirectly owned by Natixis Global Asset Management, L.P. (“Natixis US”), which is part of Natixis Global Asset Management, an international asset management group based in Paris, France.

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, Small Cap Growth Fund and Small Cap Value Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”) and Small Cap Value Fund has adopted a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plans, each Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Retail Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or maintenance of shareholder accounts.

Under the Admin Class Plan, Small Cap Value Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with

| 40

Notes to Financial Statements – continued

September 30, 2011

respect to the sale of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of Small Cap Value Fund may pay Natixis Distributors an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the year ended September 30, 2011, the Funds paid the following service and distribution fees:


	Service Fees		Distribution Fees
Fund	Admin Class		Retail Class		Admin Class
Small Cap Growth Fund	$	—	$	284,823	$	—
Small Cap Value Fund		205,471		1,073,681		205,471

c. Administrative Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:


Fund	Administrative Fees
Small Cap Growth Fund	$	104,735
Small Cap Value Fund		483,829

d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Funds held by the intermediaries (which generally is a percentage of the value of shares held) not to exceed what the Funds would have paid its transfer agent had each customer’s

41 |

Notes to Financial Statements – continued

September 30, 2011

shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended September 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations:


	Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund	$	80,104	$	82,827	$	—
Small Cap Value Fund		480,211		577,864		152,883

e. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at an annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. The portions of the accrued obligations allocated to the Funds under the Plan are reflected as Deferred Trustees’ fees in the Statements of Assets and Liabilities.

f. Payments by Affiliates. For the year ended September 30, 2011, Loomis Sayles reimbursed Small Cap Growth Fund $36 for losses incurred in connection with a trading error.

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Notes to Financial Statements – continued

September 30, 2011

6. Class Specific Expenses. For the year ended September 30, 2011, the Funds paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):


	Transfer Agent Fees and Expenses
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund	$	83,934	$	168,142	$	—
Small Cap Value Fund		495,430		611,177		157,405

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 21, 2011, the commitment fee was 0.15% per annum.

For the year ended September 30, 2011, neither Fund had borrowings under these agreements.

8. Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended September 30, 2011, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	23,926
Small Cap Value Fund		124,396

9. Concentration of Ownership. At September 30, 2011, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and the Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of beneficial interest in the Funds representing the following percentages of net assets:


Fund	Pension Plan		Retirement Plan
Small Cap Growth Fund		2.01%		2.37%
Small Cap Value Fund		1.04%		1.90%

From time to time, the Funds may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of September 30, 2011, one shareholder account comprised more than 5% of Small Cap Value Fund’s total outstanding shares, representing 25.73% of the Fund’s net assets, based on accounts that represent more than 5% of an individual class of shares. Such accounts may be beneficially held by one or more individuals or entities other than the owner of record.

43 |

Notes to Financial Statements – continued

September 30, 2011

10. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Small Cap Growth Fund
	Year Ended September 30, 2011						Year Ended September 30, 2010
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		8,270,565		$	142,244,743			942,038		$	12,157,438
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(1,769,935	)		(30,230,462	)		(1,134,399	)		(14,055,822	)

Net change		6,500,630		$	112,014,281			(192,361	)	$	(1,898,384	)

Retail Class
Issued from the sale of shares		5,486,059		$	91,670,428			1,649,726		$	20,206,682
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(3,253,098	)		(54,352,059	)		(2,822,162	)		(35,343,638	)

Net change		2,232,961		$	37,318,369			(1,172,436	)	$	(15,136,956	)

Increase (decrease) from capital share transactions		8,733,591		$	149,332,650			(1,364,797	)	$	(17,035,340	)

| 44

Notes to Financial Statements – continued

September 30, 2011

10. Capital Shares – continued.


	Small Cap Value Fund
	Year Ended September 30, 2011						Year Ended September 30, 2010
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,546,529		$	95,137,414			2,602,888		$	56,206,503
Issued in connection with the reinvestment of distributions		114,244			3,053,733			80,409			1,643,559
Redeemed		(4,186,397	)		(112,560,971	)		(7,355,313	)		(156,910,081	)

Net change		(525,624	)	$	(14,369,824	)		(4,672,016	)	$	(99,060,019	)

Retail Class
Issued from the sale of shares		2,574,140		$	67,167,049			1,882,548		$	40,646,183
Issued in connection with the reinvestment of distributions		66,486			1,762,558			25,691			521,021
Redeemed		(3,836,066	)		(101,096,155	)		(3,929,781	)		(84,156,249	)

Net change		(1,195,440	)	$	(32,166,548	)		(2,021,542	)	$	(42,989,045	)

Admin Class
Issued from the sale of shares		1,061,267		$	27,365,871			995,292		$	21,022,763
Issued in connection with the reinvestment of distributions		5,109			133,140			—			—
Redeemed		(1,344,604	)		(35,080,134	)		(1,389,922	)		(29,181,878	)

Net change		(278,228	)	$	(7,581,123	)		(394,630	)	$	(8,159,115	)

Increase (decrease) from capital share transactions		(1,999,292	)	$	(54,117,495	)		(7,088,188	)	$	(150,208,179	)

45 |

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of

Loomis Sayles Small Cap Value Fund and Loomis Sayles Small Cap Growth Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Small Cap Value Fund, a series of Loomis Sayles Funds I, and the Loomis Sayles Small Cap Growth Fund, a series of Loomis Sayles Funds II (collectively, the “Funds”), at September 30, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2011

| 46

2011 U.S. Tax Distribution Information to

Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2011, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
Small Cap Value		100.00%

Qualified Dividend Income. For the fiscal year ended September 30, 2011, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2011, complete information will be reported in conjunction with Form 1099-DIV.


Fund
Small Cap Value

47 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Trusts’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Graham T. Allison, Jr. (1940)	Trustee since 2003 and Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience

Charles D. Baker (1956)***	Trustee from 2005 to 2009 and since 2011 and Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)	44 None	Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including president and chief executive officer of a corporation

Edward A. Benjamin (1938)	Trustee since 2002 and Chairman of the Contract Review and Governance Committee	Retired	44 Formerly, Director, Precision Optics Corporation (optics manufacturer)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)

| 48


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Daniel M. Cain (1945)	Trustee since 2003 and Contract Review and Governance Committee Member	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

Kenneth A. Drucker (1945)	Trustee since 2008 and Chairman of the Audit Committee	Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including as treasurer of a corporation

Wendell J. Knox (1948)	Trustee since 2009 and Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); Formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience at a management consulting company

49 |


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Erik R. Sirri (1958)	Trustee since 2009 and Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on Board of Trustees of the Trusts; Experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist

Peter J. Smail (1952)	Trustee since 2009 and Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on Board of Trustees of the Trusts; Mutual fund industry and executive experience, including roles and president and chief executive officer for an investment advisor

Cynthia L. Walker (1956)	Trustee since 2005 and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	44 None	Significant experience on Board of Trustees of the Trusts and/or other business organizations; executive experience in a variety of academic organizations, including roles as dean for finance and administration

INTERESTED TRUSTEES

Robert J. Blanding¹ (1947) 555 California Street San Francisco, CA 94104	Trustee since 2002 President and Chief Executive Officer of Loomis Sayles Funds I since 2002 Chief Executive Officer of Loomis Sayles Funds II since 2002	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on Board of Trustees of the Trusts; continuing service as president, chairman, and chief executive officer of Loomis Sayles & Company, L.P.

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Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES – continued

David L. Giunta² (1965)***	Trustee since 2011 President of Loomis Sayles Funds II; Executive Vice President of Loomis Sayles Funds I	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company	44 None	Experience on Board of Trustees of the Trusts; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

John T. Hailer³ (1960)	Trustee since 2003	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	44 None	Significant experience on Board of Trustees of the Trusts; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

Each trustee serves until retirement, resignation or removal from the Board of Trustees. The current retirement age is 72; however, the trustees designated 2010 as a transition period so that any trustees who were age 72 or older during 2010 will not be required to retire until the end of calendar year 2011. The position of Chairperson of the Board is appointed for a two-year term. Ms. Moose was appointed to serve an additional two-year term as the Chairperson of the Board of Trustees on November 20, 2009.

The trustees of the Trusts serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

***	Messrs. Baker and Giunta were appointed as trustees effective January 1, 2011.

¹	Mr. Blanding is deemed an “interested person” of the Trusts because he holds the following positions with affiliated persons of the Trusts: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles Company, L.P.

²	Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with affiliated persons of the Trusts: President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

³	Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with affiliated persons of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

51 |


Name and Year of Birth	Position(s) Held with the Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past 5 Years**

OFFICERS OF THE TRUST

Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Distributors, L.P., and Natixis Asset Management Advisors, L.P.

Daniel J. Fuss (1933) One Financial Center Boston, MA 02111	Executive Vice President of Loomis Sayles Funds I and Loomis Sayles Funds II	Since June 2003	Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane (1969)	Chief Compliance Officer; Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Distributors, L.P. and Natixis Asset Management Advisors, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

*	Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

Each person listed above, except as noted, holds the same position(s) with the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series. Mr. Fuss is not an officer of the Natixis Funds Trusts or the Hansberger International Series. Previous positions during the past five years with the Distributor, Natixis Distributors, L.P., Natixis Advisors, or Loomis Sayles are omitted, if not materially different from a Trustee’s or officer’s current position with such entity.

| 52

Loomis Sayles Fixed Income Fund

Loomis Sayles Global Bond Fund

Loomis Sayles Inflation Protected Securities Fund

Loomis Sayles Institutional High Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Investment Grade Fixed Income Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			19
Statements of Assets and Liabilities			63
Statements of Operations			65
Statements of Changes in Net Assets			67
Financial Highlights			69
Notes to Financial Statements			75

ANNUAL REPORT

SEPTEMBER 30, 2011

LOOMIS SAYLES FIXED INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSFIX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

The Fund will invest primarily in fixed-income securities and may invest up to 35% of its assets in below investment-grade fixed-income securities and up to 20% of its assets in equity securities such as common stocks and preferred stocks (with up to 10% of its assets in common stocks).

Fund Inception Date:

January 17, 1995

Fund Registration Date:

March 7, 1997

Net Assets:

$881.3 million

Market Conditions

Fixed-income markets rallied through the start of 2011, fueled by the Federal Reserve Board’s (the Fed) large-scale asset purchase program, known as quantitative easing. Riskier assets were the primary beneficiaries of the program, and commercial mortgage-backed securities, high-yield bonds and equity-sensitive convertible bonds posted strong returns at the start of the year. The rally stalled in the summer, after Standard & Poor’s downgraded U.S. government debt, the European sovereign debt situation worsened and economic data suggested a possible slowdown in global growth. A sudden flight to quality drove down U.S. Treasury yields to historical lows.

Performance Results

For the 12 months ended September 30, 2011, Loomis Sayles Fixed Income Fund returned 3.01%. The fund underperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 5.14% for the period.

Explanation of Fund Performance

Maintaining a relatively long duration (price sensitivity to interest rate changes) strategy during the period contributed to the fund’s 12-month return. Yields generally declined during the period, particularly among longer-term securities, which helped the fund generate solid price appreciation. When interest rates fall, funds with longer durations tend to realize greater price appreciation. A long duration stance combined with an underweight position within investment-grade financial holdings also contributed to returns. Within high yield, strong security selection helped the fund capture sufficient gains during the first half of the reporting period to overcome the impact of the flight to quality during the second half. Favorable security selection among consumer non-cyclical issues and supranational bonds (foreign bonds issued by two or more central governments to promote economic development) also aided performance.

An underweight position in Treasuries and an allocation to convertible bonds primarily accounted for the fund’s underperformance. Treasuries experienced strong price appreciation during the flight to quality in the second half of the period. Convertible performance mirrored the volatility in the equity markets, which sold off sharply during the second half of the period. Nevertheless, we believe convertibles will continue to play an important role in the fund’s performance going forward. In addition, certain currency holdings were weak contributors to performance. The euro slid on inaction regarding Greece’s sovereign-debt woes, while the Brazilian real and Australian dollar suffered as the first-half rally in commodity prices abruptly reversed course.

Outlook

Pronounced market illiquidity, re-pricing of risk assets for slower global growth, the effects of the Fed’s latest stimulus plan, named “Operation Twist,” and events in Europe are among the themes we will focus on through year-end. Growth expectations for the United States and other developed economies remain lackluster, as high volatility and an uncertain business environment persist. Geopolitical factors are further clouding the outlook. Details of new regulations (healthcare reform, the Dodd-Frank Act, and Basel III financial regulation) have yet to be implemented, and election posturing in the United States will likely begin to overshadow policy formulation.

While our base case for economic growth for the remainder of 2011 and into 2012 remains less than robust, we believe there are many long-term, fundamentally stable or improving credits that currently offer attractive relative value. Default expectations are historically low, many corporate balance sheets remain strong and companies are behaving conservatively given the uncertain business climate. These are all factors that can potentially benefit bondholders.

Although the Fed has signaled that it remains accommodative on a number of fronts in the short term, we believe U.S. interest rates are currently in a period of transition, with a bias higher over the long term. We will continue to pursue what we believe are less market-sensitive securities, seeking to own credits that move independent of the general market, regardless of the direction of rates. As macroeconomic fears and illiquidity feed periods of price declines, we intend to use these opportunities to increase allocations to fundamentally sound credits. Our conviction in opportunistic investing driven by fundamental research has not changed, and we remain steadfast in our long-term approach.

1 |

LOOMIS SAYLES FIXED INCOME FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 1/17/95)		3.01	%		7.46	%		10.39	%

Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(b)		5.14			6.52			5.74
Lipper BBB-Rated Funds Index^(b)		5.36			6.18			5.98

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.58%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.58%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

September 30, 2001 through September 30, 2011^(a)

LOGO

Performance data quoted represents past performance and is no guarantee of future results.Total return and value will vary and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit loomissayles.com. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Performance data reflects certain fee waivers and/or expense reimbursements, if any, without which performance would be lower.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 13 for a description of the indices.

What you should know

| 2

LOOMIS SAYLES GLOBAL BOND FUND

Fund and manager review

FUND FACTS

Managers:

Kenneth M. Buntrock, CFA, CIC

David W. Rolley, CFA

Lynda L. Schweitzer, CFA

Symbols:


Institutional Class		LSGBX
Retail Class		LSGLX

Objective:

High total investment return through a combination of high current income and capital appreciation

Strategy:

Invests primarily in fixed-income securities including investing primarily in investment grade fixed-income securities worldwide, although it may invest up to 20% of assets in below investment grade fixed-income securities.

Fund Inception Date:

May 10, 1991

Class Inception Date:

Institutional Class:

May 10, 1991

Retail Class:

December 31, 1996

Net Assets:

$2,332.2 million

Market Conditions

Investors maintained a preference for riskier assets throughout the first half of the reporting period. That sentiment quickly changed in the second half, as investors worried about sovereign debt concerns in Europe, a slowdown in China’s economic growth rate and weaker growth in the U.S. economy. Furthermore, high volatility stemming from Standard & Poor’s downgrade of long-term U.S. debt, euro policymakers’ continued piecemeal approach to combat the ongoing debt crisis in Europe, falling commodity prices and an investor selloff of the emerging markets led to market uncertainty and deteriorating sentiment in the final months of the reporting period. Several asset categories that held up well earlier in the period also succumbed to sellers in late August, including emerging market corporate debt and non-Japan Asian currencies. Credit spreads (the difference in yields between Treasury and non-Treasury securities of similar maturity) slowly moved wider during the summer and accelerated in early August, as a flight to quality pushed government bond yields lower in the United States and Germany.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Global Bond Fund returned 1.23%. The fund underperformed its benchmark, the Barclays Capital Global Aggregate Bond Index, which returned 4.00% for the period.

Explanation of Fund Performance

Country selection was the primary driver of fund performance for the period. Specifically, we underweighted the Japanese and European local markets and overweighted the Mexican and Norwegian local markets. U.S. Treasury and other government-related securities contributed to the fund’s performance due to the flight to quality prevalent in the final months of the 12-month period.

An overweight to emerging market and peripheral currencies, including the Brazilian real, Mexican peso and Turkish lira, hurt the fund’s return. These currencies posted negative results versus the U.S. dollar toward the end of the period. An underweight in the Japanese yen also detracted from performance, as the currency was one of the few to end the 12-month period with a positive return. Within the fund’s corporate allocation, security selection among banking and financial holdings and an out-of-benchmark allocation to high-yield financials dragged down performance. In addition, the fund’s relatively short duration (price sensitivity to interest rate changes) weighed on performance. In general, yields declined during the period, and our short duration strategy relative to the U.S. dollar- and euro-pay Treasury markets had a negative impact on performance. When interest rates decline, funds with shorter durations may not experience as much price appreciation as funds with longer durations.

To better align the currency exposure of specific holdings, we traded foreign currency contracts throughout the 12-month period. These derivative securities, which are regular components of the fund’s currency strategy, had a slightly negative impact on fund performance. Additionally, we utilized Treasury futures to manage the fund’s duration. These futures had a minimal negative impact on performance, as interest rates fell toward the end of the period.

Outlook

In the euro zone, we continue to closely monitor the mounting sovereign debt problems and the steps European policymakers will take next to stanch the crisis. Sovereign risk fears have extended to Italy, Europe’s largest bond market, while a likely default in Greece continues to fuel investors’ flight-to-quality sentiment. We are marginally increasing the fund’s risk exposure via specific credit purchases, as illiquidity and forced selling are generating price discrepancies in bonds we believe are desirable.

3 |

LOOMIS SAYLES GLOBAL BOND FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 5/10/91)		1.23	%		6.60	%		8.54	%

Retail Class (Inception 12/31/96)		0.94			6.25			8.23

Comparative Performance
Barclays Capital Global Aggregate Bond Index^(c)		4.00			6.85			6.88
Lipper Global Income Funds Index^(c)		2.85			5.89			6.43

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.66% Retail 1.00%

Gross expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.66% Retail: 1.00%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

September 30, 2001 through September 30, 2011^(a)(b)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

^(b)

The mountain chart is based on the Institutional Class minimum initial investment of $100,000.

^(c)

See page 13 for a description of the indices.

What you should know:

| 4

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Fund and manager review

FUND FACTS

Managers:

John Hyll

Clifton V. Rowe, CFA

Symbols:


Institutional Class		LSGSX
Retail Class		LIPRX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests primarily in inflation-protected securities with emphasis on debt securities issued by the U.S. Treasury.

Fund Inception Date:

May 20, 1991

Class Inception Date:

Institutional Class:

May 20, 1991

Retail Class:

May 28, 2010

Net Assets:

$35.8 million

Market Conditions

In the fall of 2010, the Federal Reserve Board (the Fed) initiated a second round of quantitative easing, known as QE2, and brought some stability to the financial markets with the program’s large-scale asset purchases. Investor confidence began to improve throughout the first half of the 12-month period, and macroeconomic indicators supported continued growth. Interest rates began to trend higher, and rising import and energy prices began to fan inflation expectations. But, during the second half of the period, market turbulence outweighed previous concerns about interest rates and inflation. Heightened volatility persisted, primarily due to the European sovereign debt crisis and concerns about weakening U.S. economic growth. While the Fed’s QE2 supported riskier assets early in the period, economic and sovereign-debt concerns drove a substantial selloff in riskier assets during the second half of the period. Forecasters lowered their U.S. gross domestic product expectations in July in response to a deceleration in growth. As the U.S. debt ceiling debate played out in July and early August, another fiscal stimulus seemed unlikely. Despite Standard & Poor’s downgrade of the U.S. long-term credit rating, investors flocked to U.S. government debt, pushing yields sharply lower and signaling that in times of uncertainty, investors still favored the depth and liquidity of Treasuries.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned 9.36%. The fund slightly underperformed its benchmark, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, which returned 9.87% for the period.

Explanation of Fund Performance

The fund’s significant weight in U.S. Treasury Inflation-Protected Securities (TIPS) made the largest contribution to performance. TIPS were among the strongest-performing securities during the 12-month period, initially due to renewed inflation concerns and more recently due to the flight-to-quality rally among U.S. government debt. TIPS breakeven rates (the difference between nominal Treasury and TIPS yields) narrowed fairly significantly during the period, as inflation concerns subsided along with economic growth. Nevertheless, TIPS generated strong positive returns. In particular, the fund’s long-maturity TIPS contributed the most to performance, benefitting from declining yields. When yields decline, longer-term bonds tend to realize greater price appreciation than shorter-term bonds. Similarly, an allocation to long-maturity investment-grade corporate bonds contributed favorably to performance.

While all sectors represented in the fund contributed positively to its strong return, allocations to non-U.S.-dollar and high-yield securities were among the weakest performing contributors. This primarily was due to the risk-averse climate prevalent during the second half of the reporting period, which favored high quality and safety over lower-quality and riskier securities.

Outlook

The fund has benefitted from the most recent flight to quality and may continue to do so in the shorter term, as headwinds continue to generate market volatility. While many U.S. growth forecasts have been revised downward, our longer-term outlook suggests the recovery will continue. Low rates have stifled near-term inflation concerns; but longer term, as growth eventually takes hold, we believe the Fed will shift toward a more hawkish stance on inflation. Expectations for higher longer-term inflation may emerge over time, causing TIPS breakeven rates to widen.

5 |

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 5/20/91)^(e)		9.36	%		6.74	%		5.69	%

Retail Class (Inception 5/28/10)^(a)(e)		9.14			6.46			5.36

Comparative Performance
Barclays Capital U.S. Treasury Inflation Protected Securities Index^(c)		9.87			7.10			7.17
Lipper Treasury Inflation Protected Securities Funds Index^(c)		8.49			6.34			N/A

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.22% Retail: 2.36%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.40% Retail: 0.65%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)(e)

September 30, 2001 through September 30, 2011^(b)(d)(e)

LOGO

For illustrative purposes, the chart above reflects the growth of a hypothetical investment of $100,000 in the fund, for the last ten years. The chart above also reflects the growth of a hypothetical investment in the former primary benchmark of the fund, the Barclays Capital U.S. Government Bond Index (the “Former Benchmark”), compared to the performance of the fund from September 30, 2001 through December 31, 2004. On December 15, 2004, in connection with a change of the fund’s investment objective, the fund changed its primary benchmark to the Barclays Capital U.S. Treasury Inflation Protected Securities Index (the “New Benchmark”). Since index performance data is not available coincident with the date of the fund’s strategy change, comparative data for the fund’s New Benchmark begins on December 31, 2004. The chart above reflects the growth of a hypothetical investment in the New Benchmark, compared to the performance of the fund, from December 31, 2004, through September 30, 2011. The chart above also compares the performance of the fund to the Lipper Treasury Inflation Protected Securities Funds Index from December 31, 2004 through September 30, 2011. The performance of the New Benchmark and of the Lipper Treasury Inflation Protected Securities Funds Index was linked to the performance of the Former Benchmark as of December 31, 2004.

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Prior to inception of Retail Class (5/28/10), performance is that of Institutional Class, restated to reflect the higher net expenses of Retail Class.

^(b)

The mountain chart is based on the fund’s initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 13 for a description of the indices. Return data is not available for the Lipper Treasury Inflation Protected Securities Index prior to July 1, 2003.

^(d)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

^(e)

The fund revised its investment strategies on 12/15/04; performance may have been different had the current investment strategy been in place for all periods shown.

What you should know:

| 6

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Daniel Fuss, CFA, CIC

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSHIX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

Invests in primarily below investment grade fixed-income securities and other securities that are expected to produce a relatively high level of income, (including income-producing preferred and common stocks).

The fund may invest any portion of its assets in Canadian securities and up to 50% of assets in other foreign securities, including emerging markets securities.

Fund Inception Date:

June 5, 1996

Fund Registration Date:

March 7, 1997

Net Assets:

$429.6 million

Market Conditions

Early in the period, strong corporate earnings and positive economic news promoted positive returns in the credit sector, while the Federal Reserve Board’s (the Fed) second round of quantitative easing, known as QE2, helped calm markets with its large-scale asset purchases. Bumps emerged along the way, including political upheaval in the Middle East and North Africa and supply-chain disruptions originating in Japan, but positive economic data helped moderate concerns. A few months later, negative housing, inflation and employment data suggested the U.S. economy was slowing, while the expiration of QE2 in June generated uncertainty. The last few months of the period were especially harsh, due to slower-than-expected global economic growth. Standard & Poor’s downgrade of U.S. debt and persistent fears of a euro zone default further roiled markets. Market liquidity tightened, and investors staged a flight to safety that pushed U.S. Treasury yields to historical lows.

Performance Results

For the 12 months ended September 30, 2011, Loomis Sayles Institutional High Income Fund returned -0.43%. The fund underperformed its benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, which returned 1.78% for the period.

Explanation of Fund Performance

The fund’s longer duration (price sensitivity to interest rate changes) was a large contributor to returns for the year. High-yield bonds in the industrials sector were among the best contributors. In particular, certain issues in the technology, basic industry, communications, consumer cyclical and consumer non-cyclical segments persevered during the flight-to-safety, maintaining their gains from earlier in the year. Small out-of-benchmark allocations to investment-grade financials and investment grade industrials benefited fund performance, particularly amid demand for higher-quality issues late in the period. Holdings in selected finance companies provided the bulk of the positive performance in the investment grade financial sector, while consumer cyclical holdings were the largest contributors in the investment grade industrial sector.

A large out-of-benchmark allocation to equity-sensitive convertible securities accounted for much of the fund’s underperformance. As investors fled riskier assets in the final months of the period, equities and equity-sensitive securities retreated. In this environment, some of the fund’s convertibles holdings in the technology, consumer non-cyclical and consumer cyclical industries were among the weakest performers. In addition, a small out-of-benchmark allocation to bank loans hampered performance. Similar to convertibles, a small out-of-benchmark position in preferred securities detracted from return, as these issues mirrored the downturn in the equity markets.

Outlook

7 |

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 6/5/96)		-0.43	%		6.62	%		11.11	%
Comparative Performance
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		1.78			7.08			8.78
Lipper High Current Yield Funds Index^(b)		0.91			4.81			7.03

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.72%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.72%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

September 30, 2001 through September 30, 2011^(a)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 13 for a description of the indices.

What you should know

| 8

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Fund and manager review

FUND FACTS

Managers:

Neil A. Burke

Clifton V. Rowe, CFA

Richard Raczkowski

Symbols:


Institutional Class		LSDIX
Retail Class		LSDRX

Objective:

Above-average total return through a combination of current income and capital appreciation

Strategy:

Purchases only investment-grade fixed-income securities. The fund’s weighted average duration generally is two to five years. The fund may invest any portion of its assets in U.S.-dollar-denominated Canadian securities and up to 20% of its assets in other U.S.-dollar-denominated foreign securities, including emerging market securities.

Fund Inception Date:

January 28, 1998

Class Inception Date:

Institutional Class:

January 28, 1998

Retail Class:

May 28, 2010

Net Assets:

$60.2 million

Market Conditions

During the first half of the period, the Federal Reserve Board’s (the Fed) second round of quantitative easing, known as QE2, brought some stability to the financial markets through its large-scale asset purchases. Investor confidence improved and economic growth appeared intact. Interest rates began to move higher, and rising import and energy prices began to fan inflation expectations. But, during the second half of the period, market turbulence appeared to diminish the previous concerns about interest rates and inflation. Heightened volatility persisted, primarily due to the European sovereign debt crisis and concerns about weakening U.S. economic growth. While QE2 supported riskier assets early in the period, economic and sovereign debt concerns drove a substantial selloff in riskier assets during the second half of the period. As the U.S. debt ceiling debate played out in July and early August, another fiscal stimulus seemed unlikely. Despite Standard & Poor’s downgrade of the U.S. long-term sovereign credit rating, investors flocked to U.S. government debt, pushing yields sharply lower and signaling that in times of uncertainty, investors still favored the depth and liquidity of Treasuries.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Intermediate Duration Bond Fund returned 3.26%. The fund’s performance fell just short of the return of its benchmark, the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which returned 3.40% for the period.

Explanation of Fund Performance

An out-of-benchmark allocation to commercial mortgage-backed securities (CMBS) was among the top contributors to fund performance. Fundamentals within the sector gradually improved during the period, while its yield advantages remained attractive in the current interest rate environment. We focused on higher-quality, super-senior-designated issues because, in the event of a bankruptcy, holders of senior securities are repaid before other creditors. The fund’s U.S. Treasury securities also contributed strongly to returns, primarily due to the flight-to-quality environment that characterized the second half of the period. Yields at the longer end of the yield curve (the graph depicting the relationship between Treasury yields and maturities) declined more than shorter-term yields, which helped boost performance, as we favored longer-term securities. Allocations to investment-grade corporate bonds generally supported performance over the period. Within the allocation, holdings in the industrials and utilities sectors posted the strongest absolute returns, while financials made smaller gains.

The fund’s asset-backed securities (ABS) were among the weaker contributors. Though the sector generated a positive return and the fund’s holdings tended to outperform similar-duration Treasuries over the period, ABS underperformed other sectors within the portfolio. Among the fund’s investment-grade corporate holdings, positions in the banking, basic industry, communications and consumer cyclicals industries came under pressure during the flight to quality in the second half of the period. In general, the fund’s shorter-duration issues were weaker performers, as interest rates moved lower across the yield curve during the period.

Outlook

Looking ahead, we expect to maintain a benchmark-like duration and a “barbelled” yield-curve strategy, a maturity strategy that overweights securities at the short and long ends of the maturity spectrum. The fund has benefitted from this yield-curve positioning in the past, and we believe the Fed’s latest stimulus plan, named “Operation Twist,” which seeks to lower long-term rates while keeping shorter-term rates at current or higher levels, should further support the strategy. Our recent efforts to lower risk exposure within the fund have helped performance, and we may reduce some issue-specific risk going forward. The new-issue market may remain a primary source for fund additions, given the attractive relative value opportunities in an otherwise soft market.

9 |

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 1/28/98)		3.26	%		6.87	%		5.46	%

Retail Class (Inception 5/28/10)^(a)		3.00			6.63			5.16

Comparative Performance
Barclays Capital U.S. Intermediate Government/Credit Bond Index^(c)		3.40			5.92			5.12
Lipper Intermediate Investment Grade Debt Funds Index^(c)		3.66			5.78			5.22

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.73% Retail: 1.61%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.40% Retail: 0.65%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)

September 30, 2001 through September 30, 2011^(b)(d)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Prior to inception of Retail Class (5/28/10), performance is that of Institutional Class, restated to reflect the higher net expenses of Retail Class.

^(b)

The mountain chart is based on the fund’s initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 13 for a description of the indices.

^(d)

Cumulative performance is shown for the Institutional Class. Performance of the Retail Class would be lower due to higher fees.

What you should know:

| 10

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbols:


Institutional Class		LSIGX

Objective:

Above-average total investment return through a combination of current income and capital appreciation

Strategy:

Invests primarily in investment grade fixed-income securities. The Fund may invest up to 10% of its assets in below investment-grade fixed-income securities and up to 10% of its assets in equity securities (including preferred stocks and common stocks).

Fund Inception Date:

July 1, 1994

Fund Registration Date:

March 7, 1997

Net Assets:

$452.3 million

Market Conditions

Fixed-income markets rallied through the start of 2011, fueled by the Federal Reserve Board’s (the Fed) second large-scale asset purchase program, known technically as “quantitative easing.” Riskier assets were the primary beneficiaries of the program, and commercial mortgage-backed securities (CMBS), high-yield bonds and equity-sensitive convertible bonds posted robust returns at the start of the year. The rally stalled in the summer months, after Standard & Poor’s downgraded U.S. sovereign debt, the European sovereign debt situation worsened, and economic data suggested a possible slowdown in global growth. Investors shunned risk during the third quarter of 2011, and a sudden flight to quality drove down U.S. Treasury yields to historical lows. Spreads (the difference in yield between Treasury and non-Treasury securities of similar maturities) widened across the board and liquidity tightened.

Performance Results

For the 12 months ended September 30, 2011, Loomis Sayles Investment Grade Fixed Income Fund returned 3.82%. The fund underperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 5.14% for the period.

Explanation of Fund Performance

A substantial allocation to non-U.S.-dollar-denominated securities made the largest contribution to the fund’s return. In particular, commodity-rich nations, including Canada, New Zealand and Australia, provided strong returns. In addition, a sizable allocation to Canadian sovereign debt boosted performance, as the bonds benefitted from the market’s flight to quality. Investment-grade credit in the industrial and financial sectors also helped lift results. Specifically, the fund’s longer-duration holdings (securities with greater price sensitivity to interest rate movements) benefited from the declining yield environment. (Generally when yields fall, funds with longer durations tend to generate greater price appreciation.) Strong performers included selections in the insurance, banking, brokerage, communications and technology industries. Furthermore, modest out-of-benchmark allocations to asset-backed and CMBS buoyed performance due to positive security selection.

Out-of-benchmark allocations to high-yield bonds in the financial sector – the only sector to make a negative contribution to the fund’s return – and convertible bonds were among the weakest contributors to performance. Spreads widened during the period, as investors lost confidence in global growth and worried about mounting sovereign debt in Europe and the United States throughout the third quarter of 2011. In addition, high-yield and investment-grade utilities generated weak performance, primarily due to poor results from certain names in the electric industry.

Outlook

Pronounced market illiquidity, re-pricing of risk assets for slower global growth, the effects of the Fed’s latest stimulus plan, named “Operation Twist,” and events in Europe are among the themes we will focus on through year-end. Growth expectations for the United States and other developed economies remain lackluster, as high volatility and an uncertain business environment persist. Geopolitical factors are further clouding the outlook. Details of new regulations (healthcare reform, the Dodd-Frank Act and Basel III financial regulation) have yet to be implemented, and election posturing in the United States will likely begin to overshadow policy formulation.

Although the Fed has signaled that it remains accommodative on a number of fronts in the short term, we believe U.S. interest rates are currently in a period of transition, with a bias higher over the long term. We will continue to pursue what we believe are less market-sensitive securities, seeking to own credits that move independent of the general market, regardless of the direction of rates. As macroeconomic fears and illiquidity feed periods of price declines, we will intend to use these opportunities to increase allocations to fundamentally sound credits. Our conviction in opportunistic investing driven by fundamental research has not changed, and we remain steadfast in our long-term approach.

11 |

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 7/1/94)		3.82	%		8.02	%		9.76	%
Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(b)		5.14			6.52			5.74
Lipper BBB-Rated Funds Index^(b)		5.36			6.18			5.98

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.48%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.48%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance

September 30, 2001 through September 30, 2011^(a)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

The mountain chart is based on the fund’s minimum initial investment of $3,000,000.

^(b)

See page 13 for a description of the indices.

What you should know

| 12

ADDITIONAL INFORMATION

Index Definitions

Indexes are unmanaged and do not have expenses that affect results, unlike mutual funds. Index returns are adjusted for the reinvestment of capital gain distributions and income dividends. It is not possible to invest directly in an index.

Barclays Capital U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities.

Barclays Capital U.S. Intermediate Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities with remaining maturities of one to ten years.

Barclays Capital Global Aggregate Bond Index is an unmanaged index that provides a broad-based measure of the global investment-grade fixed-rate debt markets.

Barclays Capital U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar denominated, non-investment grade, fixed-rate, taxable corporate bond market.

Barclays Capital U.S. Treasury Inflation Protected Securities Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury.

Lipper BBB-Rated Funds Index is an unmanaged index that tracks the average performance of the 30 largest BBB-rated funds according to Lipper Inc.

Lipper Global Income Funds Index is an unmanaged index that tracks the average performance of the 30 largest global income funds according to Lipper Inc.

Lipper High Current Yield Funds Index is an unmanaged index that tracks the average performance of the 30 largest high current yield funds according to Lipper Inc.

Lipper Intermediate Investment Grade Debt Funds Index is an unmanaged index that tracks the average performance of the 30 largest intermediate investment grade debt funds according to Lipper Inc.

Lipper Treasury Inflation Protected Securities Funds Index is an unmanaged index that tracks the average performance of the 30 largest treasury inflation protected securities funds according to Lipper Inc.

Source: Lipper, Inc.

Proxy Voting Information

Quarterly Portfolio Schedules

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. These costs are described in more detail in each fund’s prospectus. The examples below are intended to help you understand the ongoing costs of investing in the funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the fund from April 1, 2011 through September 30, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual fund returns and expenses. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your Class.

The second line in the table for each class of fund shares provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

13 |

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$975.10		$2.87
Hypothetical (5% return before expenses)		$1,000.00		$1,022.16		$2.94
* Expenses are equal to the Fund’s annualized expense ratio: 0.58%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$998.70		$3.36
Hypothetical (5% return before expenses)		$1,000.00		$1,021.71		$3.40

Retail Class
Actual		$1,000.00		$997.20		$4.81
Hypothetical (5% return before expenses)		$1,000.00		$1,020.26		$4.86
* Expenses are equal to the Fund’s annualized expense ratio: 0.67% and 0.96% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$1,078.50		$2.08
Hypothetical (5% return before expenses)		$1,000.00		$1,023.06		$2.03

Retail Class
Actual		$1,000.00		$1,077.30		$3.38
Hypothetical (5% return before expenses)		$1,000.00		$1,021.81		$3.29
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$908.50		$3.30
Hypothetical (5% return before expenses)		$1,000.00		$1,021.61		$3.50
* Expenses are equal to the Fund’s annualized expense ratio: 0.69%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Intermediate Duration Bond Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$1,036.10		$2.04
Hypothetical (5% return before expenses)		$1,000.00		$1,023.06		$2.03

Retail Class
Actual		$1,000.00		$1,033.80		$3.31
Hypothetical (5% return before expenses)		$1,000.00		$1,021.81		$3.29
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 14

Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$1,004.20		$2.46
Hypothetical (5% return before expenses)		$1,000.00		$1,022.61		$2.48
* Expenses are equal to the Fund’s annualized expense ratio: 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

15 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion of a questionnaire by the Adviser (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about each Fund’s investment performance and the fees charged to the Funds for advisory and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its peer group. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates, including recent or planned investments by the Adviser in additional personnel or other resources, if any.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Funds.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information which compared the performance of the Funds to the performance of peer groups of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Funds using a variety of performance metrics, including metrics which also measured the performance of the Funds on a risk adjusted basis.

| 16

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (3) that although the Fund’s performance lagged that of its relevant peer group for certain periods, performance was stronger when compared to the Fund’s relevant performance benchmark or on an absolute basis.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and to expend additional resources as the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that all of the Loomis Sayles Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser under these caps for each Fund other than those for which current expenses are below the cap. The Trustees noted that while the Loomis Sayles Global Bond Fund’s and Loomis Sayles Institutional High Income Fund’s advisory fees were each slightly above the median of a peer group of funds, the Loomis Sayles Global Bond Fund’s total expense ratio was below the median for its peer group and Loomis Sayles Institutional High Income Fund’s total expense ratio only slightly exceeded its peer group median.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser profitability was an issue, the performance of the relevant Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds and the overall profit margin of the Adviser compared to other investment managers.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that the Loomis Sayles Fixed Income Fund had breakpoints in its advisory fees and it was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

The Trustees also considered other factors, which included but were not limited to the following:

•

The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund.

•

17 |

•

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of affiliated Advisers. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

| 18

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 83.3% of Net Assets

	Non-Convertible Bonds – 74.3%

		ABS Other – 0.1%
$	725,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029	$	695,987

		Aerospace & Defense – 0.0%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		175,875

		Airlines – 0.7%
	464,615	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		506,431
	219,582	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		217,112
	49,951	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		48,453
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		69,386
	1,361,005	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,340,590
	347,874	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 12/17/2016		356,570
	548,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		564,440
	1,036,945	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,006,542
	1,651,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,568,450

				5,677,974

		Automotive – 3.0%
	2,200,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		1,694,000
	2,400,000	Cummins, Inc., 7.125%, 3/01/2028		3,028,469
	300,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		402,930
	200,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		273,309
	765,000	Ford Motor Co., 6.375%, 2/01/2029		739,649
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,076,110
	165,000	Ford Motor Co., 6.625%, 2/15/2028		163,763
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,198,055
	690,000	Ford Motor Co., 7.125%, 11/15/2025		680,768
	9,250,000	Ford Motor Co., 7.450%, 7/16/2031		10,442,140
Principal Amount (‡)		Description	Value (†)


		Automotive – continued
$	1,645,000	Ford Motor Co., 7.500%, 8/01/2026	$	1,662,799
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		677,250
	565,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		616,534
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		339,375

				25,995,151

		Banking – 6.2%
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,892,780
	2,385,000	BAC Capital Trust VI, 5.625%, 3/08/2035		1,707,813
	500,000	Bank of America Corp., 4.850%, 11/15/2014		472,394
	1,060,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		945,683
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,060,074
	250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		167,469
	535,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		516,072
	1,475,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		1,017,750
	800,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		685,952
	950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		978,485
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		1,105,225
	400,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		342,976
	800,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		891,728
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		765,000
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		3,756,307
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		215,147
	135,000	Citigroup, Inc., 5.850%, 12/11/2034		130,341
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		2,777,080
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,064,609
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		672,494

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
	200,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)	$	206,881
	1,470,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		1,344,672
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		1,941,462
	21,194,634,240	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		2,246,294
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		107,042
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,966,689
	400,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		359,974
	2,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		2,014,561
	1,900,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		1,606,877
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		988,718
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		267,818
	595,000	Morgan Stanley, 4.750%, 4/01/2014		565,440
	7,000,000	Morgan Stanley, 5.500%, 7/24/2020		6,340,019
	6,700,000	Morgan Stanley, 5.750%, 1/25/2021		6,164,449
	370,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		356,894
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		3,932,215
	625,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		606,053
	350,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		513,862
	1,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		868,274

				54,563,573

		Building Materials – 1.2%
	860,000	Masco Corp., 4.800%, 6/15/2015		831,752
	240,000	Masco Corp., 5.850%, 3/15/2017		227,690
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,535,476
	305,000	Masco Corp., 6.500%, 8/15/2032		270,131
	1,450,000	Masco Corp., 7.125%, 3/15/2020		1,405,104
	575,000	Masco Corp., 7.750%, 8/01/2029		564,040
	805,000	Owens Corning, Inc., 6.500%, 12/01/2016		868,383


		Building Materials – continued
$	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036	$	2,124,046
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,230,600

				10,057,222

		Chemicals – 1.2%
	3,440,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		4,340,379
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		123,725
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,611,036
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		4,034,800
	55,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		45,925
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		678,750

				10,834,615

		Collateralized Mortgage Obligations – 0.1%
	1,112,811	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.739%, 4/25/2035(c)		1,028,707

		Commercial Mortgage-Backed Securities – 0.1%
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		100,820
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,025,910

				1,126,730

		Construction Machinery – 0.1%
	965,000	Toro Co., 6.625%, 5/01/2037(b)		1,102,871

		Distributors – 0.1%
	1,000,000	ONEOK, Inc., 6.000%, 6/15/2035		1,075,381

		Diversified Manufacturing – 1.0%
	245,000	Textron, Inc., 5.600%, 12/01/2017		258,418
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,170,309
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,445,151

				8,873,878

		Electric – 4.0%
	730,000	AES Corp. (The), 7.750%, 3/01/2014		744,600
	2,985,249	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,202,963
	4,126,072	Bruce Mansfield Unit, 6.850%, 6/01/2034		4,414,897
	380,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		222,300

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Electric – continued
$	810,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026	$	453,600
	4,300,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		3,108,147
	2,660,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		2,108,029
	100,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		105,024
	1,589,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,884,633
	2,890,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		2,803,300
	275,000	Enersis S.A., 7.375%, 1/15/2014		299,667
	4,000,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,689,016
	3,436,142	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A		3,688,595
	695,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(d)		250,200
	124,332	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		124,454
	1,046,500	Quezon Power Philippines Ltd. Co., 8.860%, 6/15/2017		1,098,825
	2,865,000	Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		2,292,000
	765,000	TXU Corp., Series P, 5.550%, 11/15/2014		470,475
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		575,700
	1,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		619,750
	450,000	White Pine Hydro LLC, 6.310%, 7/10/2017(b)		485,212
	670,000	White Pine Hydro LLC, 6.960%, 7/10/2037(b)		722,307
	1,280,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)		1,241,664

				35,605,358


		Entertainment – 0.5%
	2,065,000	Time Warner, Inc., 6.625%, 5/15/2029		2,370,463
	730,000	Time Warner, Inc., 7.625%, 4/15/2031		911,220
	1,155,000	Time Warner, Inc., 7.700%, 5/01/2032		1,465,610

				4,747,293


		Food & Beverage – 0.5%
	1,540,000	Corn Products International, Inc., 6.625%, 4/15/2037		1,860,593
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		2,735,842

				4,596,435



		Gaming – 0.1%
$	120,000	MGM Resorts International, 6.625%, 7/15/2015	$	101,700
	340,000	MGM Resorts International, 6.875%, 4/01/2016		289,000
	220,000	MGM Resorts International, 7.500%, 6/01/2016		190,850
	240,000	MGM Resorts International, 7.625%, 1/15/2017		205,800

				787,350


		Government Guaranteed – 0.2%
	1,620,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		1,550,413


		Government Owned – No Guarantee – 0.8%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,184,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,915,904
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,143,900

				7,243,804


		Healthcare – 2.4%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		456,509
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		312,005
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		486,192
	860,000	Boston Scientific Corp., 7.000%, 11/15/2035		1,005,479
	455,000	HCA, Inc., 5.750%, 3/15/2014		443,625
	2,345,000	HCA, Inc., 6.250%, 2/15/2013		2,377,244
	410,000	HCA, Inc., 6.375%, 1/15/2015		398,725
	610,000	HCA, Inc., 6.500%, 2/15/2016		582,550
	115,000	HCA, Inc., 6.750%, 7/15/2013		116,725
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		2,960,075
	820,000	HCA, Inc., 7.190%, 11/15/2015		795,400
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,327,500
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,227,600
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,394,000
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,125,650
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,622,350
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		371,950

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Healthcare – continued
$	335,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A	$	255,856
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016(b)		344,151
	1,075,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		817,000

				21,420,586

		Home Construction – 0.8%
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		42,550
	155,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		79,438
	115,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		64,400
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,547,000
	1,152,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,042,560
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,626,400
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,362,200

				6,764,548

		Independent Energy – 1.0%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,532,971
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,148,293
	900,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		940,500
	300,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		231,000
	1,465,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,566,866

				8,419,630

		Life Insurance – 1.9%
	4,475,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		3,949,187
	615,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		609,281
	175,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		167,576
	200,000	AXA, S.A., EMTN (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		192,535
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,473,751
	2,065,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,323,125
	1,000,000	MetLife, Inc., 6.400%, 12/15/2066		886,388
	1,320,000	MetLife, Inc., 10.750%, 8/01/2069		1,650,000


Principal Amount (‡)		Description	Value (†)


		Life Insurance – continued
$	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A	$	1,304,962
	1,000,000	Protective Life Secured Trust, 5.360%, 9/10/2014(c)		1,005,290

				16,562,095

		Local Authorities – 5.4%
	4,505,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		4,469,261
	5,390,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		5,265,350
	845,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		823,900
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,352,547
	619,905	Province of Alberta, 5.930%, 9/16/2016, (CAD)		673,880
	11,700,000	Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		10,920,670
	19,825,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		20,973,181

				47,478,789

		Lodging – 0.0%
	150,000	Host Marriott LP, Series O, 6.375%, 3/15/2015		149,250

		Media Cable – 0.2%
	26,000	CSC Holdings LLC, 6.750%, 4/15/2012		26,455
	170,000	CSC Holdings LLC, 7.875%, 2/15/2018		178,500
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,668,284

				1,873,239

		Media Non-Cable – 0.3%
	2,630,000	News America, Inc., 6.150%, 3/01/2037		2,809,761

		Metals & Mining – 1.4%
	1,500,000	Alcoa, Inc., 5.720%, 2/23/2019		1,505,443
	300,000	Alcoa, Inc., 5.870%, 2/23/2022		296,357
	6,720,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		5,208,000
	4,140,000	ArcelorMittal, 6.750%, 3/01/2041		3,577,805
	2,110,000	ArcelorMittal, 7.000%, 10/15/2039		1,881,850

				12,469,455

		Non-Captive Consumer – 3.2%
	300,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		135,000
	3,905,000	Residential Capital LLC, 9.625%, 5/15/2015		3,026,375

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Consumer – continued
$	31,725(††)	SLM Corp., 6.000%, 12/15/2043	$	638,862
	760,000	SLM Corp., MTN, 5.125%, 8/27/2012		759,652
	1,665,000	SLM Corp., Series A, MTN, 5.000%, 10/01/2013		1,629,832
	200,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		186,511
	145,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		127,431
	2,920,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		2,920,134
	235,000	SLM Corp., Series A, MTN, 5.375%, 5/15/2014		231,271
	2,575,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,050,460
	7,986,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,306,782
	300,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		219,000
	1,050,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		966,000
	700,000	Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		654,500
	595,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		434,350
	1,805,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		1,543,275
	1,000,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		918,750
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,496,250
	2,800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,016,000

				28,260,435

		Non-Captive Diversified – 5.8%
	1,305,000	Ally Financial, Inc., 6.000%, 12/15/2011		1,309,894
	224,000	Ally Financial, Inc., 6.875%, 8/28/2012		228,200
	682,000	Ally Financial, Inc., 7.500%, 12/31/2013		692,230
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,058,875
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,328,600
	431,000	Ally Financial, Inc., 8.000%, 11/01/2031		378,203
	6,055,000	Ally Financial, Inc., 8.300%, 2/12/2015		5,986,881
	229,819	CIT Group, Inc., 7.000%, 5/01/2014		234,416
	1,305,836	CIT Group, Inc., 7.000%, 5/01/2015		1,296,042
	346,610	CIT Group, Inc., 7.000%, 5/01/2016		336,212


Principal Amount (‡)		Description	Value (†)


		Non-Captive Diversified – continued
$	3,046,961	CIT Group, Inc., 7.000%, 5/01/2017	$	2,955,552
	830,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		810,540
	35,000	General Electric Capital Corp., 5.625%, 5/01/2018		38,262
	170,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		174,244
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,090,192
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,434,709
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,222,662
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,418,115
	5,820,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,058,697
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		4,923,394
	1,015,000	International Lease Finance Corp., 8.250%, 12/15/2020		994,700
	3,045,000	International Lease Finance Corp., 8.625%, 9/15/2015		3,022,162
	595,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		571,200
	85,000	iStar Financial, Inc., 5.500%, 6/15/2012		81,388
	225,000	iStar Financial, Inc., 5.850%, 3/15/2017		173,250
	905,000	iStar Financial, Inc., 5.875%, 3/15/2016		714,950
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		23,700
	2,495,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,270,450
	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		156,000
	1,245,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		1,080,037

				51,063,757

		Oil Field Services – 0.1%
	420,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		411,600
	235,000	Parker Drilling Co., 9.125%, 4/01/2018		237,350

				648,950

		Packaging – 0.2%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,050,000

		Paper – 1.7%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,243,755

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Paper – continued
$	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025	$	3,229,047
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		6,988,125
	53,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		62,221
	1,045,000	Westvaco Corp., 7.950%, 2/15/2031		1,179,259
	1,080,000	Westvaco Corp., 8.200%, 1/15/2030		1,224,404

				14,926,811

		Pipelines – 1.4%
	1,740,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		1,900,604
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		290,518
	1,550,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		1,799,280
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		382,258
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,460,040
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		271,224
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,009,087
	3,510,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		3,877,838

				11,990,849

		Property & Casualty Insurance – 1.6%
	80,000	Axis Capital Holdings Ltd., 5.750%, 12/01/2014		85,285
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		3,737,108
	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		2,982,237
	180,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		199,488
	1,545,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		695,250
	1,425,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		1,322,879
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,148,292
	1,430,000	XL Group PLC, 6.250%, 5/15/2027		1,465,793
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,198,453

				13,834,785

		Property Trust – 0.4%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,289,057


Principal Amount (‡)		Description	Value (†)


		Railroads – 0.0%
$	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)	$	360,000

		REITs – Apartments – 0.2%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,635,047
	70,000	ERP Operating LP, 5.125%, 3/15/2016		75,096

				1,710,143

		REITs – Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		219,989

		REITs – Office Property – 0.5%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,675,786
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		551,097

				4,226,883

		REITs – Regional Malls – 0.1%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		224,794
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		328,825

				553,619

		REITs – Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		205,213
	815,000	Realty Income Corp., 6.750%, 8/15/2019		948,242

				1,153,455

		REITs – Warehouse/Industrials – 0.0%
	100,000	ProLogis LP, 5.625%, 11/15/2015		103,235
	80,000	ProLogis LP, 5.750%, 4/01/2016		81,747

				184,982

		Retailers – 0.8%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		973,750
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,116,500
	1,079,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		906,360
	575,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		580,750
	3,240,000	Toys R Us, Inc., 7.375%, 10/15/2018		2,754,000
	750,000	Toys R Us, Inc., 7.875%, 4/15/2013		740,625

				7,071,985

		Sovereigns – 2.3%
	2,915,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		409,510
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		4,671,422

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Sovereigns – continued
	7,590,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)	$	817,222
	305,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,434,306
	14,885,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		8,312,325
	625,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		390,573
	176,105,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		917,836
	275,460,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		1,504,169
	212,600,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		1,161,149

				20,618,512

		Supermarkets – 0.9%
	25,000	American Stores Co., 8.000%, 6/01/2026		21,250
	6,515,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,886,250
	1,470,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,205,400
	565,000	New Albertson’s, Inc., 8.000%, 5/01/2031		446,350
	5,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,263
	1,745,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,212,775

				7,776,288

		Supranational – 3.4%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		16,279,438
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		13,255,880

				29,535,318

		Technology – 1.4%
	5,215,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		6,101,925
	980,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		813,400
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		66,400
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,778,365
	130,000	Avnet, Inc., 6.625%, 9/15/2016		144,565
	450,000	Corning, Inc., 6.850%, 3/01/2029		551,942
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,449,832
	247,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		250,705


Principal Amount (‡)		Description	Value (†)


		Technology – continued
$	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037	$	197,429
	150,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		154,500
	984,300	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,183,244

				12,692,307

		Tobacco – 0.5%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,826,572
	810,000	Reynolds American, Inc., 7.250%, 6/15/2037		909,459

				4,736,031

		Transportation Services – 0.4%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)		1,600,000
	918,550	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		845,067
	854,067	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		700,335
	296,984	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017		273,225

				3,418,627

		Treasuries – 11.7%
	8,525,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		8,140,769
	19,910,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		19,199,594
	2,860,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		2,847,118
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		7,994,532
	9,615,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		10,659,446
	268,160	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		106,377
	150,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		62,720
	100,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		55,017
	4,460,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,882,812
	7,050,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		7,977,636
	3,100,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		3,418,561
	450,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		502,555
	6,710,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		7,443,489
	16,560,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		13,307,381
	56,415,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		10,760,877

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Treasuries – continued
	9,425,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)	$	1,791,241
	27,350,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		5,027,138
	1,675,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,297,752
	375,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		303,525
	825,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		652,123

				103,430,663

		Utility Other – 0.0%
	200,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A		196,296

		Wireless – 1.2%
	1,745,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		1,635,938
	4,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		4,391,662
	165,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		160,463
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,963,682
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		877,200
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		260,625
	898,000	Sprint Nextel Corp., 6.000%, 12/01/2016		772,280

				10,061,850

		Wirelines – 3.1%
	355,000	AT&T Corp., 6.500%, 3/15/2029		403,090
	355,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		298,200
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		209,922
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		773,150
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		607,512
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		3,595,270
	235,000	Embarq Corp., 7.082%, 6/01/2016		243,264
	200,000	Embarq Corp., 7.995%, 6/01/2036		187,659
	350,000	GTE Corp., 6.940%, 4/15/2028		432,505
	985,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		907,431
	323,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		318,963
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		130,200


Principal Amount (‡)		Description	Value (†)


		Wirelines – continued
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)	$	158,760
	700,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		609,586
	1,600,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,596,982
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,172,800
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,232,325
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		362,250
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		720,750
	790,000	Qwest Corp., 6.875%, 9/15/2033		746,550
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,691,000
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,177,300
	1,480,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,210,766
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,193,424

				26,979,659


		Total Non-Convertible Bonds
		(Identified Cost $616,819,963)		654,677,221


	Convertible Bonds – 8.2%
		Airlines – 0.4%
	4,785,000	AMR Corp., 6.250%, 10/15/2014		2,829,131
	470,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		413,600

				3,242,731

		Automotive – 0.4%
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		3,798,844

		Diversified Manufacturing – 0.6%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		4,779,000
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		458,363

				5,237,363


		Electric – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		728,750

		Healthcare – 0.2%
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		1,420,813

		Independent Energy – 0.2%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,328,294

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Independent Energy – continued
$	675,000	Chesapeake Energy Corp., 2.500%, 5/15/2037	$	642,937

				1,971,231

		Life Insurance – 1.6%
	15,430,000	Old Republic International Corp., 3.750%, 3/15/2018		13,944,862

		Media Non-Cable – 0.0%
	445,448	Liberty Media LLC, 3.500%, 1/15/2031		240,542

		Metals & Mining – 0.2%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		241,756
	1,540,000	United States Steel Corp., 4.000%, 5/15/2014		1,605,450

				1,847,206

		Non-Captive Diversified – 0.0%
	380,000	iStar Financial, Inc., 0.746%, 10/01/2012(c)		332,500

		Pharmaceuticals – 0.1%
	205,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		212,175
	1,065,000	Nektar Therapeutics, 3.250%, 9/28/2012		1,051,688

				1,263,863

		Technology – 3.7%
	5,195,000	Ciena Corp., 0.875%, 6/15/2017		3,792,350
	2,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		2,490,362
	8,417,000	Intel Corp., 2.950%, 12/15/2035		8,532,734
	7,000,000	Intel Corp., 3.250%, 8/01/2039		8,233,750
	3,585,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,517,781
	600,000	Micron Technology, Inc., 1.875%, 6/01/2014		560,250
	7,025,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		5,374,125

				32,501,352

		Textile – 0.0%
	41,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		40,590

		Wirelines – 0.7%
	230,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		226,837
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		3,632,800
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		2,378,050

				6,237,687


		Total Convertible Bonds
		(Identified Cost $75,383,017)		72,808,334


Principal Amount (‡)		Description	Value (†)


	Municipals – 0.8%
		Michigan – 0.2%
$	2,365,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)	$	1,787,798

		Virginia – 0.6%
	7,725,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		5,096,105


		Total Municipals
		(Identified Cost $10,070,812)		6,883,903


		Total Bonds and Notes
		(Identified Cost $702,273,792)		734,369,458


	Senior Loans – 0.1%
		Media Non-Cable – 0.1%
	566,760	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)		247,391

		Wireless – 0.0%
	241,769	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(c)(f)		240,787


		Total Senior Loans
		(Identified Cost $979,947)		488,178


Shares

	Preferred Stocks – 3.2%

	Convertible Preferred Stocks – 2.5%

		Automotive – 0.9%
	170,980	General Motors Co., Series B, 4.750%		5,997,978
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%		1,589,355

				7,587,333

		Banking – 0.5%
	2,844	Bank of America Corp., Series L, 7.250%		2,178,475
	55,743	Sovereign Capital Trust IV, 4.375%		2,689,600

				4,868,075

		Construction Machinery – 0.1%
	30,199	United Rentals Trust I, 6.500%		1,207,960

		Consumer Products – 0.1%
	25,075	Newell Financial Trust I, 5.250%		1,053,150

		Electric – 0.1%
	10,000	AES Trust III, 6.750%		487,200

		Independent Energy – 0.0%
	775	Chesapeake Energy Corp., 4.500%		72,075

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

	Convertible Preferred Stocks – continued

		Pipelines – 0.4%
	72,200	El Paso Energy Capital Trust I, 4.750%	$	3,228,784

		REITs – Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		342,620

		Technology – 0.4%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,196,875


		Total Convertible Preferred Stocks
		(Identified Cost $22,730,661)		22,044,072


	Non-Convertible Preferred Stocks – 0.7%

		Banking – 0.1%
	5,000	Bank of America Corp., 6.375%		91,650
	20,975	Countrywide Capital IV, 6.750%		402,510

				494,160

		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		7,827
	2,876	Entergy New Orleans, Inc., 4.750%		246,887
	150	MDU Resources Group, Inc., 5.100%		14,691
	4,670	Union Electric Co., 4.500%		364,260
	100	Xcel Energy, Inc., Series D, 4.110%		10,325

				643,990

		Government Sponsored – 0.3%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(g)		3,138,750

		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,056,459

		Non-Captive Diversified – 0.1%
	1,121	Ally Financial, Inc., Series G, 7.000%, 144A		672,600


		Total Non-Convertible Preferred Stocks
		(Identified Cost $5,234,580)		6,005,959

		Total Preferred Stocks
		(Identified Cost $27,965,241)		28,050,031


	Common Stocks – 5.3%

		Biotechnology – 0.6%
	127,420	Vertex Pharmaceuticals, Inc.(d)		5,675,287


Shares		Description	Value (†)


		Chemicals – 0.5%
	62,529	PPG Industries, Inc.	$	4,418,299

		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(d)		534,537
	136	Rock-Tenn Co., Class A		6,621

				541,158

		Diversified Telecommunication Services – 0.5%
	8,050	Hawaiian Telcom Holdco, Inc.(d)		112,217
	241,163	Telefonica S.A., Sponsored ADR		4,611,036

				4,723,253

		Electronic Equipment, Instruments & Components – 0.3%
	205,167	Corning, Inc.		2,535,864

		Media – 0.0%
	3,027	SuperMedia, Inc.(d)		4,692

		Oil, Gas & Consumable Fuels – 1.1%
	54,259	Chesapeake Energy Corp.		1,386,317
	164,530	Repsol YPF S.A., Sponsored ADR		4,320,558
	70,051	Royal Dutch Shell PLC, ADR		4,309,538

				10,016,413

		Pharmaceuticals – 1.0%
	160,000	Bristol-Myers Squibb Co.		5,020,800
	107,459	Valeant Pharmaceuticals International, Inc.		3,988,878

				9,009,678

		Semiconductors & Semiconductor Equipment – 1.2%
	476,725	Intel Corp.		10,168,544


		Total Common Stocks
		(Identified Cost $40,227,653)		47,093,188


	Principal Amount (‡)

	Short-Term Investments – 7.3%
$	15,714	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2011 at 0.000% to be repurchased at $15,714 on 10/03/2011 collateralized by $20,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $20,459 including accrued interest (Note 2 of Notes to Financial Statements)		15,714
	64,205,891	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $64,205,891 on 10/03/2011 collateralized by $64,365,000 U.S. Treasury Note, 1.375% due 2/15/2013 valued at $65,491,388 including accrued interest (Note 2 of Notes to Financial Statements)		64,205,891


		Total Short-Term Investments
		(Identified Cost $64,221,605)		64,221,605

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Fixed Income Fund – continued


	Description	Value (†)


	Total Investments – 99.2%
	(Identified Cost $835,668,238)(a)	$	874,222,460
	Other assets less liabilities—0.8%		7,046,999


	Net Assets – 100.0%	$	881,269,459


(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
(†)	See Note 2 of Notes to Financial Statements.
(††)	Amount shown represents units. One unit represents a principal amount of 25.
(†††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information:
	At September 30, 2011, the net unrealized appreciation on investments based on a cost of $839,308,010 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	73,733,432
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(38,818,982	)

	Net unrealized appreciation	$	34,914,450

(b)	Illiquid security. At September 30, 2011, the value of these securities amounted to $19,216,305 or 2.2% of net assets.
(c)	Variable rate security. Rate as of September 30, 2011 is disclosed.
(d)	Non-income producing security.
(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(f)	All or a portion of interest payment is paid-in-kind.
(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $90,301,502 or 10.2% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
ABS	Asset-Backed Securities
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts
AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
GBP	British Pound
IDR	Indonesian Rupiah
ISK	Icelandic Krona
KRW	South Korean Won
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar
SGD	Singapore Dollar

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	11.7	%
Banking	6.8
Non-Captive Diversified	5.9
Technology	5.5
Local Authorities	5.4
Electric	4.3
Automotive	4.3
Wirelines	3.8
Life Insurance	3.5
Supranational	3.4
Non-Captive Consumer	3.3
Healthcare	2.6
Sovereigns	2.3
Other Investments, less than 2% each	29.1
Short-Term Investments	7.3

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

Currency Exposure at September 30, 2011 (Unaudited)


United States Dollar	71.3	%
Canadian Dollar	9.7
New Zealand Dollar	4.8
Euro	3.4
Australian Dollar	2.5
Other, less than 2% each	7.5

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 96.0% of Net Assets

	Non-Convertible Bonds – 95.2%

		Argentina – 0.9%
$	13,126,676	Argentina Government International Bond, 8.280%, 12/31/2033	$	8,991,773
	6,675,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A		6,683,010
	7,522,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		6,619,360

				22,294,143

		Australia – 1.7%
	5,180,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		5,047,915
	16,664,225	Australia Government Bond, 3.000%, 9/20/2025, (AUD)		18,660,656
	6,909,116	New South Wales Treasury Corp., 2.750%, 11/20/2025, (AUD)		6,942,184
	2,700,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		2,637,560
	5,625,000	Telstra Corp. Ltd., 4.800%, 10/12/2021, 144A		5,885,539

				39,173,854

		Bermuda – 0.3%
	6,905,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		6,931,757

		Brazil – 1.6%
	7,000,000	Banco Nacional de Desenvolvimento Economico e Social, 6.500%, 6/10/2019, 144A		7,735,000
	10,874,116	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		5,777,929
	13,800,000	Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL)		6,678,899
	4,500,000	Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		4,410,000
	4,000,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		5,053,536
	7,444,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		7,071,800

				36,727,164

		Canada – 6.6%
	4,440,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,584,695
	160,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		172,244
	3,180,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,563,214
	3,090,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		3,128,688
	54,335,000	Canadian Government, 3.000%, 12/01/2015, (CAD)		55,468,988
	10,595,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)		10,312,912
	5,212,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,973,757


Principal Amount (‡)		Description	Value (†)


		Canada – continued
	6,700,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)	$	9,856,022
	766,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		10,099,620
	11,000,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		15,632,934
	13,150,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		18,691,457
	1,550,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,622,656
	9,500,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,265,922
	6,500,000	Videotron Ltee, 6.875%, 7/15/2021, 144A, (CAD)		6,139,985

				153,513,094

		Cayman Islands – 2.5%
	2,860,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		2,610,036
	3,800,000	ENN Energy Holdings Ltd., 6.000%, 5/13/2021, 144A		3,673,923
	8,150,000	Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		7,294,250
	14,500,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.230%, 9/20/2016, 144A(b)		14,409,694
	5,500,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,637,500
	3,600,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		2,304,000
	1,170,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		877,500
	7,300,000	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		7,227,000
	6,716,000	Vale Overseas Ltd., 6.875%, 11/21/2036		7,243,871
	6,700,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		6,599,500

				57,877,274

		Colombia – 0.6%
	9,200,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		4,863,130
	17,600,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		9,040,746

				13,903,876

		Denmark – 2.9%
	332,000,000	Kingdom of Denmark, 4.000%, 11/15/2015, (DKK)		66,692,703

		Finland – 0.6%
	10,070,000	Finland Government Bond, 3.875%, 9/15/2017, (EUR)		15,026,589

		France – 0.9%
	3,400,000	Alstom S.A., 3.625%, 10/05/2018, (EUR)		4,301,751
	7,362,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		10,265,117

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		France – continued
	465,000	Lafarge S.A., EMTN, 4.750%, 3/23/2020, (EUR)	$	498,829
	5,000,000	Lafarge S.A., EMTN, 5.375%, 11/29/2018, (EUR)		5,827,343

				20,893,040

		Germany – 3.3%
	15,855,000	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		23,813,046
	25,400,000	Bundesrepublik Deutschland, 3.750%, 7/04/2013, (EUR)(c)		35,939,049
	1,140,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		16,837,503

				76,589,598

		India – 0.4%
	5,000,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		4,647,080
	5,700,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		4,731,000

				9,378,080

		Indonesia – 0.3%
	42,900,000,000	Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR)		6,275,909

		Italy – 3.6%
	4,850,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		5,389,927
	40,135,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 9/01/2020, (EUR)		48,437,328
	18,650,000	Italy Buoni Poliennali Del Tesoro, 4.750%, 9/15/2016, (EUR)		24,682,001
	5,700,000	Republic of Italy, 6.875%, 9/27/2023		5,616,039

				84,125,295

		Japan – 14.7%
	400,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		5,507,211
	5,630,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		5,151,450
	3,100,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		41,160,508
	1,200,000,000	Japan Finance Organization for Municipal Enterprises, 1.550%, 2/21/2012, (JPY)		15,628,580
	7,100,000,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		93,334,025
	1,270,000,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		16,883,574
	9,816,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		133,239,505
	454,000,000	Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY)		6,306,215


Principal Amount (‡)			Description	Value (†)


			Japan – continued
	1,300,000,000		Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)	$	17,870,289
	572,000,000		Japan Government Two Year Bond, 0.200%, 2/15/2013, (JPY)		7,422,777

					342,504,134

			Jersey – 0.3%
	4,550,000		WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP)		7,756,198

			Korea – 1.0%
	485,000,000		Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,345,558
	10,800,000		Hana Bank, 4.000%, 11/03/2016, 144A		10,391,782
	3,400,000		Hyundai Steel Co., 4.625%, 4/21/2016, 144A		3,400,860

					24,138,200

			Lithuania – 0.2%
	5,000,000		Lithuania Government International Bond, 6.125%, 3/09/2021, 144A		4,900,000

			Luxembourg – 0.6%
	4,200,000		Enel Finance International NV, 5.125%, 10/07/2019, 144A		3,936,555
	5,800,000		Gazprom Via Gaz Capital S.A., 5.092%, 11/29/2015, 144A		5,684,000
	4,127,000		Telecom Italia Capital S.A., 6.375%, 11/15/2033		3,530,652
	1,007,000		Telecom Italia Capital S.A., 7.200%, 7/18/2036		920,536

					14,071,743

			Malaysia – 0.5%
	35,585,000		Malaysia Government Bond, 4.262%, 9/15/2016, (MYR)		11,565,309

			Mexico – 3.4%
	3,160,000		Axtel SAB de CV, 7.625%, 2/01/2017, 144A		2,591,200
	4,715,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A		3,960,600
	5,300,000		BBVA Bancomer S.A., 7.250%, 4/22/2020, 144A		5,167,500
	3,450,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		3,070,500
	8,400,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		8,148,000
	1,500,000	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		10,814,619
	1,101,000	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		9,107,923
	1,373,000	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		10,958,368
	3,268,000	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		25,410,044

					79,228,754

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Netherlands – 1.3%
	10,000,000	Allianz Finance II BV, EMTN, 4.750%, 7/22/2019, (EUR)	$	14,122,022
	7,275,000	Deutsche Telekom International Finance BV, EMTN, 4.875%, 4/22/2025, (EUR)		9,942,150
	750,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		787,679
	2,850,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		2,997,317
	1,600,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,230,991
	1,000,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		1,266,064

				31,346,223

		New Zealand – 1.0%
	26,990,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		23,006,663

		Norway – 3.0%
	139,050,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		26,523,087
	223,125,000	Norwegian Government, 4.500%, 5/22/2019, (NOK)(c)		43,997,296

				70,520,383

		Philippines – 0.4%
	395,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		8,553,139

		Poland – 1.1%
	5,900,000	Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		6,692,829
	65,000,000	Poland Government International Bond, 5.000%, 10/24/2013, (PLN)		19,800,768

				26,493,597

		Singapore – 1.8%
	37,270,000	Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		29,143,179
	5,415,000	Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		4,289,203
	9,430,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		7,625,293

				41,057,675

		South Africa – 0.9%
	8,495,000	Edcon Proprietary Ltd., 4.778%, 6/15/2014, 144A, (EUR)(b)		8,422,069
	12,000,000	Transnet Ltd., 4.500%, 2/10/2016, 144A		12,330,588

				20,752,657

		Spain – 2.3%
	18,650,000	Spain Government Bond, 4.100%, 7/30/2018, (EUR)		24,255,984
	16,495,000	Spain Government Bond, 5.500%, 4/30/2021, (EUR)		22,717,951
	3,425,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		3,422,500


		Spain – continued
	2,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)	$	2,658,809

				53,055,244

		Supranationals – 3.7%
	1,700,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)		24,193,361
	17,470,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		20,900,087
	90,681,660,000	European Investment Bank, EMTN, Zero Coupon , 4/24/2013, 144A, (IDR)		8,887,628
	285,470,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)		22,993,488
	503,700,000	Inter-American Development Bank, EMTN, 4.750%, 1/10/2014, (INR)		10,487,450

				87,462,014

		Sweden – 0.9%
	135,000,000	Sweden Government Bond, 4.500%, 8/12/2015, (SEK)		22,003,031

		Switzerland – 0.6%
	14,000,000	Credit Suisse of New York, MTN, 4.375%, 8/05/2020		13,547,478

		Turkey – 0.3%
	8,500,000	Akbank TAS, 5.125%, 7/22/2015, 144A		8,202,500

		United Arab Emirates – 2.0%
	6,800,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		7,930,500
	4,948,160	Dolphin Energy Ltd., 5.888%, 6/15/2019, 144A		5,294,531
	29,110,000	DP World Ltd., 6.850%, 7/02/2037, 144A		26,490,100
	5,900,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		6,062,250

				45,777,381

		United Kingdom – 5.9%
	9,500,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		8,719,936
	4,490,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		5,222,981
	950,000	British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP)		1,613,081
	7,100,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		11,336,581
	4,300,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		4,257,989
	4,800,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,078,925
	13,240,000	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)		23,508,065
	8,880,000	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		15,685,038

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United Kingdom – continued
	12,475,000	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)	$	23,346,174
	11,665,000	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		22,687,078
	4,000,000	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		6,434,337
	10,800,000	Vedanta Resources PLC, 6.750%, 6/07/2016, 144A		8,748,000
	2,700,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		2,079,000

				137,717,185

		United States – 22.3%
	2,000,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		1,890,000
	2,000,000	Ally Financial, Inc., 4.500%, 2/11/2014		1,830,000
	4,300,000	Ally Financial, Inc., 6.750%, 12/01/2014		4,111,875
	4,044,530	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		4,339,498
	3,015,000	Anadarko Petroleum Corp., 6.450%, 9/15/2036		3,189,234
	5,655,000	Avnet, Inc., 5.875%, 6/15/2020		6,091,696
	19,360,000	Bank of America Corp., 5.625%, 7/01/2020		17,831,760
	2,585,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,666,681
	100,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		106,655
	4,250,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		3,878,125
	6,390,000	Cameron International Corp., 5.950%, 6/01/2041		7,162,378
	8,000,000	Capital One Financial Corp., 4.750%, 7/15/2021		8,013,160
	6,350,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 2.098%, 8/17/2017, (EUR)(b)		8,170,067
	2,045,667	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		2,159,986
	3,000,000	CHS/Community Health Systems, Inc., 8.875%, 7/15/2015		2,947,500
	10,900,000	Citigroup, Inc., 5.500%, 2/15/2017		10,850,285
	4,355,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		4,489,138
	675,593	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		655,326
	199,443	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		195,454


Principal Amount (‡)		Description	Value (†)


		United States – continued
$	3,788,068	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023	$	3,807,008
	3,900,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.662%, 3/15/2039(b)		4,083,187
	900,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.795%, 9/15/2039(b)		951,579
	3,000,000	Crown Castle Towers LLC, 3.214%, 8/15/2035, 144A		3,045,624
	6,300,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		6,609,651
	3,401,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,822,721
	4,000,000	CSX Corp., 6.150%, 5/01/2037		4,919,460
	6,031,815	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		6,077,054
	1,512,963	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,475,139
	12,785,000	DISH DBS Corp., 6.750%, 6/01/2021, 144A		12,209,675
	8,325,000	Dolpin Subsidiary II, Inc., 6.500%, 10/15/2016, 144A		8,220,938
	5,890,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		5,988,427
	12,790,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		12,028,496
	3,450,000	Ford Motor Credit Co. LLC, 5.750%, 2/01/2021		3,413,772
	1,322,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		1,388,100
	480,000	Frontier Communications Corp., 6.625%, 3/15/2015		483,600
	5,200,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		5,180,656
	888,000,000	General Electric Capital Corp., EMTN, 1.000%, 3/21/2012, (JPY)		11,518,038
	4,540,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		5,055,408
	1,805,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		2,252,824
	9,000,000	Goldman Sachs Group, Inc. (The), 3.625%, 2/07/2016		8,762,175
	1,250,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		1,589,333
	7,191,445	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		7,216,960
	2,995,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		3,105,530
	5,140,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		5,335,798

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
$	9,168,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)	$	9,524,773
	1,205,000	HCA, Inc., 6.375%, 1/15/2015		1,171,863
	2,440,000	HCA, Inc., 6.500%, 2/15/2016		2,330,200
	635,000	HCA, Inc., 7.690%, 6/15/2025		571,500
	624,000	HCA, Inc., MTN, 7.580%, 9/15/2025		558,480
	6,000,000	Hewlett-Packard Co., 6.000%, 9/15/2041		6,328,380
	5,700,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,392,656
	8,415,000	Hyatt Hotels Corp., 5.375%, 8/15/2021		8,635,145
	4,435,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		4,876,837
	1,875,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		1,926,563
	7,105,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		7,188,399
	26,740,000,000	JPMorgan Chase Bank NA, EMTN, Zero Coupon, 10/17/2011, 144A, (IDR)		2,983,077
	2,100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		2,238,338
	1,900,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(b)		1,985,559
	2,000,000	Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A		1,980,000
	300,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.870%, 6/15/2038(b)		329,182
	5,200,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 1.908%, 3/19/2018, (EUR)(b)		6,512,025
	5,780,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		5,549,655
	4,935,000	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 5.828%, 6/12/2050(b)		5,232,082
	3,080,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		3,120,567
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,025,910
	2,070,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		3,182,807
	9,200,000	Morgan Stanley, 5.500%, 7/24/2020		8,332,596


Principal Amount (‡)		Description	Value (†)


		United States – continued
$	3,165,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049	$	3,281,095
	892,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		1,060,883
	3,730,000	News America, Inc., 6.150%, 3/01/2037		3,984,946
	10,000,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		9,475,000
	5,080,000	NII Capital Corp., 7.625%, 4/01/2021		5,041,900
	7,740,000	Owens & Minor, Inc., 6.350%, 4/15/2016(d)		8,324,153
	6,890,000	ProLogis LP, 6.625%, 5/15/2018		7,144,799
	5,770,000	Prudential Financial, Inc., 5.375%, 6/21/2020		6,054,605
	3,410,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,171,300
	2,635,000	Qwest Corp., 6.875%, 9/15/2033		2,490,075
	5,165,000	Qwest Corp., 7.250%, 10/15/2035		4,958,400
	5,285,000	Qwest Corp., 7.500%, 6/15/2023		5,212,754
	4,900,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 6.875%, 2/15/2021, 144A		4,410,000
	4,530,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 7.875%, 8/15/2019, 144A		4,371,450
	4,960,000	Rowan Cos., Inc., 7.875%, 8/01/2019		5,856,421
	6,836,252	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		6,830,783
	2,139,504	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		2,148,787
	5,940,000	Simon Property Group LP, 4.375%, 3/01/2021		6,034,666
	8,415,000	SLM Corp., MTN, 8.000%, 3/25/2020		8,307,263
	3,000,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		3,120,504
	9,150,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		12,281,659
	12,199,218	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		11,782,041
	32,875,000	U.S. Treasury Note, 0.625%, 2/28/2013(e)		33,062,486
	8,820,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		7,640,325
	2,000,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		1,755,000
	300,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		319,505

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
	2,427,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)	$	3,326,747
	5,250,000	Wells Fargo & Co., MTN, 4.600%, 4/01/2021		5,611,757
	1,950,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,312,181
	9,465,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,192,815
	8,655,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,838,824
	4,800,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		6,317,759
	3,200,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		3,986,958

				518,804,406

		Uruguay – 0.8%
	200,761,961	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		8,272,969
	229,816,337	Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU)		11,631,154

				19,904,123


		Total Non-Convertible Bonds
		(Identified Cost $2,173,794,384)		2,221,770,413


	Convertible Bonds – 0.3%
		United States – 0.3%
	5,375,000	Ciena Corp., 0.875%, 6/15/2017		3,923,750
	3,820,000	Hologic, Inc., 2.000%, (accretes to principal after 12/15/2013), 12/15/2037(f)		3,576,475


		Total Convertible Bonds
		(Identified Cost $6,916,802)		7,500,225

	Municipals – 0.5%
		United States – 0.5%
	5,360,000	California Statewide Communities Development Authority, Series A, 4.750%, 4/01/2033		5,177,867
	5,895,000	California Statewide Communities Development Authority, Series B, 5.250%, 11/15/2048		5,927,364

		Total Municipals
		(Identified Cost $9,750,924)		11,105,231

		Total Bonds and Notes
		(Identified Cost $2,190,462,110)		2,240,375,869


Principal Amount (‡)		Description	Value (†)


	Short-Term Investments – 0.5%
$	11,048,004	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $11,048,004 on 10/03/2011 collateralized by $11,080,000 U.S. Treasury Note, 1.375% due 2/15/2013 valued at $11,273,900 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,048,004)	$	11,048,004


		Total Investments – 96.5%
		(Identified Cost $2,201,510,114)(a)		2,251,423,873
		Other assets less liabilities—3.5%		80,809,769


		Net Assets – 100.0%	$	2,332,233,642


	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $2,209,379,824 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	111,994,450
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(69,950,401	)

		Net unrealized appreciation	$	42,044,049

	(b)	Variable rate security. Rate as of September 30, 2011 is disclosed.
	(c)	All or a portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency contracts or futures contracts.
	(d)	Illiquid security. At September 30, 2011, the value of this security amounted to $8,324,153 or 0.4% of net assets.
	(e)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts and as initial margin for open futures contracts.
	(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued


	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $455,760,322 or 19.5% of net assets.
	EMTN			Euro Medium Term Note
	GMTN			Global Medium Term Note
	MTN			Medium Term Note

	AUD			Australian Dollar
	BRL			Brazilian Real
	CAD			Canadian Dollar
	CHF			Swiss Franc
	COP			Colombian Peso
	DKK			Danish Krone
	EUR			Euro
	GBP			British Pound
	IDR			Indonesian Rupiah
	INR			Indian Rupee
	JPY			Japanese Yen
	MXN			Mexican Peso
	MYR			Malaysian Ringgit
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PHP			Philippine Peso
	PLN			Polish Zloty
	SEK			Swedish Krona
	SGD			Singapore Dollar
	UYU			Uruguayan Peso

At September 30, 2011, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	11/28/2011	Australian Dollar		25,500,000	$	24,512,591	$	1,903,879
Sell²	12/28/2011	British Pound		15,200,000		23,683,510		151,990
Sell¹	12/07/2011	Canadian Dollar		22,580,000		21,516,732		1,590,104
Buy³	10/19/2011	Malaysian Ringgit		69,000,000		21,599,733		(697,892	)
Buy²	10/12/2011	Singapore Dollar		29,000,000		22,173,255		(1,569,018	)
Buy⁴	12/12/2011	South Korean Won		21,500,000,000		18,180,306		(1,764,961	)
Buy¹	12/12/2011	South Korean Won		23,100,000,000		19,533,259		(1,901,278	)
Buy²	12/12/2011	South Korean Won		43,930,000,000		37,147,015		(3,653,579	)
Sell¹	12/06/2011	Swedish Krona		50,000,000		7,264,260		506,956
Sell⁵	12/21/2011	Swiss Franc		3,990,000		4,409,197		123,415
Buy¹	11/02/2011	Turkish Lira		36,500,000		19,549,641		(1,373,259	)

Total							$	(6,683,643	)

¹ Counterparty is Credit Suisse.

² Counterparty is Barclays.

³ Counterparty is JPMorgan Chase.

⁴ Counterparty is UBS AG.

⁵ Counterparty is Morgan Stanley.

At September 30, 2011, open futures contracts purchased were as follows:

Financial Futures

Expiration
Date

Contracts

Notional
Value

Unrealized
Appreciation
(Depreciation)

Ultra Long U.S. Treasury Bond

12/20/2011

102

16,179,750

��

1,626,235

At September 30, 2011, open futures contracts sold were as follows:



Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/30/2011		489	$	59,894,859	$	(161,348	)
10 Year U.S. Treasury Note		12/20/2011		318		41,369,813		(467,644	)
30 Year U.S. Treasury Bond		12/20/2011		520		74,165,000		(3,007,944	)

Total							$	(3,636,936	)

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Global Bond Fund – continued

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	39.9	%
Banking	7.0
Sovereigns	4.6
Supranational	3.7
Government Guaranteed	3.4
Wirelines	3.3
Commercial Mortgage-Backed Securities	3.2
Local Authorities	2.7
Government Owned—No Guarantee	2.5
Electric	2.0
Other Investments, less than 2% each	23.7
Short-Term Investments	0.5

Total Investments	96.5
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	3.5

Net Assets	100.0	%

Currency Exposure at September 30, 2011 (Unaudited)


United States Dollar	33.9	%
Japanese Yen	17.1
Euro	14.5
British Pound	5.9
Canadian Dollar	4.3
Norwegian Krone	3.0
Danish Krone	2.9
Mexican Peso	2.5
Other, less than 2% each	12.4

Total Investments	96.5
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	3.5

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Inflation Protected Securities Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 88.7% of Net Assets

		Automotive – 0.2%
$	60,000	Ford Motor Co., 7.450%, 7/16/2031	$	67,733

		Building Materials – 0.0%
	10,000	Masco Corp., 7.125%, 3/15/2020		9,690

		Chemicals – 0.1%
	25,000	CF Industries, Inc., 6.875%, 5/01/2018		27,906

		Collateralized Mortgage Obligations – 0.1%
	30,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		31,440

		Food & Beverage – 0.3%
	40,000	Bottling Group LLC, 5.125%, 1/15/2019		46,720
	75,000	Dean Foods Co., 6.900%, 10/15/2017		70,125

				116,845

		Healthcare – 0.1%
	15,000	McKesson Corp., 6.000%, 3/01/2041		18,937

		Independent Energy – 0.1%
	15,000	SM Energy Co., 6.625%, 2/15/2019, 144A		14,925

		Life Insurance – 0.2%
	60,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		73,742

		Lodging – 0.1%
	50,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		47,000

		Media Non-Cable – 0.1%
	30,000	CBS Corp., 5.500%, 5/15/2033		29,811

		Metals & Mining – 0.3%
	85,000	Alcoa, Inc., 5.950%, 2/01/2037		79,222
	55,000	United States Steel Corp., 6.650%, 6/01/2037		42,350

				121,572

		Paper – 0.2%
	70,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		80,237

		Pharmaceuticals – 0.0%
	10,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		9,212

		Pipelines – 0.1%
	3,000	Colorado Interstate Gas Co., 5.950%, 3/15/2015		3,278


		Pipelines – continued
$	30,000	Southern Natural Gas Co., 7.350%, 2/15/2031	$	35,170

				38,448

		Sovereigns – 0.3%
	15,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		119,527

		Technology – 0.4%
	105,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		122,858

		Tobacco – 0.5%
	130,000	Altria Group, Inc., 9.950%, 11/10/2038		185,261

		Treasuries – 84.2%
	1,040,000	U.S. Treasury Bond, 4.375%, 5/15/2041		1,343,555
	746,758	U.S. Treasury Inflation Indexed Bond, 0.625%, 7/15/2021		779,429
	965,141	U.S. Treasury Inflation Indexed Bond, 1.750%, 1/15/2028		1,118,056
	256,104	U.S. Treasury Inflation Indexed Bond, 2.000%, 1/15/2026		304,224
	1,823,926	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040		2,314,249
	201,166	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2041		256,895
	1,114,614	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025		1,376,809
	375,284	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027		469,251
	341,978	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029		439,041
	1,960,050	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		2,890,769
	1,058,559	U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021		1,155,400
	736,568	U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/2014		771,727
	1,102,169	U.S. Treasury Inflation Indexed Note, 1.375%, 1/15/2020		1,226,938
	378,605	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		407,414
	1,466,583	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018		1,640,854
	2,232,523	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013		2,336,824
	1,782,841	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015		1,958,200
	935,335	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014		992,916
	2,205,258	U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014		2,372,547
	1,724,434	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016		1,916,546
	980,219	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017		1,127,175
	682,383	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016		784,260

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Inflation Protected Securities Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Treasuries – continued
$	1,705,897	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017	$	2,010,159
	345,000	U.S. Treasury STRIPS, Zero Coupon, 5/15/2040		142,935

				30,136,173

		Wireless – 0.2%
	10,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		9,375
	85,000	Sprint Capital Corp., 6.875%, 11/15/2028		63,537

				72,912

		Wirelines – 1.2%
	91,000	AT&T, Inc., 5.350%, 9/01/2040		95,123
	30,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		31,303
	5,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,383
	15,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		16,808
	35,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		35,438
	70,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		82,945
	155,000	Embarq Corp., 7.995%, 6/01/2036		145,435

				412,435


		Total Bonds and Notes
		(Identified Cost $30,015,958)		31,736,664


	Short-Term Investments – 24.6%
	8,816,640	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $8,816,640 on 10/03/2011 collateralized by $6,785,000 U.S. Treasury Bond, 4.625% due 2/15/2040 valued at $8,998,674 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,816,640)		8,816,640


		Total Investments – 113.3%
		(Identified Cost $38,832,598)(a)		40,553,304
		Other assets less liabilities—(13.3)%		(4,750,544	)


		Net Assets – 100.0%	$	35,802,760

	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.


(a)	Federal Tax Information:
	At September 30, 2011, the net unrealized appreciation on investments based on a cost of $39,061,234 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,672,490
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(180,420	)

	Net unrealized appreciation	$	1,492,070

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $103,262 or 0.3% of net assets.
MTN	Medium Term Note
STRIPS	Separate Trading of Registered Interest and Principal of Securities
CAD	Canadian Dollar
MXN	Mexican Peso

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	84.2	%
Other Investments, less than 2% each	4.5
Short-Term Investments	24.6

Total Investments	113.3
Other assets less liabilities	(13.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 83.8% of Net Assets

	Non-Convertible Bonds – 66.3%

		Aerospace & Defense – 0.7%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)	$	129,418
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,185,875
	500,000	Ducommun, Inc., 9.750%, 7/15/2018, 144A		500,000

				2,815,293

		Airlines – 2.6%
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		897,676
	338,154	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		348,299
	134,869	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		130,823
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		61,568
	358,522	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		349,559
	420,929	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		414,615
	1,773,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A		1,817,325
	585,000	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		560,138
	4,355,000	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		4,267,900
	1,685,000	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,617,600
	695,000	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		677,625

				11,143,128

		Automotive – 1.7%
	600,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		462,000
	500,000	Cummins, Inc., 6.750%, 2/15/2027		605,063
	15,000	Ford Motor Co., 6.375%, 2/01/2029		14,503
	20,000	Ford Motor Co., 6.500%, 8/01/2018		20,895
	95,000	Ford Motor Co., 6.625%, 2/15/2028		94,288
	1,945,000	Ford Motor Co., 6.625%, 10/01/2028		1,930,311
	230,000	Ford Motor Co., 7.125%, 11/15/2025		226,923
	1,905,000	Ford Motor Co., 7.450%, 7/16/2031		2,150,516


		Automotive – continued
$	40,000	Ford Motor Co., 7.500%, 8/01/2026	$	40,433
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		1,891,450

				7,436,382

		Banking – 0.6%
	915,000	Bank of America Corp. Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		777,887
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		749,295
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,201,866

				2,729,048

		Building Materials – 1.6%
	440,000	Masco Corp., 5.850%, 3/15/2017		417,432
	750,000	Masco Corp., 6.125%, 10/03/2016		731,387
	670,000	Masco Corp., 6.500%, 8/15/2032		593,403
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,269,247
	4,695,000	USG Corp., 6.300%, 11/15/2016		3,439,087
	745,000	USG Corp., 9.750%, 1/15/2018		598,794

				7,049,350

		Chemicals – 2.5%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,251,820
	1,475,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		1,216,875
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		1,404,480
	430,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		359,050
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		1,980,750
	5,327,000	Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(b)		3,622,360

				10,835,335

		Collateralized Mortgage Obligations – 0.3%
	530,487	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.542%, 4/25/2037(c)		372,678
	697,328	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		605,020
	85,046	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.723%, 4/25/2035(c)		71,052
	189,364	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.600%, 7/25/2047(c)		104,901

				1,153,651

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – 0.3%
$	555,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040	$	591,305
	415,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(c)		433,688
	205,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		212,550

				1,237,543

		Construction Machinery – 0.5%
	1,200,000	Terex Corp., 8.000%, 11/15/2017		1,062,000
	965,000	United Rentals North America, Inc., 10.875%, 6/15/2016		1,042,200

				2,104,200

		Consumer Cyclical Services – 0.0%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		118,125
	90,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		73,350

				191,475

		Consumer Products – 0.3%
	945,000	Acco Brands Corp., 7.625%, 8/15/2015		914,288
	400,000	Visant Corp., 10.000%, 10/01/2017		370,000

				1,284,288

		Diversified Manufacturing – 0.3%
	1,795,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		1,346,250

		Electric – 2.4%
	560,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		529,200
	303,954	AES Ironwood LLC, 8.857%, 11/30/2025		310,792
	100,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		58,500
	490,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		274,400
	1,500,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		907,500
	720,000	Edison Mission Energy, 7.625%, 5/15/2027		396,000
	257,026	Midwest Generation LLC, Series B, 8.560%, 1/02/2016		253,171
	1,685,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(d)		606,600
	646,875	Quezon Power Philippines Ltd. Co., 8.860%, 6/15/2017		679,219
	1,025,000	RRI Energy, Inc., 7.875%, 6/15/2017		943,000


		Electric – continued
$	2,845,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A	$	2,276,000
	2,390,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A, 10.250%, 11/01/2015		896,250
	920,000	TXU Corp., Series P, 5.550%, 11/15/2014		565,800
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		575,700
	420,000	TXU Corp., Series R, 6.550%, 11/15/2034		155,400
	1,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)		970,050

				10,397,582

		Gaming – 0.3%
	235,000	MGM Resorts International, 6.625%, 7/15/2015		199,163
	655,000	MGM Resorts International, 6.875%, 4/01/2016		556,750
	80,000	MGM Resorts International, 7.500%, 6/01/2016		69,400
	290,000	MGM Resorts International, 7.625%, 1/15/2017		248,675

				1,073,988

		Government Owned – No Guarantee – 0.8%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		364,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		957,952
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,798,053
	700,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		320,250

				3,440,255

		Healthcare – 4.0%
	1,135,000	Gentiva Health Services, Inc., 11.500%, 9/01/2018		902,325
	30,000	HCA, Inc., 6.250%, 2/15/2013		30,413
	550,000	HCA, Inc., 6.500%, 2/15/2016		525,250
	1,020,000	HCA, Inc., 7.050%, 12/01/2027		851,700
	965,000	HCA, Inc., 7.190%, 11/15/2015		936,050
	865,000	HCA, Inc., 7.500%, 12/15/2023		778,500
	4,240,000	HCA, Inc., 7.500%, 11/06/2033		3,614,600
	1,370,000	HCA, Inc., 7.690%, 6/15/2025		1,233,000
	375,000	HCA, Inc., 8.360%, 4/15/2024		359,062
	600,000	HCA, Inc., MTN, 7.580%, 9/15/2025		537,000
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,340,750

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Healthcare – continued
$	685,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A	$	523,169
	6,874,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		5,224,240
	300,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		300,000

				17,156,059

		Home Construction – 1.6%
	185,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015		68,450
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		395,160
	425,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		217,812
	272,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		152,320
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		264,250
	985,000	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016		738,750
	1,260,000	KB Home, 7.250%, 6/15/2018		989,100
	2,475,000	KB Home, 9.100%, 9/15/2017		2,103,750
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		268,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,709,700
	195,000	Pulte Group, Inc., 7.875%, 6/15/2032		156,000

				7,063,292

		Independent Energy – 0.2%
	920,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		983,970

		Industrial Other – 1.6%
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		6,723,447

		Life Insurance – 0.5%
	1,810,000	MetLife, Inc., 10.750%, 8/01/2069		2,262,500

		Local Authorities – 4.5%
	2,245,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		2,227,190
	12,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		12,906,573
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,042,100

				19,175,863

		Media Non-Cable – 1.4%
	3,265,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		2,905,850
	4,150,000	Clear Channel Communications, Inc., 9.000%, 3/01/2021		3,081,375

				5,987,225



		Metals & Mining – 3.5%
$	9,430,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A	$	7,308,250
	4,740,000	United States Steel Corp., 6.050%, 6/01/2017		4,313,400
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,555,400
	2,035,000	United States Steel Corp., 7.000%, 2/01/2018		1,831,500

				15,008,550

		Non-Captive Consumer – 4.0%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		450,000
	6,015,000	Residential Capital LLC, 9.625%, 5/15/2015		4,661,625
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		101,066
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,623,142
	2,020,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,101,139
	1,450,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		1,721,163
	1,400,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,022,000
	250,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		230,000
	525,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		383,250
	2,895,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,475,225
	800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		576,000

				17,344,610

		Non-Captive Diversified – 3.2%
	585,000	Ally Financial, Inc., 8.000%, 12/31/2018		532,350
	633,000	Ally Financial, Inc., 8.000%, 11/01/2031		555,457
	894,866	CIT Group, Inc., 7.000%, 5/01/2015		888,155
	3,790,477	CIT Group, Inc., 7.000%, 5/01/2017		3,676,763
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		202,638
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,444,514
	490,000	International Lease Finance Corp., 8.250%, 12/15/2020		480,200
	595,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		571,200
	65,000	iStar Financial, Inc., 5.500%, 6/15/2012		62,238

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	555,000	iStar Financial, Inc., 5.850%, 3/15/2017	$	427,350
	1,335,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,054,650
	944,000	iStar Financial, Inc., 6.050%, 4/15/2015		745,760
	1,770,000	iStar Financial, Inc., 8.625%, 6/01/2013		1,610,700
	120,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		96,000
	565,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		490,137

				13,838,112

		Oil Field Services – 0.1%
	210,000	Parker Drilling Co., 9.125%, 4/01/2018		212,100

		Packaging – 0.6%
	1,555,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		1,593,875
	450,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A		355,500
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		443,309

				2,392,684

		Paper – 2.4%
	1,390,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,547,801
	255,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		284,522
	3,620,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		4,186,168
	525,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		616,341
	2,930,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		3,656,939

				10,291,771

		Pipelines – 0.2%
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		880,000

		Property & Casualty Insurance – 0.8%
	940,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		423,000
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		2,977,839

				3,400,839

		Railroads – 0.1%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		226,080


		Railroads – continued
$	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)	$	27,600

				253,680

		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		495,730

		Retailers – 3.2%
	430,000	Dillard’s, Inc., 6.625%, 1/15/2018		421,400
	450,000	Dillard’s, Inc., 7.000%, 12/01/2028		400,500
	750,000	Dillard’s, Inc., 7.130%, 8/01/2018		750,000
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,800,250
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		115,625
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		167,450
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,704,185
	3,494,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,833,568
	295,000	Macy’s Retail Holdings, Inc., 7.000%, 2/15/2028		319,016
	5,185,000	Toys R Us, Inc., 7.375%, 10/15/2018		4,407,250

				13,919,244

		Sovereigns – 2.1%
	1,881,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		264,250
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,387,960
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		964,592
	4,897,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		527,264
	95,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		758,227
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		2,328,680
	23,500,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		122,479
	55,190,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		301,369
	49,000,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		267,621

				8,922,442

		Supermarkets – 2.8%
	110,000	American Stores Co., 8.000%, 6/01/2026		93,500

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Supermarkets – continued
$	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028	$	1,422,063
	3,255,000	New Albertson’s, Inc., 7.450%, 8/01/2029		2,441,250
	870,000	New Albertson’s, Inc., 7.750%, 6/15/2026		713,400
	6,415,000	New Albertson’s, Inc., 8.000%, 5/01/2031		5,067,850
	2,515,000	New Albertson’s, Inc., 8.700%, 5/01/2030		2,144,037
	370,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		257,150

				12,139,250

		Supranational – 0.2%
	1,639,380,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		160,674
	8,600,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		842,389

				1,003,063

		Technology – 3.0%
	90,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		88,200
	100,000	Alcatel-Lucent, 8.500%, 1/15/2016, (EUR)		125,936
	7,840,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		6,507,200
	3,655,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,033,650
	1,390,000	Eastman Kodak Co., 7.250%, 11/15/2013		347,500
	1,525,000	Eastman Kodak Co., 10.625%, 3/15/2019, 144A		1,082,750
	20,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		20,300
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		14,272
	1,735,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		1,787,050

				13,006,858

		Textile – 0.2%
	890,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		627,450

		Transportation Services – 1.2%
	2,685,000	APL Ltd., 8.000%, 1/15/2024(b)		1,718,400
	1,351,581	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,243,455
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(j)		219,886
	256,220	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		210,101


		Transportation Services – continued
$	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)		287,670
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(d)(j)		31,065
	1,247,000	Overseas Shipholding Group, 7.500%, 2/15/2024		832,372
	740,000	Teekay Corp., 8.500%, 1/15/2020		708,550

				5,251,499

		Treasuries – 3.5%
	202,488	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		80,326
	70,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		29,270
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		27,508
	2,160,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		911,855
	3,225,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,649,344
	850,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		937,347
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		195,438
	2,230,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		2,473,768
	5,490,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,411,686
	6,355,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		1,168,097
	775,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		600,453
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		141,645
	425,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		335,942

				14,962,679

		Wireless – 0.9%
	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,053,538
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		722,400
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		186,781

				3,962,719

		Wirelines – 5.5%
	410,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		344,400
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		290,675
	760,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		674,500
	3,180,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,750,700
	2,330,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,986,325

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wirelines – continued
$	1,590,000	Level 3 Financing, Inc., 8.750%, 2/15/2017	$	1,464,787
	1,081,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		1,067,488
	145,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		134,850
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		198,450
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,381,440
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		692,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,433,475
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		4,958,760
	1,936,000	Qwest Corp., 6.875%, 9/15/2033		1,829,520
	1,500,000	Qwest Corp., 7.200%, 11/10/2026		1,425,000
	645,000	Qwest Corp., 7.250%, 9/15/2025		622,425
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,350,720
	985,000	Qwest Corp., 7.500%, 6/15/2023		971,535

				23,577,050


		Total Non-Convertible Bonds
		(Identified Cost $280,924,022)		285,080,454


	Convertible Bonds – 17.4%

		Airlines – 0.6%
	2,315,000	AMR Corp., 6.250%, 10/15/2014		1,368,744
	1,290,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,135,200

				2,503,944

		Automotive – 1.1%
	3,530,000	Ford Motor Co., 4.250%, 11/15/2016		4,584,587

		Diversified Manufacturing – 1.3%
	3,765,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		3,388,500
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,080,606

				5,469,106

		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		364,375

		Healthcare – 2.6%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		3,358,250


		Healthcare – continued
$	2,470,000	Hologic, Inc., 2.000%, (accretes to principal after 12/15/2013), 12/15/2037(f)	$	2,312,537
	345,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		348,881
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		870,750
	3,833,000	Omnicare, Inc., 3.250%, 12/15/2035		3,464,074
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		682,438

				11,036,930

		Independent Energy – 1.3%
	5,045,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,281,944
	1,340,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,276,350

				5,558,294

		Life Insurance – 1.4%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		5,904,199

		Media Non-Cable – 0.0%
	60,743	Liberty Media LLC, 3.500%, 1/15/2031		32,801

		Metals & Mining – 0.8%
	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,285,937
	2,280,000	United States Steel Corp., 4.000%, 5/15/2014		2,376,900

				3,662,837

		Pharmaceuticals – 0.8%
	3,325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		3,441,375

		Technology – 6.0%
	540,000	Ciena Corp., 0.250%, 5/01/2013		515,025
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		5,763,350
	3,420,000	Ciena Corp., 3.750%, 10/15/2018, 144A		3,030,975
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		167,781
	5,220,000	Eastman Kodak Co., 7.000%, 4/01/2017		1,331,100
	5,750,000	Intel Corp., 3.250%, 8/01/2039		6,763,437
	3,020,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		2,963,375
	280,000	Micron Technology, Inc., 1.875%, 6/01/2014		261,450
	3,605,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		2,757,825
	230,000	SanDisk Corp., 1.500%, 8/15/2017		240,063
	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014		2,226,000

				26,020,381

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Textile – 0.3%
$	10,000	Dixie Yarns, Inc., 7.000%, 5/15/2012	$	9,900
	1,345,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		1,254,213

				1,264,113

		Wirelines – 1.1%
	235,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		231,769
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		2,640,950
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		1,422,050
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		443,725

				4,738,494


		Total Convertible Bonds
		(Identified Cost $73,028,411)		74,581,436


	Municipals – 0.1%

		District of Columbia – 0.1%
	540,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047
		(Identified Cost $540,000)		609,552


		Total Bonds and Notes
		(Identified Cost $354,492,433)		360,271,442


	Senior Loans – 0.5%

		Media Non-Cable – 0.3%
	1,976,287	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(c)		1,315,476
	179,875	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)		78,515

				1,393,991

		Wireless – 0.0%
	78,893	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(c)(g)		78,573

		Wirelines – 0.2%
	45,000	FairPoint Communications, Inc., New Term Loan B, 1/24/2016(h)		35,325
	725,983	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/24/2016(c)		569,897

				605,222


		Total Senior Loans
		(Identified Cost $2,904,505)		2,077,786



	Common Stocks – 8.0%
		Automobiles – 1.0%
	465,000	Ford Motor Co.(d)	$	4,496,550


		Biotechnology – 1.7%
	165,617	Vertex Pharmaceuticals, Inc.(d)		7,376,581

		Chemicals – 0.5%
	30,167	PPG Industries, Inc.		2,131,600

		Containers & Packaging – 0.2%
	40,621	Owens-Illinois, Inc.(d)		614,189
	1,772	Rock-Tenn Co., Class A		86,261

				700,450

		Diversified Telecommunication Services – 0.6%
	22,208	FairPoint Communications, Inc.(d)		95,494
	2,627	Hawaiian Telcom Holdco, Inc.(d)		36,620
	117,962	Telefonica S.A., Sponsored ADR		2,255,434

				2,387,548

		Electronic Equipment, Instruments & Components – 0.2%
	69,766	Corning, Inc.		862,308

		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		75,082

		Household Durables – 0.0%
	6,775	KB Home		39,702

		Media – 0.0%
	849	Dex One Corp.(d)		475
	961	SuperMedia, Inc.(d)		1,490

				1,965

		Oil, Gas & Consumable Fuels – 1.0%
	2,846	Chesapeake Energy Corp.		72,715
	79,377	Repsol YPF S.A., Sponsored ADR		2,084,440
	33,796	Royal Dutch Shell PLC, ADR		2,079,130

				4,236,285

		Pharmaceuticals – 1.5%
	64,900	Bristol-Myers Squibb Co.		2,036,562
	117,041	Valeant Pharmaceuticals International, Inc.		4,344,562

				6,381,124

		REITs - Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		136,812
	32,565	Associated Estates Realty Corp.		503,455

				640,267

		REITs - Shopping Centers – 0.0%
	7,868	DDR Corp.		85,761

		Semiconductors & Semiconductor Equipment – 1.2%
	245,350	Intel Corp.		5,233,316


		Total Common Stocks
		(Identified Cost $30,216,109)		34,648,539

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued



Shares		Description	Value (†)


	Preferred Stocks – 3.0%

	Convertible Preferred Stocks – 2.5%

		Automotive – 0.9%
	86,270	General Motors Co., Series B, 4.750%	$	3,026,351
	20,345	Goodyear Tire & Rubber Co. (The), 5.875%		792,438

				3,818,789

		Banking – 0.2%
	14,200	Sovereign Capital Trust IV, 4.375%		685,150
	138	Wells Fargo & Co., Series L, Class A, 7.500%		142,562

				827,712

		Construction Machinery – 0.1%
	14,328	United Rentals Trust I, 6.500%		573,120

		Consumer Products – 0.1%
	4,550	Newell Financial Trust I, 5.250%		191,100

		Electric – 0.3%
	17,119	AES Trust III, 6.750%		834,038
	4,150	CMS Energy Trust I, 7.750%(b)(i)		186,750

				1,020,788

		Home Construction – 0.0%
	11,000	Hovnanian Enterprises, Inc., 7.250%		81,290

		Pipelines – 0.3%
	29,700	El Paso Energy Capital Trust I, 4.750%		1,328,184

		Technology – 0.6%
	3,260	Lucent Technologies Capital Trust I, 7.750%		2,689,500


		Total Convertible Preferred Stocks
		(Identified Cost $11,614,502)		10,530,483



	Non-Convertible Preferred Stocks – 0.5%
		Banking – 0.3%
	18,000	Bank of America Corp., 6.375%		329,940
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		631,860
	7,075	Countrywide Capital IV, 6.750%		135,769

				1,097,569

		Home Construction – 0.0%
	72,087	Hovnanian Enterprises, Inc., 7.625%(d)		144,174


		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%	$	525,073

		Non-Captive Diversified – 0.1%
	448	Ally Financial, Inc., Series G, 7.000%, 144A		268,800

		REITs - Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		188,496


		Total Non-Convertible Preferred Stocks
		(Identified Cost $2,442,994)		2,224,112


		Total Preferred Stocks
		(Identified Cost $14,057,496)		12,754,595


	Warrants – 0.0%
	33,185	FairPoint Communications, Inc., Expiration on 1/24/2018(b)(d)(i) (Identified Cost $0)		—


	Principal Amount (‡)

	Short-Term Investments – 3.6%
$	29,524	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2011 at 0.000% to be repurchased at $29,524 on 10/03/2011 collateralized by $30,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $30,688 including accrued interest (Note 2 of Notes to Financial Statements)		29,524
	15,302,704	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $15,302,704 on 10/03/2011 collateralized by $15,610,000 Federal Home Loan Mortgage Corp., 0.500% due 8/23/2013 valued at $15,610,000 including accrued interest (Note 2 of Notes to Financial Statements)		15,302,704


		Total Short-Term Investments
		(Identified Cost $15,332,228)		15,332,228


		Total Investments – 98.9%
		(Identified Cost $417,002,771)(a)		425,084,590
		Other assets less liabilities—1.1%		4,536,562

		Net Assets – 100.0%	$	429,621,152


	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Institutional High Income Fund – continued



(a)	Federal Tax Information:
	At September 30, 2011, the net unrealized appreciation on investments based on a cost of $419,990,555 for federal income tax purposes was as follows:

	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	44,556,359
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(39,462,324	)

	Net unrealized appreciation	$	5,094,035

(b)	Illiquid security. At September 30, 2011, the value of these securities amounted to $11,420,840 or 2.7% of net assets.
(c)	Variable rate security. Rate as of September 30, 2011 is disclosed.
(d)	Non-income producing security.
(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(g)	All or a portion of interest payment is paid-in-kind.
(h)	Position is unsettled. Contract rate was not determined at September 30, 2011 and does not take effect until settlement date.
(i)	Fair valued security by the Fund’s investment adviser. At September 30, 2011, the value of these securities amounted to $186,750 representing less than 0.1% of net assets.
(j)	Maturity has been extended under the terms of a plan of reorganization.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $64,943,039 or 15.1% of net assets.
ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
EMTN	Euro Medium Term Note
GMTN	Global Medium Term Note
MTN	Medium Term Note
REITs	Real Estate Investment Trusts

AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canadian Dollar
EUR	Euro
IDR	Indonesian Rupiah
ISK	Icelandic Krona
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

Industry Summary at September 30, 2011 (Unaudited)


Technology	9.6	%
Wirelines	6.8
Healthcare	6.6
Local Authorities	4.5
Metals & Mining	4.3
Non-Captive Consumer	4.1
Automotive	3.7
Treasuries	3.5
Non-Captive Diversified	3.3
Retailers	3.2
Airlines	3.2
Chemicals	3.0
Supermarkets	2.8
Electric	2.8
Paper	2.4
Pharmaceuticals	2.3
Sovereigns	2.1
Other Investments, less than 2% each	27.1
Short-Term Investments	3.6

Total Investments	98.9
Other assets less liabilities	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 96.7% of Net Assets

		ABS Car Loan – 3.8%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	340,191
	150,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		150,671
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		128,679
	310,000	BMW Vehicle Lease Trust, Series 2011-1, Class A3, 1.060%, 2/20/2014		310,854
	280,000	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		282,502
	260,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		261,649
	225,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		229,141
	320,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		320,377
	270,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		270,664

				2,294,728

		ABS Credit Card – 1.2%
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.449%, 3/15/2017(b)		59,932
	315,000	Chase Issuance Trust, Series 2007-A16, Class A16, 0.647%, 6/16/2014(b)		315,355
	150,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.279%, 10/16/2014(b)		149,958
	210,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		224,444

				749,689

		ABS Home Equity – 0.1%
	74,447	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		70,080

		ABS Student Loan – 1.6%
	450,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.135%, 7/25/2025		434,632
	525,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.253%, 7/25/2025(b)		519,388

				954,020



		Aerospace & Defense – 1.6%
$	310,000	Boeing Capital Corp., 2.125%, 8/15/2016	$	313,681
	285,000	Goodrich Corp., 4.875%, 3/01/2020		321,544
	355,000	Raytheon Co., 3.125%, 10/15/2020		353,531

				988,756

		Airlines – 0.3%
	182,292	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		191,406

		Automotive – 0.9%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		246,777
	315,000	Toyota Motor Credit Corp., MTN, 2.000%, 9/15/2016		313,556

				560,333

		Banking – 6.1%
	85,000	American Express Co., 5.500%, 9/12/2016		95,103
	330,000	American Express Co., 6.150%, 8/28/2017		377,202
	100,000	Bank of America Corp., 3.750%, 7/12/2016		90,981
	460,000	Bank of America Corp., 5.650%, 5/01/2018		436,785
	250,000	Barclays Bank PLC, 5.000%, 9/22/2016		250,561
	375,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		442,046
	295,000	Capital One Financial Corp., 2.125%, 7/15/2014		292,060
	270,000	Citigroup, Inc., 6.010%, 1/15/2015		286,952
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		306,249
	205,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		198,757
	475,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		471,229
	100,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		96,968
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		38,535
	265,000	Wells Fargo & Co., 3.625%, 4/15/2015		275,935

				3,659,363

		Building Materials – 0.1%
	30,000	Masco Corp., 7.125%, 3/15/2020		29,071

		Chemicals – 0.2%
	130,000	Eastman Chemical Co., 4.500%, 1/15/2021		135,728

		Collateralized Mortgage Obligations – 5.1%
	117,075	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.293%, 7/25/2021(b)		84,926

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021	$	792,180
	435,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018		455,489
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		146,718
	419,334	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.691%, 10/07/2020(b)		419,988
	1,144,150	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.801%, 12/08/2020(b)		1,151,118

				3,050,419

		Commercial Mortgage-Backed Securities – 6.9%
	298,499	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A2, 5.634%, 4/10/2049		302,564
	255,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		266,327
	250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		264,784
	400,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.714%, 6/15/2039(b)		416,554
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		383,549
	175,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		181,666
	470,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		488,290
	410,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(b)		428,463
	210,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		217,734
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		243,141
	93,281	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.746%, 8/12/2041(b)		93,586
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		414,672


		Commercial Mortgage-Backed Securities – continued
$	420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043	$	428,155

				4,129,485

		Construction Machinery – 0.7%
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		323,556
	90,000	John Deere Capital Corp., MTN, 4.500%, 4/03/2013		95,070

				418,626

		Consumer Cyclical Services – 0.1%
	30,000	Expedia, Inc., 5.950%, 8/15/2020		30,145

		Consumer Products – 0.6%
	325,000	Koninklijke (Royal) Philips Electronics NV, 4.625%, 3/11/2013		340,512

		Distributors – 0.2%
	90,000	EQT Corp., 8.125%, 6/01/2019		109,116

		Diversified Manufacturing – 0.6%
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		98,941
	220,000	Tyco International Finance S.A., 4.125%, 10/15/2014		233,881

				332,822

		Electric – 2.5%
	260,000	Carolina Power & Light Co., 5.250%, 12/15/2015		297,798
	5,000	Carolina Power & Light Co., 6.500%, 7/15/2012		5,220
	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		312,754
	150,000	Duke Energy Corp., 5.625%, 11/30/2012		157,389
	180,000	Duke Energy Corp., 5.650%, 6/15/2013		192,122
	140,000	NextEra Energy Capital Holdings, Inc., 0.672%, 11/09/2012(b)		140,307
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		293,836
	115,000	Southern Co., 0.652%, 10/21/2011(b)		115,023

				1,514,449

		Electric Utilities – 0.5%
	300,000	Southern Co., 1.950%, 9/01/2016		298,631

		Entertainment – 0.5%
	265,000	Time Warner, Inc., 5.875%, 11/15/2016		299,530

		Environmental – 0.2%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		103,282

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Food & Beverage – 2.0%
$	455,000	Coca-Cola Co. (The), 3.300%, 9/01/2021, 144A	$	474,624
	100,000	HJ Heinz Finance Co., 6.000%, 3/15/2012		102,190
	300,000	Kellogg Co., 5.125%, 12/03/2012		314,359
	270,000	Kraft Foods, Inc., 6.125%, 8/23/2018		318,287

				1,209,460

		Government Owned – No Guarantee – 0.3%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		181,912

		Health Insurance – 1.3%
	275,000	UnitedHealth Group, Inc., 4.875%, 2/15/2013		288,585
	260,000	WellPoint, Inc., 4.350%, 8/15/2020		275,117
	165,000	WellPoint, Inc., 5.250%, 1/15/2016		183,663
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		38,679

				786,044

		Healthcare – 1.8%
	285,000	Express Scripts, Inc., 3.125%, 5/15/2016		287,767
	20,000	Express Scripts, Inc., 6.250%, 6/15/2014		22,014
	335,000	McKesson Corp., 3.250%, 3/01/2016		353,180
	105,000	McKesson Corp., 6.500%, 2/15/2014		117,345
	300,000	Stryker Corp., 2.000%, 9/30/2016		301,447

				1,081,753

		Hybrid ARMs – 0.2%
	141,019	FHLMC, 2.549%, 1/01/2035(b)		148,218

		Independent Energy – 1.0%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		109,380
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		123,401
	150,000	Encana Corp., 6.500%, 5/15/2019		179,523
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		113,706
	55,000	XTO Energy, Inc., 4.900%, 2/01/2014		60,153

				586,163

		Integrated Energy – 0.9%
	285,000	BP Capital Markets PLC, 3.125%, 10/01/2015		294,485
	70,000	Hess Corp., 7.000%, 2/15/2014		78,161
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		188,836

				561,482


		Life Insurance – 1.1%
$	130,000	American International Group, Inc., 3.650%, 1/15/2014	$	126,754
	175,000	American International Group, Inc., 4.875%, 9/15/2016		167,772
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,570
	255,000	MetLife, Inc., 4.750%, 2/08/2021		265,372
	70,000	Unum Group, 5.625%, 9/15/2020		77,109

				668,577

		Lodging – 0.0%
	15,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		15,319

		Media – 0.5%
	300,000	Walt Disney Co. (The), 1.350%, 8/16/2016		295,837

		Media Cable – 2.2%
	335,000	Comcast Corp., 4.950%, 6/15/2016		371,161
	100,000	Cox Communications, Inc., 4.625%, 6/01/2013		105,150
	215,000	Cox Communications, Inc., 5.450%, 12/15/2014		238,062
	305,000	Time Warner Cable, Inc., 4.000%, 9/01/2021		298,265
	250,000	Time Warner Cable, Inc., 8.250%, 2/14/2014		284,142

				1,296,780

		Media Non-Cable – 0.3%
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		189,077

		Metals & Mining – 0.7%
	110,000	Alcoa, Inc., 6.150%, 8/15/2020		111,428
	235,000	ArcelorMittal, 9.850%, 6/01/2019		266,272
	70,000	Teck Resources Ltd., 3.150%, 1/15/2017		70,411

				448,111

		Mortgage Related – 3.5%
	821,286	FHLMC, 4.500%, with various maturities from 2019 to 2025(c)		872,601
	1,532	FHLMC, 5.500%, 3/01/2013		1,657
	2,398	FHLMC, 6.000%, 11/01/2012		2,467
	2,441	FHLMC, 6.500%, 1/01/2024		2,716
	252	FHLMC, 8.000%, 7/01/2025		298
	264,758	FNMA, 4.000%, 4/01/2024		279,428
	328,276	FNMA, 4.500%, 4/01/2024		349,595
	512,998	FNMA, 5.500%, with various maturities from 2017 to 2020(c)		557,319

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Mortgage Related – continued
$	3,352	FNMA, 6.000%, 9/01/2021	$	3,649
	986	FNMA, 7.500%, 6/01/2016		1,084
	1,491	FNMA, 8.000%, 6/01/2015		1,606
	6,559	GNMA, 6.500%, 12/15/2023		7,443
	1,616	GNMA, 8.500%, 9/15/2022		1,735
	3,738	GNMA, 9.500%, 1/15/2019		4,419

				2,086,017

		Multi Utilities – 0.5%
	285,000	Dominion Resources, Inc., 1.950%, 8/15/2016		283,711

		Non-Captive Consumer – 0.4%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		220,845

		Non-Captive Diversified – 1.0%
	535,000	General Electric Capital Corp., MTN, 5.500%, 1/08/2020		583,543

		Oil Field Services – 1.7%
	305,000	Cameron International Corp., 1.257%, 6/02/2014(b)		306,379
	285,000	Ensco PLC, 3.250%, 3/15/2016		289,390
	115,000	Rowan Cos., Inc., 5.000%, 9/01/2017		119,167
	305,000	Schlumberger Norge AS, 1.950%, 9/14/2016, 144A		303,316

				1,018,252

		Oil, Gas & Consumable Fuels – 0.5%
	305,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		302,707

		Pharmaceuticals – 1.0%
	275,000	Eli Lilly & Co., 4.200%, 3/06/2014		297,140
	270,000	Schering-Plough Corp., 5.300%, 12/01/2013		295,459

				592,599

		Pipelines – 1.8%
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		306,726
	245,000	NiSource Finance Corp., 6.125%, 3/01/2022		277,605
	175,000	Questar Corp., 2.750%, 2/01/2016		178,959
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		288,201

				1,051,491

		Property & Casualty Insurance – 0.3%
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		157,560


		Property & Casualty Insurance – continued
$	15,000	Willis North America, Inc., 7.000%, 9/29/2019	$	17,352

				174,912

		Railroads – 1.6%
	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014		395,706
	245,000	CSX Corp., 3.700%, 10/30/2020		252,662
	30,000	CSX Corp., 6.150%, 5/01/2037		36,896
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		305,062

				990,326

		REITs – Apartments – 0.4%
	250,000	ERP Operating LP, 6.625%, 3/15/2012		256,470

		REITs – Shopping Centers – 0.5%
	280,000	Federal Realty Investment Trust, 5.400%, 12/01/2013		302,347

		Retailers – 0.2%
	130,000	Macy’s Retail Holdings, Inc., 5.350%, 3/15/2012		132,000

		Supermarkets – 0.2%
	50,000	Kroger Co. (The), 6.200%, 6/15/2012		51,707
	65,000	Kroger Co. (The), 6.750%, 4/15/2012		67,013

				118,720

		Technology – 3.3%
	265,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		310,069
	265,000	Cisco Systems, Inc., 2.900%, 11/17/2014		279,423
	95,000	Corning, Inc., 4.250%, 8/15/2020		100,548
	160,000	Equifax, Inc., 7.000%, 7/01/2037		188,923
	290,000	Hewlett-Packard Co., 0.719%, 5/30/2014(b)		281,783
	230,000	IBM International Group Capital, 5.050%, 10/22/2012		240,462
	300,000	Intel Corp., 1.950%, 10/01/2016		302,165
	275,000	Oracle Corp., 4.950%, 4/15/2013		292,659

				1,996,032

		Tobacco – 1.1%
	205,000	Altria Group, Inc., 9.700%, 11/10/2018		271,664
	365,000	Philip Morris International, Inc., 2.500%, 5/16/2016		376,293

				647,957

		Transportation Services – 0.5%
	300,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		301,687

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Treasuries – 28.8%
$	2,230,000	U.S. Treasury Note, 1.125%, 12/15/2012	$	2,254,566
	2,390,000	U.S. Treasury Note, 1.750%, 4/15/2013(d)		2,444,420
	2,255,000	U.S. Treasury Note, 1.750%, 5/31/2016		2,345,020
	250,000	U.S. Treasury Note, 1.875%, 6/30/2015		261,562
	460,000	U.S. Treasury Note, 2.125%, 2/29/2016		486,378
	200,000	U.S. Treasury Note, 2.500%, 4/30/2015		213,609
	160,000	U.S. Treasury Note, 2.625%, 11/15/2020		171,100
	865,000	U.S. Treasury Note, 2.750%, 2/15/2019		940,418
	3,875,000	U.S. Treasury Note, 3.125%, 5/15/2021		4,300,940
	140,000	U.S. Treasury Note, 3.625%, 2/15/2020		161,612
	1,555,000	U.S. Treasury Note, 3.625%, 2/15/2021		1,796,389
	1,775,000	U.S. Treasury Note, 4.250%, 8/15/2014		1,968,864

				17,344,878

		Wireless – 1.2%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		258,750
	5,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		4,687
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		146,200
	330,000	Vodafone Group PLC, 5.350%, 2/27/2012		335,953

				745,590

		Wirelines – 2.1%
	515,000	AT&T, Inc., 5.800%, 2/15/2019		602,986
	255,000	Embarq Corp., 7.995%, 6/01/2036		239,265
	435,000	Verizon Communications, Inc., 1.950%, 3/28/2014		445,229

				1,287,480


		Total Bonds and Notes
		(Identified Cost $56,660,160)		58,166,488


	Short-Term Investments – 2.8%
	1,700,532	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $1,700,532 on 10/03/2011 collateralized by $1,735,000 Federal Home Loan Mortgage Corp., 0.500% due 8/23/2013 valued at $1,735,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $1,700,532)		1,700,532



		Total Investments – 99.5%
		(Identified Cost $58,360,692)(a)	$	59,867,020
		Other assets less liabilities—0.5%		307,956

		Net Assets – 100.0%	$	60,174,976


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $58,636,512 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,590,348
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(359,840	)

		Net unrealized appreciation	$	1,230,508

	(b)	Variable rate security. Rate as of September 30, 2011 is disclosed.
	(c)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(d)	All or a portion of this security has been pledged as initial margin for closed futures contracts.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $1,208,306 or 2.0% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	28.8	%
Commercial Mortgage-Backed Securities	6.9
Banking	6.1
Collateralized Mortgage Obligations	5.1
ABS Car Loan	3.8
Mortgage Related	3.5
Technology	3.3
Electric	2.5
Media Cable	2.2
Wirelines	2.1
Food & Beverage	2.0
Other Investments, less than 2% each	30.4
Short-Term Investments	2.8

Total Investments	99.5
Other assets less liabilities	0.5

Net Assets	100.0	%

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 89.0% of Net Assets

	Non-Convertible Bonds – 84.1%

		ABS Credit Card – 0.3%
$	1,000,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019	$	1,116,669

		ABS Other – 2.3%
	2,500,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		2,399,955
	616,342	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		619,016
	3,025,747	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		3,187,878
	927,174	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		1,043,063
	3,333,689	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		3,349,888

				10,599,800

		Airlines – 4.4%
	309,744	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		337,621
	338,154	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		348,299
	1,036,984	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,042,168
	4,560,317	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		4,925,142
	1,753,173	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,709,344
	5,010,681	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		5,261,215
	2,098,766	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 7/02/2018		2,161,729
	3,170,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		3,385,516
	861,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		817,950

				19,988,984

		Automotive – 1.0%
	1,930,000	Cummins, Inc., 5.650%, 3/01/2098		1,848,637
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,576,687

				4,425,324



		Banking – 9.0%
$	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018	$	2,955,394
	1,045,000	BAC Capital Trust VI, 5.625%, 3/08/2035		748,287
	230,000	Bank of America Corp., 5.420%, 3/15/2017		199,815
	530,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		472,842
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,358,019
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		71,716
	85,000	Citigroup, Inc., 5.850%, 12/11/2034		82,066
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		154,747
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,127,451
	2,420,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		2,213,678
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		863,975
	60,000	JPMorgan Chase & Co., 4.750%, 5/01/2013		63,081
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		535,210
	7,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		764,824
	200,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		179,987
	4,970,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		3,850,910
	1,000,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		845,725
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		227,303
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,517,638
	4,800,000	Morgan Stanley, 5.500%, 7/24/2020		4,347,442
	3,400,000	Morgan Stanley, 5.750%, 1/25/2021		3,128,228
	260,000	Morgan Stanley, EMTN, 5.450%, 1/09/2017		250,790
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		1,918,154
	1,400,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		1,313,299
	695,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		673,931
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		427,882
	825,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		794,793
	2,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		1,473,725

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	1,200,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A	$	1,041,929
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		315,032
	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		4,890,456

				40,808,329

		Brokerage – 2.1%
	2,955,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		3,075,948
	2,645,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(b)		2,715,439
	755,000	Jefferies Group, Inc., 6.250%, 1/15/2036		684,884
	2,835,000	Jefferies Group, Inc., 8.500%, 7/15/2019		3,153,033

				9,629,304

		Building Materials – 1.7%
	1,175,000	Masco Corp., 4.800%, 6/15/2015		1,136,405
	730,000	Masco Corp., 5.850%, 3/15/2017		692,558
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,652,935
	200,000	Masco Corp., 6.500%, 8/15/2032		177,135
	375,000	Masco Corp., 7.750%, 8/01/2029		367,852
	1,235,000	Owens Corning, Inc., 6.500%, 12/01/2016		1,332,240
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,336,451

				7,695,576

		Chemicals – 1.5%
	4,450,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		5,614,734
	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,008,828

				6,623,562

		Collateralized Mortgage Obligations – 0.3%
	675,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		798,877
	266,227	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.497%, 7/25/2035(c)		229,894
	184,044	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.691%, 10/25/2035(c)		168,578

				1,197,349

		Commercial Mortgage-Backed Securities – 6.4%
	160,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.194%, 9/10/2047(c)		175,966


		Commercial Mortgage-Backed Securities – continued
$	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041	$	658,473
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		394,431
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		618,959
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(c)		434,087
	57,665	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		57,602
	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		1,087,495
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.750%, 6/10/2046(c)		523,551
	3,525,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.714%, 6/15/2039(c)		3,670,879
	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.795%, 9/15/2039(c)		2,146,339
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		729,809
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,512,497
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,557,139
	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		854,314
	350,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		369,866
	1,180,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		1,287,577
	1,100,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP7, Class A4, 5.878%, 4/15/2045(c)		1,209,103
	4,055,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.817%, 6/15/2049(c)		4,237,601
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,456,745

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030	$	513,769
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.870%, 6/15/2038(c)		416,964
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		421,729
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.902%, 6/12/2046(c)		260,057
	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		376,899
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		461,552
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		259,170
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.279%, 1/11/2043(c)		925,125
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		213,003

				28,830,701

		Consumer Products – 0.4%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		698,984
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		967,537

				1,666,521

		Distributors – 1.3%
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,637,197
	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018		2,431,183

				6,068,380

		Diversified Manufacturing – 0.4%
	700,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		939,581
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		851,919

				1,791,500

		Electric – 2.2%
	2,800,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		2,835,000
	1,503,034	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,608,247


		Electric – continued
$	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017	$	1,301,873
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		610,812
	10,000	Commonwealth Edison Co., 4.750%, 12/01/2011(b)		9,925
	2,200,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,590,215
	900,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		713,243
	1,000,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,186,050

				9,855,365

		Financial Other – 1.6%
	4,165,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,007,188
	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		3,390,705

				7,397,893

		Food & Beverage – 0.1%
	500,000	Corn Products International, Inc., 6.625%, 4/15/2037		604,089

		Government Guaranteed – 0.7%
	840,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		803,918
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		2,348,405

				3,152,323

		Government Owned – No Guarantee – 2.0%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,991,432
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,095,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		957,952
	10,400,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,119,745

				9,164,129

		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		24,860

		Healthcare – 0.5%
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		958,560
	95,000	HCA, Inc., 6.375%, 1/15/2015		92,388
	55,000	HCA, Inc., 6.500%, 2/15/2016		52,525
	100,000	HCA, Inc., 7.050%, 12/01/2027		83,500
	190,000	HCA, Inc., 7.190%, 11/15/2015		184,300
	75,000	HCA, Inc., 7.500%, 12/15/2023		67,500
	175,000	HCA, Inc., 7.690%, 6/15/2025		157,500

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Healthcare – continued
$	305,000	HCA, Inc., 8.360%, 4/15/2024	$	292,037
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,950
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		263,825

				2,161,085

		Home Construction – 0.9%
	1,116,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,009,980
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,237,800
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,011,225

				4,259,005

		Hybrid ARMs – 0.0%
	122,443	FNMA, 3.343%, 9/01/2036(c)		129,096
	75,438	FNMA, 5.932%, 2/01/2037(c)		80,610

				209,706

		Independent Energy – 0.3%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,340,580

		Industrial Other – 0.3%
	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020		1,247,123

		Life Insurance – 1.9%
	555,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		489,788
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		386,373
	110,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		105,333
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		477,236
	2,355,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,424,783
	1,095,000	MetLife, Inc., 6.400%, 12/15/2066		970,595
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,545,778

				8,399,886

		Local Authorities – 3.3%
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		3,807,240
	4,360,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		4,259,170
	685,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		667,895


		Local Authorities – continued
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)	$	4,067,801
	279,215	Province of Alberta, 5.930%, 9/16/2016, (CAD)		303,526
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		986,906
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		830,686

				14,923,224

		Lodging – 0.8%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,547,921
	1,660,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		1,840,258

				3,388,179

		Media Non-Cable – 0.1%
	240,000	News America, Inc., 8.150%, 10/17/2036		298,389

		Mortgage Related – 0.0%
	22,948	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		25,392
	3,714	FHLMC, 10.000%, with various maturities in 2018(d)		4,274
	12,778	FNMA, 6.000%, 12/01/2018		14,025
	44,926	GNMA, 10.000%, with various maturities in 2018(d)		51,904

				95,595

		Non-Captive Consumer – 1.9%
	470,000	SLM Corp., MTN, 5.050%, 11/14/2014		453,513
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		223,814
	995,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		995,046
	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,031,202
	2,385,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,480,801
	45,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		41,400
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		926,250
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,602,800

				8,754,826

		Non-Captive Diversified – 3.6%
	97,000	Ally Financial, Inc., 8.000%, 12/31/2018		88,270

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
$	29,828	CIT Group, Inc., 7.000%, 5/01/2014	$	30,425
	169,485	CIT Group, Inc., 7.000%, 5/01/2015		168,214
	282,478	CIT Group, Inc., 7.000%, 5/01/2016		274,004
	395,473	CIT Group, Inc., 7.000%, 5/01/2017		383,609
	670,000	General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		654,292
	65,000	General Electric Capital Corp., 5.625%, 5/01/2018		71,057
	300,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		307,490
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		380,959
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,824,353
	655,000	General Electric Capital Corp., Series A, MTN, 0.549%, 5/13/2024(c)		534,007
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,550,744
	3,725,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,237,740
	3,683,000	International Lease Finance Corp., 6.375%, 3/25/2013		3,581,717
	25,000	International Lease Finance Corp., 8.625%, 9/15/2015		24,813
	315,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		292,162

				16,403,856

		Oil Field Services – 0.3%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,286,996

		Paper – 0.5%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,670,289
	230,000	Mead Corp. (The), 7.550%, 3/01/2047		254,639
	200,000	Westvaco Corp., 8.200%, 1/15/2030		226,741

				2,151,669

		Pipelines – 1.3%
	635,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		693,611
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		254,839
	800,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		898,486
	965,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		1,017,620

		Pipelines – continued
$	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022	$	2,266,160
	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		908,547

				6,039,263

		Property & Casualty Insurance – 2.3%
	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		1,911,112
	2,465,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		2,731,873
	60,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		27,000
	800,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		742,669
	150,000	Progressive Corp., 7.000%, 10/01/2013		164,231
	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		220,853
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		931,230
	2,015,000	XL Group PLC, 6.250%, 5/15/2027		2,065,435
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,684,170

				10,478,573

		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		136,800

		REITs – Apartments – 0.1%
	30,000	ERP Operating LP, 5.125%, 3/15/2016		32,184
	180,000	ERP Operating LP, 5.750%, 6/15/2017		201,055

				233,239

		REITs – Office Property – 0.3%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		84,380
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,247,218

				1,331,598

		REITs – Shopping Centers – 0.6%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,015,007
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,471,327

				2,486,334

		REITs – Single Tenant – 0.1%
	95,000	Realty Income Corp., 5.750%, 1/15/2021		105,380
	405,000	Realty Income Corp., 6.750%, 8/15/2019		471,212

				576,592

		REITs – Warehouse/Industrials – 0.3%
	55,000	ProLogis LP, 5.625%, 11/15/2015		56,779

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		REITs – Warehouse/Industrials – continued
$	240,000	ProLogis LP, 5.625%, 11/15/2016	$	243,459
	265,000	ProLogis LP, 5.750%, 4/01/2016		270,788
	785,000	ProLogis LP, 7.375%, 10/30/2019		849,134

				1,420,160

		Restaurants – 0.1%
	610,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		650,211

		Retailers – 0.7%
	118,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		99,120
	2,803,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,075,412

				3,174,532

		Sovereigns – 1.2%
	140,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,117,386
	3,100,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		2,997,700
	42,740,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		222,755
	64,745,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		353,545
	101,800,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		555,997

				5,247,383

		Supranational – 2.2%
	4,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		2,155,671
	45,300,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,292,935
	4,375,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		3,608,946

				10,057,552

		Technology – 2.2%
	210,000	Corning, Inc., 6.850%, 3/01/2029		257,573
	810,000	Corning, Inc., 7.000%, 5/15/2024		1,023,130
	3,565,000	Corning, Inc., 7.250%, 8/15/2036		4,398,854
	3,550,000	Ingram Micro, Inc., 5.250%, 9/01/2017		3,772,013
	49,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		58,277
	425,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		510,900

				10,020,747



		Tobacco – 0.2%
$	735,000	Reynolds American, Inc., 6.750%, 6/15/2017	$	847,148
	195,000	Reynolds American, Inc., 7.250%, 6/15/2037		218,944

				1,066,092

		Transportation Services – 0.7%
	100,000	APL Ltd., 8.000%, 1/15/2024(b)		64,000
	2,099,544	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,931,580
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		1,052,825

				3,048,405

		Treasuries – 15.4%
	135,000	Canadian Government, 1.250%, 12/01/2011, (CAD)		128,915
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		34,186,503
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,068,766
	7,935,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		7,790,748
	158,707	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		62,958
	60,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		25,088
	50,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		27,508
	2,410,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		1,017,394
	1,850,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		2,093,422
	975,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		1,075,193
	125,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		139,599
	1,750,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		1,941,298
	5,460,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		4,387,578
	23,620,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		4,505,396
	57,675,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		10,601,103
	400,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		309,911
	100,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		80,940

				69,442,320

		Wireless – 0.3%
	510,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		478,125
	70,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		66,325
	35,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		34,037
	234,000	Sprint Capital Corp., 6.875%, 11/15/2028		174,915

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wireless – continued
$	120,000	Sprint Capital Corp., 6.900%, 5/01/2019	$	103,200
	366,000	Sprint Nextel Corp., 6.000%, 12/01/2016		314,760

				1,171,362

		Wirelines – 4.0%
	1,310,000	AT&T Corp., 6.500%, 3/15/2029		1,487,459
	2,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		2,075,576
	2,870,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,659,388
	245,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		212,132
	2,265,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,037,408
	1,220,000	Embarq Corp., 7.995%, 6/01/2036		1,144,719
	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		480,000
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,716,875
	195,000	Qwest Corp., 7.500%, 6/15/2023		192,334
	1,880,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,538,000
	250,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		254,090
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,712,821
	695,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		774,369

				18,285,171


		Total Non-Convertible Bonds
		(Identified Cost $339,890,158)		380,427,111


	Convertible Bonds – 4.0%

		Automotive – 0.3%
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,344,206

		Life Insurance – 1.7%
	8,550,000	Old Republic International Corp., 3.750%, 3/15/2018		7,727,063

		Technology – 2.0%
	3,505,000	Intel Corp., 2.950%, 12/15/2035		3,553,194
	4,700,000	Intel Corp., 3.250%, 8/01/2039		5,528,375
	40,000	Micron Technology, Inc., 1.875%, 6/01/2014		37,350

				9,118,919


		Total Convertible Bonds
		(Identified Cost $17,745,395)		18,190,188


	Municipals – 0.9%

		Illinois – 0.2%
	1,105,000	State of Illinois, 5.100%, 6/01/2033		998,821


		Michigan – 0.2%
$	1,040,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)	$	786,178

		Ohio – 0.1%
	750,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(b)		525,277

		Virginia – 0.4%
	2,815,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		1,857,027


		Total Municipals
		(Identified Cost $5,409,053)		4,167,303


		Total Bonds and Notes
		(Identified Cost $363,044,606)		402,784,602


	Shares

	Common Stocks – 1.6%

		Biotechnology – 0.1%
	13,708	Vertex Pharmaceuticals, Inc.(e)		610,554

		Chemicals – 0.5%
	31,080	PPG Industries, Inc.		2,196,113

		Oil, Gas & Consumable Fuels – 1.0%
	81,779	Repsol YPF S.A., Sponsored ADR		2,147,516
	34,819	Royal Dutch Shell PLC, ADR		2,142,065

				4,289,581


		Total Common Stocks
		(Identified Cost $6,851,343)		7,096,248


	Preferred Stocks – 1.5%

	Non-Convertible Preferred Stocks – 0.8%

		Electric – 0.1%
	263	Connecticut Light & Power Co., 2.200%		10,577
	150	MDU Resources Group, Inc., 5.100%		14,691
	100	San Diego Gas & Electric Co., 4.500%		1,875
	3,160	Union Electric Co., 4.500%		246,480

				273,623

		Government Sponsored – 0.7%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		3,138,750

		Non-Captive Diversified – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		96,600


		Total Non-Convertible Preferred Stocks
		(Identified Cost $3,228,421)		3,508,973

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Investment Grade Fixed Income Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

	Convertible Preferred Stocks – 0.7%

		Banking – 0.4%
	940	Bank of America Corp., Series L, 7.250%	$	720,031
	25,000	Sovereign Capital Trust IV, 4.375%		1,206,250

				1,926,281

		Consumer Products – 0.3%
	33,050	Newell Financial Trust I, 5.250%		1,388,100


		Total Convertible Preferred Stocks
		(Identified Cost $2,578,145)		3,314,381


		Total Preferred Stocks
		(Identified Cost $5,806,566)		6,823,354


	Principal Amount (‡)

	Short-Term Investments – 6.5%
$	29,379,857	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $29,379,857 on 10/03/2011 collateralized by $29,935,000 Federal Home Loan Mortgage Corp., 0.500% due 2/08/2013 valued at $29,972,419 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $29,379,857)		29,379,857


		Total Investments – 98.6%
		(Identified Cost $405,082,372)(a)		446,084,061
		Other assets less liabilities—1.4%		6,225,656


		Net Assets – 100.0%	$	452,309,717


	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $408,069,400 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	48,908,697
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,894,036	)

		Net unrealized appreciation	$	38,014,661

	(b)	Illiquid security. At September 30, 2011, the value of these securities amounted to $6,166,362 or 1.4% of net assets.
	(c)	Variable rate security. Rate as of September 30, 2011 is disclosed.
	(d)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(e)	Non-income producing security.
	(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $71,743,347 or 15.9% of net assets.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	EMTN	Euro Medium Term Note
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit

	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	EUR	Euro
	GBP	British Pound
	IDR	Indonesian Rupiah
	ISK	Icelandic Krona
	KRW	South Korean Won
	MXN	Mexican Peso
	NOK	Norwegian Krone
	NZD	New Zealand Dollar

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	15.4	%
Banking	9.4
Commercial Mortgage-Backed Securities	6.4
Airlines	4.4
Technology	4.2
Wirelines	4.0
Non-Captive Diversified	3.6
Life Insurance	3.6
Local Authorities	3.3
ABS Other	2.3
Property & Casualty Insurance	2.3
Electric	2.3
Supranational	2.2
Brokerage	2.1
Government Owned—No Guarantee	2.0
Chemicals	2.0
Other Investments, less than 2% each	22.6
Short-Term Investments	6.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

Currency Exposure at September 30, 2011 (Unaudited)


United States Dollar	72.5	%
Canadian Dollar	9.6
New Zealand Dollar	4.5
Norwegian Krone	3.4
Australian Dollar	3.2
Euro	2.1
Other, less than 2% each	3.3

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

61 |

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| 62

Statements of Assets and Liabilities

September 30, 2011


	Fixed Income Fund		Global Bond Fund			Inflation Protected Securities Fund
ASSETS
Investments at cost	$	771,446,633	$	2,190,462,110		$	30,015,958
Repurchase agreement(s) at cost		64,221,605		11,048,004			8,816,640
Net unrealized appreciation		38,554,222		49,913,759			1,720,706

Investments at value		874,222,460		2,251,423,873			40,553,304
Cash		582,692		—			—
Foreign currency at value (identified cost $837,741, $50,761,007 and $0)		823,001		48,726,695			—
Receivable for Fund shares sold		—		12,023,340			2,212,729
Receivable from investment adviser (Note 6)		—		—			7,276
Receivable for securities sold		—		61,693,063			—
Collateral received for open forward foreign currency contracts (Note 2)		—		170,998			—
Dividends and interest receivable		12,264,513		27,501,082			172,714
Unrealized appreciation on forward foreign currency contracts (Note 2)		—		4,276,344			—
Tax reclaims receivable		14,710		50,119			—

TOTAL ASSETS		887,907,376		2,405,865,514			42,946,023


LIABILITIES
Payable for securities purchased		4,780,507		8,748,918			7,033,381
Payable for Fund shares redeemed		1,250,000		52,059,242			2,300
Unrealized depreciation on forward foreign currency contracts (Note 2)		—		10,959,987			—
Foreign taxes payable (Note 2)		20,538		—			—
Due to brokers (Note 2)		—		170,998			—
Payable for variation margin on futures contracts		—		98,757			—
Management fees payable (Note 6)		373,602		1,085,522			—
Deferred Trustees’ fees (Note 6)		112,176		193,198			58,765
Administrative fees payable (Note 6)		34,740		94,026			1,002
Other accounts payable and accrued expenses		66,354		221,224			47,815

TOTAL LIABILITIES		6,637,917		73,631,872			7,143,263

NET ASSETS	$	881,269,459	$	2,332,233,642		$	35,802,760

NET ASSETS CONSIST OF:
Paid-in capital	$	802,356,253	$	2,321,838,354		$	34,759,371
Undistributed net investment income (Distributions in excess of net investment income)		39,784,762		23,396,177			(50,125	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		869,628		(51,427,341	)		(626,839	)
Net unrealized appreciation on investments, futures contracts and foreign currency translations		38,258,816		38,426,452			1,720,353

NET ASSETS	$	881,269,459	$	2,332,233,642		$	35,802,760


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	881,269,459	$	1,353,993,102		$	33,880,108

Shares of beneficial interest		64,374,110		81,954,726			2,926,013

Net asset value, offering and redemption price per share	$	13.69	$	16.52		$	11.58

Retail Class:
Net assets	$	—	$	978,240,540		$	1,922,652

Shares of beneficial interest		—		59,759,288			166,311

Net asset value, offering and redemption price per share	$	—	$	16.37		$	11.56

See accompanying notes to financial statements.

63 |


	Institutional High Income Fund		Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	401,670,543	$	56,660,160		$	375,702,515
Repurchase agreement(s) at cost		15,332,228		1,700,532			29,379,857
Net unrealized appreciation		8,081,819		1,506,328			41,001,689

Investments at value		425,084,590		59,867,020			446,084,061
Cash		—		—			133,551
Foreign currency at value (identified cost $24,540, $0 and $810,901)		23,581		—			745,926
Receivable for Fund shares sold		—		46,957			82,500
Dividends and interest receivable		7,066,159		428,272			6,301,383
Tax reclaims receivable		3,742		—			29,176

TOTAL ASSETS		432,178,072		60,342,249			453,376,597


LIABILITIES
Payable for securities purchased		2,158,691		—			754,082
Payable for Fund shares redeemed		22,504		48,929			—
Foreign taxes payable (Note 2)		4,415		—			7,264
Payable for variation margin on closed futures contracts		—		2,091			—
Management fees payable (Note 6)		220,124		5,627			149,099
Deferred Trustees’ fees (Note 6)		75,805		61,628			83,601
Administrative fees payable (Note 6)		17,058		2,296			17,352
Other accounts payable and accrued expenses		58,323		46,702			55,482

TOTAL LIABILITIES		2,556,920		167,273			1,066,880

NET ASSETS	$	429,621,152	$	60,174,976		$	452,309,717

NET ASSETS CONSIST OF:
Paid-in capital	$	390,557,071	$	58,583,665		$	404,855,223
Undistributed net investment income (Distributions in excess of net investment income)		19,592,888		(35,580	)		2,040,021
Accumulated net realized gain on investments, futures contracts and foreign currency transactions		11,455,463		120,563			4,633,045
Net unrealized appreciation on investments and foreign currency translations		8,015,730		1,506,328			40,781,428

NET ASSETS	$	429,621,152	$	60,174,976		$	452,309,717


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	429,621,152	$	58,471,022		$	452,309,717

Shares of beneficial interest		60,047,864		5,546,169			36,124,537

Net asset value, offering and redemption price per share	$	7.15	$	10.54		$	12.52

Retail Class:
Net assets	$	—	$	1,703,954		$	—

Shares of beneficial interest		—		161,447			—

Net asset value, offering and redemption price per share	$	—	$	10.55		$	—

See accompanying notes to financial statements.

| 64

Statements of Operations

For the Year Ended September 30, 2011


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
INVESTMENT INCOME
Interest	$	46,991,961		$	89,810,885		$	812,909
Dividends		2,442,190			—			—
Less net foreign taxes withheld		(89,305	)		(73,300	)		—

		49,344,846			89,737,585			812,909

Expenses
Management fees (Note 6)		4,311,908			12,693,632			46,037
Distribution fees (Note 6)		—			2,510,114			1,506
Administrative fees (Note 6)		400,618			1,093,055			8,545
Trustees’ fees and expenses (Note 6)		41,960			75,363			22,104
Transfer agent fees and expenses (Notes 6 and 7)		3,819			1,614,890			11,518
Audit and tax services fees		46,858			45,857			41,930
Custodian fees and expenses		77,931			269,552			17,127
Legal fees		14,353			37,895			300
Registration fees		76,477			127,864			43,323
Shareholder reporting expenses		288			195,589			1,424
Miscellaneous expenses		28,371			70,906			6,192

Total expenses		5,002,583			18,734,717			200,006
Less waiver and/or expense reimbursement (Note 6)		—			—			(124,841	)

Net expenses		5,002,583			18,734,717			75,165

Net investment income		44,342,263			71,002,868			737,744


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		21,022,274			86,241,954			179,964
Futures contracts		—			(6,295,842	)		—
Foreign currency transactions		207,750			5,508,979			220
Net change in unrealized appreciation (depreciation) on:
Investments		(42,783,684	)		(116,433,387	)		881,653
Futures contracts		—			(1,489,565	)		—
Foreign currency translations		(311,964	)		(12,871,975	)		(398	)

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(21,865,624	)		(45,339,836	)		1,061,439


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	22,476,639		$	25,663,032		$	1,799,183

See accompanying notes to financial statements.

65 |


	Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	29,200,107		$	1,790,124		$	24,106,582
Dividends		1,148,061			—			661,811
Less net foreign taxes withheld		(80,182	)		—			—

		30,267,986			1,790,124			24,768,393

Expenses
Management fees (Note 6)		2,572,303			138,561			1,794,547
Distribution fees (Note 6)		—			3,358			—
Administrative fees (Note 6)		199,156			25,743			208,428
Trustees’ fees and expenses (Note 6)		30,595			23,001			31,922
Transfer agent fees and expenses (Notes 6 and 7)		10,203			4,252			2,406
Audit and tax services fees		44,820			41,744			43,562
Custodian fees and expenses		50,415			20,962			46,849
Legal fees		6,912			912			7,190
Registration fees		31,666			54,339			56,306
Shareholder reporting expenses		1,582			393			248
Miscellaneous expenses		16,496			6,963			18,295

Total expenses		2,964,148			320,228			2,209,753
Less waiver and/or expense reimbursement (Note 6)		—			(95,173	)		—

Net expenses		2,964,148			225,055			2,209,753

Net investment income		27,303,838			1,565,069			22,558,640


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		13,995,159			1,371,043			13,544,943
Futures contracts		—			(9,953	)		—
Foreign currency transactions		30,120			—			202,454
Net change in unrealized appreciation (depreciation) on:
Investments		(46,695,611	)		(1,020,642	)		(19,020,552	)
Foreign currency translations		(70,620	)		—			(264,725	)

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(32,740,952	)		340,448			(5,537,880	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(5,437,114	)	$	1,905,517		$	17,020,760

See accompanying notes to financial statements.

| 66

Statements of Changes in Net Assets


	Fixed Income Fund						Global Bond Fund						Inflation Protected Securities Fund
	Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income	$	44,342,263		$	45,727,241		$	71,002,868		$	68,638,745		$	737,744		$	426,034
Net realized gain on investments, futures contracts and foreign currency transactions		21,230,024			11,807,903			85,455,091			17,629,634			180,184			188,071
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(43,095,648	)		54,418,162			(130,794,927	)		102,327,637			881,255			727,374

Net increase (decrease) in net assets resulting from operations		22,476,639			111,953,306			25,663,032			188,596,016			1,799,183			1,341,479

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(48,778,586)			(42,551,309	)		(57,085,645	)		(39,529,201	)		(886,738	)		(490,125	)
Retail Class		—			—			(39,906,009	)		(31,727,897	)		(27,306	)		(471	)
Net realized capital gains
Institutional Class		—			—			—			—			—			—

Total distributions		(48,778,586	)		(42,551,309	)		(96,991,654	)		(71,257,098	)		(914,044	)		(490,596	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		101,432,953			(25,218,972	)		91,658,933			243,357,966			21,601,812			(1,511,063	)

Net increase (decrease) in net assets		75,131,006			44,183,025			20,330,311			360,696,884			22,486,951			(660,180	)
NET ASSETS
Beginning of the year		806,138,453			761,955,428			2,311,903,331			1,951,206,447			13,315,809			13,975,989

End of the year	$	881,269,459		$	806,138,453		$	2,332,233,642		$	2,311,903,331		$	35,802,760		$	13,315,809

UNDISTRIBUTED NET INVESTMENT INCOME (DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME)	$	39,784,762		$	35,844,239		$	23,396,177		$	2,645,799		$	(50,125	)	$	(40,631	)

See accompanying notes to financial statements.

67 |



Institutional High Income Fund				Intermediate Duration Bond Fund						Investment Grade Fixed Income Fund
Year Ended September 30, 2011	Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010

$ 27,303,838	$	28,061,451		$	1,565,069		$	1,184,695		$	22,558,640		$	26,566,472
14,025,279		25,735,774			1,361,090			478,623			13,747,397			19,397,666
(46,766,231)		11,621,609			(1,020,642	)		1,575,620			(19,285,277	)		21,278,146

(5,437,114)		65,418,834			1,905,517			3,238,938			17,020,760			67,242,284



(28,511,356)		(30,543,921	)		(1,893,993	)		(1,295,593	)		(26,029,453	)		(27,602,054	)
—		—			(42,505	)		(690	)		—			—

(15,983,712)		(11,736)			—			—			(19,655,485	)		—

(44,495,068)		(30,555,657	)		(1,936,498	)		(1,296,283	)		(45,684,938	)		(27,602,054	)


95,860,676		(109,686,518)			23,164,733			7,071,240			7,775,191			(91,945,491	)

45,928,494		(74,823,341	)		23,133,752			9,013,895			(20,888,987	)		(52,305,261	)

383,692,658		458,515,999			37,041,224			28,027,329			473,198,704			525,503,965

$ 429,621,152	$	383,692,658		$	60,174,976		$	37,041,224		$	452,309,717		$	473,198,704

$ 19,592,888	$	19,715,804		$	(35,580	)	$	(38,367	)	$	2,040,021		$	1,941,507

See accompanying notes to financial statements.

| 68

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
FIXED INCOME FUND

Institutional Class
9/30/2011	$	14.12	$	0.73	$	(0.32	)	$	0.41		$	(0.84	)	$	—		$	(0.84	)
9/30/2010		12.94		0.77		1.14			1.91			(0.73	)		—			(0.73	)
9/30/2009		12.15		0.78		1.15			1.93			(0.89	)		(0.25	)		(1.14	)
9/30/2008		14.49		0.88		(2.14	)		(1.26	)		(1.06	)		(0.02	)		(1.08	)
9/30/2007		13.89		0.83		0.67			1.50			(0.90	)		—			(0.90	)

GLOBAL BOND FUND

Institutional Class
9/30/2011	$	16.99	$	0.53	$	(0.28	)	$	0.25		$	(0.72	)	$	—		$	(0.72	)
9/30/2010		16.09		0.55		0.92			1.47			(0.57	)		—			(0.57	)
9/30/2009		14.42		0.67		1.89			2.56			(0.89	)		—			(0.89	)
9/30/2008		15.83		0.70		(1.30	)		(0.60	)		(0.81	)		—			(0.81	)
9/30/2007		15.43		0.60		0.70			1.30			(0.90	)		—			(0.90	)

Retail Class
9/30/2011		16.84		0.48		(0.28	)		0.20			(0.67	)		—			(0.67	)
9/30/2010		15.96		0.49		0.91			1.40			(0.52	)		—			(0.52	)
9/30/2009		14.31		0.62		1.88			2.50			(0.85	)		—			(0.85	)
9/30/2008		15.71		0.64		(1.29	)		(0.65	)		(0.75	)		—			(0.75	)
9/30/2007		15.29		0.54		0.70			1.24			(0.82	)		—			(0.82	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(d)

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

Effective June 2, 2008, redemption fees were eliminated.

(g)

Includes fee/expense recovery of 0.01%.

(h)

Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

69 |


								Ratios to Average Net Assets:
Redemption fees(b)	Net asset value, end of the period		Total return (%)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)(e)			Gross expenses (%)(e)			Net investment income (%)(e)		Portfolio turnover rate (%)



$ —	$	13.69		3.01		$	881,269		0.58			0.58			5.14		26
—		14.12		15.38			806,138		0.58			0.58			5.83		22
—		12.94		19.55			761,955		0.58			0.58			7.11		29
—		12.15		(9.42	)		624,486		0.58			0.58			6.43		30
—		14.49		11.31			605,100		0.60			0.60			5.96		22




$ —	$	16.52		1.23		$	1,353,993		0.67			0.67			3.15		84
—		16.99		9.46			1,285,095		0.66			0.66			3.41		100
—		16.09		19.19			1,032,465		0.68			0.68			4.76		75
0.00(f)		14.42		(4.14	)		1,157,175		0.64			0.64			4.36		60
0.00		15.83		8.70			996,046		0.68			0.68			3.84		95


—		16.37		0.94			978,241		0.97			0.97			2.84		84
—		16.84		9.05			1,026,809		1.00	(g)		1.00	(g)		3.08		100
—		15.96		18.81			918,742		1.00			1.02			4.46		75
0.00(f)		14.31		(4.45	)		1,073,466		1.00	(h)		1.00	(h)		4.02		60
0.00		15.71		8.36			874,575		1.00			1.04			3.53		95

See accompanying notes to financial statements.

| 70

Financial Highlights – continued

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:									Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)			Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains(b)			Total distributions
INFLATION PROTECTED SECURITIES FUND

Institutional Class
9/30/2011	$	11.10	$	0.46		$	0.55		$	1.01		$	(0.53	)	$	—		$	(0.53	)
9/30/2010		10.46		0.31			0.67			0.98			(0.34	)		—			(0.34	)
9/30/2009		9.86		0.09	(f)		0.61			0.70			(0.10	)		—			(0.10	)
9/30/2008		10.31		0.73			(0.43	)		0.30			(0.75	)		—			(0.75	)
9/30/2007		10.30		0.47			0.03			0.50			(0.49	)		—			(0.49	)

Retail Class
9/30/2011		11.09		0.35			0.63			0.98			(0.51	)		—			(0.51	)
9/30/2010*		10.71		0.04			0.44			0.48			(0.10	)		—			(0.10	)

INSTITUTIONAL HIGH INCOME FUND

Institutional Class
9/30/2011	$	8.08	$	0.50		$	(0.51	)	$	(0.01	)	$	(0.59	)	$	(0.33	)	$	(0.92	)
9/30/2010		7.40		0.54			0.66			1.20			(0.52	)		(0.00	)		(0.52	)
9/30/2009		6.87		0.57			0.54			1.11			(0.49	)		(0.09	)		(0.58	)
9/30/2008		8.45		0.60			(1.52	)		(0.92	)		(0.51	)		(0.15	)		(0.66	)
9/30/2007		8.11		0.55			0.30			0.85			(0.51	)		—			(0.51	)

From commencement of Class operations on May 28, 2010 through September 30, 2010.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(d)

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

Includes income reductions resulting from principal deflation adjustments during the period in the amount of $0.14 per share and 1.44% of average net assets. See Note 2 of Notes to Financial Statements.

(g)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

71 |


						Ratios to Average Net Assets:
Net asset value, end of the period	Total return (%)(c)			Net assets, end of the period (000’s)		Net expenses (%)(d)(e)			Gross expenses (%)(e)			Net investment income (%)(e)			Portfolio turnover rate (%)



$11.58		9.36		$	33,880		0.40			1.08			4.04			20
11.10		9.58			13,240		0.40			1.22			2.88			39
10.46		7.21			13,976		0.40			1.11			0.88	(f)		12
9.86		2.64			16,033		0.40			0.95			6.85			22
10.31		5.05			13,468		0.40			1.28			4.60			26


11.56		9.14			1,923		0.65			1.31			3.09			20
11.09		4.47			75		0.65			2.36			1.12			39




$ 7.15		(0.43	)	$	429,621		0.69			0.69			6.37			25
8.08		17.06			383,693		0.71			0.71			7.08			21
7.40		20.82			458,516		0.72			0.72			9.54			37
6.87		(11.70	)		214,201		0.72			0.72			7.70			35
8.45		10.81			187,568		0.75	(g)		0.75	(g)		6.60			31

See accompanying notes to financial statements.

| 72

Financial Highlights – continued

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income(a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
INTERMEDIATE DURATION BOND FUND

Institutional Class
9/30/2011	$	10.57	$	0.30	$	0.04		$	0.34		$	(0.37	)	$	—		$	(0.37	)
9/30/2010		9.95		0.38		0.66			1.04			(0.42	)		—			(0.42	)
9/30/2009		8.95		0.48		0.98			1.46			(0.46	)		—			(0.46	)
9/30/2008		9.47		0.47		(0.50	)		(0.03	)		(0.49	)		—			(0.49	)
9/30/2007		9.50		0.45		(0.01	)		0.44			(0.47	)		—			(0.47	)

Retail Class
9/30/2011		10.58		0.27		0.04			0.31			(0.34	)		—			(0.34	)
9/30/2010*		10.21		0.09		0.41			0.50			(0.13	)		—			(0.13	)

INVESTMENT GRADE FIXED INCOME FUND

Institutional Class
9/30/2011	$	13.44	$	0.65	$	(0.17	)	$	0.48		$	(0.76	)	$	(0.64	)	$	(1.40	)
9/30/2010		12.39		0.68		1.07			1.75			(0.70	)		—			(0.70	)
9/30/2009		11.36		0.67		1.31			1.98			(0.81	)		(0.14	)		(0.95	)
9/30/2008		12.96		0.76		(1.47	)		(0.71	)		(0.89	)		—			(0.89	)
9/30/2007		12.63		0.70		0.53			1.23			(0.90	)		—			(0.90	)

From commencement of Class operations on May 28, 2010 through September 30, 2010.

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(c)

(d)

Computed on an annualized basis for periods less than one year, if applicable.

See accompanying notes to financial statements.

73 |


						Ratios to Average Net Assets:
Net asset value, end of the period	Total return (%)(b)			Net assets, end of the period (000’s)		Net expenses (%)(c)(d)		Gross expenses (%)(d)		Net investment income (%)(d)		Portfolio turnover rate (%)



$10.54		3.26		$	58,471		0.40		0.57		2.83		83
10.57		10.67			36,959		0.40		0.73		3.75		43
9.95		16.99			28,027		0.40		0.68		5.24		52
8.95		(0.46	)		32,748		0.40		0.59		5.00		65
9.47		4.76			31,445		0.40		0.61		4.71		87


10.55		3.00			1,704		0.65		0.94		2.60		83
10.58		4.89			82		0.65		1.61		2.66		43




$12.52		3.82		$	452,310		0.49		0.49		5.03		17
13.44		14.59			473,199		0.48		0.48		5.29		24
12.39		19.35			525,504		0.49		0.49		6.10		22
11.36		(6.00	)		277,863		0.50		0.50		5.98		32
12.96		10.19			261,741		0.53		0.53		5.52		23

See accompanying notes to financial statements.

| 74

Notes To Financial Statements

September 30, 2011

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. Shares of certain funds in the Trust were first registered under the Securities Act of 1933 (the “1933 Act”) effective March 7, 1997 (subsequent to their commencement of investment operations). The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles Fixed Income Fund (the “Fixed Income Fund”)

Loomis Sayles Global Bond Fund (the “Global Bond Fund”)

Loomis Sayles Inflation Protected Securities Fund (the “Inflation Protected Securities Fund”)

Loomis Sayles Institutional High Income Fund (the “Institutional High Income Fund”)

Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)

Loomis Sayles Investment Grade Fixed Income Fund (the “Investment Grade Fixed Income Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund also offer Retail Class shares.

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

a. Valuation. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans shall be priced at bid prices supplied by a pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price. Swap agreements are valued based on mid prices supplied by a pricing service, if available, or quotations obtained from broker-dealers. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

75 |

Notes To Financial Statements – continued

September 30, 2011

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one basis for daily net asset value calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium. Periodic principal adjustments for inflation-protected securities are recorded to interest income. Negative principal adjustments (in the event of deflation) are recorded as reductions of interest income to the extent of interest income earned, not to exceed the amount of positive principal adjustments on a cumulative basis. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of the cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains, and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. Investment income is recorded net of foreign taxes withheld when applicable. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class-specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

Certain Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell may offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures have standardized contracts and are settled through a clearing house with fulfillment guaranteed by the credit of the exchange. Therefore, counterparty credit risks to the Funds are limited.

| 76

Notes To Financial Statements – continued

September 30, 2011

f. Swap Agreements. Each Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also make or receive upfront payments. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

The notional amounts of credit default swaps are not recorded in the financial statements. Credit default swaps are marked-to-market daily. Fluctuations in the value of credit default swaps are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Operations as realized gain or loss when received or paid. Upfront fees paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Credit default swaps are privately negotiated and traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. The Funds cover their net obligations under outstanding credit default swaps by segregating or earmarking liquid assets or cash.

There were no credit default swaps held by the Funds during the year ended September 30, 2011.

g. Due to/from Brokers. Transactions and positions in certain forward foreign currency contracts and swap agreements are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. Due to brokers’ balances in the Statements of Assets and Liabilities for Global Bond Fund represent cash and securities received as collateral for forward foreign currency contracts. In certain circumstances a Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.

h. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution redesignations, foreign currency transactions, defaulted bond adjustments, paydown gains and losses, premium amortization, preferred securities adjustment, reclassification of realized capital gain to ordinary income and return of capital and capital gain distributions from REITs. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, securities lending collateral gain/loss adjustments, forward foreign currency and futures contracts mark to market, defaulted bond interest, REIT basis adjustments, adjustments to inflation-protected securities and contingent payment debt instruments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

77 |

Notes To Financial Statements – continued

September 30, 2011

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2011 and 2010 was as follows:


	2011 Distributions Paid From:						2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Fixed Income Fund	$	48,778,586	$	—	$	48,778,586	$	42,551,309	$	—	$	42,551,309
Global Bond Fund		96,991,654		—		96,991,654		71,257,098		—		71,257,098
Inflation Protected Securities Fund		914,044		—		914,044		490,596		—		490,596
Institutional High Income Fund		43,588,875		906,193		44,495,068		30,544,655		11,002		30,555,657
Intermediate Duration Bond Fund		1,936,498		—		1,936,498		1,296,283		—		1,296,283
Investment Grade Fixed Income Fund		33,639,027		12,045,911		45,684,938		27,602,054		—		27,602,054

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2011, the components of distributable earnings on a tax basis were as follows:


	Fixed Income Fund		Global Bond Fund			Inflation Protected Securities Fund
Undistributed ordinary income	$	42,168,942	$	20,311,616		$	8,640
Undistributed long-term capital gains		2,295,274		—			—

Total undistributed earnings		44,464,216		20,311,616			8,640

Capital loss carryforward:
Expires September 30, 2015		—		—			(49,727	)
Expires September 30, 2017		—		(12,495,597	)		(110,122	)
Expires September 30, 2018		—		(34,063,363	)		(238,354	)

Total capital loss carryforward		—		(46,558,960	)		(398,203	)

Unrealized appreciation		34,622,552		36,835,831			1,491,717

Total accumulated earnings	$	79,086,768	$	10,588,487		$	1,102,154

Capital loss carryforward utilized in the current year	$	9,135,481	$	18,688,281		$	125,131


	Institutional High Income Fund		Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
Undistributed ordinary income	$	23,771,719	$	26,047		$	3,307,375
Undistributed long-term capital gains		10,787,080		396,381			6,441,045

Total undistributed earnings		34,558,799		422,428			9,748,420

Capital loss carryforward:
Expires September 30, 2015		—		—			—
Expires September 30, 2017		—		—			—
Expires September 30, 2018		—		—			—

Total capital loss carryforward		—		—			—

Unrealized appreciation		5,027,944		1,230,511			37,794,400

Total accumulated earnings	$	39,586,743	$	1,652,939		$	47,542,820

Capital loss carryforward utilized in the current year	$	—	$	766,597		$	—

| 78

Notes To Financial Statements – continued

September 30, 2011

j. Repurchase Agreements. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

k. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment. No interest accrues to the Funds until the transaction settles.

Purchases of delayed delivery securities may have a similar effect on the Funds’ net asset value as if the Funds had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no delayed delivery securities held by the Funds as of September 30, 2011.

l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2011, none of the Funds had loaned securities under this agreement.

m Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Funds have categorized the inputs utilized in determining the value of each Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

79 |

Notes To Financial Statements – continued

September 30, 2011

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2011, at value:

Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	638,862	$	27,621,573	$	—	$	28,260,435
Treasuries		—		103,375,646		55,017		103,430,663
All Other Non-Convertible Bonds(a)		—		522,986,123		—		522,986,123

Total Non-Convertible Bonds		638,862		653,983,342		55,017		654,677,221

Convertible Bonds(a)		—		72,808,334		—		72,808,334
Municipals(a)		—		6,883,903		—		6,883,903

Total Bonds and Notes		638,862		733,675,579		55,017		734,369,458

Senior Loans(a)		—		488,178		—		488,178
Preferred Stocks
Convertible Preferred Stocks
Automotive		7,587,333		—		—		7,587,333
Banking		2,178,475		2,689,600		—		4,868,075
Construction Machinery		1,207,960		—		—		1,207,960
Consumer Products		—		1,053,150		—		1,053,150
Electric		487,200		—		—		487,200
Independent Energy		72,075		—		—		72,075
Pipelines		3,228,784		—		—		3,228,784
REITs–Healthcare		342,620		—		—		342,620
Technology		3,196,875		—		—		3,196,875

Total Convertible Preferred Stocks		18,301,322		3,742,750		—		22,044,072

Non-Convertible Preferred Stocks
Banking		494,160		—		—		494,160
Electric		374,585		269,405		—		643,990
Government Sponsored		—		3,138,750		—		3,138,750
Non-Captive Consumer		1,056,459		—		—		1,056,459
Non-Captive Diversified		—		—		672,600		672,600

Total Non-Convertible Preferred Stocks		1,925,204		3,408,155		672,600		6,005,959

Total Preferred Stocks		20,226,526		7,150,905		672,600		28,050,031

Common Stocks(a)		47,093,188		—		—		47,093,188
Short-Term Investments		—		64,221,605		—		64,221,605

Total	$	67,958,576	$	805,536,267	$	727,617	$	874,222,460

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Preferred stocks valued at $4,020,817 were transferred from Level 2 to Level 1 during the period September 30, 2011. At September 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, these securities were valued at a market price in accordance with the Fund’s valuation policies.

| 80

Notes To Financial Statements – continued

September 30, 2011

Global Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	13,571,014	$	25,602,840	$	39,173,854
Canada		—		148,539,337		4,973,757		153,513,094
Supranationals		—		76,974,564		10,487,450		87,462,014
All Other Non-Convertible Bonds(a)		—		1,941,621,451		—		1,941,621,451

Total Non-Convertible Bonds		—		2,180,706,366		41,064,047		2,221,770,413

Convertible Bonds(a)		—		7,500,225		—		7,500,225
Municipals(a)		—		11,105,231		—		11,105,231

Total Bonds and Notes		—		2,199,311,822		41,064,047		2,240,375,869

Short-Term Investments		—		11,048,004		—		11,048,004

Total Investments		—		2,210,359,826		41,064,047		2,251,423,873

Forward Foreign Currency Contracts (unrealized appreciation)		—		4,276,344		—		4,276,344
Futures Contracts (unrealized appreciation)		1,626,235		—		—		1,626,235

Total	$	1,626,235	$	2,214,636,170	$	41,064,047	$	2,257,326,452

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(10,959,987	)	$	—	$	(10,959,987	)
Futures Contracts (unrealized depreciation)		(3,636,936	)		—			—		(3,636,936	)

Total	$	(3,636,936	)	$	(10,959,987	)	$	—	$	(14,596,923	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Inflation Protected Securities Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	31,736,664	$	—	$	31,736,664
Short-Term Investments		—		8,816,640		—		8,816,640

Total	$	—	$	40,553,304	$	—	$	40,553,304

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Institutional High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total

Bonds and Notes
Non-Convertible Bonds
Consumer Cyclical Services	$	—	$	118,125	$	73,350	$	191,475
Technology		—		12,659,358		347,500		13,006,858
Treasuries		—		14,935,171		27,508		14,962,679
All Other Non-Convertible Bonds(a)		—		256,919,442		—		256,919,442

Total Non-Convertible Bonds		—		284,632,096		448,358		285,080,454

Convertible Bonds(a)		—		74,581,436		—		74,581,436
Municipals(a)		—		609,552		—		609,552

Total Bonds and Notes		—		359,823,084		448,358		360,271,442

81 |

Notes To Financial Statements – continued

September 30, 2011

Institutional High Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Senior Loans(a)	$	—	$	2,077,786	$	—	$	2,077,786
Common Stocks(a)		34,648,539		—		—		34,648,539
Preferred Stocks
Convertible Preferred Stocks
Automotive		3,818,789		—		—		3,818,789
Banking		142,562		685,150		—		827,712
Construction Machinery		573,120		—		—		573,120
Consumer Products		—		191,100		—		191,100
Electric		834,038		—		186,750		1,020,788
Home Construction		81,290		—		—		81,290
Pipelines		1,328,184		—		—		1,328,184
Technology		2,689,500		—		—		2,689,500

Total Convertible Preferred Stocks		9,467,483		876,250		186,750		10,530,483

Non-Convertible Preferred Stocks(a)		1,955,312		—		268,800		2,224,112

Total Preferred Stocks		11,422,795		876,250		455,550		12,754,595

Warrants(b)		—		—		—		—
Short-Term Investments		—		15,332,228		—		15,332,228

Total	$	46,071,334	$	378,109,348	$	903,908	$	425,084,590

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(b) Fair valued at zero using Level 3 inputs.

Preferred Stocks valued at $2,009,613 were transferred from Level 2 to Level 1 during the period ended September 30, 2011. At September 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service ($1,411,488) or at original purchase price ($598,125); at September 30, 2011, these securities were valued at a market price in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description(a)	Level 1		Level 2		Level 3		Total
Bonds and Notes	$	—	$	58,166,488	$	—	$	58,166,488
Short-Term Investments		—		1,700,532		—		1,700,532

Total	$	—	$	59,867,020	$	—	$	59,867,020

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	69,414,812	$	27,508	$	69,442,320
All other Non-Convertible Bonds(a)		—		310,984,791		—		310,984,791

Total Non-Convertible Bonds		—		380,399,603		27,508		380,427,111

| 82

Notes To Financial Statements – continued

September 30, 2011

Investment Grade Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Convertible Bonds(a)	$	—	$	18,190,188	$	—	$	18,190,188
Municipals(a)		—		4,167,303		—		4,167,303

Total Bonds and Notes		—		402,757,094		27,508		402,784,602

Common Stocks(a)		7,096,248		—		—		7,096,248
Preferred Stocks
Non-Convertible Preferred Stocks
Electric		248,355		25,268		—		273,623
Government Sponsored		—		3,138,750		—		3,138,750
Non-Captive Diversified		—		—		96,600		96,600

Total Non-Convertible Preferred Stocks		248,355		3,164,018		96,600		3,508,973

Convertible Preferred Stocks
Banking		720,031		1,206,250		—		1,926,281
Consumer Products		—		1,388,100		—		1,388,100

Total Convertible Preferred Stocks		720,031		2,594,350		—		3,314,381

Total Preferred Stocks		968,386		5,758,368		96,600		6,823,354

Short-Term Investments		—		29,379,857		—		29,379,857

Total	$	8,064,634	$	437,895,319	$	124,108	$	446,084,061

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2011:

Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	3,620	$	—	$	(43,055	)	$	94,452	$	—	$	—	$	—	$	55,017	$	(43,055	)
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		—		—		(336,475	)		—		—		1,009,075		—		672,600		(336,475	)

Total	$	—	$	3,620	$	—	$	(379,530	)	$	94,452	$	—	$	1,009,075	$	—	$	727,617	$	(379,530	)

A preferred stock valued at $1,009,075 was transferred from Level 2 to Level 3 during the period ended September 30, 2011. At September 30, 2010, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

83 |

Notes To Financial Statements – continued

September 30, 2011

Global Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	621,693	$	(358,735	)	$	1,395,624		$	30,494,000	$	(6,549,742	)	$	—	$	—	$	25,602,840	$	1,395,624
Canada		5,065,604		—		—			(91,847	)		—		—			—		—		4,973,757		(91,847	)
Supranationals		—		9,690		—			(640,526	)		11,118,286		—			—		—		10,487,450		(640,526	)

Total	$	5,065,604	$	631,383	$	(358,735	)	$	663,251		$	41,612,286	$	(6,549,742	)	$	—	$	—	$	41,064,047	$	663,251

Institutional High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	971,693	$	—	$	—	$	—		$	—	$	—	$	—	$	(971,693	)	$	—	$	—
Consumer Cyclical Services		—		505		—		4,445			—		—		68,400		—			73,350		4,445
Technology		—		41,551		—		(975,764	)		360,113		—		921,600		—			347,500		(975,764	)
Treasuries		—		1,810		—		(21,528	)		47,226		—		—		—			27,508		(21,528	)
Preferred Stocks
Convertible Preferred Stocks
Electric		145,250		—		—		41,500			—		—		—		—			186,750		41,500
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		—		—		(134,470	)		—		—		403,270		—			268,800		(134,470	)

Total	$	1,116,943	$	43,866	$	—	$	(1,085,817	)	$	407,339	$	—	$	1,393,270	$	(971,693	)	$	903,908	$	(1,085,817	)

A debt security valued at $971,693 was transferred from Level 3 to Level 2 during the period ended September 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

A debt security valued at $990,000 and a preferred stock valued at $403,270 were transferred from Level 2 to Level 3 during the period ended September 30, 2011. At September 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

| 84

Notes To Financial Statements – continued

September 30, 2011

Intermediate Duration Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	160,000	$	—	$	—	$	—	$	—	$	—	$	—	$	(160,000	)	$	—	$	—

Total	$	160,000	$	—	$	—	$	—	$	—	$	—	$	—	$	(160,000	)	$	—	$	—

A debt security valued at $160,000 was transferred from Level 3 to Level 2 during the period ended September 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

All transfers are recognized as of the beginning of the reporting period.

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	—	$	1,810	$	—	$	(21,528	)	$	47,226	$	—	$	—	$	—	$	27,508	$	(21,528	)
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		—		—		(48,325	)		—		—		144,925		—		96,600		(48,325	)

Total	$	—	$	1,810	$	—	$	(69,853	)	$	47,226	$	—	$	144,925	$	—	$	124,108	$	(69,853	)

A preferred stock valued at $144,925 was transferred from Level 2 to Level 3 during the period ended September 30, 2011. At September 30, 2010, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

85 |

Notes To Financial Statements – continued

September 30, 2011

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that certain Funds used during the period include forward foreign currency contracts and futures contracts.

The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. Certain Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. Certain Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the year ended September 30, 2011, Global Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage their duration in order to control interest rate risk without having to buy or sell portfolio securities. During the year ended September 30, 2011, Global Bond Fund and Intermediate Duration Bond Fund used futures contracts to manage duration and Intermediate Duration Bond Fund used futures contracts for hedging purposes.

Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. The agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of September 30, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:


Fund	Counterparty	Derivatives			Collateral Pledged
Global Bond Fund	Barclays	$	(5,070,607	)	$	4,712,724
	JPMorganChase		(697,892	)		668,792
	UBS AG		(1,764,961	)		1,847,476

Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Funds have mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to net amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of September 30, 2011, the maximum amount of loss that Global Bond Fund would incur if counterparties failed to meet their obligations is $4,276,344 and the amount of loss that Global Bond Fund would incur after taking into account master netting arrangements is $849,817. These amounts do not take into account the value of any collateral received by the Fund.

Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Funds also require counterparties to meet minimum credit quality requirements.

The following is a summary of derivative instruments for Global Bond Fund as of September 30, 2011:


Statements of Assets and Liabilities Caption	Foreign Exchange Contracts			Interest Rate Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	4,276,344		$	—
Unrealized appreciation on futures contracts*		—			1,626,235
Liabilities
Unrealized depreciation on forward foreign currency contracts		(10,959,987	)		—
Unrealized depreciation on futures contracts*		—			(3,636,936	)

*	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Global Bond Fund during the year ended September 30, 2011 were as follows:


Statements of Operations Caption	Foreign Exchange Contracts			Interest Rate Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	1,749,686		$	—
Futures contracts		—			(6,295,842	)
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		(7,539,613	)		—
Futures contracts		—			(1,489,565	)

*	Represents realized gain and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

| 86

Notes To Financial Statements – continued

September 30, 2011

Transactions in derivative instruments for Intermediate Duration Bond Fund during the year ended September 30, 2011 were as follows:


Statements of Operations Caption	Interest Rate Contracts
Net Realized Gain (Loss) on:
Futures contracts	$	(9,953	)

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forwards and futures activity, as a percentage of net assets, for Global Bond Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the year ended September 30, 2011:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		14.62%		3.43%
Highest Notional Amount Outstanding		22.31%		8.22%
Lowest Notional Amount Outstanding		9.41%		2.40%
Notional Amount Outstanding as of September 30, 2011		9.41%		8.22%

The volume of futures activity, as a percentage of net assets, for Intermediate Duration Bond Fund, based on daily notional amounts outstanding during the period, at absolute value, was as follows for the year ended September 30, 2011:


Intermediate Duration Bond Fund	Futures
Average Notional Amount Outstanding		0.18%
Highest Notional Amount Outstanding		2.02%
Lowest Notional Amount Outstanding		0.00%
Notional Amount Outstanding as of September 30, 2011		0.00%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5. Purchases and Sales of Securities. For the year ended September 30, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Fixed Income Fund	$	22,210,673	$	22,599,082	$	225,722,918	$	185,797,856
Global Bond Fund		375,255,397		455,330,994		1,600,447,395		1,447,283,869
Inflation Protected Securities Fund		20,393,382		3,038,764		270,358		557,526
Institutional High Income Fund		—		—		168,910,972		102,106,808
Intermediate Duration Bond Fund		32,301,053		25,717,860		34,140,578		18,339,041
Investment Grade Fixed Income Fund		—		128,654		69,999,534		122,375,261

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the year ended September 30, 2011, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $1 Billion			Next $1 Billion		Next $1 Billion		Next $12 Billion		Over $15 Billion
Fixed Income Fund		0.50%			0.50%		0.50%		0.50%		0.50%
Global Bond Fund		0.60%			0.50%		0.48%		0.48%		0.48%
Inflation Protected Securities Fund		0.25%	��		0.25%		0.25%		0.25%		0.25%
Institutional High Income Fund		0.60%			0.60%		0.60%		0.60%		0.60%
Intermediate Duration Bond Fund		0.25%			0.25%		0.25%		0.25%		0.25%
Investment Grade Fixed Income Fund		0.40%			0.40%		0.40%		0.40%		0.40%

87 |

Notes To Financial Statements – continued

September 30, 2011

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expense. These undertakings are in effect until January 31, 2012 and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Institutional Class		Retail Class
Fixed Income Fund		0.65%	—
Global Bond Fund		0.75%	1.00%
Inflation Protected Securities Fund		0.40%	0.65%
Institutional High Income Fund		0.75%	—
Intermediate Duration Bond Fund		0.40%	0.65%
Investment Grade Fixed Income Fund		0.55%	—

For the year ended September 30, 2011, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross		Net
Fixed Income Fund	$	4,311,908	$	—	$	4,311,908		0.50%		0.50%
Global Bond Fund		12,693,632		—		12,693,632		0.54%		0.54%
Inflation Protected Securities Fund		46,037		46,037		—		0.25%		0.00%
Institutional High Income Fund		2,572,303		—		2,572,303		0.60%		0.60%
Intermediate Duration Bond Fund		138,561		90,920		47,641		0.25%		0.09%
Investment Grade Fixed Income Fund		1,794,547		—		1,794,547		0.40%		0.40%

¹Management fee waivers are subject to possible recovery until September 30, 2012.

For the year ended September 30, 2011, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Total
Inflation Protected Securities Fund	$	10,365	$	213	$	10,578
Intermediate Duration Bond Fund		2,598		1,655		4,253

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $68,226 for the year ended September 30, 2011².

²Expense reimbursements are subject to possible recovery until September 30, 2012.

No expenses were recovered for any of the Funds during the year ended September 30, 2011 under the terms of the expense limitation agreements.

b. Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plan”).

| 88

Notes To Financial Statements – continued

September 30, 2011

Under the Retail Class Plan, each Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Funds’ Retail Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

For the year ended September 30, 2011, the Funds paid the following distribution fees:


	Distribution Fees
Fund	Retail Class
Global Bond Fund	$	2,510,114
Inflation Protected Securities Fund		1,506
Intermediate Duration Bond Fund		3,358

Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2011, each Fund paid the following administrative fees to Natixis Advisors:


Fund	Administrative Fees
Fixed Income Fund	$	400,618
Global Bond Fund		1,093,055
Inflation Protected Securities Fund		8,545
Institutional High Income Fund		199,156
Intermediate Duration Bond Fund		25,743
Investment Grade Fixed Income Fund		208,428

d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Funds if the shares of those customers were registered directly with the Funds’ transfer agent. Accordingly, the Funds agreed to pay a portion of the intermediary fees attributable to shares of the Funds held by the intermediaries (which generally are a percentage of the value of shares held) not to exceed what the Funds would have paid their transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended September 30, 2011, the Funds paid the following sub-transfer agent fees, which are reflected in transfer agent fees and expenses in the Statements of Operations.


	Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class
Global Bond Fund	$	574,457	$	881,954
Inflation Protected Securities Fund		7,268		173
Institutional High Income Fund		5,350		—
Intermediate Duration Bond Fund		1,084		44
Investment Grade Fixed Income Fund		40		—

e. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee

89 |

Notes To Financial Statements – continued

September 30, 2011

chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

7. Class Specific Expenses. For the year ended September 30, 2011, the Funds paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):


	Transfer Agent Fees and Expenses
Fund	Institutional Class		Retail Class
Fixed Income Fund	$	3,819	$	—
Global Bond Fund		612,362		1,002,528
Inflation Protected Securities Fund		10,365		1,153
Institutional High Income Fund		10,203		—
Intermediate Duration Bond Fund		2,597		1,655
Investment Grade Fixed Income Fund		2,406		—

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 21, 2011, the commitment fee was 0.15% per annum.

For the year ended September 30, 2011, none of the Funds had borrowings under these agreements.

9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

10. Concentration of Ownership. At September 30, 2011, the Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of beneficial interest in the Funds representing the following percentages of net assets:


Fund	Retirement Plan
Global Bond Fund		0.34%
Inflation Protected Securities Fund		10.16%
Institutional High Income Fund		2.46%
Intermediate Duration Bond Fund		1.94%

From time to time, the Funds may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of September 30, 2011, certain Funds had shareholder accounts that comprised more than 5% of the Fund’s total outstanding shares. Such accounts may be beneficially held by one or more individuals or entities other than the owner of record. The number of shareholder accounts owning more than 5% of total outstanding shares of a fund, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:


Fund	Number of 5% Shareholder Accounts	Percentage of Ownership
Fixed Income Fund	4		24.08%
Global Bond Fund	2		39.42%
Inflation Protected Securities Fund	3		51.92%
Intermediate Duration Bond Fund	4		60.83%
Investment Grade Fixed Income Fund	4		27.30%

| 90

Notes To Financial Statements – continued

September 30, 2011

11. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Fixed Income Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		13,546,359		$	191,418,231			5,773,068		$	76,057,230
Issued in connection with the reinvestment of distributions		3,122,786			41,814,110			2,880,044			36,461,361
Redeemed		(9,382,927	)		(131,799,388	)		(10,449,999	)		(137,737,563	)

Increase (decrease) from capital share transactions		7,286,218		$	101,432,953			(1,796,887	)	$	(25,218,972	)


	Global Bond Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		25,151,575		$	427,774,766			26,748,125		$	431,989,257
Issued in connection with the reinvestment of distributions		3,095,427			52,205,920			2,225,990			35,769,761
Redeemed		(21,912,559	)		(369,610,748	)		(17,516,539	)		(281,002,249	)

Net change		6,334,443		$	110,369,938			11,457,576		$	186,756,769


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		18,868,453		$	317,959,706			23,865,070		$	381,825,710
Issued in connection with the reinvestment of distributions		2,259,522			37,747,467			1,915,462			30,512,388
Redeemed		(22,325,827	)		(374,418,178	)		(22,406,075	)		(355,736,901	)

Net change		(1,197,852	)	$	(18,711,005	)		3,374,457		$	56,601,197

Increase (decrease) from capital share transactions		5,136,591		$	91,658,933			14,832,033		$	243,357,966


	Inflation Protected Securities Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010*

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,220,810		$	25,259,237			791,178		$	8,469,372
Issued in connection with the reinvestment of distributions		71,695			802,802			39,383			421,149
Redeemed		(558,915	)		(6,259,047	)		(973,654	)		(10,475,324	)

Net change		1,733,590		$	19,802,992			(143,093	)	$	(1,584,803	)


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		187,412		$	2,122,073			6,779		$	73,519
Issued in connection with the reinvestment of distributions		2,297			25,998			20			221
Redeemed		(30,197	)		(349,251	)		—			—

Net change		159,512		$	1,798,820			6,799		$	73,740

Increase (decrease) from capital share transactions		1,893,102		$	21,601,812			(136,294	)	$	(1,511,063	)

*	From commencement of operations on May 28, 2010 through September 30, 2010 for Retail Class shares.

91 |

Notes To Financial Statements – continued

September 30, 2011

11. Capital Shares – continued



	Institutional High Income Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		17,611,718		$	137,196,965			8,849,076		$	67,432,762
Issued in connection with the reinvestment of distributions		5,108,876			37,652,413			3,532,180			25,502,337
Redeemed		(10,157,087	)		(78,988,702	)		(26,865,854	)		(202,621,617	)

Increase (decrease) from capital share transactions		12,563,507		$	95,860,676			(14,484,598	)	$	(109,686,518	)


	Intermediate Duration Bond Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010*

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,921,646		$	41,094,151			763,776		$	7,876,084
Issued in connection with the reinvestment of distributions		168,202			1,757,264			110,093			1,123,452
Redeemed		(2,038,767	)		(21,305,663	)		(196,295	)		(2,008,973	)

Net change		2,051,081		$	21,545,752			677,574		$	6,990,563


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		214,017		$	2,245,994			11,573		$	120,851
Issued in connection with the reinvestment of distributions		655			6,860			38			401
Redeemed		(61,001	)		(633,873	)		(3,835	)		(40,575	)

Net change		153,671		$	1,618,981			7,776		$	80,677

Increase (decrease) from capital share transactions		2,204,752		$	23,164,733			685,350		$	7,071,240

*	From commencement of operations on May 28, 2010 through September 30, 2010 for Retail Class shares.



	Investment Grade Fixed Income Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		7,739,370		$	99,118,544			3,726,576		$	47,540,397
Issued in connection with the reinvestment of distributions		3,146,404			39,907,537			1,587,990			20,286,002
Redeemed		(9,966,294	)		(131,250,890	)		(12,508,551	)		(159,771,890	)

Increase (decrease) from capital share transactions		919,480		$	7,775,191			(7,193,985	)	$	(91,945,491	)

| 92

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund, Loomis Sayles Intermediate Duration Bond Fund and Loomis Sayles Investment Grade Fixed Income Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund, Loomis Sayles Intermediate Duration Bond Fund and Loomis Sayles Investment Grade Fixed Income Fund, each a series of Loomis Sayles Funds I (collectively, the “Funds”), at September 30, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2011

93 |

2011 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
Fixed Income		3.36%
Institutional High Income		2.18%
Investment Grade Fixed Income		1.28%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2011, unless subsequently determined to be different.


Fund	Amount
Institutional High Income	$	906,193
Investment Grade Fixed Income		12,045,911


Fund
Fixed Income
Institutional High Income
Investment Grade Fixed Income

| 94

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statements of Additional Information include additional information about the trustees of the Trust and are available by calling Natixis Funds at 800-225-5478.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

Independent Trustees
Graham T. Allison, Jr. (1940)	Trustee since 2003 and Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on Board of Trustees of the Trust and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience

Charles D. Baker (1956)***	Trustee from 2005 to 2009 and since 2011 and Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)	44 None	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including president and chief executive officer of a corporation

Edward A. Benjamin (1938)	Trustee since 2002 and Chairman of the Contract Review and Governance Committee	Retired	44 Formerly, Director, Precision Optics Corporation (optics manufacturer)	Significant experience on Board of Trustees of the Trust and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)

Daniel M. Cain (1945)	Trustee since 2003 and Contract Review and Governance Committee Member	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on Board of Trustees of the Trust and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

Kenneth A. Drucker (1945)	Trustee since 2008 and Chairman of the Audit Committee	Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including as treasurer of a corporation

95 |

Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

Wendell J. Knox (1948)	Trustee since 2009 and Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience at a management consulting company

Erik R. Sirri (1958)	Trustee since 2009 and Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on Board of Trustees of the Trust; Experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist

Peter J. Smail (1952)	Trustee since 2009 and Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on Board of Trustees of the Trust; Mutual fund industry and executive experience, including roles and president and chief executive officer for an investment advisor

Cynthia L. Walker (1956)	Trustee since 2005 and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	44 None	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience in a variety of academic organizations, including roles as dean for finance and administration

| 96

Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During the Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

Interested Trustees
Robert J. Blanding¹ (1947) 555 California Street San Francisco, CA 94104	Trustee since 2002 President and Chief Executive Officer since 2002	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on Board of Trustees of the Trust; continuing service as president, chairman, and chief executive officer of Loomis Sayles & Company, L.P.

David L. Giunta² (1965)***	Trustee since 2011 Executive Vice President	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company	44 None	Experience on Board of Trustees of the Trust; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

John T. Hailer³ (1960)	Trustee since 2003	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	44 None	Significant experience on Board of Trustees of the Trust; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

The trustees of the Trust serve as trustees of a fund complex that includes all series of the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV and Gateway Trust (collectively, the “Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (collectively, the “Loomis Sayles Funds Trusts”), and Hansberger International Series (collectively, the “Fund Complex”).

***	Messrs. Baker and Giunta were appointed as trustees effective January 1, 2011.

¹	Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis Sayles & Company, L.P.

²	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

³	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.

97 |

Trustee and Officer Information – continued


Officers of the Trust
Name and Year of Birth	Position(s) Held With the Trust	*Term of Office and Length of Time Served**	Principal Occupation(s) During Past 5 Years**
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Distributors, L.P., and Natixis Asset Management Advisors, L.P.

Daniel J. Fuss (1933) One Financial Center Boston, MA 02111	Executive Vice President	Since June 2003	Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane (1969)	Chief Compliance Officer; Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Distributors, L.P. and Natixis Asset Management Advisors, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

*	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

| 98

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			9
Statements of Assets and Liabilities			23
Statements of Operations			24
Statements of Changes in Net Assets			25
Financial Highlights			27
Notes to Financial Statements			29

ANNUAL REPORT

SEPTEMBER 30, 2011

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Dan Fuss, CFA, CIC

Kathleen Gaffney, CFA

Elaine Stokes

Symbol:


Institutional Class		LSIOX

Objective:

High current income.

Capital appreciation is the Fund’s secondary objective.

Strategy:

Invests substantially all of its assets, and may invest up to 100% of its assets, in high income securities. High income securities are fixed-income securities that Loomis Sayles believes have the potential to generate relatively high levels of current income.

Fund Inception Date:

April 12, 2004

Net Assets:

$61.6 million

Market Conditions

The momentum behind the rally in the high-yield and equity markets during the first half of the period faded fast as the second quarter of 2011 came to a close. The slide continued into the third quarter, as investors sought relative safety in the U.S. Treasury market. Continued market volatility, growing fears about Europe’s sovereign debt crisis and an inability to fully understand the potential of a global economic slowdown appeared to keep investors sidelined and out of the high-yield market. The seemingly endless buildup of stress in the European banking system and global financial markets generated volatility and caused many to question the strength of the global economic recovery.

Performance Results

For the 12 months ended September 30, 2011, Loomis Sayles High Income Opportunities Fund returned 1.81%. The fund outperformed its benchmark, the Barclays Capital U.S. Corporate High-Yield Bond Index, which returned 1.78% for the period.

Explanation of Fund Performance

The fund’s duration (price sensitivity to interest rate changes) strategy made the largest positive contribution to the fund’s return for the period. Specifically, we maintained a longer-than-benchmark duration, which helped enhance performance as interest rates fell throughout the period. When interest rates fall, funds with longer durations tend to experience greater price appreciation. The fund’s position in below-investment-grade industrial securities also was among the top contributors to performance, particularly in the technology, basic industry and consumer cyclical sectors. Solid underlying performance from paper, retail and automotive issues drove results. Investment grade industrials also contributed to positive performance, buoyed by holdings in capital goods and communications.

After delivering outperformance during the final quarter of 2010 and first quarter of 2011, the fund’s out-of-benchmark allocation to convertibles lagged during the second half of the period. Fears of Greece defaulting on its sovereign debt, combined with Standard & Poor’s downgrade of the United States’ long-term credit rating, ultimately led to a sharp selloff in the equity markets. Exposure to convertibles in the technology, consumer cyclical and non-cyclical, basic industry and capital goods industries dragged down performance. The fund’s position in high-yield financials, particularly exposure to finance companies, also posted negative results.

Outlook

Pronounced market illiquidity, re-pricing of risk assets for slower global growth, the effects of the Federal Reserve’s (The Fed) latest stimulus plan, named “Operation Twist,” and events in Europe are among the themes we will focus on through year-end. Growth expectations for the United States and other developed economies remain lackluster, as high volatility and an uncertain business environment persist. Geopolitical factors are further clouding the outlook. Details of new regulations (healthcare reform, the Dodd-Frank Act and Basel III financial regulation) have yet to be implemented, and election posturing in the United States will likely begin to overshadow policy formulation.

While our base case for economic growth for the remainder of 2011 and into 2012 remains less than robust, we believe there are many long term, fundamentally stable or improving credits that currently offer attractive relative value. Default expectations are historically low, many corporate balance sheets remain strong, and companies are behaving conservatively given the uncertain business climate. These are all factors that can potentially benefit bondholders.

1 |

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			Since Inception^(a)
Institutional Class (Inception 4/12/04)		1.81	%		6.83	%		7.53	%

Comparative Performance
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		1.78			7.08			7.21
Lipper High Current Yield Funds Index^(b)		0.91			4.81			5.48

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to September 30, 2011

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Since Index performance data is not available coincident with the fund’s inception date, the beginning value of the Index is the value of the month-end closest to the fund’s inception date.

^(b)

See page 5 for a description of the indices.

^(c)

The amount shown under Expense Ratio is 0.00% to reflect the fact that the fund does not pay any advisory, administration or distribution and service fees, and that Loomis Sayles has agreed to pay certain expenses of the fund.

What You Should Know

| 2

LOOMIS SAYLES SECURITIZED ASSET FUND

Fund and manager review

FUND FACTS

Managers:

Clifton Rowe, CFA

Alessandro Pagani, CFA

Symbol:


Institutional Class		LSSAX

Objective:

High level of current income consistent with capital preservation.

Strategy:

Invests at least 80% of its net assets (plus any borrowings made for investment purposes) in a diversified portfolio of securitized assets, such as mortgage-backed and other asset-backed securities.

Fund Inception Date:

March 2, 2006

Net Assets:

$685.7 million

Market Conditions

Late in 2010, investors began to pare back their projections for strong global growth in 2011, as negative headlines outweighed upbeat reports. In addition, the March 2011 natural and nuclear disasters in Japan led to auto and technology sector supply chain disruptions, while political unrest in the Middle East and Northern Africa sparked a flight to quality and a spike in oil prices. Domestically, orderly political dissatisfaction emerged in response to the lengthy Congressional debate over raising the U.S. debt ceiling. In early August, Standard & Poor’s downgraded the U.S. government’s long-term credit rating, further roiling the markets. Despite the downgrade, investors worldwide still sought the relative safety of U.S. Treasuries, pushing yields to record lows and demonstrating that U.S. debt remains the world’s choice for “perceived” safe-haven assets.

Performance Results

For the 12 months ended September 30, 2011, Loomis Sayles Securitized Asset Fund returned 5.59%. The fund outperformed its benchmark, the Barclays Capital U.S. Securitized Bond Index, which returned 5.46% for the period.

Explanation of Fund Performance

The fund’s positive performance was largely due to its higher-rated holdings, which tended to perform well in the volatile environment. In particular, the fund’s 30-year agency mortgage-backed securities (MBS) performed positively due to our selection of credits with more favorable prepayment profiles and income advantages that contributed to outperformance. Security selection within asset-backed securities (ABS), coupled with our preference for high-quality issues and the space’s relative yield advantage, added to total returns. Security selection within the commercial mortgage-backed securities (CMBS) also contributed positively, due to our preference for the most senior securities (which are repaid before other creditors in the event of a high level of defaults in asset-backed pools).

The fund’s shorter-than-benchmark yield curve (a curve that shows the relationship between bond yields across the maturity spectrum) positioning detracted from relative returns, as longer-duration securities (which generally have higher sensitivity to interest rate movements) tended to outperform. Despite positive security selection in the ABS space, the fund’s sector overweight position detracted from performance. Overall, the ABS sector did not perform as well as agency MBS, which accounted for a significant portion of the benchmark. Similarly, versus the benchmark, a sector overweight to CMBS detracted from performance. In addition, short-term Treasury futures used to manage the fund’s duration had a slightly negative effect on performance, as yields fell during the period.

Outlook

We expect the Federal Reserve Board to maintain its current interest rate policy well into 2012. In the intermediate term, we expect a gradual increase in market interest rates, as measured economic growth persists.

We are maintaining overweight positions in CMBS and ABS. While we expect fundamental weakness to persist in the mortgage and consumer loan markets, we believe the securities we hold are less susceptible to credit risk and may continue to offer competitive risk-adjusted returns. We expect the fund’s GSE (government-sponsored enterprise) mortgage positions to benefit from a relatively stable interest rate environment. We will continue to look for opportunities to take advantage of a flattening yield curve and will focus on income potential, rather than price appreciation. We believe GSEs continue to offer modest yield advantages with strong credit quality.

3 |

LOOMIS SAYLES SECURITIZED ASSET FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			Since inception^(a)
Institutional Class (Inception 3/2/06)		5.59	%		7.73	%		7.51	%

Comparative Performance
Barclays Capital U.S. Securitized Bond Index^(b)		5.46			6.47			6.30
Lipper U.S. Mortgage Funds Index^(b)		5.12			5.84			5.73

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to September 30, 2011

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Since Index performance data is not available coincident with the fund’s inception date, the beginning value of the Index is the value of the month-end closest to the fund’s inception date.

^(b)

See page 5 for a description of the indices.

^(c)

What you should know

| 4

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the Funds are actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Index Definitions

Barclays Capital U.S. Corporate High-Yield Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

Barclays Capital U.S. Securitized Bond Index is an unmanaged index of asset-backed securities, collateralized mortgage-backed securities (ERISA-eligible), and fixed-rate mortgage-backed securities.

Lipper High Current Yield Funds Index is an unmanaged index that tracks the average performance of the 30 largest high current yield funds according to Lipper Inc.

Lipper U.S. Mortgage Funds Index is an unmanaged index that tracks the average performance of the 30 largest U.S. mortgage funds according to Lipper Inc.

Source: Lipper, Inc.

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330; (ii) on the Funds’ website, www.loomissayles.com, and (iii) on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30, 2011 is available on (i) the Funds’ website and (ii) the SEC’s website.

Quarterly Portfolio Schedules

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330.

UNDERSTANDING FUND EXPENSES

Typically, mutual fund shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.

You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and to participants in “wrap fee” programs sponsored by broker-dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or Natixis Advisors. The institutional investment advisory clients of Loomis Sayles and Natixis Advisors pay Loomis Sayles or Natixis Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to Natixis Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to Natixis Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.

The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from April 1, 2011 through September 30, 2011. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual Fund returns and expenses.

The second line in each Fund’s table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio (0%) and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

5 |

Loomis Sayles High Income Opportunities Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$933.50		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.07		$0.00
* Expenses are equal to the Fund’s annualized expense ratio: 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$1,065.50		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.07		$0.00
* Expenses are equal to the Fund’s annualized expense ratio: 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 6

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

In connection with these meetings, the Trustees receive materials that the Funds’ investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreements. These materials generally include, among other items, (i) information on the investment performance of the Funds and the performance of peer groups of funds and the Funds’ performance benchmarks, (ii) information on the Funds’ advisory fees, if any, and other expenses, including information comparing the Funds’ expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Funds, (iv) information about the profitability of the Agreements to the Adviser and (v) information obtained through the completion of a questionnaire by the Adviser (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and financial condition, (ii) each Fund’s investment objective and strategies and the size, education and experience of the Adviser’s respective investment staffs and their use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iv) the procedures employed to determine the value of the Funds’ assets, (v) the allocation of the Funds’ brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Funds’ investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreements, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Funds’ investment performance. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against its peer group. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board of Trustees most recently approved the continuation of the Agreements at their meeting held in June 2011. The Agreements were continued for a one-year period for both Funds. In considering whether to approve the continuation of the Agreements, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates. They also considered the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Funds.

The Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

Investment performance of the Funds and the Adviser. As noted above, the Trustees received information about the performance of the Funds over various time periods, including information that compared the performance of the Funds to the performance of peer groups of funds and the Funds’ respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party that analyzed the performance of the Funds using a variety of performance metrics, including metrics that also measured the performance of the Funds on a risk adjusted basis.

With respect to the Funds, the Board concluded that the performance of the Funds or other factors relevant to performance supported renewal of each of the Agreements.

7 |

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. Under the terms of the Agreements, the Adviser does not charge the Funds an investment advisory fee or any other fee for services or for bearing expenses. The Trustees considered that, although the Funds do not compensate the Adviser directly for services under the Agreements, the Adviser will typically receive an advisory fee from its advisory clients who have invested in the Funds or from the sponsors of “wrap programs,” who in turn charge the programs’ participants. Because the Funds do not charge an advisory fee, the Trustees did not consider the profitability of the Adviser’s relationship to the Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements, that the advisory fee, of 0%, charged to each of the Funds was fair and reasonable and supported the renewal of the Agreements.

Economies of Scale. The Trustees noted that because the Adviser has borne most of the Funds’ expenses, economies of scale were not relevant to these Funds.

The Trustees also considered other factors, which included but were not limited to the following:

•

The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of each Fund.

•

So-called “fallout benefits” to the Adviser, such as the financial and other benefits to the Adviser from being able to offer the Funds to its advisory clients and investors in certain “wrap” programs and engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of an affiliated Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

The Trustees’ review and discussion of the Funds’ advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

| 8

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 87.2% of Net Assets

	Non-Convertible Bonds – 74.4%

		ABS Home Equity – 0.7%
$	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	63,394
	75,000	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.755%, 3/25/2035(b)		48,099
	125,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.685%, 6/25/2035(b)		74,597
	225,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.735%, 7/25/2035(b)		132,720
	90,790	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.885%, 12/26/2034(b)		67,342
	108,859	Structured Asset Securities Corp., Series 2007-EQ1, Class A2, 0.325%, 3/25/2037(b)		67,310

				453,462

		ABS Other – 0.1%
	51,136	Diamond Resorts Owner Trust, Series 2009-1, Class B, 12.000%, 3/20/2026, 144A		48,549

		Aerospace & Defense – 1.7%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		889,425
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		171,829

				1,061,254

		Airlines – 2.6%
	85,109	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		84,152
	38,192	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		37,047
	84,427	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		78,095
	98,988	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		94,534
	6,244	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		6,057
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		25,409
	189,085	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		190,503
	552,124	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		538,321


		Airlines – continued
$	198,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A	$	203,940
	352,133	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		352,133

				1,610,191

		Automotive – 1.6%
	139,000	Cummins, Inc., 6.750%, 2/15/2027		168,208
	165,000	Ford Motor Co., 6.625%, 2/15/2028		163,763
	35,000	Ford Motor Co., 7.125%, 11/15/2025		34,532
	110,000	Ford Motor Co., 7.500%, 8/01/2026		111,190
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		289,600
	200,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		210,000

				977,293

		Banking – 0.3%
	200,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		173,655

		Building Materials – 1.4%
	205,000	Masco Corp., 6.500%, 8/15/2032		181,564
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		130,862
	720,000	USG Corp., 6.300%, 11/15/2016		527,400
	30,000	USG Corp., 9.750%, 1/15/2018		24,113

				863,939

		Chemicals – 1.7%
	60,000	Georgia Gulf Corp., 9.000%, 1/15/2017, 144A		60,600
	675,000	Hercules, Inc., 6.500%, 6/30/2029		499,500
	160,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		117,200
	110,000	Koppers, Inc., 7.875%, 12/01/2019		114,125
	150,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		154,412
	160,000	Momentive Performance Materials, Inc., 9.000%, 1/15/2021		109,600

				1,055,437

		Collateralized Mortgage Obligations – 4.3%
	139,910	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.495%, 1/25/2036(b)		80,173
	88,476	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.298%, 10/25/2034(b)		64,898

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	133,925	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.037%, 9/25/2045(b)	$	103,720
	164,488	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.445%, 5/25/2035(b)		92,898
	183,702	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.575%, 3/25/2035(b)		98,495
	150,994	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.740%, 11/25/2035(b)		132,726
	58,877	Indymac Index Mortgage Loan Trust, Series 2004-AR7, Class A2, 1.095%, 9/25/2034(b)		36,573
	205,212	Indymac Index Mortgage Loan Trust, Series 2005-AR1, Class 3A1, 2.583%, 3/25/2035(b)		156,324
	202,759	Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.535%, 7/25/2035(b)		123,477
	73,729	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.730%, 4/25/2035(b)		53,473
	120,917	Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.433%, 2/25/2036(b)		77,513
	233,196	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.735%, 1/25/2036(b)		133,262
	246,418	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		193,437
	99,579	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.355%, 7/25/2037(b)(c)		39,554
	206,387	Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.435%, 10/25/2046(b)		125,136
	101,063	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.612%, 3/25/2035(b)		84,205
	295,519	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.395%, 1/25/2047(b)		159,986
	354,302	Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, 0.415%, 11/25/2036(b)		167,427
	230,526	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036		145,232
	135,494	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, 2.531%, 6/25/2034(b)		117,223
	203,126	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.850%, 9/25/2046(b)		144,528

		Collateralized Mortgage Obligations – continued
$	256,297	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.202%, 8/25/2046(b)	$	115,736
	295,343	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.475%, 1/25/2047(b)		108,342
	23,535	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.726%, 3/25/2035(b)		20,888
	79,882	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.739%, 4/25/2035(b)		73,845

				2,649,071

		Commercial Mortgage-Backed Securities – 0.4%
	194,752	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.867%, 6/19/2035(b)		164,500
	25,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class AM, 5.867%, 12/10/2049		20,145
	90,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.790%, 8/10/2045(b)		65,487

				250,132

		Construction Machinery – 0.5%
	200,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		173,000
	140,000	Terex Corp., 8.000%, 11/15/2017		123,900

				296,900

		Consumer Products – 0.2%
	120,000	Visant Corp., 10.000%, 10/01/2017		111,000

		Diversified Manufacturing – 0.4%
	249,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		234,060

		Electric – 4.7%
	20,000	AES Corp. (The), 8.000%, 10/15/2017		20,100
	325,000	AES Corp. (The), 8.000%, 6/01/2020		325,000
	49,300	CE Generation LLC, 7.416%, 12/15/2018		52,070
	300,000	Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A		289,500
	525,000	Edison Mission Energy, 7.625%, 5/15/2027		288,750
	460,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)(e)		165,600
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		256,080
	345,000	RRI Energy, Inc., 7.875%, 6/15/2017		317,400

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Electric – continued
$	160,000	TXU Corp., Series P, 5.550%, 11/15/2014	$	98,400
	1,415,000	TXU Corp., Series Q, 6.500%, 11/15/2024		537,700
	515,000	TXU Corp., Series R, 6.550%, 11/15/2034		190,550
	365,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(d)		354,068

				2,895,218

		Food & Beverage – 0.6%
	50,000	ARAMARK Holdings Corp., 8.625%, 5/01/2016, 144A(f)		49,250
	110,000	Dean Foods Co., 7.000%, 6/01/2016		103,675
	185,000	Del Monte Foods Co., 7.625%, 2/15/2019, 144A		156,325
	110,000	Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A		82,500

				391,750

		Gaming – 1.5%
	895,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		532,525
	290,000	MGM Resorts International, 7.500%, 6/01/2016		251,575
	145,000	MGM Resorts International, 7.625%, 1/15/2017		124,337

				908,437

		Government Owned – No Guarantee – 0.9%
	600,000	DP World Ltd., 6.850%, 7/02/2037, 144A		546,000

		Healthcare – 5.6%
	630,000	CDRT Merger Sub, Inc., 8.125%, 6/01/2019, 144A		582,750
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021, 144A		4,687
	241,000	HCA, Inc., 6.500%, 2/15/2016		230,155
	430,000	HCA, Inc., 7.050%, 12/01/2027		359,050
	30,000	HCA, Inc., 7.500%, 12/15/2023		27,000
	1,240,000	HCA, Inc., 7.500%, 11/06/2033		1,057,100
	260,000	HCA, Inc., 7.690%, 6/15/2025		234,000
	40,000	HCA, Inc., 8.360%, 4/15/2024		38,300
	200,000	HCA, Inc., MTN, 7.580%, 9/15/2025		179,000
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		17,300
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		741,000

				3,470,342


		Home Construction – 2.0%
$	290,000	KB Home, 7.250%, 6/15/2018	$	227,650
	215,000	Lennar Corp., 6.950%, 6/01/2018		191,350
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		482,400
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		326,650

				1,228,050

		Hybrid ARMs – 0.1%
	167,943	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 3.030%, 4/25/2035(b)		74,275

		Independent Energy – 0.4%
	260,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		279,081

		Industrial Other – 0.5%
	305,000	Chart Industries, Inc., 9.125%, 10/15/2015		315,492

		Life Insurance – 0.5%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		326,525

		Lodging – 0.6%
	42,000	Felcor Lodging LP, 10.000%, 10/01/2014		43,680
	315,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		318,937

				362,617

		Media Cable – 1.1%
	640,000	CSC Holdings LLC, 7.625%, 7/15/2018		668,800

		Media Non-Cable – 0.8%
	395,000	Intelsat S.A., 11.250%, 2/04/2017		342,662
	185,000	RR Donnelley & Sons Co., 7.250%, 5/15/2018		167,194

				509,856

		Metals & Mining – 1.8%
	70,000	ArcelorMittal, 6.750%, 3/01/2041		60,494
	340,000	ArcelorMittal, 7.000%, 10/15/2039		303,237
	80,000	United States Steel Corp., 6.050%, 6/01/2017		72,800
	275,000	United States Steel Corp., 6.650%, 6/01/2037		211,750
	600,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		462,000

				1,110,281

		Non-Captive Consumer – 4.2%
	325,000	Residential Capital LLC, 9.625%, 5/15/2015		251,875
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		57,124

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Consumer – continued
$	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033	$	676,851
	306,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		318,291
	200,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		184,000
	40,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		29,200
	180,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		153,900
	500,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		356,250
	800,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		576,000

				2,603,491

		Non-Captive Diversified – 2.1%
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		54,300
	331,000	Ally Financial, Inc., 8.000%, 11/01/2031		290,453
	95,000	Ally Financial, Inc., 8.300%, 2/12/2015		93,931
	510,000	CIT Group, Inc., 7.000%, 5/01/2017		494,700
	120,000	International Lease Finance Corp., 8.250%, 12/15/2020		117,600
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		57,750
	190,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		164,825

				1,273,559

		Oil Field Services – 2.5%
	680,000	Basic Energy Services, Inc., 7.125%, 4/15/2016		646,000
	550,000	OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A		492,250
	130,000	Parker Drilling Co., 9.125%, 4/01/2018		131,300
	235,000	Pioneer Drilling Co., 9.875%, 3/15/2018		245,575

				1,515,125

		Packaging – 0.6%
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 7.875%, 8/15/2019, 144A		96,500
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A		79,000
	95,000	Sealed Air Corp., 8.125%, 9/15/2019, 144A		95,950

		Packaging – continued
$	75,000	Sealed Air Corp., 8.375%, 9/15/2021, 144A	$	75,750

				347,200

		Paper – 1.2%
	190,000	Westvaco Corp., 7.950%, 2/15/2031		214,411
	455,000	Westvaco Corp., 8.200%, 1/15/2030		515,837

				730,248

		Pharmaceuticals – 1.8%
	35,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		32,244
	470,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		407,137
	150,000	Valeant Pharmaceuticals International, 6.875%, 12/01/2018, 144A		135,750
	175,000	Valeant Pharmaceuticals International, 7.000%, 10/01/2020, 144A		154,875
	455,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		399,263

				1,129,269

		Refining – 1.4%
	15,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		13,800
	310,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019, 144A		288,300
	500,000	Petroplus Finance Ltd., 6.750%, 5/01/2014, 144A		435,000
	150,000	Petroplus Finance Ltd., 7.000%, 5/01/2017, 144A		121,500

				858,600

		REITs – Shopping Centers – 0.3%
	190,000	Developers Diversified Realty Corp., 7.875%, 9/01/2020		201,274

		Retailers – 3.5%
	155,000	Dillard’s, Inc., 6.625%, 1/15/2018		151,900
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		427,200
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		175,000
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		73,875
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		284,200
	180,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		181,364
	985,000	Toys R Us, Inc., 7.375%, 10/15/2018		837,250

				2,130,789

		Supermarkets – 1.1%
	70,000	American Stores Co., 8.000%, 6/01/2026		59,500
	220,000	New Albertson’s, Inc., 7.750%, 6/15/2026		180,400

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Supermarkets – continued
$	605,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	420,475

				660,375

		Technology – 6.9%
	190,000	Advanced Micro Devices, Inc., 8.125%, 12/15/2017		190,000
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,506,600
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		240,700
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		141,375
	665,000	First Data Corp., 8.250%, 1/15/2021, 144A		525,350
	655,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(g)		674,650

				4,278,675

		Textile – 0.5%
	425,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		299,625

		Transportation Services – 0.8%
	185,000	APL Ltd., 8.000%, 1/15/2024(d)		118,400
	20,995	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		19,316
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(k)		263,863
	155,000	Overseas Shipholding Group, 7.500%, 2/15/2024		103,463

				505,042

		Wireless – 2.1%
	520,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		487,500
	170,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		161,075
	65,000	NII Capital Corp., 7.625%, 4/01/2021		64,512
	766,000	Sprint Capital Corp., 6.875%, 11/15/2028		572,585

				1,285,672

		Wirelines – 8.4%
	765,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		627,300
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		189,000
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		166,100
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		181,938
	200,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		183,000

		Wirelines – continued
$	15,000	Frontier Communications Corp., 7.000%, 11/01/2025	$	12,900
	80,000	Frontier Communications Corp., 7.125%, 3/15/2019		76,200
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		256,750
	805,000	Frontier Communications Corp., 7.875%, 1/15/2027		696,325
	790,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		727,787
	539,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		532,263
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		415,200
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		326,025
	190,000	Qwest Corp., 6.875%, 9/15/2033		179,550
	10,000	Qwest Corp., 7.250%, 9/15/2025		9,650
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		342,801
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		276,500

				5,199,289

		Total Non-Convertible Bonds
		(Identified Cost $49,704,060)		45,889,900


	Convertible Bonds – 12.8%
		Automotive – 1.9%
	75,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		51,094
	765,000	Ford Motor Co., 4.250%, 11/15/2016		993,544
	115,000	Navistar International Corp., 3.000%, 10/15/2014		114,137

				1,158,775

		Diversified Manufacturing – 1.2%
	515,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		463,500
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		296,587

				760,087

		Electric – 0.8%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		480,975

		Healthcare – 1.1%
	450,000	Hologic, Inc., 2.000% (accretes to principal after 12/15/2013), 12/15/2037 (h)		421,312
	50,000	Hologic, Inc., 2.000% (accretes to principal after 12/15/2016), 12/15/2037 (h)		51,688
	165,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		167,063

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Healthcare – continued
$	55,000	Omnicare, Inc., 3.750%, 12/15/2025	$	61,531

				701,594

		Home Construction – 0.1%
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		28,125
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		13,969

				42,094

		Independent Energy – 0.5%
	190,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		161,262
	135,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		128,588

				289,850

		Media Non-Cable – 0.1%
	149,832	Liberty Media LLC, 3.500%, 1/15/2031		80,909

		Metals & Mining – 0.6%
	250,000	Peabody Energy Corp., 4.750%, 12/15/2066		258,750
	95,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		97,731

				356,481

		Pharmaceuticals – 0.5%
	325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		336,375

		Technology – 3.9%
	5,000	Ciena Corp., 0.250%, 5/01/2013		4,769
	635,000	Ciena Corp., 0.875%, 6/15/2017		463,550
	335,000	Ciena Corp., 3.750%, 10/15/2018, 144A		296,894
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		28,763
	435,000	Intel Corp., 2.950%, 12/15/2035		440,981
	440,000	Intel Corp., 3.250%, 8/01/2039		517,550
	210,000	Micron Technology, Inc., 1.875%, 6/01/2014		196,087
	470,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		359,550
	60,000	SanDisk Corp., 1.500%, 8/15/2017		62,625

				2,370,769

		Textile – 0.1%
	50,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		46,625


		Wireless – 0.0%
$	40,000	Clearwire Communications LLC/Clearwire Finance, Inc., 8.250%, 12/01/2040, 144A	$	19,300

		Wirelines – 2.0%
	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(d)		1,211,730

		Total Convertible Bonds
		(Identified Cost $7,324,468)		7,855,564


		Total Bonds and Notes
		(Identified Cost $57,028,528)		53,745,464


	Senior Loans – 0.2%
		Media Non-Cable – 0.2%
	181,970	Tribune Company, Term Loan X, 5.000%, 6/04/2009(b)(g)(i)		94,284

		Wireless – 0.0%
	30,539	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(f)		30,415


		Total Senior Loans
		(Identified Cost $234,962)		124,699


	Shares

	Preferred Stocks – 4.5%

	Convertible Preferred Stocks – 3.4%

		Automotive – 1.8%
	25,250	General Motors Co., Series B, 4.750%		885,770
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		248,501

				1,134,271

		Banking – 0.0%
	100	Sovereign Capital Trust IV, 4.375%		4,825

		Consumer Products – 0.4%
	5,724	Newell Financial Trust I, 5.250%		240,408

		Electric – 0.6%
	7,975	AES Trust III, 6.750%		388,542


		Pipelines – 0.6%
	8,050	El Paso Energy Capital Trust I, 4.750%		359,996


		Total Convertible Preferred Stocks
		(Identified Cost $2,486,182)		2,128,042

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued


Shares		Description	Value (†)


	Preferred Stock – continued

	Non-Convertible Preferred Stocks – 1.1%

		Non-Captive Diversified – 1.1%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%	$	198,058
	803	Ally Financial, Inc., Series G, 7.000%, 144A		481,800


		Total Non-Convertible Preferred Stocks
		(Identified Cost $722,540)		679,858


		Total Preferred Stocks
		(Identified Cost $3,208,722)		2,807,900


	Common Stocks – 1.2%

		Diversified Telecommunication Services – 0.6%
	940	FairPoint Communications, Inc.(e)		4,042
	1,017	Hawaiian Telcom Holdco, Inc.(e)		14,177
	16,842	Telefonica S.A., Sponsored ADR		322,019

				340,238

		Household Durables – 0.2%
	23,775	KB Home		139,321

		Media – 0.0%
	321	Dex One Corp.(e)		180

		Oil, Gas & Consumable Fuels – 0.4%
	9,278	Chesapeake Energy Corp.		237,053


		Total Common Stocks
		(Identified Cost $964,906)		716,792


	Warrants – 0.0%
	1,603	FairPoint Communications, Inc., Expiration on 1/24/2018(d)(e)(j)
		(Identified Cost $0)		—


	Principal Amount

	Short-Term Investments – 5.6%
$	3,468,225	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $3,468,225 on 10/03/2011 collateralized by $3,535,000 Federal Home Loan Mortgage Corp., 0.600% due 8/23/2013 valued at $3,539,450 including accrued interest (Note 2 of Notes to Financial Statements)
		(Identified Cost $3,468,225)		3,468,225


		Total Investments – 98.7%
		(Identified Cost $64,905,343)(a)		60,863,080
		Other assets less liabilities—1.3%		781,968


		Net Assets – 100.0%	$	61,645,048



	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized depreciation on investments based on a cost of $65,216,504 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,395,282
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,748,706	)

		Net unrealized depreciation	$	(4,353,424	)

	(b)	Variable rate security. Rate as of September 30, 2011 is disclosed.
	(c)	The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued.
	(d)	Illiquid security. At September 30, 2011, the value of these securities amounted to $1,849,798 or 3.0% of net assets.
	(e)	Non-income producing security.
	(f)	All or a portion of interest payment is paid-in-kind.
	(g)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(i)	Issuer has filed for bankruptcy.
	(j)	Fair valued security by the Fund’s investment adviser. At September 30, 2011, the value of this security amounted to $0.
	(k)	Maturity has been extended under the terms of a plan of reorganization.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $11,995,612 or 19.5% of net assets.
	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles High Income Opportunities Fund – continued

Industry Summary at September 30, 2011 (Unaudited)


Technology	10.8	%
Wirelines	10.4
Healthcare	6.7
Electric	6.1
Automotive	5.3
Collateralized Mortgage Obligations	4.3
Non-Captive Consumer	4.2
Retailers	3.5
Non-Captive Diversified	3.2
Airlines	2.6
Oil Field Services	2.5
Metals & Mining	2.4
Pharmaceuticals	2.3
Wireless	2.1
Home Construction	2.1
Other Investments, less than 2% each	24.6
Short-Term Investments	5.6

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 119.6% of Net Assets

		ABS Car Loan – 15.0%
$	5,290,000	Ally Auto Receivables Trust, Series 2010-4, Class A3, 0.910%, 11/17/2014	$	5,304,588
	7,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016		7,362,339
	2,900,000	AmeriCredit Automobile Receivables Trust, Series 2010-4, Class A3, 1.270%, 4/08/2015		2,908,896
	2,455,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		2,465,982
	1,411,117	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.679%, 8/15/2018, 144A(b)		1,419,001
	2,800,000	Avis Budget Rental Car Funding AESOP LLC, Series 2009-1A, Class A, 9.310%, 10/20/2013, 144A		2,972,775
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,541,313
	466,481	Capital One Auto Finance Trust, Series 2007-C, Class A4, 5.230%, 7/15/2014		471,729
	1,097,017	CarMax Auto Owner Trust, Series 2009-2, Class A3, 1.740%, 4/15/2014		1,103,826
	627,338	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		662,396
	8,170,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		8,306,528
	9,000,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		8,966,520
	4,790,000	Harley-Davidson Motorcycle Trust, Series 2010-1, Class A3, 1.160%, 2/15/2015		4,809,910
	2,740,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A		2,840,451
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,454,127
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,706,202
	5,600,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		5,703,077
	1,305,000	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		1,342,756
	9,590,000	Nissan Auto Lease Trust, Series 2010-B, Class A3, 1.120%, 12/15/2013		9,631,819
	5,350,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		5,356,300

		ABS Car Loan – continued
$	7,718,260	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A	$	7,686,616
	2,882,757	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		2,880,451
	9,940,000	Volkswagen Auto Lease Trust, Series 2010-A, Class A3, 0.990%, 11/20/2013		9,966,461

				102,864,063

		ABS Credit Card – 6.1%
	2,670,000	Capital One Multi-Asset Execution Trust, Series 2007-A5, Class A5, 0.269%, 7/15/2020(b)		2,585,315
	4,215,000	Citibank Credit Card Issuance Trust, Series 2007-A8, Class A8, 5.650%, 9/20/2019		5,035,116
	11,410,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 2.979%, 8/15/2018, 144A(b)		11,938,093
	1,335,000	GE Capital Credit Card Master Note Trust, Series 2007-2, Class B, 0.409%, 3/15/2015(b)		1,331,219
	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A		3,124,579
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,602,985
	1,520,000	World Financial Network Credit Card Master Trust, Series 2006-A, Class A, 0.359%, 2/15/2017, 144A(b)		1,505,374
	9,695,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,440,501

				41,563,182

		ABS Home Equity – 0.4%
	548,699	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		516,518
	1,465,270	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		1,006,214
	2,043,456	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.385%, 7/25/2036(b)		1,244,503

				2,767,235

		ABS Other – 3.6%
	6,085,728	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		6,136,508
	3,180,000	GE Dealer Floorplan Master Note Trust, Series 2011-1, Class A, 0.831%, 7/20/2016(b)		3,179,981
	1,024,016	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		1,058,978

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		ABS Other – continued
$	3,125,850	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026, 144A(c)	$	3,125,850
	1,329,611	Sierra Receivables Funding Co., Series 2007-1A, Class A2, 0.381%, 3/20/2019, 144A(b)		1,270,661
	258,386	Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A		259,507
	974,949	Sierra Receivables Funding Co., Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		1,007,582
	1,689,073	Sierra Receivables Funding Co., Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		1,730,475
	1,719,577	Sierra Receivables Funding Co., Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		1,740,487
	5,294,682	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.729%, 7/15/2041, 144A(b)		5,294,640

				24,804,669

		ABS Student Loan – 2.9%
	4,900,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.261%, 7/01/2024(b)		4,845,049
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.253%, 7/25/2025(b)		15,398,610

				20,243,659

		Collateralized Mortgage Obligations – 26.9%
	991,225	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		540,607
	589,509	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.293%, 7/25/2021(b)		427,627
	467,930	Countrywide Home Loans, Series 2004-HYB5, Class 6A2, 2.666%, 4/20/2035(b)		143,435
	764,178	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(d)(e)		134,229
	6,500,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019(d)		7,295,099
	2,797,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(d)		3,310,311
	10,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(d)		11,233,546
	7,118,435	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.444%, 6/15/2048(b)(d)(e)		7,476,307
	5,580,606	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		534,959

		Collateralized Mortgage Obligations – continued
$	2,214,611	Federal National Mortgage Association, REMIC, Series 2004-1, Class CK, 5.500%, 11/25/2031(d)	$	2,258,748
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(d)		11,334,554
	12,697,417	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 5.000%, 8/25/2038(b)(d)		12,917,434
	3,332,900	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 5.751%, 3/25/2039(b)(d)		3,560,474
	665,483	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/01/2033(d)(e)		160,962
	910,231	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 8/01/2033(d)(e)		130,181
	4,109,534	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 8/01/2033(d)(e)		628,435
	10,117,836	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/01/2035(d)(e)		1,487,057
	4,047,396	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/01/2035(d)(e)		588,341
	3,688,819	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/01/2036(d)(e)		618,070
	7,179,255	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/01/2036(d)(e)		1,121,102
	2,576,636	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/01/2036(d)(e)		388,585
	3,183,689	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/01/2036(d)(e)		469,405
	3,733,968	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/01/2037(d)(e)		544,865
	3,202,618	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(d)(e)		499,491
	1,448,874	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(d)(e)		242,545
	2,657,039	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(d)(e)		380,759
	691,898	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/01/2038(d)(e)		101,647
	5,222,891	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(d)(e)		497,826
	12,859,706	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(d)(e)		1,745,452

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	4,416,340	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(d)(e)	$	698,208
	2,845,997	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(d)(e)		473,088
	2,417,421	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(d)(e)		310,615
	11,745,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(d)		12,993,791
	9,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(d)		10,507,040
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(d)		17,654,106
	2,670,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		2,679,612
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2046(d)		29,229,591
	3,787,879	First Horizon Alternative Mortgage Securities, Series 2006-AA3, Class A1, 2.333%, 6/25/2036(b)		1,888,099
	657,889	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.497%, 7/25/2035(b)		568,102
	3,670,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		3,846,117
	5,690,960	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.674%, 10/07/2020(b)		5,699,837
	19,094,183	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.784%, 12/08/2020(b)		19,210,467
	382,323	Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		331,420
	1,586,886	Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,400,668
	82,707	Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		72,201
	8,044,598	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.766%, 11/25/2036(b)		5,864,029

		Collateralized Mortgage Obligations – continued
$	508,632	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.691%, 10/25/2035(b)	$	465,888

				184,664,932

		Commercial Mortgage-Backed Securities – 29.5%
	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.194%, 9/10/2047(b)		207,859
	350,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.731%, 5/10/2045(b)		383,560
	220,123	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046		219,934
	6,017,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		6,284,269
	67,208	Bear Stearns Commercial Mortgage Securities, Series 2005-T18, Class A2, 4.556%, 2/13/2042		67,129
	3,520,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		3,631,225
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.715%, 6/11/2040(b)		1,279,864
	7,500,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		8,159,257
	8,870,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		9,143,205
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.750%, 6/10/2046(b)		272,683
	4,860,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 5.817%, 6/15/2038(b)		5,189,766
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,560,464
	6,778,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.714%, 6/15/2039(b)		7,058,501
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.795%, 9/15/2039(b)		5,286,550
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		11,893,228
	1,508,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.207%, 2/15/2041(b)		1,583,652
	6,600,000	Extended Stay America Trust, Series 2010-ESHA, Class B, 4.221%, 11/05/2027, 144A		6,344,125

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039	$	9,067,734
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		14,221,874
	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		132,863
	741,326	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A2, 4.475%, 7/10/2039		740,771
	1,815,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		1,926,185
	275,547	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038		278,954
	6,730,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		7,143,700
	7,500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		7,925,700
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.790%, 8/10/2045(b)		12,986,437
	7,980,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		8,505,682
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,323,504
	2,580,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class A4, 5.739%, 2/12/2049(b)		2,734,245
	7,585,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		7,864,348
	165,252	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030		166,133
	2,440,000	LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4, 5.661%, 3/15/2039		2,666,198
	7,500,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038		7,921,898
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.427%, 2/12/2039(b)		1,093,640
	250,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.902%, 6/12/2046(b)		276,656

		Commercial Mortgage-Backed Securities – continued
$	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A4, 5.414%, 7/12/2046	$	1,073,206
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		4,761,904
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		7,719,973
	1,330,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		1,432,214
	252,540	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.746%, 8/12/2041(b)		253,367
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		9,464,898
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.884%, 6/11/2049(b)		7,825,211
	23,878	Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A2, 4.380%, 10/15/2041		23,883
	7,600,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045		8,179,470

				202,275,919

		Hybrid ARMs – 7.3%
	2,364,414	FHLMC, 2.495%, 4/01/2035(b)(d)		2,494,410
	207,703	FHLMC, 2.549%, 1/01/2035(b)(d)		218,305
	4,244,053	FHLMC, 3.364%, 11/01/2036(b)(d)		4,496,348
	1,056,838	FHLMC, 5.071%, 1/01/2036(b)(d)		1,131,135
	2,786,678	FHLMC, 5.921%, 2/01/2037(b)(d)		2,968,877
	1,999,030	FHLMC, 6.017%, 11/01/2036(b)(d)		2,157,728
	2,568,042	FNMA, 2.373%, 9/01/2034(b)(d)		2,695,408
	1,190,671	FNMA, 3.343%, 9/01/2036(b)(d)		1,255,363
	9,013,828	FNMA, 5.149%, 8/01/2038(b)(d)		9,645,786
	1,288,667	FNMA, 5.307%, 10/01/2035(b)(d)		1,390,723
	18,558,579	FNMA, 5.787%, 9/01/2037(b)		20,032,667
	1,449,598	FNMA, 5.932%, 2/01/2037(b)(d)		1,548,999

				50,035,749

		Mortgage Related – 27.9%
	9,444,605	FHLMC, 5.000%, with various maturities from 2022 to 2036(d)(f)		10,182,810
	20,144,794	FHLMC, 5.500%, with various maturities from 2034 to 2040(d)(f)		21,872,466

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Mortgage Related – continued
$	5,734,754	FHLMC, 6.000%, with various maturities from 2036 to 2037(d)(f)	$	6,361,628
	26,700,000	FHLMC (TBA), 4.500%, 10/01/2041(g)		28,239,421
	33,000,000	FHLMC (TBA), 5.000%, 10/01/2041(g)		35,382,187
	34,000,000	FHLMC (TBA), 5.500%, 10/01/2041(g)		36,767,811
	20,000,000	FHLMC (TBA), 6.000%, 10/01/2041(g)		21,909,376
	352,895	FNMA, 4.500%, 10/01/2035(d)		376,182
	9,481,652	FNMA, 5.500%, with various maturities from 2034 to 2038(d)(f)		10,421,069
	4,843,875	FNMA, 6.000%, with various maturities from 2034 to 2037(d)(f)		5,380,711
	17,440	FNMA, 7.000%, 12/01/2037(d)		20,029
	12,500,000	FNMA (TBA), 3.000%, 11/01/2026(g)		12,828,124
	1,295,000	FNMA (TBA), 6.000%, 10/01/2041(g)		1,420,453
	49,462	GNMA, 6.000%, 6/15/2036(d)		55,267

				191,217,534


		Total Bonds and Notes
		(Identified Cost $798,503,534)		820,436,942


	Short-Term Investments – 0.6%
	3,504,819	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $3,504,819 on 10/03/2011 collateralized by $3,575,000 Federal Home Loan Mortgage Corp., 0.600% due 8/23/2013 valued at $3,579,500 including accrued interest (Note 2 of Notes of Financial Statements)		3,504,819
	500,000	U.S. Treasury Bill, 0.011%, 12/01/2011(h)(i)		499,990


		Total Short-Term Investments
		(Identified Cost $4,004,810)		4,004,809


		Total Investments – 120.2%
		(Identified Cost $802,508,344)(a)		824,441,751
		Other assets less liabilities—(20.2)%		(138,749,585	)


		Net Assets – 100.0%	$	685,692,166


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $802,517,585 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	31,829,526
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,905,360	)

		Net unrealized appreciation	$	21,924,166

	(b)	Variable rate security. Rate as of September 30, 2011 is disclosed.
	(c)	Illiquid security. At September 30, 2011, the value of these securities amounted to $3,125,850 or 0.5% of net assets.
	(d)	All or a portion of this security has been designated to cover the Fund’s obligations under open futures contracts or TBA transactions.
	(e)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(f)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(g)	Delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)	All or a portion of this security has been pledged as initial margin for open futures contracts.
	(i)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $90,973,239 or 13.3% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GNMA	Government National Mortgage Association
	REMIC	Real Estate Mortgage Investment Conduit
	TBA	To Be Announced

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Securitized Asset Fund – continued

At September 30, 2011, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/30/2011		151	$	18,495,141	$	(49,823	)
10 Year U.S. Treasury Note		12/20/2011		98		12,749,188		(144,117	)

Total							$	(193,940	)

Industry Summary at September 30, 2011 (Unaudited)


Commercial Mortgage-Backed Securities	29.5	%
Mortgage Related	27.9
Collateralized Mortgage Obligations	26.9
ABS Car Loan	15.0
Hybrid ARMs	7.3
ABS Credit Card	6.1
ABS Other	3.6
ABS Student Loan	2.9
ABS Home Equity	0.4
Short-Term Investments	0.6

Total Investments	120.2
Other assets less liabilities (including open futures contracts)	(20.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

22 |

Statements of Assets and Liabilities

September 30, 2011


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	64,905,343		$	802,508,344
Net unrealized appreciation (depreciation)		(4,042,263	)		21,933,407

Investments at value		60,863,080			824,441,751
Receivable for Fund shares sold		36,628			550,764
Receivable for securities sold		76,214			15,116,719
Receivable for delayed delivery securities sold (Note 2)		—			13,285,706
Dividends and interest receivable		1,046,177			3,143,057

TOTAL ASSETS		62,022,099			856,537,997


LIABILITIES
Payable for securities purchased		370,537			20,111,905
Payable for delayed delivery securities purchased (Note 2)		—			150,409,856
Payable for Fund shares redeemed		6,514			316,893
Payable for variation margin on futures contracts		—			7,177

TOTAL LIABILITIES		377,051			170,845,831

NET ASSETS	$	61,645,048		$	685,692,166

NET ASSETS CONSIST OF:
Paid-in capital	$	70,147,255		$	648,437,645
Undistributed net investment income		242,566			3,041,906
Accumulated net realized gain (loss) on investments and futures contracts		(4,702,510	)		12,473,148
Net unrealized appreciation (depreciation) on investments and futures contracts		(4,042,263	)		21,739,467

NET ASSETS	$	61,645,048		$	685,692,166


NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	61,645,048		$	685,692,166

Shares of beneficial interest		6,583,147			61,596,679

Net asset value, offering and redemption price per share	$	9.36		$	11.13

See accompanying notes to financial statements.

23 |

Statements of Operations

For the Year Ended September 30, 2011


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	4,704,477		$	25,215,950
Dividends		185,281			—

Investment income		4,889,758			25,215,950


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss) on:
Investments		1,655,365			18,833,013
Futures contracts		—			(1,447,247	)
Net change in unrealized appreciation (depreciation) on:
Investments		(4,986,457	)		(5,060,042	)
Futures contracts		—			(193,940	)

Net realized and unrealized gain (loss) on investments and futures contracts		(3,331,092	)		12,131,784


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,558,666		$	37,347,734

See accompanying notes to financial statements.

| 24

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Year Ended September 30, 2011			Year Ended September 30, 2010			Year Ended September 30, 2011			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income	$	4,889,758		$	5,589,114		$	25,215,950		$	18,710,575
Net realized gain on investments and futures contracts		1,655,365			1,485,070			17,385,766			3,355,685
Net change in unrealized appreciation (depreciation) on investments and futures contracts		(4,986,457	)		5,014,237			(5,253,982	)		39,981,038

Net increase in net assets resulting from operations		1,558,666			12,088,421			37,347,734			62,047,298

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(5,126,665)			(5,690,124	)		(28,192,737	)		(20,474,786	)
Net realized capital gains
Institutional Class		—			—			—			(4,702,129	)

Total distributions		(5,126,665	)		(5,690,124	)		(28,192,737	)		(25,176,915	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(346,709	)		(12,548,060	)		23,238,233			325,960,515

Net increase (decrease) in net assets		(3,914,708	)		(6,149,763	)		32,393,230			362,830,898
NET ASSETS
Beginning of the year		65,559,756			71,709,519			653,298,936			290,468,038

End of the year	$	61,645,048		$	65,559,756		$	685,692,166		$	653,298,936

UNDISTRIBUTED NET INVESTMENT INCOME	$	242,566		$	501,262		$	3,041,906		$	2,721,800

See accompanying notes to financial statements.

25 |

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| 26

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains (b)			Total distributions
HIGH INCOME OPPORTUNITIES FUND

Institutional Class
9/30/2011	$	9.92	$	0.74	$	(0.52	)	$	0.22		$	(0.78	)	$	—		$	(0.78	)
9/30/2010		9.07		0.78		0.86			1.64			(0.79	)		—			(0.79	)
9/30/2009		8.26		0.79		0.84			1.63			(0.81	)		(0.01	)		(0.82	)
9/30/2008		10.42		0.82		(2.09	)		(1.27	)		(0.82	)		(0.07	)		(0.89	)
9/30/2007		10.39		0.77		0.01	(f)		0.78			(0.75	)		(0.00	)		(0.75	)

SECURITIZED ASSET FUND

Institutional Class
9/30/2011	$	10.99	$	0.41	$	0.19		$	0.60		$	(0.46	)	$	—		$	(0.46	)
9/30/2010		10.16		0.41		1.08			1.49			(0.49	)		(0.17	)		(0.66	)
9/30/2009		9.60		0.50		0.66			1.16			(0.57	)		(0.03	)		(0.60	)
9/30/2008		10.07		0.55		(0.45	)		0.10			(0.57	)		—			(0.57	)
9/30/2007		10.13		0.55		(0.10	)		0.45			(0.51	)		(0.00	)		(0.51	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Periods less than one year, if applicable, are not annualized.

(d)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(e)

Computed on an annualized basis for periods less than one year, if applicable.

(f)

See accompanying notes to financial statements.

27 |


							Ratios to Average Net Assets:
Net asset value, end of the period		Total return (%) (c)			Net assets, end of the period (000’s)		Net expenses (%) (d)		Gross expenses (%) (d)		Net investment income (%) (e)		Portfolio turnover rate (%)



$	9.36		1.81		$	61,645		—		—		7.22		33
	9.92		18.88			65,560		—		—		8.21		26
	9.07		23.06			71,710		—		—		10.86		34
	8.26		(13.24	)		64,950		—		—		8.47		24
	10.42		7.68			84,073		—		—		7.35		29




$	11.13		5.59		$	685,692		—		—		3.72		253
	10.99		15.24			653,299		—		—		3.89		251
	10.16		12.97			290,468		—		—		5.42		390
	9.60		0.92			382,054		—		—		5.55		430
	10.07		4.58			347,153		—		—		5.43		73

See accompanying notes to financial statements.

| 28

Notes to Financial Statements

September 30, 2011

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:

Loomis Sayles High Income Opportunities Fund (the “High Income Opportunities Fund”)

Loomis Sayles Securitized Asset Fund (the “Securitized Asset Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of Natixis Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.

a. Valuation. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Funds by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Senior loans shall be priced at bid prices supplied by a pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the security’s last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Funds may be valued on the basis of a price provided by a principal market maker. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Futures contracts are valued at their most recent settlement price. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Funds may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

29 |

Notes To Financial Statements – continued

September 30, 2011

The Funds may use foreign currency exchange contracts to facilitate transactions in foreign denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Forward Foreign Currency Contracts. Each Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge a Fund’s investments against currency fluctuation. Also, a contract to buy or sell can offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in a Fund’s Statements of Assets and Liabilities, where applicable. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

There were no forward foreign currency contracts held by the Fund during the year ended September 30, 2011.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high quality securities as “initial margin”. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin”, are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract, certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

f. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 2011 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The Funds may be subject to foreign taxes on income and gains on investments that are accrued based upon the Funds’ understanding of the tax rules and regulations that exist in the countries in which the Funds invest. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable.

g. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined annually in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing

| 30

Notes To Financial Statements – continued

September 30, 2011

treatments for book and tax purposes of items such as premium amortization, defaulted bonds, return of capital dividend received and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to defaulted bond income accruals, premium amortization, securities lending collateral gain/loss adjustments, contingent payment debt instruments, futures contracts mark to market and wash sales. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2011 and 2010 were as follows:


	2011 Distributions Paid From:						2010 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	5,126,665	$	—	$	5,126,665	$	5,690,124	$	—	$	5,690,124
Securitized Asset Fund		28,192,737		—		28,192,737		25,176,915		—		25,176,915

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2011, the components of distributable earnings on a tax basis were as follows:


	High Income Opportunities Fund			Securitized Asset Fund
Undistributed ordinary income	$	634,544		$	12,140,022
Undistributed long-term capital gains		—			3,190,332

Total undistributed earnings		634,544			15,330,354
Capital loss carryforward:
Expires September 30, 2018		(4,658,255	)		—
Deferred net capital losses (post-October 2010)		—			—
Unrealized appreciation (depreciation)		(4,353,424	)		21,924,166

Total accumulated earnings (losses)	$	(8,377,135	)	$	37,254,520

Capital loss carryforward utilized in the current year	$	1,352,672		$	1,367,506

h. Repurchase Agreements. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities.

i. Delayed Delivery Commitments. The Funds may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. When the Funds enter into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds’ commitment. No interest accrues to the Funds until the transaction settles.

31 |

Notes To Financial Statements – continued

September 30, 2011

j. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2011, neither Fund had loaned securities under this agreement.

k. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2011, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	53,745,464	$	—	$	53,745,464
Senior Loans(a)		—		124,699		—		124,699
Preferred Stocks
Convertible Preferred Stocks
Automotive		1,134,271		—		—		1,134,271
Banking		—		4,825		—		4,825
Consumer Products		—		240,408		—		240,408
Electric		388,542		—		—		388,542
Pipelines		359,996		—		—		359,996

Total Convertible Preferred Stocks		1,882,809		245,233		—		2,128,042

Non-Convertible Preferred Stocks(a)		198,058		—		481,800		679,858

Total Preferred Stocks		2,080,867		245,233		481,800		2,807,900

Common Stocks(a)		716,792		—		—		716,792
Warrants(b)		—		—		—		—
Short-Term Investments		—		3,468,225		—		3,468,225

Total	$	2,797,659	$	57,583,621	$	481,800	$	60,863,080

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

(b) Fair valued at zero using Level 3 inputs.

| 32

Notes To Financial Statements – continued

September 30, 2011

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Other	$	—	$	21,678,819	$	3,125,850	$	24,804,669
All Other Bonds and Notes(a)		—		795,632,273		—		795,632,273

Total Bonds and Notes		—		817,311,092		3,125,850		820,436,942

Short-Term Investments		—		4,004,809		—		4,004,809

Total	$	—	$	821,315,901	$	3,125,850	$	824,441,751

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts Sold (unrealized depreciation)	$	(193,940	)	$	—	$	—	$	(193,940	)

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2011:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales		Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified	$	—	$	—	$	—	$	(238,717	)	$	335,250	$	—	$	385,267	$	—	$	481,800	$	(238,717	)

A preferred stock valued at $385,267 was transferred from Level 2 to Level 3 during the period ended September 30, 2011. At September 30, 2010, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

Securitized Asset Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
ABS Home Equity	$	345,569	$	—	$	—	$	—	$	—	$	—		$	—		(345,569	)	$	—	$	—
ABS Other		4,588,503		—		—		—		—		(1,462,653	)		—		—			3,125,850		—

Total	$	4,934,072	$	—	$	—	$	—	$	—	$	(1,462,653	)	$	—		(345,569	)	$	3,125,850	$	—

33 |

Notes To Financial Statements – continued

September 30, 2011

A debt security valued at $345,569 was transferred from Level 3 to level 2 during the period ended September 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

All transfers are recognized as of the beginning of the reporting period.

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Securitized Asset Fund used during the period include futures contracts.

The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage their duration in order to control interest rate risk without having to buy or sell portfolio securities. During the year ended September 30, 2011, Securitized Asset Fund used futures contracts for hedging purposes and to manage duration.

The following is a summary of derivative instruments for Securitized Asset Fund as of September 30, 2011:


Statements of Assets and Liabilities Caption	Interest Rate Contracts
Liabilities
Unrealized depreciation on futures contracts*	$	(193,940	)

*	Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Securitized Asset Fund during the year ended September 30, 2011 were as follows:


Statements of Operations Caption	Interest Rate Contracts
Net Realized Gain (Loss) on:
Futures contracts	$	(1,447,247	)
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		(193,940	)

The volume of futures activity, as a percentage of net assets, for Securitized Asset Fund, based on month-end notional amounts outstanding during the period, at absolute value, was as follows for the year ended September 30, 2011:


Securitized Asset Fund	Futures
Average Notional Amount Outstanding		1.65%
Highest Notional Amount Outstanding		4.71%
Lowest Notional Amount Outstanding		0.00%
Notional Amount Outstanding as of September 30, 2011		4.56%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

5. Purchases and Sales of Securities. For the year ended September 30, 2011, purchases and sales of securities (excluding short-term investments and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
High Income Opportunities Fund	$	—	$	—	$	21,150,259	$	22,991,518
Securitized Asset Fund		1,814,418,365		1,880,745,403		332,428,471		111,011,483

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis Sayles has agreed to pay, without reimbursement from the Funds or the Trust, the following expenses of the Funds: compensation to Trustees of the Trust who are not “interested persons” (as defined in the 1940 Act) of the Trust; registration, filing

| 34

Notes To Financial Statements – continued

September 30, 2011

and other fees in connection with requirements of regulatory authorities; the charges and expenses of any entity appointed by the Funds for custodial, paying agent, shareholder servicing and plan agent services; charges and expenses of the independent registered public accounting firm retained by the Funds; charges and expenses of any transfer agents and registrars appointed by the Funds; any cost of certificates representing shares of the Funds; legal fees and expenses in connection with the day-to-day affairs of the Funds, including registering and qualifying its shares with Federal and State regulatory authorities; expenses of meetings of shareholders and Trustees of the Trust; the costs of services, including services of counsel, required in connection with the preparation of the Funds’ registration statements and prospectuses, including amendments and revisions thereto, annual, semi-annual and other periodic reports of the Funds, and notices and proxy solicitation material furnished to shareholders of the Funds or regulatory authorities, and any costs of printing or mailing these items; and the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses.

Loomis Sayles serves as investment adviser to each Fund. Under the terms of each management agreement, Loomis Sayles does not charge the Funds an investment advisory fee, also known as a management fee, or any other fee for those services or for bearing those expenses. Although the Funds do not compensate Loomis Sayles directly for services under the advisory agreement, Loomis Sayles will typically receive an advisory fee from the sponsors of “wrap programs,” who in turn charge the programs’ participants.

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trust. Natixis Distributors currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse Natixis Distributors to the extent that Natixis Distributors incurs expenses in connection with any redemption of Fund shares.

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to Natixis Advisors for services to the Funds.

d. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distributors, Natixis US or their affiliates. The Chairperson of the Board receives a retainer fee at the annual rate of $250,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $80,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, each committee chairman receives an additional retainer fee at the annual rate of $15,000. Each Contract Review and Governance Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”) and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series.

For the year ended September 30, 2011, neither Fund had borrowings under these agreements.

35 |

Notes To Financial Statements – continued

September 30, 2011

8. Concentration of Ownership. From time to time, the Funds may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Funds. As of September 30, 2011, each Fund had shareholder accounts that comprised more than 5% of the Fund’s total outstanding shares. Such accounts may be beneficially held by one or more individuals or entities other than the owner of record. The number of shareholder accounts owning more than 5% of total outstanding shares of a Fund and the aggregate percentage of net assets represented by such holdings was as follows:


Fund	Number of 5% Shareholder Accounts		Percentage of Ownership
High Income Opportunities Fund		4		39.83%
Securitized Asset Fund		1		83.20%

9. Capital Shares. Each Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	High Income Opportunities Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		911,554		$	9,368,420			696,898		$	6,634,833
Issued in connection with the reinvestment of distributions		396,670			4,031,669			492,408			4,619,407
Redeemed		(1,336,121	)		(13,746,798	)		(2,487,653	)		(23,802,300	)

Increase (decrease) from capital share transactions		(27,897	)	$	(346,709	)		(1,298,347	)	$	(12,548,060	)


	Securitized Asset Fund

	Year Ended September 30, 2011						Year Ended September 30, 2010

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		15,571,776		$	171,889,032			43,829,638		$	463,734,471
Issued in connection with the reinvestment of distributions		56,303			622,843			50,062			521,565
Redeemed		(13,489,707	)		(149,273,642	)		(13,015,425	)		(138,295,521	)

Increase (decrease) from capital share transactions		2,138,372		$	23,238,233			30,864,275		$	325,960,515

| 36

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds I and Shareholders of

Loomis Sayles High Income Opportunities Fund and

Loomis Sayles Securitized Asset Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund, each a series of Loomis Sayles Funds I (collectively, the “Funds”), at September 30, 2011, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2011

37 |

2011 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2011, a percentage of dividends distributed by the Fund listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
High Income Opportunities		3.09%

Qualified Dividend Income. For the fiscal year ended September 30, 2011, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2011, complete information will be reported in conjunction with Form 1099-DIV.


Fund
High Income Opportunities

| 38

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During the Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership

Independent Trustees
Graham T. Allison, Jr. (1940)	Trustee since 2003 and Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on Board of Trustees of the Trust and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience

Charles D. Baker (1956)***	Trustee from 2005 to 2009 and since 2011 and Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)	44 None	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including president and chief executive officer of a corporation

Edward A. Benjamin (1938)	Trustee since 2002 and Chairman of the Contract Review and Governance Committee	Retired	44 Formerly, Director, Precision Optics Corporation (optics manufacturer)	Significant experience on Board of Trustees of the Trust and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)

Daniel M. Cain (1945)	Trustee since 2003 and Contract Review and Governance Committee Member	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on Board of Trustees of the Trust and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

Kenneth A. Drucker (1945)	Trustee since 2008 and Chairman of the Audit Committee	Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including as treasurer of a corporation

39 |


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen and Other Directorships Held During the Past 5 Years**	Experience, Qualifications, Attributes, Skills for Board Membership
Wendell J. Knox (1948)	Trustee since 2009 and Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience at a management consulting company

Erik R. Sirri (1958)	Trustee since 2009 and Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on Board of Trustees of the Trust; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist

Peter J. Smail (1952)	Trustee since 2009 and Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on Board of Trustees of the Trust; mutual fund industry and executive experience, including roles and president and chief executive officer for an investment advisor

| 40

Name and Year of Birth

Position(s)
Held with
the Trust, Length
of Time Served and

Term of Office*

Principal Occupation(s)
During Past 5 Years

Number of Portfolios in
Fund Complex Overseen**
and Other Directorships
Held During

the Past 5 Years

Experience,

Qualifications,

Attributes, Skills

for Board

Membership

Cynthia L. Walker

(1956)

Trustee since 2005 and Audit Committee Member

Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School

None

Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience in a variety of academic organizations, including roles as dean for finance and administration



Interested Trustees

Robert J. Blanding¹ (1947) 555 California Street San Francisco, CA 94104	Trustee since 2002 President and Chief Executive Officer since 2002	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on Board of Trustees of the Trust; continuing service as president, chairman, and chief executive officer of Loomis Sayles & Company, L.P.

David L. Giunta² (1965)***	Trustee since 2011 Executive Vice President	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company	44 None	Experience on Board of Trustees of the Trust; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

John T. Hailer³ (1960)	Trustee since 2003	President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	44 None	Significant experience on Board of Trustees of the Trust; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

41 |

***	Messrs. Baker and Giunta were appointed as trustees effective January 1, 2011.

¹	Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis, Sayles & Company, L.P.

²	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

³	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer-U.S. and Asia, Natixis Global Asset Management, L.P.


Name and Year of Birth	Position(s) Held With the Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past 5 Years**

Officers of the Trust
Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Distributors, L.P., and Natixis Asset Management Advisors, L.P.

Daniel J. Fuss (1933) One Financial Center Boston, MA 02111	Executive Vice President	Since June 2003	Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane (1969)	Chief Compliance Officer; Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Distributors, L.P. and Natixis Asset Management Advisors, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

*	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

| 42

Loomis Sayles Bond Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			12
Statement of Assets and Liabilities			39
Statement of Operations			40
Statement of Changes in Net Assets			41
Financial Highlights			43
Notes to Financial Statements			45

ANNUAL REPORT

SEPTEMBER 30, 2011

LOOMIS SAYLES BOND FUND

Fund and manager review

FUND FACTS

Managers:

Daniel Fuss, CFA, CIC

Matthew Eagan, CFA

Kathleen Gaffney, CFA

Elaine Stokes

Symbols:


Institutional Class		LSBDX
Retail Class		LSBRX
Admin Class		LBFAX

Objective:

High total investment return through a combination of current income and capital appreciation

Strategy:

The Fund will invest primarily in fixed-income securities, including investing primarily in investment-grade fixed-income securities, although it may also invest up to 35% of its assets in below investment-grade fixed-income securities and up to 20% of its assets in equity securities such as common stocks and preferred stocks (with up to 10% of its assets in common stocks).

Fund Inception Date:

May 16, 1991

Class Inception Date:

Institutional Class:

May 16, 1991

Retail Class:

December 31, 1996

Admin Class:

January 2, 1998

Net Assets:

$19,067.4 million

Market Conditions

Fixed-income markets rallied through the start of 2011, fueled by the Federal Reserve Board’s (the Fed) large-scale asset purchase program, its second effort at quantitative easing. Riskier assets were the primary beneficiaries of the program, and high-yield bonds and equity-sensitive convertible bonds posted strong returns at the start of the year. The rally stalled in the summer months, after a series of setbacks: Standard & Poor’s downgraded U.S. government debt, the European sovereign debt situation worsened and economic data suggested a possible slowdown in global growth. Investors shunned risk during the third quarter of 2011, and a sudden flight to quality drove down U.S. Treasury yields to historical lows.

Performance Results

For the 12 months ended September 30, 2011, Institutional Class shares of Loomis Sayles Bond Fund returned 3.34%. The fund underperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 5.14% for the period.

Explanation of Fund Performance

Strong security selection among investment-grade financials helped boost the fund’s return. A long duration (price sensitivity to interest rate changes) within this allocation helped buoy performance, as yields fell throughout most of the period. (When yields fall, funds with longer durations tend to experience greater price appreciation.) Overall, the fund’s non-U.S.-dollar holdings made positive contributions to performance, primarily due to prudent security selection. In addition, solid returns from individual names within the fund’s high-yield industrials and utilities allocations helped performance. These sectors were able to capture sufficient returns in the first half of the period to overcome the flight to quality that dominated in the second half.

The fund’s allocation to convertible bonds primarily accounted for the underperformance relative to the benchmark. Convertible bonds were among the weaker

1 |

contributors, as they mirrored the volatile swings in the equity markets. Nevertheless, we believe convertibles will continue to play an important role in the fund’s performance despite the sector’s recent instability. While the overall non-U.S.-dollar allocation was strong, certain foreign currency holdings were weak, primarily due to anxiety stemming from the unrest in the Middle East and North Africa, the aftermath of Japan’s historic earthquake and the resurgent European debt crisis. In particular, the euro and Swiss franc foundered, as inaction regarding a solution for Greece’s debt woes stymied the markets, while Mexico’s peso suffered due to its proximity to a weaker-than-expected United States dollar.

Outlook

Pronounced market illiquidity, re-pricing of risk assets for slower global growth, the effects of the Fed’s latest stimulus plan, named “Operation Twist,” and events in Europe are among the themes we will focus on through year-end. Growth expectations for the United States and other developed economies remain lackluster, as high volatility and an uncertain business environment persist. Geopolitical factors are further clouding the outlook. Details of new regulations (healthcare reform, the Dodd-Frank Act and, the Basel III financial regulation) have yet to be implemented, and election posturing in the United States will likely begin to overshadow policy formulation.

Although the Fed has signaled that it remains accommodative on a number of fronts in the short term, we believe U.S. interest rates are currently in a period of

What you should know:

| 2

transition, with a bias higher over the long term. We will continue to pursue what we believe are less market-sensitive securities, seeking to own credits that move independent of the general market, regardless of the direction of rates. As macroeconomic fears and illiquidity feed periods of price declines, we intend to use these opportunities to increase allocations to fundamentally sound credits. Our conviction in opportunistic investing driven by fundamental research has not changed, and we remain steadfast in our long-term approach.

3 |

LOOMIS SAYLES BOND FUND

Average Annual Total Returns

September 30, 2011



	1 year			5 years			10 years

Institutional Class (Inception 5/16/91)		3.34	%		6.59	%		10.02	%
Retail Class (Inception 12/31/96)		2.97			6.26			9.72
Admin Class (Inception 1/2/98)		2.77			5.99			9.44

Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(c)		5.14			6.52			5.74
Lipper BBB-Rated Funds Index^(c)		5.36			6.18			5.98

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.64% Retail: 0.94% Admin: 1.21%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.64% Retail: 0.94% Admin: 1.20%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/12. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

September 30, 2001 through September 30, 2011^(a)(b)

LOGO

The table and graph do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

^(a)

Cumulative performance is shown for the Institutional Class. Performance of the Retail and Admin Classes would be lower, due to higher fees.

^(b)

The mountain chart is based on the initial minimum investment of $100,000 for the Institutional Class.

^(c)

See page 5 for a description of the indices.

| 4

ADDITIONAL INFORMATION

The views expressed in this report reflect those of the portfolio managers as of the dates indicated. The managers’ views are subject to change at any time without notice based on changes in market or other conditions. References to specific securities or industries should not be regarded as investment advice. Because the fund is actively managed, there is no assurance that they will continue to invest in the securities or industries mentioned.

Index Definitions

Barclays Capital U.S. Government/Credit Bond Index is an unmanaged index that includes U.S. Treasuries, government-related issues, and investment grade U.S. corporate securities.

Lipper BBB-Rated Funds Index is an unmanaged index that tracks the average performance of the 30 largest BBB-rated funds according to Lipper Inc.

Source: Lipper, Inc.

Proxy Voting Information

A description of the fund’s proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330; (ii) on the fund’s website, www.loomissayles.com, and (iii) on the SEC’s website, www.sec.gov. Information about how the fund voted proxies relating to portfolio securities during the 12 months ended June 30, 2011 is available on (i) the fund’s website and (ii) the SEC’s website.

Quarterly Portfolio Schedules

The fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling
800-SEC-0330.

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. These costs are described in more detail in the fund’s prospectus. The examples below are intended to help you understand the ongoing costs of investing in the fund and help you compare these with the ongoing costs of investing in other mutual funds.

5 |

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 4/1/2011		Ending Account Value 9/30/2011		Expenses Paid During Period* 4/1/2011 – 9/30/2011
Actual		$1,000.00		$978.20		$3.07
Hypothetical (5% return before expenses)		$1,000.00		$1,021.96		$3.14

Retail Class
Actual		$1,000.00		$976.00		$4.51
Hypothetical (5% return before expenses)		$1,000.00		$1,020.51		$4.61

Admin Class
Actual		$1,000.00		$975.20		$5.94
Hypothetical (5% return before expenses)		$1,000.00		$1,019.05		$6.07
* Expenses are equal to the Fund’s annualized expense ratio: 0.62%, 0.91% and 1.20% for Institutional, Retail and Admin Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 365 (to reflect the half-year period).

| 6

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

The Board of Trustees, including the Independent Trustees, considers matters bearing on the Loomis Sayles Bond Fund’s (the “Fund”) advisory agreement (the “Agreement”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review and Governance Committee of the Board meets to review the Agreement to determine whether to recommend that the full Board approve the continuation of the Agreement, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreement.

In connection with these meetings, the Trustees receive materials that the Fund’s investment adviser (the “Adviser”) believes to be reasonably necessary for the Trustees to evaluate the Agreement. These materials generally include, among other items, (i) information on the investment performance of the Fund and the performance of peer groups of funds and the Fund’s performance benchmarks, (ii) information on the Fund’s advisory fees and other expenses, including information comparing the Fund’s expenses to the fees charged to institutional accounts with similar strategies managed by the Adviser and to those of peer groups of funds and information about any applicable expense caps and fee “breakpoints,” (iii) sales and redemption data in respect of the Fund, (iv) information about the profitability of the Agreement to the Adviser and (v) information obtained through the completion of a questionnaire by the Adviser (the Trustees are consulted as to the information requested through that questionnaire). The Board of Trustees, including the Independent Trustees, also consider other matters such as (i) the Adviser’s financial results and financial condition, (ii) the Fund’s investment objective and strategies and the size, education and experience of the Adviser’s investment staff and its use of technology, external research and trading cost measurement tools, (iii) arrangements in respect of the distribution of the Fund’s shares and the related costs, (iv) the procedures employed to determine the value of the Fund’s assets, (v) the allocation of the Fund’s brokerage, if any, including, if applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay Fund expenses and to pay for research and other similar services, (vi) the resources devoted to, and the record of compliance with, the Fund’s investment policies and restrictions, policies on personal securities transactions and other compliance policies, (vii) information about amounts invested by the Fund’s portfolio managers in the Fund or in similar accounts that they manage and (viii) the general economic outlook with particular emphasis on the mutual fund industry. Throughout the process, the Trustees are afforded the opportunity to ask questions of and request additional materials from the Adviser.

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board of Trustees that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing

7 |

the Fund’s performance and fee differentials against the Fund’s peer group of funds, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing the Fund against its peer group. The portfolio management team for the Fund or other representatives of the Adviser make periodic presentations to the Contract Review and Governance Committee and/or the full Board of Trustees, and if the Fund is identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about the Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board of Trustees most recently approved the continuation of the Agreement at their meeting held in June 2011. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board of Trustees, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates, including recent or planned investments by the Adviser in additional personnel or other resources, if any.

The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the administrative services provided by Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) and its affiliates to the Fund.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the nature, extent and quality of services provided supported the renewal of the Agreement.

Investment performance of the Fund and the Adviser. As noted above, the Trustees received information about the performance of the Fund over various time periods, including information which compared the performance of the Fund to the performance of peer groups of funds and the Fund’s respective performance benchmarks. In addition, the Trustees also reviewed data prepared by an independent third party which analyzed the performance of the Fund using a variety of performance metrics, including metrics which also measured the performance of the Fund on a risk adjusted basis.

The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement. When the Fund had performance that lagged that of a relevant

| 8

peer group for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the Fund’s performance as a fund family generally (as noted by certain financial publications), and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the performance of the Fund and the Adviser supported the renewal of the Agreement.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory services as well as the total expense levels of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage and the greater regulatory costs associated with the management of mutual fund assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and to expend additional resources as the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that the Fund has expense caps in place, and they considered the amounts waived or reimbursed by the Adviser under these caps for the Fund other than those for which current expenses are below the cap.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser

9 |

profitability was an issue, the performance of the Fund, the expense levels of the Fund, whether the Adviser had implemented breakpoints and/or expense caps and the overall profit margin of the Adviser compared to other investment managers. The Trustees also noted management’s history of proposing additional advisory fee breakpoints as the Fund grew to substantially larger scale.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the advisory fee charged to the Fund was fair and reasonable, and that the costs of these services generally and the related profitability of the Adviser and its affiliates in respect of their relationships with the Fund supported the renewal of the Agreement.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fees or other means, such as expense waivers or caps. The Trustees noted that the Fund had breakpoints in its advisory fees and it was subject to an expense cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding the Agreement, that the extent to which economies of scale were shared with the Fund supported the renewal of the Agreement.

The Trustees also considered other factors, which included but were not limited to the following:

•

The effect of recent market and economic turmoil on the performance, asset levels and expense ratios of the Fund.

•

Whether the Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Fund and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Fund.

•

The nature, quality, cost and extent of administrative and shareholder services performed by the Adviser and its affiliates, both under the Agreement and under a separate agreement covering administrative services.

•

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the fact that Natixis Advisors’ parent company benefits from the retention of an affiliated Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

| 10

•

The Trustees’ review and discussion of the Fund’s advisory arrangements in prior years, and management’s record of responding to Trustee concerns raised during the year and in prior years.

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2012.

11 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 83.7% of Net Assets

	Non-Convertible Bonds – 75.2%

		ABS Car Loan – 0.1%
$	10,423,000	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.371%, 8/20/2013, 144A(b)	$	10,261,950
	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		6,380,541

				16,642,491

		Aerospace & Defense – 0.1%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		1,447,562
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,732,320

				15,179,882

		Airlines – 2.0%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		46,843,210
	1,586,263	American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021		1,729,027
	141,229	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		143,700
	5,274,400	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		5,215,063
	2,090,679	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		2,027,959
	2,898,403	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,681,023
	8,608,574	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		8,221,188
	4,228,349	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		4,101,498
	2,507,068	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,607,351
	2,365,219	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,436,176
	3,384,461	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,282,927
	2,741,509	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,810,046
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,452,618
	16,763,146	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		16,846,962
	26,006,658	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 4/19/2022		24,186,192
	23,200,156	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 7/08/2016		25,056,169

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Airlines – continued
$	28,200,538	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021	$	29,709,831
	2,789,384	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,810,304
	4,302,266	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,194,709
	32,292,294	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		31,807,910
	2,825,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		2,909,750
	3,487,100	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,434,793
	24,150,496	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 11/01/2017		24,150,496
	2,000,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		2,098,048
	40,565,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		43,322,852
	25,335,086	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		24,592,261
	15,255,043	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		16,475,446
	27,843,000	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		26,659,672
	19,107,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		18,151,650

				379,958,831

		Automotive – 1.8%
	385,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		340,725
	3,700,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A		2,849,000
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,838,516
	9,800,000	FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR)		13,162,372
	6,550,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		8,950,869
	2,590,000	Ford Motor Co., 6.375%, 2/01/2029		2,504,173
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,727,887
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,548,308
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		64,459,498
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		2,683,606
	122,204,000	Ford Motor Co., 7.450%, 7/16/2031		137,953,651
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,597,096
	55,235,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		57,996,750
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		7,604,805
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,467,105
	9,198,000	Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016		9,956,835
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		3,885,000
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		6,816,000

				334,342,196

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – 6.8%
$	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A	$	133,275,723
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		36,608,140
	35,170,000	BAC Capital Trust VI, 5.625%, 3/08/2035		25,183,971
	2,682,000	Bank of America Corp., 5.420%, 3/15/2017		2,330,022
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		7,013,731
	1,065,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		950,144
	12,823,000	Bank of America NA, 5.300%, 3/15/2017		11,581,208
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		74,809,636
	5,250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		3,516,843
	3,260,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		3,419,323
	12,028,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		11,602,448
	17,400,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		19,395,077
	16,550,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		14,190,630
	8,350,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		7,159,623
	20,500,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		21,114,675
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		16,983,000
	32,175,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		22,200,750
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		13,841,630
	42,420,000	Citigroup, Inc., 5.000%, 9/15/2014		41,603,797
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		4,231,233
	1,445,000	Citigroup, Inc., 5.850%, 12/11/2034		1,395,127
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		30,242,573
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		11,574,879
	43,650,000	Citigroup, Inc., 6.125%, 5/15/2018		46,819,165
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		7,448,194
	72,120,000	Citigroup, Inc., 6.375%, 8/12/2014		76,354,814
	4,900,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		5,068,583
	87,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		90,388,650
	14,370,000	First Niagara Finance Group, Inc., 6.750%, 3/19/2020		16,162,298
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		817,884
	54,175,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		49,556,202
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,036,850
	4,680,000	HBOS PLC, 6.000%, 11/01/2033, 144A		3,024,801
	1,505,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		1,283,106

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A	$	10,246,350
	599,419,948,660	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		63,528,967
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		35,042,370
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		29,063,299
	78,515,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		66,720,163
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		4,335,069
	900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		809,942
	12,835,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		9,944,956
	14,000,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		11,840,150
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		49,125,382
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		4,831,865
	8,660,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		8,663,109
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,213,821
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		1,910,004
	8,040,000	Morgan Stanley, 4.750%, 4/01/2014		7,640,565
	24,355,000	Morgan Stanley, 5.500%, 7/24/2020		22,058,738
	4,100,000	Morgan Stanley, 5.750%, 1/25/2021		3,772,275
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		112,691,539
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		9,005,482
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		11,607,125
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		7,558,695
	7,500,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		11,011,330
	6,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		4,421,174

				1,304,227,100

		Brokerage – 0.0%
	1,295,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,174,734
	4,860,000	Jefferies Group, Inc., 8.500%, 7/15/2019		5,405,200

				6,579,934

		Building Materials – 0.9%
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,647,170
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,116,509
	19,873,000	Masco Corp., 6.125%, 10/03/2016		19,379,812
	9,110,000	Masco Corp., 6.500%, 8/15/2032		8,068,508
	16,811,000	Masco Corp., 7.125%, 3/15/2020		16,290,481
	6,650,000	Masco Corp., 7.750%, 8/01/2029		6,523,251
	26,195,000	Owens Corning, Inc., 6.500%, 12/01/2016		28,257,516
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		53,028,621
	35,870,000	USG Corp., 6.300%, 11/15/2016		26,274,775
	17,605,000	USG Corp., 9.750%, 1/15/2018		14,150,019

				179,736,662

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Chemicals – 0.7%
$	51,205,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A	$	64,607,294
	21,094,000	Hercules, Inc., 6.500%, 6/30/2029		15,609,560
	2,915,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		2,404,875
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		10,875,780
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023		23,911,580
	2,886,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016		2,409,810
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021		8,478,750

				128,297,649

		Collateralized Mortgage Obligations – 0.2%
	2,129,070	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.542%, 4/25/2037(b)		1,495,716
	4,611,389	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.723%, 4/25/2035(b)		3,852,608
	9,653,942	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.600%, 7/25/2047(b)		5,347,908
	27,918,681	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.739%, 4/25/2035(b)		25,808,643

				36,504,875

		Construction Machinery – 0.5%
	60,172,000	Case New Holland, Inc., 7.750%, 9/01/2013		62,729,310
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,305,333
	1,902,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014		1,892,490
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		30,891,830

				97,818,963

		Consumer Cyclical Services – 0.4%
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		875,000
	6,175,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		5,032,625
	56,765,000	Western Union Co. (The), 6.200%, 11/17/2036		60,133,322
	1,575,000	Western Union Co. (The), 6.200%, 6/21/2040		1,673,883

				67,714,830

		Consumer Products – 0.1%
	695,000	Acco Brands Corp., 7.625%, 8/15/2015		672,412
	7,210,000	Snap-on, Inc., 6.700%, 3/01/2019		8,943,515

				9,615,927

		Distributors – 0.0%
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,152,008
	3,805,000	ONEOK, Inc., 6.000%, 6/15/2035		4,091,825

				6,243,833

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Diversified Manufacturing – 0.4%
$	8,473,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A	$	7,964,620
	1,435,000	Textron Financial Corp., 5.400%, 4/28/2013		1,472,403
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		571,020
	19,900,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		26,710,931
	7,145,000	Textron, Inc., 5.600%, 12/01/2017		7,536,310
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		37,323,536

				81,578,820

		Electric – 2.8%
	4,875,000	AES Corp. (The), 7.750%, 3/01/2014		4,972,500
	12,026,801	AES Ironwood LLC, 8.857%, 11/30/2025		12,297,404
	1,372,017	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,406,318
	72,717,768	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		78,021,075
	3,105,000	Ameren Illinois Co., 6.250%, 4/01/2018		3,591,358
	93,100,864	Bruce Mansfield Unit, 6.850%, 6/01/2034		99,617,924
	4,372,910	CE Generation LLC, 7.416%, 12/15/2018		4,618,589
	46,650,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		48,835,926
	67,000	Commonwealth Edison Co., 4.750%, 12/01/2011(c)		66,499
	5,295,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018		3,097,575
	11,835,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026		6,627,600
	3,504,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019		2,119,920
	23,200,000	Edison Mission Energy, 7.625%, 5/15/2027		12,760,000
	36,800,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		26,599,960
	2,300,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		2,415,550
	2,000,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		2,103,380
	250,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		269,207
	11,581,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		13,735,645
	7,425,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		7,202,250
	4,250,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,982,079
	25,460,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		28,828,867
	23,775,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		8,559,000
	296,324	Power Receivables Finance LLC, 6.290%, 1/01/2012, 144A		296,615
	4,528,125	Quezon Power Philippines Ltd. Co., 8.860%, 6/15/2017		4,754,531
	199,179	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		218,378
	23,535,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		18,828,000
	70,980,000	TXU Corp., Series P, 5.550%, 11/15/2014		43,652,700
	140,586,000	TXU Corp., Series Q, 6.500%, 11/15/2024		53,422,680
	9,406,000	TXU Corp., Series R, 6.550%, 11/15/2034		3,480,220
	9,175,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		9,892,944
	14,695,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		15,842,239
	5,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		4,850,250

				527,967,183

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Entertainment – 0.0%
$	10,000	Time Warner, Inc., 7.625%, 4/15/2031	$	12,482

		Financial Other – 0.6%
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		68,559,959
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		52,184,306

				120,744,265

		Food & Beverage – 0.2%
	30,905,000	Corn Products International, Inc., 6.625%, 4/15/2037		37,338,710
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		6,390,289

				43,728,999

		Gaming – 0.0%
	485,000	MGM Resorts International, 6.625%, 7/15/2015		411,038
	1,360,000	MGM Resorts International, 6.875%, 4/01/2016		1,156,000
	890,000	MGM Resorts International, 7.500%, 6/01/2016		772,075
	945,000	MGM Resorts International, 7.625%, 1/15/2017		810,337

				3,149,450

		Government Guaranteed – 0.1%
	14,905,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		14,264,752

		Government Owned - No Guarantee – 0.7%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		31,408,650
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		16,283,059
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		74,436,137
	17,955,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		8,214,412

				130,342,258

		Healthcare – 2.2%
	7,100,000	Boston Scientific Corp., 5.125%, 1/12/2017		7,626,380
	3,725,000	Boston Scientific Corp., 5.450%, 6/15/2014		4,007,649
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		17,276,506
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,080,855
	22,142,000	Boston Scientific Corp., 7.000%, 11/15/2035		25,887,585
	13,400,000	HCA, Inc., 5.750%, 3/15/2014		13,065,000
	7,800,000	HCA, Inc., 6.250%, 2/15/2013		7,907,250
	17,380,000	HCA, Inc., 6.375%, 1/15/2015		16,902,050
	63,735,000	HCA, Inc., 6.500%, 2/15/2016		60,866,925
	3,045,000	HCA, Inc., 6.750%, 7/15/2013		3,090,675
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		22,715,340
	20,287,000	HCA, Inc., 7.190%, 11/15/2015		19,678,390
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		24,433,200
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		22,561,413
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		63,450,900
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		43,072,180

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Healthcare – continued
$	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025	$	19,621,980
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		10,765,790
	3,875,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019, 144A		2,959,531
	4,710,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		5,065,473
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		25,990,480
	560,000	Tenet Healthcare Corp., 9.250%, 2/01/2015		560,000

				425,585,552

		Home Construction – 0.4%
	6,430,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2015		2,379,100
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		7,129,900
	6,249,000	K. Hovnanian Enterprises, Inc., 6.375%, 12/15/2014		3,202,613
	4,050,000	K. Hovnanian Enterprises, Inc., 6.500%, 1/15/2014		2,268,000
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		577,500
	895,000	KB Home, 5.875%, 1/15/2015		724,950
	6,007,000	Pulte Group, Inc., 5.200%, 2/15/2015		5,436,335
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		43,787,850
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		11,981,800

				77,488,048

		Independent Energy – 0.2%
	9,585,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		10,752,683
	13,805,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		14,426,225
	8,782,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		9,392,639
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,267,125

				44,838,672

		Industrial Other – 0.1%
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,430,156

		Life Insurance – 1.2%
	24,380,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		21,515,350
	2,800,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		3,709,741
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,210,240
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		28,794,695
	7,075,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		6,774,843
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		3,876,420
	6,655,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		8,946,501

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Life Insurance – continued
	3,800,000	AXA, S.A., EMTN (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)	$	3,658,174
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		15,444,480
	22,550,000	MetLife, Inc., 6.400%, 12/15/2066		19,988,049
	12,020,000	MetLife, Inc., 10.750%, 8/01/2069		15,025,000
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		65,539,576
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		13,235,159
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		6,351,188
	9,965,000	Unum Group, 7.125%, 9/30/2016		11,482,480

				227,551,896

		Local Authorities – 2.0%
	19,650,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		19,494,112
	110,680,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		108,120,404
	15,305,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		14,922,826
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		97,464,510
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,075,925
	12,296,643	Province of Alberta, 5.930%, 9/16/2016, (CAD)		13,367,304
	730,000	Province of British Columbia, 5.750%, 1/09/2012, (CAD)		705,270
	760,000	Province of Ontario, 4.400%, 12/02/2011, (CAD)		729,184
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		79,099,264
	38,965,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		39,204,511

				374,183,310

		Lodging – 0.1%
	8,450,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		8,629,470

		Media Cable – 0.5%
	20,860,000	Comcast Corp., 6.950%, 8/15/2037		25,005,612
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		38,116,907
	26,541,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		30,884,594

				94,007,113

		Metals & Mining – 0.5%
	11,557,000	Alcoa, Inc., 5.720%, 2/23/2019		11,598,940
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		4,875,079
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,910,651
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,716,787
	15,150,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		11,741,250
	7,550,000	ArcelorMittal, 6.750%, 3/01/2041		6,524,740
	3,635,000	ArcelorMittal, 7.000%, 10/15/2039		3,241,955
	11,175,000	United States Steel Corp., 6.050%, 6/01/2017		10,169,250
	9,625,000	United States Steel Corp., 6.650%, 6/01/2037		7,411,250
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		21,168,000

				85,357,902

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Mortgage Related – 0.0%
$	194,511		FHLMC, 5.000%, 12/01/2031	$	210,003

			Non-Captive Consumer – 4.5%
	3,100,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		1,395,000
	86,353,000		Residential Capital LLC, 9.625%, 5/15/2015		66,923,575
	1,305,000		SLM Corp., 6.000%, 5/10/2012, (AUD)		1,232,576
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		3,023,142
	27,880,000		SLM Corp., MTN, 5.050%, 11/14/2014		26,902,025
	4,875,000		SLM Corp., MTN, 5.125%, 8/27/2012		4,872,767
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,004,010
	76,745,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		75,123,992
	57,166,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		53,310,611
	23,623,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		20,760,648
	28,262,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		28,263,300
	34,835,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		34,282,308
	45,279,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		36,055,441
	140,870,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		146,528,466
	38,381,000		Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		45,558,592
	4,690,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		3,423,700
	11,370,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		10,460,400
	17,024,000		Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012		15,917,440
	4,955,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		3,617,150
	23,472,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		20,068,560
	800,000		Springleaf Finance Corp., Series J, MTN, 5.200%, 12/15/2011		786,000
	4,800,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		4,410,000
	935,000		Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		666,188
	340,340,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		245,044,800

					850,630,691

			Non-Captive Diversified – 7.0%
	30,190,000		Ally Financial, Inc., 6.750%, 12/01/2014		28,869,187
	23,588,000		Ally Financial, Inc., 7.500%, 12/31/2013		23,941,820
	50,810,000		Ally Financial, Inc., 7.500%, 9/15/2020		45,983,050
	44,981,000		Ally Financial, Inc., 8.000%, 12/31/2018		40,932,710
	35,442,000		Ally Financial, Inc., 8.000%, 11/01/2031		31,100,355
	72,545,000		Ally Financial, Inc., 8.300%, 2/12/2015		71,728,869
	6,846,660		CIT Group, Inc., 7.000%, 5/01/2014		6,983,593
	38,902,776		CIT Group, Inc., 7.000%, 5/01/2015		38,611,005
	89,288,640		CIT Group, Inc., 7.000%, 5/01/2016		86,609,981
	102,048,173		CIT Group, Inc., 7.000%, 5/01/2017		98,986,728
	44,525,000		General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD)		43,481,092
	89,985,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		72,937,466

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
	15,000,000	General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)	$	11,576,103
	150,000,000	General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD)		115,408,135
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		69,552,953
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.549%, 5/13/2024(b)		18,417,130
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		214,765,298
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		347,400
	20,380,000	International Lease Finance Corp., 6.250%, 5/15/2019		17,714,133
	13,466,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,095,685
	28,375,000	International Lease Finance Corp., 8.250%, 12/15/2020		27,807,500
	35,950,000	International Lease Finance Corp., 8.625%, 9/15/2015		35,680,375
	6,665,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		6,398,400
	3,545,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,287,988
	52,875,000	iStar Financial, Inc., 5.150%, 3/01/2012		50,760,000
	3,865,000	iStar Financial, Inc., 5.500%, 6/15/2012		3,700,738
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		26,145,350
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		22,955,030
	12,655,000	iStar Financial, Inc., 6.050%, 4/15/2015		9,997,450
	46,795,000	iStar Financial, Inc., 8.625%, 6/01/2013		42,583,450
	9,690,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		7,752,000
	60,205,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		52,227,837

				1,340,338,811

		Oil Field Services – 1.2%
	10,680,000	Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017		10,466,400
	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018		17,497,821
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		169,967,415
	4,497,000	Parker Drilling Co., 9.125%, 4/01/2018		4,541,970
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,215,826

				229,689,432

		Packaging – 0.1%
	3,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		4,367,919
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		19,110,100

				23,478,019

		Paper – 1.6%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		32,607,382
	32,327,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		36,069,594
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		538,731
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		101,829,115
	10,741,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		12,609,751

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Paper – continued
$	16,307,000	Georgia-Pacific LLC, 8.875%, 5/15/2031	$	20,352,799
	4,447,000	International Paper Co., 6.875%, 11/01/2023		5,407,508
	10,392,000	International Paper Co., 8.700%, 6/15/2038		13,112,584
	24,586,000	Westvaco Corp., 7.950%, 2/15/2031		27,744,760
	36,799,000	Westvaco Corp., 8.200%, 1/15/2030		41,719,284
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,416,393
	12,470,000	Weyerhaeuser Co., 7.375%, 3/15/2032		12,436,593

				308,844,494

		Pharmaceuticals – 0.1%
	18,730,000	Elan Finance PLC/Elan Finance Corp., 8.875%, 12/01/2013		19,291,900

		Pipelines – 2.5%
	27,325,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		29,847,125
	1,000,000	El Paso Corp., GMTN, 7.750%, 1/15/2032		1,158,260
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,162,070
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		7,973,907
	11,435,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		11,753,613
	25,030,000	Enterprise Products Operating LLP, 6.300%, 9/15/2017		29,055,475
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,556,455
	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		35,265,591
	55,458,768	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		59,947,601
	116,405,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		122,752,332
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		66,373,208
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,440,524
	28,845,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		32,466,173
	56,655,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		62,592,274
	5,572,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		4,903,360

				476,247,968

		Property & Casualty Insurance – 0.7%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		23,124,991
	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,611,475
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		16,236,596
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,690,000
	51,522,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		57,100,029
	8,600,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		3,870,000
	3,375,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		3,133,134
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,126,810
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		6,739,572
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,227,962

				130,860,569

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Property Trust – 0.4%
$	68,360,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A	$	75,959,444

		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		5,719,680
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		58,236

				5,777,916

		Real Estate Operations/Development – 0.0%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,128,055

		REITs – Apartments – 0.3%
	2,565,000	Camden Property Trust, 5.000%, 6/15/2015		2,737,653
	40,075,000	Camden Property Trust, 5.700%, 5/15/2017		43,829,106
	4,680,000	ERP Operating LP, 5.125%, 3/15/2016		5,020,694
	3,000,000	ERP Operating LP, 5.375%, 8/01/2016		3,268,572

				54,856,025

		REITs – Diversified – 0.0%
	5,720,000	Duke Realty LP, 5.950%, 2/15/2017		5,992,083

		REITs – Office Property – 0.4%
	57,890,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		61,059,188
	5,640,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		6,543,545

				67,602,733

		REITs – Regional Malls – 0.1%
	9,032,000	Simon Property Group LP, 5.750%, 12/01/2015		9,966,243
	1,690,000	Simon Property Group LP, 6.125%, 5/30/2018		1,900,162

				11,866,405

		REITs – Warehouse/Industrials – 0.1%
	6,022,000	ProLogis LP, 5.625%, 11/15/2015		6,216,812
	6,110,000	ProLogis LP, 5.625%, 11/15/2016		6,198,057
	6,375,000	ProLogis LP, 5.750%, 4/01/2016		6,514,236
	2,332,000	ProLogis LP, 6.625%, 5/15/2018		2,418,240
	1,595,000	ProLogis LP, 6.875%, 3/15/2020		1,664,022
	3,020,000	ProLogis LP, 7.375%, 10/30/2019		3,266,731

				26,278,098

		Retailers – 1.0%
	1,920,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,881,600
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,165,200
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,740,000
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		6,822,900
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		925,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022		14,483,035

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Retailers – continued
$	5,160,000		J.C. Penney Corp., Inc., 5.750%, 2/15/2018	$	5,031,000
	50,232,000		J.C. Penney Corp., Inc., 6.375%, 10/15/2036		42,194,880
	2,798,000		J.C. Penney Corp., Inc., 7.125%, 11/15/2023		2,825,980
	5,580,000		J.C. Penney Corp., Inc., 7.625%, 3/01/2097		4,687,200
	28,445,000		Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		31,209,456
	14,133,000		Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,240,072
	2,098,000		Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,354,434
	1,485,000		Macy’s Retail Holdings, Inc., 8.125%, 7/15/2015		1,728,919
	9,245,000		Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		9,905,047
	39,965,000		Toys R Us, Inc., 7.375%, 10/15/2018		33,970,250
	11,255,000		Toys R Us, Inc., 7.875%, 4/15/2013		11,114,312

					189,279,285

			Sovereigns – 3.5%
	10,000,000,000		Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		1,347,145
	25,000,000,000		Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,565,984
	145,156,000,000		Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		20,392,073
	498,832,000,000		Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		69,795,280
	317,658,000,000		Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		46,701,797
	378,003,000,000		Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		40,699,914
	28,585,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		228,151,954
	98,690,000		Republic of Brazil, 10.250%, 1/10/2028, (BRL)		55,112,086
	10,025,000		Republic of Brazil, 12.500%, 1/05/2016, (BRL)		5,944,888
	114,735,000		Republic of Brazil, 12.500%, 1/05/2022, (BRL)		71,699,840
	26,800,000		Republic of Croatia, 6.750%, 11/05/2019, 144A		25,915,600
	7,413,690,000		Republic of Iceland, 4.250%, 8/24/2012, (ISK)		38,639,154
	5,188,170,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		28,330,365
	4,616,100,000		Republic of Iceland, 7.250%, 5/17/2013, (ISK)		25,211,560

					661,507,640

			Supermarkets – 0.7%
	3,000,000		American Stores Co., 7.900%, 5/01/2017		2,775,000
	13,145,000		American Stores Co., Series B, MTN, 7.100%, 3/20/2028		10,023,062
	100,590,000		New Albertson’s, Inc., 7.450%, 8/01/2029		75,442,500
	20,550,000		New Albertson’s, Inc., 7.750%, 6/15/2026		16,851,000
	9,715,000		New Albertson’s, Inc., 8.000%, 5/01/2031		7,674,850
	2,995,000		New Albertson’s, Inc., 8.700%, 5/01/2030		2,553,238
	17,575,000		New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		12,214,625

					127,534,275

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Supranational – 2.1%
	8,660,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)	$	4,703,735
	11,505,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		6,340,370
	837,962,640,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		82,127,965
	16,500,000	European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD)		12,704,366
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		72,560,128
	345,270,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		33,819,963
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		153,299,763
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		31,190,305

				396,746,595

		Technology – 1.6%
	1,940,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		1,901,200
	65,276,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		76,377,620
	1,500,000	Alcatel-Lucent, 8.500%, 1/15/2016, (EUR)		1,889,047
	1,000,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,326,352
	78,407,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		65,077,810
	4,626,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,839,580
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,920,486
	12,555,000	Avnet, Inc., 5.875%, 3/15/2014		13,439,876
	50,915,000	Avnet, Inc., 6.000%, 9/01/2015		55,042,832
	15,245,000	Avnet, Inc., 6.625%, 9/15/2016		16,952,989
	10,821,000	Corning, Inc., 6.850%, 3/01/2029		13,272,357
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,965,366
	3,640,000	Eastman Kodak Co., 7.250%, 11/15/2013		910,000
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		18,394,035
	143,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		145,145
	6,016,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		6,121,280
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,036,169
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		5,215,217
	11,895,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(e)		12,251,850
	4,301,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		5,170,305
	40,000	Xerox Corp., 6.350%, 5/15/2018		45,466
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		712,141

				309,007,123

		Tobacco – 0.5%
	71,085,000	Reynolds American, Inc., 6.750%, 6/15/2017		81,931,292
	17,990,000	Reynolds American, Inc., 7.250%, 6/15/2037		20,198,974

				102,130,266

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Transportation Services – 0.4%
$	20,469,000	APL Ltd., 8.000%, 1/15/2024(c)	$	13,100,160
	24,444,460	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		22,488,904
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(k)		4,979,539
	9,921,200	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		9,226,716
	351,493	Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014		323,374
	11,697,876	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		9,592,258
	15,689,997	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)		11,296,798
	6,973,773	Atlas Air Pass Through Trust, Series 2000-1, Class B, 10.128%, 7/02/2017		6,415,871
	201,720	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(d)(k)		155,324
	2,675,000	Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,116,375

				80,695,319

		Treasuries – 16.1%
	587,055,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		566,108,358
	228,647,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		227,617,118
	94,395,000	Canadian Government, 3.750%, 6/01/2012, (CAD)		91,794,386
	246,645,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		267,002,215
	297,760,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		330,104,709
	6,058,224	Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR)		2,403,253
	3,240,000	Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR)		1,354,760
	1,950,000	Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR)		1,072,828
	102,205,000	Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR)		43,146,370
	126,665,000	Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		89,709,676
	170,925,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		193,415,228
	76,200,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		84,030,426
	10,600,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		11,837,960
	161,275,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		178,904,433
	33,000,000	New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		27,926,651
	300,670,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		241,614,140
	668,075,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		127,431,940
	319,620,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		60,744,461
	2,599,880,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		477,877,706
	40,050,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		31,029,832
	9,000,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,284,604
	19,575,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		15,473,106

				3,077,884,160

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Utility Other – 0.0%
$	4,800,000	Listrindo Capital BV, 9.250%, 1/29/2015, 144A	$	4,711,104

		Wireless – 1.0%
	57,512,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		53,917,500
	40,092,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		37,987,170
	4,680,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		4,551,300
	41,804,000	Sprint Capital Corp., 6.875%, 11/15/2028		31,248,490
	38,286,000	Sprint Capital Corp., 6.900%, 5/01/2019		32,925,960
	8,390,000	Sprint Capital Corp., 8.750%, 3/15/2032		7,288,813
	15,252,000	Sprint Nextel Corp., 6.000%, 12/01/2016		13,116,720
	12,665,000	True Move Co. Ltd., 10.750%, 12/16/2013, 144A		13,424,900

				194,460,853

		Wirelines – 3.7%
	8,395,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		7,051,800
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,233,077
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,140,276
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		31,566,332
	3,940,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		4,668,640
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		99,541,724
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		9,528,613
	4,400,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		3,957,879
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		755,000
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,195,998
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,659,875
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		622,325
	17,205,000	GTE Corp., 6.940%, 4/15/2028		21,260,718
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,748,537
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,794,473
	68,090,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		62,727,913
	11,350,000	Level 3 Financing, Inc., 9.250%, 11/01/2014		11,208,125
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019, 144A		3,296,850
	950,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		754,112
	15,960,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		13,898,565
	38,981,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		38,907,468
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		29,150,400
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		55,487,155
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,482,375
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		37,590,600
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		35,933,625
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,429,750
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		10,248,300
	2,890,000	Qwest Corp., 7.500%, 6/15/2023		2,850,494

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wirelines – continued
$	43,499,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	35,585,879
	28,320,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		24,227,788
	5,845,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		7,770,370
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		47,109,557
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		27,952,382
	15,250,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		15,499,505
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,631,680
	7,860,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		8,757,612

				697,225,772


		Total Non-Convertible Bonds (Identified Cost $13,643,352,868)		14,329,958,539


	Convertible Bonds – 7.1%

		Airlines – 0.1%
	32,465,000	AMR Corp., 6.250%, 10/15/2014		19,194,931
	6,445,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		5,671,600

				24,866,531

		Automotive – 1.3%
	2,900,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		1,975,625
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		237,080,319
	12,335,000	Navistar International Corp., 3.000%, 10/15/2014		12,242,487

				251,298,431

		Diversified Manufacturing – 0.3%
	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		39,942,000
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		21,603,254

				61,545,254

		Electric – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,457,500

		Healthcare – 0.4%
	32,436,000	Hologic, Inc., 2.000% (accretes to principal after 12/15/2013), 12/15/2037(f)		30,368,205
	14,480,000	Life Technologies Corp., 1.500%, 2/15/2024		14,624,800
	285,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		288,206
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,541,375
	3,107,000	Omnicare, Inc., 3.250%, 12/15/2035		2,807,951
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		33,394,688

				84,025,225

		Independent Energy – 0.2%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		23,552,812

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Independent Energy – continued
$	9,405,000	Chesapeake Energy Corp., 2.500%, 5/15/2037	$	8,958,263

				32,511,075

		Life Insurance – 0.4%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		65,896,931

		Media Non-Cable – 0.0%
	10,026,611	Liberty Media LLC, 3.500%, 1/15/2031		5,414,370

		Metals & Mining – 0.1%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,291,081
	16,535,000	United States Steel Corp., 4.000%, 5/15/2014		17,237,738

				18,528,819

		Non-Captive Diversified – 0.3%
	60,585,000	iStar Financial, Inc., 0.746%, 10/01/2012(b)		53,011,875

		Pharmaceuticals – 0.3%
	51,585,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		53,390,475

		REITs – Warehouse/Industrials – 0.2%
	28,230,000	ProLogis LP, 3.250%, 3/15/2015		27,912,412

		Technology – 2.8%
	330,000	Ciena Corp., 0.250%, 5/01/2013		314,738
	49,074,000	Ciena Corp., 0.875%, 6/15/2017		35,824,020
	8,030,000	Ciena Corp., 3.750%, 10/15/2018, 144A		7,116,587
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		8,321,950
	11,651,000	Intel Corp., 2.950%, 12/15/2035		11,811,201
	343,275,000	Intel Corp., 3.250%, 8/01/2039		403,777,219
	10,025,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		9,837,031
	3,545,000	Micron Technology, Inc., 1.875%, 6/01/2014		3,310,144
	58,415,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		44,687,475

				525,000,365

		Textile – 0.0%
	81,000	Dixie Yarns, Inc., 7.000%, 5/15/2012		80,190

		Wirelines – 0.7%
	5,755,000	Level 3 Communications, Inc., 3.500%, 6/15/2012		5,675,869
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		77,045,235
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		58,525,125

				141,246,229


		Total Convertible Bonds (Identified Cost $1,242,258,802)		1,346,185,682

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

	Municipals – 1.4%

		California – 0.3%
$	5,425,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028	$	4,029,853
	2,165,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,858,544
	20,455,000	State of California, 4.500%, 10/01/2029		20,059,196
	5,805,000	State of California, 4.500%, 8/01/2030		5,681,992
	7,340,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		7,346,459
	5,945,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		5,819,026
	17,945,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		16,773,012
	3,805,000	State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027		3,247,187

				64,815,269

		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		6,332,568

		Illinois – 0.4%
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		2,334,787
	69,245,000	State of Illinois, 5.100%, 6/01/2033		62,591,248

				64,926,035

		Michigan – 0.1%
	20,690,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		15,640,399

		Ohio – 0.0%
	10,390,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		7,276,844

		Virginia – 0.6%
	178,970,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		118,064,719

		Total Municipals (Identified Cost $331,008,350)		277,055,834

		Total Bonds and Notes (Identified Cost $15,216,620,020)		15,953,200,055


	Senior Loans – 0.4%

		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Company, LLC, Non Extended Term Loan, 3.726%, 10/10/2014(g)		4,876,582

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Senior Loans – continued

		Media Non-Cable – 0.1%
$	4,124,998	Dex Media West, LLC, New Term Loan, 7.000%, 10/24/2014(b)	$	2,745,723
	46,690,454	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		20,380,383

				23,126,106

		Wireless – 0.1%
	12,129,970	Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(h)		12,080,722

		Wirelines – 0.2%
	1,765,000	Fairpoint Communications, Inc., New Term Loan B, 1/22/2016(i)		1,385,525
	35,534,523	Fairpoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		27,894,601

				29,280,126


		Total Senior Loans (Identified Cost $110,451,858)		69,363,536


	Shares

	Preferred Stocks – 2.6%

	Convertible Preferred Stocks – 1.9%

		Automotive – 0.9%
	4,096,100	General Motors Co., Series B, 4.750%		143,691,188
	949,385	Goodyear Tire & Rubber Co. (The), 5.875%		36,978,546

				180,669,734

		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		19,780,160
	305,595	Sovereign Capital Trust IV, 4.375%		14,744,959
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		12,895,688

				47,420,807

		Construction Machinery – 0.1%
	263,437	United Rentals Trust I, 6.500%		10,537,480

		Consumer Products – 0.1%
	275,316	Newell Financial Trust I, 5.250%		11,563,272

		Electric – 0.1%
	346,577	AES Trust III, 6.750%		16,885,231
	208,375	CMS Energy Trust I, 7.750%(c)(j)		9,376,875

				26,262,106

		Independent Energy – 0.1%
	87,351	Chesapeake Energy Corp., 4.500%		8,123,643
	144,600	SandRidge Energy, Inc., 8.500%		14,460,000

				22,583,643

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		Pipelines – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%	$	14,565,751
	25,000	Williams Cos., Inc., 5.500%		2,810,938

				17,376,689

		REITs – Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		7,970,545

		Technology – 0.2%
	52,704	Lucent Technologies Capital Trust I, 7.750%		43,480,800

		Total Convertible Preferred Stocks (Identified Cost $423,798,708)		367,865,076


	Non-Convertible Preferred Stocks – 0.7%
		Banking – 0.2%
	53,000	Bank of America Corp., 6.375%		971,490
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		32,397,147
	534,725	Countrywide Capital IV, 6.750%		10,261,373

				43,630,010

		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		106,397
	100	Entergy Arkansas, Inc., 4.320%		8,178
	5,000	Entergy Mississippi, Inc., 4.360%		436,719
	665	Entergy New Orleans, Inc., 4.360%		57,834
	200	Entergy New Orleans, Inc., 4.750%		17,169
	645	MDU Resources Group, Inc., 5.100%		63,170
	360	Public Service Company of Oklahoma, 4.000%		25,200
	50,100	Southern California Edison Co., 4.780%		1,202,901
	1,100	Xcel Energy, Inc., 3.600%		113,355

				2,030,923

		Government Sponsored – 0.2%
	38,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		39,757,500

		Home Construction – 0.0%
	36,783	Hovnanian Enterprises, Inc., 7.625%(d)		73,566

		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		6,303,693

		Non-Captive Diversified – 0.2%
	52,843	Ally Financial, Inc., Series G, 7.000%, 144A		31,705,800

		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,351,321

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%	$	9,472,842


		Total Non-Convertible Preferred Stocks (Identified Cost $109,179,445)		135,325,655


		Total Preferred Stocks (Identified Cost $532,978,153)		503,190,731


	Common Stocks – 4.8%

		Biotechnology – 0.3%
	1,409,794	Vertex Pharmaceuticals, Inc.(d)		62,792,225

		Chemicals – 0.3%
	750,000	PPG Industries, Inc.		52,995,000


		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(d)		9,760,081
	2,766	Rock-Tenn Co., Class A		134,649

				9,894,730

		Diversified Telecommunication Services – 0.3%
	269,619	FairPoint Communications, Inc.(d)		1,159,362
	403,884	Hawaiian Telcom Holdco, Inc.(d)		5,630,143
	2,629,337	Telefonica S.A., Sponsored ADR		50,272,923

				57,062,428

		Electronic Equipment, Instruments & Components – 0.0%
	630,490	Corning, Inc.		7,792,856

		Media – 0.0%
	4,746	Dex One Corp.(d)		2,658
	79,727	SuperMedia, Inc.(d)		123,577

				126,235

		Oil, Gas & Consumable Fuels – 0.5%
	1,026,979	Chesapeake Energy Corp.		26,239,313
	813,333	Repsol YPF S.A., Sponsored ADR		21,358,125
	750,000	Royal Dutch Shell PLC, ADR		46,140,000

				93,737,438

		Pharmaceuticals – 1.2%
	3,372,358	Bristol-Myers Squibb Co.		105,824,594
	3,384,721	Valeant Pharmaceuticals International, Inc.		125,640,843

				231,465,437

		Semiconductors & Semiconductor Equipment – 1.8%
	16,210,621	Intel Corp.		345,772,546

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Software – 0.3%
	2,568,090	Microsoft Corp.	$	63,919,760

		Total Common Stocks (Identified Cost $764,164,730)		925,558,655


	Closed End Investment Companies – 0.1%
	680,008	Highland Credit Strategies Fund		4,216,050
	337,212	Morgan Stanley Emerging Markets Debt Fund, Inc.		3,260,840
	1,616,744	Western Asset High Income Opportunity Fund, Inc.		9,344,780

		Total Closed End Investment Companies (Identified Cost $23,350,221)		16,821,670


	Principal Amount (‡)

	Short-Term Investments – 7.1%
$	1,489,290	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2011 at 0.000% to be repurchased at $1,489,290 on 10/03/2011 collateralized by $1,485,000 U.S. Treasury Note, 1.375% due 5/15/2013 valued at $1,519,045 including accrued interest (Note 2 of Notes to Financial Statements)		1,489,290

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Short-Term Investments – continued
$	1,347,979,613	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2011 at 0.000% to be repurchased at $1,347,979,613 on 10/03/2011 collateralized by $15,000,000 Federal Home Loan Bank, 0.500% due 8/28/2013 valued at $15,037,500; $64,400,000 Federal Home Loan Mortgage Corp., 0.600% due 8/23/2013 valued at $64,481,062; $100,000,000 Federal Home Loan Mortgage Corp., 0.375% due 10/30/2013 valued at $99,750,000; $20,000,000 Federal National Mortgage Association, 1.000% due 10/18/2013 valued at $20,100,000; $50,000,000 Federal National Mortgage Association, 0.875% due 11/08/2013 valued at $50,187,500; $29,000,000 Federal National Mortgage Association, 0.750% due 12/18/2013 valued at $29,233,871; $224,480,000 U.S. Treasury Note, 1.500% due 12/31/2013 valued at $231,214,400; $29,925,000 Federal Home Loan Bank, 3.625% due 5/29/2013 valued at $31,870,125; $50,000,000 Federal Home Loan Bank, 1.750% due 3/08/2013 valued at $50,937,500; $19,000,000 Federal Home Loan Mortgage Corp., 1.625% due 4/15/2013 valued at $19,522,500; $219,555,000 U.S Treasury Note, 1.375% due 2/15/2013 valued at $223,397,213; $182,000,000 U.S. Treasury Note, 0.750% due 3/31/2013 valued at $184,275,000; $18,015,000 Federal Home Loan Mortgage Corp., 0.600% due 8/23/2013 valued at $18,037,676; $100,890,000 Federal Home Loan Mortgage Corp., 0.500% due 8/23/2013 valued at $100,890,000; $235,910,000 Federal National Mortgage Association, 0.550% due 8/23/2013 valued at $236,016,207 including accrued interest (Note 2 of Notes to Financial Statements)	$	1,347,979,613

		Total Short-Term Investments (Identified Cost $1,349,468,903)		1,349,468,903


		Total Investments – 98.7% (Identified Cost $17,997,033,885)(a)		18,817,603,550
		Other Assets Less Liabilities—1.3%		249,835,384

		Net Assets – 100.0%	$	19,067,438,934


	(‡)	Principal amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 25.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2011, the net unrealized appreciation on investments based on a cost of $18,118,760,545 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	1,574,938,127
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(876,095,122	)

		Net unrealized appreciation	$	698,843,005

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued



	(b)			Variable rate security. Rate as of September 30, 2011 is disclosed.
	(c)			Illiquid security. At September 30, 2011, the value of these securities amounted to $444,154,342 or 2.3% of net assets.
	(d)			Non-income producing security.
	(e)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(f)			Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(g)			Variable rate security. Rate shown represents the weighted average rate at September 30, 2011.
	(h)			All or a portion of interest payment is paid-in-kind.
	(i)			Position is unsettled. Contract rate was not determined at September 30, 2011 and does not take effect until settlement date.
	(j)			Fair valued security by the Fund’s investment adviser. At September 30, 2011, the value of this security amounted to $9,376,875 or less than 0.1% of net assets.
	(k)			Maturity has been extended under the terms of a plan of reorganization.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2011, the value of Rule 144A holdings amounted to $1,944,785,046 or 10.2% of net assets.
	ADR			An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	ABS			Asset-Backed Securities
	AGMC			Assured Guaranty Municipal Corp.
	AMBAC			American Municipal Bond Assurance Corp.
	EMTN			Euro Medium Term Note
	FHLMC			Federal Home Loan Mortgage Corp.
	GMTN			Global Medium Term Note
	MBIA			Municipal Bond Investors Assurance Corp.
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts

	AUD			Australian Dollar
	BRL			Brazilian Real
	CAD			Canadian Dollar
	CHF			Swiss Franc
	EUR			Euro
	GBP			British Pound
	IDR			Indonesian Rupiah
	ISK			Icelandic Krona
	KRW			South Korean Won
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	SGD			Singapore Dollar

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2011

Loomis Sayles Bond Fund – continued

Industry Summary at September 30, 2011 (Unaudited)


Treasuries	16.1	%
Non-Captive Diversified	7.5
Banking	7.3
Technology	4.6
Wirelines	4.6
Non-Captive Consumer	4.5
Automotive	4.0
Sovereigns	3.5
Electric	2.9
Healthcare	2.6
Pipelines	2.6
Airlines	2.1
Supranational	2.1
Local Authorities	2.0
Other Investments, less than 2% each	25.2
Short-Term Investments	7.1

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

Currency Exposure at September 30, 2011 (Unaudited)


United States Dollar	67.0	%
Canadian Dollar	9.0
New Zealand Dollar	4.6
Euro	4.2
Norwegian Krone	3.5
Australian Dollar	2.7
Indonesian Rupiah	2.7
Other, less than 2% each	5.0

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 38

Statement of Assets and Liabilities

September 30, 2011


ASSETS
Investments at cost	$	17,997,033,885
Net unrealized appreciation		820,569,665

Investments at value		18,817,603,550
Cash		16,216,947
Foreign currency at value (identified cost $27,260,066)		26,357,794
Receivable for Fund shares sold		22,938,893
Receivable for securities sold		10,613,453
Dividends and interest receivable		280,607,662
Tax reclaims receivable		296,451

TOTAL ASSETS		19,174,634,750

LIABILITIES
Payable for securities purchased		32,215,203
Payable for Fund shares redeemed		63,566,074
Foreign taxes payable (Note 2)		416,781
Management fees payable (Note 5)		8,364,700
Deferred Trustees’ fees (Note 5)		902,954
Administrative fees payable (Note 5)		757,579
Other accounts payable and accrued expenses		972,525

TOTAL LIABILITIES		107,195,816

NET ASSETS	$	19,067,438,934

NET ASSETS CONSIST OF:
Paid-in capital	$	18,873,101,454
Undistributed net investment income		84,743,529
Accumulated net realized loss on investments and foreign currency transactions		(702,046,720	)
Net unrealized appreciation on investments and foreign currency translations		811,640,671

NET ASSETS	$	19,067,438,934


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	10,897,693,904

Shares of beneficial interest		784,865,838

Net asset value, offering and redemption price per share	$	13.88

Retail Class:
Net assets	$	7,907,177,947

Shares of beneficial interest		571,670,639

Net asset value, offering and redemption price per share	$	13.83

Admin Class:
Net assets	$	262,567,083

Shares of beneficial interest		19,032,032

Net asset value, offering and redemption price per share	$	13.80

See accompanying notes to financial statements.

39 |

Statement of Operations

For the Year Ended September 30, 2011


INVESTMENT INCOME
Interest	$	1,082,881,203
Dividends		57,272,004
Less net foreign taxes withheld		(3,860,772	)

		1,136,292,435

Expenses
Management fees (Note 5)		102,796,662
Service and distribution fees (Note 5)		22,185,847
Administrative fees (Note 5)		9,320,327
Trustees’ fees and expenses (Note 5)		447,477
Transfer agent fees and expenses (Notes 5 and 6)		13,268,685
Audit and tax services fees		68,822
Custodian fees and expenses		1,121,461
Legal fees		323,384
Registration fees		233,650
Shareholder reporting expenses		1,240,225
Miscellaneous expenses		562,616

Total expenses		151,569,156
Fee/expense recovery (Note 5)		18,548

Net expenses		151,587,704

Net investment income		984,704,731


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		451,913,969
Foreign currency transactions		6,278,181
Net change in unrealized appreciation (depreciation) on:
Investments		(811,746,144	)
Foreign currency translations		(10,906,196	)

Net realized and unrealized loss on investments and foreign currency transactions		(364,460,190	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	620,244,541

See accompanying notes to financial statements.

| 40

Statement of Changes in Net Assets


	Year Ended September 30, 2011			Year Ended September 30, 2010
FROM OPERATIONS:
Net investment income	$	984,704,731		$	1,070,035,077
Net realized gain (loss) on investments and foreign currency transactions		458,192,150			(80,917,562	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(822,652,340	)		1,805,551,398

Net increase in net assets resulting from operations		620,244,541			2,794,668,913

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(627,062,160	)		(642,070,620	)
Retail Class		(433,707,815	)		(448,114,393	)
Admin Class		(13,290,620	)		(13,185,534	)

Total distributions		(1,074,060,595	)		(1,103,370,547	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(180,549,809	)		(717,934,887	)

Net increase (decrease) in net assets		(634,365,863	)		973,363,479
NET ASSETS
Beginning of the year		19,701,804,797			18,728,441,318

End of the year	$	19,067,438,934		$	19,701,804,797

UNDISTRIBUTED NET INVESTMENT INCOME	$	84,743,529		$	8,550,062

See accompanying notes to financial statements.

41 |

This Page Intentionally Left Blank

| 42

Financial Highlights

For a share outstanding throughout each period.


			Income (Loss) from Investment Operations:								Less Distributions:
	Net asset value, beginning of the period		Net investment income (a)		Net realized and unrealized gain (loss)			Total from investment operations			Dividends from net investment income			Distributions from net realized capital gains			Total distributions
Institutional Class
9/30/2011	$	14.20	$	0.73	$	(0.25	)	$	0.48		$	(0.80	)	$	—		$	(0.80	)
9/30/2010		12.99		0.78		1.24			2.02			(0.81	)		—			(0.81	)
9/30/2009		11.89		0.85		1.23			2.08			(0.87	)		(0.11	)		(0.98	)
9/30/2008		14.71		0.96		(2.77	)		(1.81	)		(1.01	)		—			(1.01	)
9/30/2007		14.13		0.83		0.58			1.41			(0.83	)		—			(0.83	)

Retail Class
9/30/2011		14.15		0.69		(0.25	)		0.44			(0.76	)		—			(0.76	)
9/30/2010		12.94		0.74		1.24			1.98			(0.77	)		—			(0.77	)
9/30/2009		11.85		0.82		1.22			2.04			(0.84	)		(0.11	)		(0.95	)
9/30/2008		14.67		0.92		(2.77	)		(1.85	)		(0.97	)		—			(0.97	)
9/30/2007		14.10		0.79		0.57			1.36			(0.79	)		—			(0.79	)

Admin Class
9/30/2011		14.11		0.65		(0.25	)		0.40			(0.71	)		—			(0.71	)
9/30/2010		12.91		0.70		1.23			1.93			(0.73	)		—			(0.73	)
9/30/2009		11.82		0.79		1.22			2.01			(0.81	)		(0.11	)		(0.92	)
9/30/2008		14.64		0.88		(2.76	)		(1.88	)		(0.94	)		—			(0.94	)
9/30/2007		14.07		0.75		0.58			1.33			(0.76	)		—			(0.76	)

(a)

Per share net investment income has been calculated using the average shares outstanding during the period.

(b)

Amount rounds to less than $0.01 per share, if applicable.

(c)

Effective June 2, 2008, redemption fees were eliminated.

(d)

Had certain expenses not been waived/reimbursed during the period, if applicable, total returns would have been lower. Periods less than one year, if applicable, are not annualized.

(e)

See accompanying notes to financial statements.

43 |


									Ratios to Average Net Assets:
Redemption fees (b)(c)		Net asset value, end of the period		Total return (%) (d)			Net assets, end of the period (000’s)		Net expenses (%) (e)(f)			Gross expenses (%) (f)			Net investment income (%) (f)		Portfolio turnover rate (%)

$	—	$	13.88		3.34		$	10,897,694		0.63			0.63			5.04		22
	—		14.20		16.00			11,194,527		0.64			0.64			5.76		27
	—		12.99		19.84			10,855,818		0.65			0.65			7.69		39
	0.00		11.89		(13.14	)		7,616,621		0.64			0.64			6.78		26
	0.00		14.71		10.28			7,716,061		0.67	(g)		0.67			5.75		20


	—		13.83		2.97			7,907,178		0.92			0.92			4.75		22
	—		14.15		15.72			8,241,062		0.93	(h)		0.93	(h)		5.46		27
	—		12.94		19.46			7,646,591		0.95			0.96			7.44		39
	0.00		11.85		(13.44	)		6,863,594		0.94	(h)		0.94	(h)		6.49		26
	0.00		14.67		9.93			6,432,333		0.97	(g)		0.97			5.49		20


	—		13.80		2.77			262,567		1.20	(i)		1.20	(i)		4.47		22
	—		14.11		15.37			266,215		1.20			1.21			5.20		27
	—		12.91		19.21			226,032		1.20			1.25			7.22		39
	0.00		11.82		(13.69	)		210,494		1.20			1.24			6.23		26
	0.00		14.64		9.66			193,850		1.23	(g)(h)		1.23	(h)		5.20		20

(f)

Computed on an annualized basis for periods less than one year, if applicable.

(g)

Effective July 1, 2007, the expense limitations decreased to 0.70%, 0.95% and 1.20% for the Institutional Class, Retail Class and Admin Class, respectively.

(h)

Includes fee/expense recovery of less than 0.01%.

(i)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

| 44

Notes to Financial Statements

September 30, 2011

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to Loomis Sayles Bond Fund (the “Fund”).

The Fund is a diversified investment company.

The Fund offers Institutional Class, Retail Class and Admin Class shares.

Most expenses of the Trust can be directly attributed to a Fund. Expenses which cannot be directly attributed to a Fund are generally apportioned based on the relative net assets of each of the Funds in the Trust. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (including the Rule 12b-1 service and distribution fees and transfer agent fees). In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

45 |

Notes to Financial Statements – continued

September 30, 2011

Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. In instances where broker-dealer bid quotations are not available, certain securities held by the Fund may be valued on the basis of a price provided by a principal market maker. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.

The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.

c. Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.

| 46

Notes to Financial Statements – continued

September 30, 2011

Net realized foreign exchange gains or losses arise from sales of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, other than investment securities, at the end of the fiscal period, resulting from changes in exchange rates.

The Fund may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.

d. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of September 30, 2011 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The Fund may be subject to foreign taxes on income and gains on investments that are accrued based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign governments may also impose taxes or other payments on investments with respect to foreign securities. Such taxes are accrued as applicable, and are reflected as foreign taxes payable on the Statement of Assets and Liabilities.

47 |

Notes to Financial Statements – continued

September 30, 2011

of items such as foreign currency transactions, premium amortization, defaulted bond adjustments, paydown gains and losses, preferred securities adjustments and return of capital and capital gain distributions from real estate investment trusts (“REITs”). Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, securities lending collateral gain/loss adjustments, forward foreign currency contract mark to market, defaulted bond interest, REIT basis adjustments and contingent payment debt instruments. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2011 and 2010 was as follows:


2011 Distributions Paid From:			2010 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total	Ordinary Income	Long-Term Capital Gains	Total
$1,074,060,595	$ —	$1,074,060,595	$1,103,370,547	$ —	$1,103,370,547

As of September 30, 2011, the components of distributable earnings on a tax basis were as follows:


Undistributed ordinary income	$	145,774,890
Undistributed long-term capital gains		—

Total undistributed earnings		145,774,890

Capital loss carryforward:
Expires September 30, 2018		(628,747,521	)

Unrealized appreciation		689,995,557

Total accumulated earnings	$	207,022,926

Capital loss carryforward utilized in the current year	$	111,749,516

f. Repurchase Agreements. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including

| 48

Notes to Financial Statements – continued

September 30, 2011

interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities.

g. Securities Lending. The Fund has entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Fund, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including accrued interest) of the loaned international or domestic securities, respectively, when the loan is initiated. Thereafter, the value of the collateral must remain at least 102% of the market value (including accrued interest) of loaned securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.

For the year ended September 30, 2011, the Fund did not loan securities under this agreement.

h. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts with service providers that contain general indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

3. Fair Value Measurements. In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

•

Level 1—quoted prices in active markets for identical assets or liabilities;

•

49 |

Notes to Financial Statements – continued

September 30, 2011

•

Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2011, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Consumer Cyclical Services	$	—	$	—	$	5,032,625	$	5,032,625
Non-Captive Consumer		3,023,142		—		—		3,023,142
Technology		—		—		910,000		910,000
Treasuries		—		—		1,072,828		1,072,828
All Other Non-Convertible Bonds(a)		—		14,319,919,944		—		14,319,919,944

Total Non-Convertible Bonds		3,023,142		14,319,919,944		7,015,453		14,329,958,539

Convertible Bonds(a)		—		1,346,185,682		—		1,346,185,682
Municipals(a)		—		277,055,834		—		277,055,834

Total Bonds and Notes		3,023,142		15,943,161,460		7,015,453		15,953,200,055

Senior Loans(a)		—		69,363,536		—		69,363,536

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

| 50

Notes to Financial Statements – continued

September 30, 2011

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Automotive	$	180,669,734	$	—	$	—	$	180,669,734
Banking		32,675,848		14,744,959		—		47,420,807
Construction Machinery		10,537,480		—		—		10,537,480
Consumer Products		—		11,563,272		—		11,563,272
Electric		16,885,231		—		9,376,875		26,262,106
Independent Energy		8,123,643		—		14,460,000		22,583,643
Pipelines		14,565,751		2,810,938		—		17,376,689
REITs—Healthcare		7,970,545		—		—		7,970,545
Technology		43,480,800		—		—		43,480,800

Total Convertible Preferred Stocks		314,909,032		29,119,169		23,836,875		367,865,076

Non-Convertible Preferred Stocks
Banking		43,630,010		—		—		43,630,010
Electric		1,316,256		714,667		—		2,030,923
Government Sponsored		—		39,757,500		—		39,757,500
Home Construction		73,566		—		—		73,566
Non-Captive Consumer		6,303,693		—		—		6,303,693
Non-Captive Diversified		—		—		31,705,800		31,705,800
REITs—Office Property		—		2,351,321		—		2,351,321
REITs—Warehouse/Industrials		9,472,842		—		—		9,472,842

Total Non-Convertible Preferred Stocks		60,796,367		42,823,488		31,705,800		135,325,655

Total Preferred Stocks		375,705,399		71,942,657		55,542,675		503,190,731

Common Stocks(a)		925,558,655		—		—		925,558,655
Closed End Investment Companies		16,821,670		—		—		16,821,670
Short-Term Investments		—		1,349,468,903		—		1,349,468,903

Total	$	1,321,108,866	$	17,433,936,556	$	62,558,128	$	18,817,603,550

(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

51 |

Notes to Financial Statements – continued

September 30, 2011

Preferred stocks valued at $76,158,100 were transferred from Level 2 to Level 1 during the period ended September 30, 2011. At September 30, 2010, these securities were valued at original purchase price ($30,667,500) or on the basis of evaluated bids furnished to the Fund by a pricing service ($45,490,600); at September 31, 2011, these securities were valued at a market price in accordance with the Fund’s valuation policies.

All transfers are recognized as of the beginning of the reporting period.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2011:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2010		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
Airlines	$	50,705,608	$	—	$	—	$	—		$	—
Consumer Cyclical Services		—		34,580		—		305,045			—
Technology		—		139,345		—		(2,723,745	)		—
Treasuries		—		70,589		—		(839,582	)		1,841,821
Preferred Stocks
Convertible Preferred Stocks
Electric		7,293,125		—		—		2,083,750			—
Independent Energy		—		—		—		(629,328	)		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		—		—		(15,861,159	)		—

Total	$	57,998,733	$	244,514	$	—	$	(17,665,019	)	$	1,841,821

| 52

Notes to Financial Statements – continued

September 30, 2011


Investments in Securities – continued	Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2011		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2011
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	—	$	(50,705,608	)	$	—	$	—
Consumer Cyclical Services		—		4,693,000		—			5,032,625		305,045
Technology		—		3,494,400		—			910,000		(2,723,745	)
Treasuries		—		—		—			1,072,828		(839,582	)
Preferred Stocks
Convertible Preferred Stocks
Electric		—		—		—			9,376,875		2,083,750
Independent Energy		—		15,089,328		—			14,460,000		(629,328	)
Non-Convertible Preferred Stocks
Non-Captive Diversified		—		47,566,959		—			31,705,800		(15,861,159	)

Total	$	—	$	70,843,687	$	(50,705,608	)	$	62,558,128	$	(17,665,019	)

A debt security valued at $50,705,608 was transferred from Level 3 to Level 2 during the period ended September 30, 2011. At September 30, 2010, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.

Debt securities valued at $8,187,400 and preferred stocks valued at $62,656,287 were transferred from Level 2 to Level 3 during the period ended September 30, 2011. At September 30, 2010, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.

All transfers are recognized as of the beginning of the reporting period.

53 |

Notes to Financial Statements – continued

September 30, 2011

4. Purchases and Sales of Securities. For the year ended September 30, 2011, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $3,189,217,015 and $4,582,950,682, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $960,932,042 and $1,009,720,134, respectively.

5. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to the Fund. Under the terms of the management agreement, the Fund pays a management fee at the following annual rates, calculated daily and payable monthly, based on the Fund’s average daily net assets:


Percentage of Average Daily Net Assets
First $1 billion	Next $1 billion	Next $1 billion	Next $12 billion	Over $15 billion
0.60%	0.60%	0.60%	0.50%	0.49%

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes and extraordinary expenses. This undertaking is in effect until January 31, 2012 and is reevaluated on an annual basis. Management fees payable, as reflected on the Statement of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to this undertaking.

For the year ended September 30, 2011, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:


Expense Limit as a Percentage of Average Daily Net Assets
Institutional Class	Retail Class	Admin Class
0.70%	0.95%	1.20%

Loomis Sayles shall be permitted to recover expenses it has borne under the expense limitation agreement (whether through waiver of its management fees or otherwise) on a class by class basis in later periods to the extent the expenses of a class fall below a class’ expense limits, provided, however, that a class is not obligated to pay such waived/reimbursed fees or expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

For the year ended September 30, 2011, the management fees for the Fund were $102,796,662 (effective rate of 0.51% of average daily net assets).

For the year ended September 30, 2011, expense reimbursements related to the prior fiscal year were recovered as follows:


Recovered Expenses
Institutional Class	Retail Class	Admin Class	Total
$—	$—	$18,548	$18,548

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Notes to Financial Statements – continued

September 30, 2011

b. Service and Distribution Fees. Natixis Distributors, L.P. (“Natixis Distributors”), a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distributors serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted a Distribution Plan relating to the Fund’s Retail Class shares (the “Retail Class Plan”), and a Distribution Plan relating to its Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plan, the Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Retail Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Retail Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sale of Retail Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

Under the Admin Class Plan, the Fund pays Natixis Distributors a monthly distribution fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Admin Class shares, as compensation for services provided by Natixis Distributors in connection with the marketing or sale of Admin Class shares or for payments made by Natixis Distributors to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with respect to the sales of Admin Class shares, or for providing personal services to investors and/or the maintenance of shareholder accounts.

In addition, the Admin Class shares of the Fund may pay Natixis Distributors an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the year ended September 30, 2011, the Fund paid the following service and distribution fees:


Service Fees	Distribution Fees
Admin Class	Retail Class	Admin Class
$671,881	$20,842,085	$671,881

c. Administrative Fees. Natixis Asset Management Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Fund and contracts with State Street Bank

55 |

Notes to Financial Statements – continued

September 30, 2011

to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis US. Pursuant to an agreement among Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I, Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), Hansberger International Series and Natixis Advisors, the Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion and 0.0350% of such assets in excess of $60 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2011, the Fund paid $9,320,327 in administrative fees to Natixis Advisors.

d. Sub-Transfer Agent Fees. Natixis Distributors has entered into agreements with financial intermediaries to provide certain recordkeeping, processing, shareholder communications and other services to customers of the intermediaries and has agreed to compensate the intermediaries for providing those services. Certain services would be provided by the Fund if the shares of those customers were registered directly with the Fund’s transfer agent. Accordingly, the Fund agreed to pay a portion of the intermediary fees attributable to shares of the Fund held by intermediaries (which generally are a percentage of the value of shares held) not to exceed what the Fund would have paid its transfer agent had each customer’s shares been registered directly with the transfer agent instead of held through the intermediaries. Natixis Distributors pays the remainder of the fees.

For the year ended September 30, 2011, the Fund paid the following sub-transfer agent fees which are reflected in transfer agent fees and expenses in the Statement of Operations.


Sub-Transfer Agent Fees
Institutional Class	Retail Class	Admin Class
$5,047,193	$6,482,333	$299,150

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Notes to Financial Statements – continued

September 30, 2011

attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $7,500 for each Committee meeting that he or she attends in person and $3,750 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts, and Hansberger International Series, and are normally reflected as Trustees’ fees and expenses in the Statement of Operations. The portions of the accrued obligations allocated to the Fund under the Plan are reflected as Deferred Trustees’ fees in the Statement of Assets and Liabilities.

6. Class Specific Expenses. For the year ended September 30, 2011, the Fund paid the following class-specific transfer agent fees and expenses (including sub-transfer agent fees):


Transfer Agent Fees and Expenses
Institutional Class	Retail Class	Admin Class
$5,521,442	$7,446,723	$300,520

7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Hansberger International Series, participates in a $200,000,000 committed unsecured line of credit provided by State Street Bank, with an individual limit of $125,000,000 for each fund that participates in the line of credit. Interest is charged to each participating fund based on its borrowings at a rate per annum equal to the greater of the Federal Funds rate or overnight LIBOR, plus 1.25%. In addition, a commitment fee of 0.125% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. Prior to April 21, 2011, the commitment fee was 0.15% per annum.

For the year ended September 30, 2011, the Fund had no borrowings under these agreements.

8. Concentration of Risk. The Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

57 |

Notes to Financial Statements – continued

September 30, 2011

9. Concentration of Ownership. At September 30, 2011, the Loomis Sayles Funded Pension Plan and Trust and the Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of beneficial interest in the Fund representing 0.07% of net assets and 0.16% of net assets, respectively.

From time to time, the Fund may have a concentration of one or more shareholders holding a significant percentage of shares outstanding. Investment activities of these shareholders could have material impacts on the Fund. As of September 30, 2011, one shareholder account comprised more than 5% of the Fund’s total outstanding shares, representing 35.10% of the Fund’s net assets, based on accounts that represent more than 5% of an individual class of shares. Such accounts may be beneficially held by one or more individuals or entities other than the owner of record.

10. Capital Shares. The Fund may issue an unlimited number of shares of beneficial interest, without par value. Transactions in capital shares were as follows:


	Bond Fund
	Year Ended September 30, 2011						Year Ended September 30, 2010
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		206,070,542		$	2,996,892,553			225,791,097		$	3,060,935,314
Issued in connection with the reinvestment of distributions		38,018,239			551,093,903			41,506,088			563,071,668
Redeemed		(247,570,544	)		(3,586,490,923	)		(314,876,391	)		(4,250,749,039	)

Net change		(3,481,763	)	$	(38,504,467	)		(47,579,206	)	$	(626,742,057	)

Retail Class
Issued from the sale of shares		152,512,839		$	2,212,444,914			155,856,734		$	2,110,792,790
Issued in connection with the reinvestment of distributions		28,322,257			409,047,393			31,177,594			421,514,998
Redeemed		(191,624,020	)		(2,766,218,079	)		(195,407,565	)		(2,642,018,934	)

Net change		(10,788,924	)	$	(144,725,772	)		(8,373,237	)	$	(109,711,146	)

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Notes to Financial Statements – continued

September 30, 2011


	Bond Fund
	Year Ended September 30, 2011						Year Ended September 30, 2010
Admin Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		5,958,423		$	86,183,597			6,876,197		$	92,742,622
Issued in connection with the reinvestment of distributions		837,745			12,063,830			878,950			11,862,601
Redeemed		(6,625,444	)		(95,566,997	)		(6,397,886	)		(86,086,907	)

Net change		170,724		$	2,680,430			1,357,261		$	18,518,316

Increase (decrease) from capital share transactions		(14,099,963	)	$	(180,549,809	)		(54,595,182	)	$	(717,934,887	)

59 |

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Bond Fund, a series of Loomis Sayles Funds I (the “Fund”), at September 30, 2011, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 22, 2011

| 60

2011 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2011, 2.74% of dividends distributed by Bond Fund qualify for the dividends received deduction for corporate shareholders.

Qualified Dividend Income. For the fiscal year ended September 30, 2011, the Bond Fund will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 15% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2011, complete information will be reported in conjunction with Form 1099-DIV.

61 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Fund’s Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Natixis Funds at 800-225-5478.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Graham T. Allison, Jr. (1940)	Trustee since 2003 and Contract Review and Governance Committee Member	Douglas Dillon Professor and Director of the Belfer Center for Science and International Affairs, John F. Kennedy School of Government, Harvard University	44 Director, Taubman Centers, Inc. (real estate investment trust)	Significant experience on Board of Trustees of the Trust and/or other business organizations; government experience (including as Assistant Secretary of Defense under President Clinton); academic experience

Charles D. Baker (1956)***	Trustee from 2005 to 2009 and since 2011 and Contract Review and Governance Committee Member	Executive in Residence at General Catalyst Partners (venture capital and growth equity firm); formerly, President and Chief Executive Officer, Harvard Pilgrim Health Care (health plan)	44 None	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including president and chief executive officer of a corporation

Edward A. Benjamin (1938)	Trustee since 2002 and Chairman of the Contract Review and Governance Committee	Retired	44 Formerly, Director, Precision Optics Corporation (optics manufacturer)	Significant experience on Board of Trustees of the Trust and/or other business organizations; significant experience providing legal counsel to boards, funds, advisers and other financial institutions (former partner at Ropes & Gray LLP)

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Daniel M. Cain (1945)	Trustee since 2003 and Contract Review and Governance Committee Member	Chairman (formerly, President and Chief Executive Officer) of Cain Brothers & Company, Incorporated (investment banking)	44 Director, Sheridan Healthcare Inc. (physician practice management)	Significant experience on Board of Trustees of the Trust and/or other business organizations; experience in the financial industry, including roles as chairman and former chief executive officer of an investment banking firm

Kenneth A. Drucker (1945)	Trustee since 2008 and Chairman of the Audit Committee	Formerly, Vice President and Treasurer, Sequa Corp. (aerospace, automotive and metal manufacturing)	44 Formerly, Director, M Fund, Inc. (investment company); Director, Gateway Trust (investment company)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including as treasurer of a corporation

Wendell J. Knox (1948)	Trustee since 2009 and Audit Committee Member	Director (formerly, President and Chief Executive Officer) of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (commercial bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience including roles as president and chief executive officer of a consulting company

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex officio member of the Audit Committee and Contract Review and Governance Committee	President, Strategic Advisory Services (management consulting); formerly, Senior Vice President and Director, The Boston Consulting Group, Inc. (management consulting)	44 Director, Verizon Communications; Director, AES Corporation (international power company); formerly, Director, Rohm and Haas Company (specialty chemicals)	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience at a management consulting company

63 |

Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Erik R. Sirri (1958)	Trustee since 2009 and Contract Review and Governance Committee Member	Professor of Finance at Babson College; formerly, Director of the Division of Trading and Markets at the Securities and Exchange Commission	44 None	Experience on Board of Trustees of the Trust; Experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience and training as an economist

Peter J. Smail (1952)	Trustee since 2009 and Contract Review and Governance Committee Member	Retired; formerly, President and Chief Executive Officer of Pyramis Global Advisors (investment management)	44 None	Experience on Board of Trustees of the Trust; Mutual fund industry and executive experience, including roles and president and chief executive officer for an investment advisor

Cynthia L. Walker (1956)	Trustee since 2005 and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine; formerly, Executive Dean for Administration, Harvard Medical School; and formerly, Dean for Finance and Chief Financial Officer, Harvard Medical School	44 None	Significant experience on Board of Trustees of the Trust and/or other business organizations; executive experience in a variety of academic organizations, including roles as dean for finance and administration

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office*	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen** and Other Directorships Held During the Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES

Robert J. Blanding¹ (1947) 555 California Street San Francisco, CA 94104	Trustee since 2002 President and Chief Executive Officer since 2002	President, Chairman, Director and Chief Executive Officer, Loomis, Sayles & Company, L.P.	44 None	Significant experience on Board of Trustees of the Trust; continuing service as president, chairman, and chief executive officer of Loomis Sayles & Company, L.P.

David L. Giunta² (1965)***	Trustee since 2011 Executive Vice President	President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.; formerly, President, Fidelity Charitable Gift Fund; and formerly, Senior Vice President, Fidelity Brokerage Company	44 None	Experience on Board of Trustees of the Trust; continuing experience as President and Chief Executive Officer of Natixis Global Associates – U.S.

John T. Hailer³ (1960)	Trustee since 2003	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.; formerly, President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P., Natixis Distributors, L.P. and Natixis Global Associates, Inc.	44 None	Significant experience on Board of Trustees of the Trust; continuing experience as Chief Executive Officer of Natixis Global Asset Management, L.P.

65 |

Trustee and Officer Information – continued

***	Messrs. Baker and Giunta were appointed as trustees effective January 1, 2011.

¹	Mr. Blanding is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President, Chairman, Director and Chief Executive Officer of Loomis Sayles & Company, L.P.

²	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer, Natixis Distribution Corporation, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

³	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with affiliated persons of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held With the Trust	Term of Office* and Length of Time Served	Principal Occupation(s) During Past 5 Years**

OFFICERS OF THE TRUST

Coleen Downs Dinneen (1960)	Secretary, Clerk and Chief Legal Officer	Since September 2004	Executive Vice President, General Counsel, Secretary and Clerk (formerly, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk), Natixis Distribution Corporation, Natixis Distributors, L.P., and Natixis Asset Management Advisors, L.P.

Daniel J. Fuss (1933) One Financial Center Boston, MA 02111	Executive Vice President	Since June 2003	Vice Chairman and Director, Loomis, Sayles & Company, L.P.

Russell L. Kane (1969)	Chief Compliance Officer; Assistant Secretary and Anti-Money Laundering Officer	Chief Compliance Officer since May 2006; Assistant Secretary since June 2004; and Anti-Money Laundering Officer since April 2007	Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, Natixis Distribution Corporation, Natixis Distributors, L.P. and Natixis Asset Management Advisors, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, Natixis Asset Management Advisors, L.P. and Natixis Distributors, L.P.

*	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

67 |

Item 2.

Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3.

Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee. Ms. Cynthia L. Walker, Mr. Wendell J. Knox and Mr. Kenneth A. Drucker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4.

Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements and but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.


	Audit fees				Audit-related fees¹				Tax fees²				All other fees
		10/1/09- 9/30/10		10/1/10- 9/30/11		10/1/09- 9/30/10		10/1/10- 9/30/11		10/1/09- 9/30/10		10/1/10- 9/30/11		10/1/09- 9/30/10		10/1/10- 9/30/11
Loomis Sayles Funds I	$	343,510	$	348,710	$	7,955	$	13,093	$	84,983	$	74,890	$	—	$	—


1.		Audit-related fees consist of:
		2010—performance of agreed-upon procedures related to the Registrant’s deferred compensation plan, review of Form N-1A filings, and consulting services with respect to regulatory matters.
		2011—performance of agreed-upon procedures related to the Registrant’s deferred compensation plan, and consulting services with respect to regulatory matters.


2.		Tax fees consist of:
		2010—review of Registrant’s tax returns, consulting services with respect to complex security types and consulting services related to new Massachusetts filing requirements.
		2011— review of Registrant’s tax returns.

Aggregate fees billed to the Registrant for non-audit services during 2010 and 2011 were $92,938 and $87,983, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.


	Audit-related fees				Tax fees				All other fees
		10/1/09- 9/30/10		10/1/10- 9/30/11		10/1/09- 9/30/10		10/1/10- 9/30/11		10/1/09- 9/30/10		10/1/10- 9/30/11
Control Affiliates	$	12,000	$	—	$	—	$	—	$	—	$	—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.


	Aggregate Non-Audit Fees
	10/1/09-9/30/10	10/1/10-9/30/11
Control Affiliates	$174,242	$56,589

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an independent Board member is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11.

Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Exhibits.



(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).
(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.
(a)	(3)	Not applicable.
(b)		Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Loomis Sayles Funds I

By:		/s/ Robert J. Blanding

Name:		Robert J. Blanding
Title:		President and Chief Executive Officer
Date:		November 22, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ Robert J. Blanding

Name:		Robert J. Blanding
Title:		President and Chief Executive Officer
Date:		November 22, 2011


By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 22, 2011

Loomis Sayles Funds I N-CSRCertified annual shareholder report (management investment company)