Loomis Sayles Funds I NCSRS Certified semi-annual shareholder report (management investment company)

Loomis Sayles Funds I N-CSRSCertified semi-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.

NGAM Distribution, 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: March 31, 2012

Item 1. Reports to Stockholders.

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

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			16
Statements of Assets and Liabilities			63
Statements of Operations			65
Statements of Changes in Net Assets			67
Financial Highlights			71
Notes to Financial Statements			77

SEMI-ANNUAL REPORT

MARCH 31, 2012

LOOMIS SAYLES FIXED INCOME FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Daniel Fuss, CFA, CIC

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:

$1.0 Billion

Market Conditions

Market anxiety from the sovereign debt crisis in Europe eased markedly during the six-month period, as the European Central Bank took action to aid Greece and restore liquidity. In addition, the release of positive domestic macroeconomic data over successive months and a significant increase in liquidity encouraged greater risk-taking in the markets. Better-than-expected stress test results from U.S. banks bolstered general investor optimism and lifted many corporate financial names.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Fixed Income Fund returned 9.86%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 1.26% for the period.

Explanation of Fund Performance

A particularly strong showing by non-U.S.-dollar-denominated holdings in the second half of the period, coupled with robust security selection, resulted in a strong contribution to return. Winners within the allocation included investments denominated in the New Zealand dollar, Australian dollar, Brazilian real and Canadian dollar. A rally in commodity prices and a corresponding increase in demand for these currencies buoyed these securities. The fund’s allocation to convertible securities also bolstered returns, as the sector tracked equities, which surged forward throughout much of the six-month period. In addition, high-yield securities benefited from the increase in investor risk appetite, allowing for favorable performance from the sector. In particular, high-yield industrial names outpaced high-yield financials and utilities. High-yield industrials rebounded largely because subsectors that had previously lagged, such as homebuilders and retail, improved.

Certain holdings in the traditionally defensive industries, such as natural gas, struggled due to investors favoring higher-beta (higher-risk/higher-reward potential) names. In addition, a relative underweight position in government-related securities detracted from performance, as this sector generated solid results.

Outlook

As the second quarter begins, fixed-income investors continue to face an environment filled with opportunities and pitfalls. The sovereign debt situation in Europe is a chief ongoing concern, and the market is now focusing on Spain. Investors are taking solace in the improving U.S. economic situation, but Europe’s debt problems cast a large shadow over any sustainable recovery. So far this year, investors have generally sought out higher-risk securities for yield, but the progress (or lack thereof) in the Euro Zone could greatly influence their risk tolerance. In some respects, this is very similar to 2011, when cash rushed into credit, equity and other risky markets early in the year, only to reverse when political gyrations increased uncertainty. However, a resulting period of volatility can create buying opportunities for us. We continue to add credits that we believe have long-term potential for improving fundamentals.

In the first quarter of 2012, higher U.S. interest rates reinvigorated discussions surrounding the potential threat higher rates pose to fixed-income portfolios. We continue to believe that interest rates are in a period of transition and see rising rates as the next secular trend. However, given the Federal Reserve Board’s commitment to keep short-term rates low at least through the middle of 2014, the trading range in U.S. Treasuries should persist in the near term.

U.S. economic growth has been a bright spot thus far in 2012. We believe the overall health of corporate America remains intact, largely because corporate managements remain conservative. Reductions in the ranks of the unemployed, signs of potential recovery in the housing market and increased lending from financial institutions have highlighted the underlying fundamental health of the domestic economy. We anticipate a modest recovery in the United States and little to no growth in Europe and Japan. However, many areas removed from the developed world show moderate to strong growth potential.

Above all else, our conviction in the merits of fundamental credit research has not changed. We remain steadfast in our opportunistic approach as well as our long-term outlook. Our focus continues to be on maintaining yield advantage, surveying the global marketplace for opportunities, and searching out specific risk that can lead to total return opportunities for the fund.

1 |

LOOMIS SAYLES FIXED INCOME FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 1/17/95)		9.86	%		7.12	%		8.27	%		10.94	%

COMPARATIVE PERFORMANCE
Barclays Capital U.S. Government/Credit Bond Index^(b)		1.26			8.53			6.26			5.91
Lipper BBB-Rated Funds Index^(b)		4.22			9.41			6.37			6.36

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 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2002 through March 31, 2012^(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

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.

| 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:

$2.2 Billion

Market Conditions

U.S. economic data appeared to strengthen and the European Central Bank’s (ECB’s) long-term refinancing operations created ample liquidity, causing market sentiment to become more optimistic. A heightened preference for risk led most markets higher during the six-month period. As a result, the quest for yield caused spreads (the yield difference between non-Treasury securities and comparable-maturity Treasuries) to tighten.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Global Bond Fund returned 4.95%. The fund outperformed its benchmark, the Barclays Capital Global Aggregate Bond Index, which returned 1.11% for the period.

Explanation of Fund Performance

An overweight allocation to corporate bonds combined with security selection within this sector helped drive the fund’s outperformance relative to the benchmark. Our preference for lower-quality U.S. corporates over euro-area corporates and our selections in the banking, basic industry, communications and consumer non-cyclicals segments were particularly favorable. From a currency perspective, underweight positions in the yen and euro and corresponding overweight positions in emerging market and peripheral currencies contributed positively to performance. Specifically, the fund’s holdings in the Colombian peso, Mexican peso, New Zealand dollar, Norwegian krone, Singaporean dollar and South Korean won were additive to performance. In addition, the fund’s shorter-than-benchmark duration (price sensitivity to interest rate changes) for U.S.-dollar-pay corporates and Treasuries contributed to the fund’s outperformance.

The fund’s underweight in European local markets hampered returns, as the downside fears surrounding the euro calmed during the latter half of the period. The recent massive liquidity provision from the ECB decreased fears of a banking system breakdown and, as a result, sentiment rose along with liquidity.

For hedging purposes and to gain exposure to specific currencies, we traded foreign exchange forward contracts during the period. The foreign currency contracts are part of our fixed-income currency strategy. We also used interest rate futures contracts to help manage duration positioning in U.S. dollars. During the period, the use of these contracts had no material impact on performance.

Outlook

We anticipate additional volatility in the coming months, which we plan to use to assess opportunities. Currently, growth challenges from a deteriorating outlook in Spain, higher oil prices and fears of slower growth in China seem to be offsetting the positive effects of the ECB’s bank liquidity program. In response, we have sought to reduce the fund’s risk exposure without reducing its yield, mostly by selling higher-risk credits selectively and replacing them with high-quality credits, such as U.S. Treasuries, and by reducing certain out-of-benchmark currency positions and maintaining the fund’s position in corporates.

Globally, investor sentiments remain challenged by uncertain electoral and policy outcomes from the French elections, Spanish fiscal agony and doubts about the Bank of Japan truly embracing a positive inflation target and quantitative easing. Domestically, we expect the U.S. recovery to be sustained, with gross domestic product growth in the range of 2% or slightly higher in 2012. Economic data have been improving in recent months, and we believe there are more reasons to be positive than negative on the outlook. As the year progresses, we believe attention will shift from concerns in Europe to the U.S. political landscape and its fiscal ramifications. Ultimately, we expect a recovery in global growth, but currently too many near-term policy risks loom for us to aggressively add growth-correlated positions.

3 |

LOOMIS SAYLES GLOBAL BOND FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 5/10/91)		4.95	%		4.82	%		6.76	%		8.79	%

Retail Class (Inception 12/31/96)		4.79			4.50			6.41			8.48

COMPARATIVE PERFORMANCE
Barclays Capital Global Aggregate Bond Index^(c)		1.11			5.26			6.38			7.34
Lipper Global Income Funds Index^(c)		3.78			4.86			5.79			6.89

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.67% Retail 0.97%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.67% Retail: 0.97%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

March 31, 2002 through March 31, 2012^(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.

^(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:

$23.5 million

Please note that effective 4/23/12 John Hyll and Clifton Rowe are no longer managers. Elaine Kan, Kevin Kearns and Maura Murphy have replaced them.

Market Conditions

The volatility that was present for much of the fourth quarter of 2011 dissipated in the first quarter of 2012. Riskier assets rallied on improving economic conditions and Treasury yields increased significantly. Economic data released in the United States showed signs of a strengthening labor market, while globally, fears surrounding Europe subsided after the European Central Bank’s long-term refinancing operations extended funding to banks and creditors accepted a deal to restructure Greek debt. Meanwhile, the Consumer Price Index rose during the six-month period, because energy prices climbed higher. Treasury Inflation-Protected Securities (TIPS) outperformed nominal (non-inflation-protection) Treasuries, and real yields fell during the period.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned 3.29%. The fund slightly underperformed its benchmark, the Barclays Capital U.S. Treasury Inflation Protected Securities Index, which returned 3.57% for the period.

Explanation of Fund Performance

The fund’s out-of-benchmark exposure to high-yield and investment-grade corporate bonds (industrials in particular) contributed positively to performance for the six-month period. Improving liquidity and credit in the corporate bond market caused spreads (the yield difference between non-Treasury securities and comparable-maturity Treasuries) to tighten, which led to capital appreciation for bondholders. As investor optimism increased during the first quarter of 2012, investors moved out of the perceived safe-haven U.S. Treasury market in search of opportunities outside of the United States. This exodus resulted in depreciation of the U.S. dollar relative to other major currencies, and out-of-benchmark holdings denominated in the Canadian dollar and Mexican peso benefited as the dollar weakened.

The fund’s yield curve positioning (a curve that shows the relationship among bond yields across the maturity spectrum) detracted from relative performance. Overall, the fund’s average duration (price sensitivity to interest rate changes) was slightly longer than that of the benchmark. This led to relative underperformance for the fund, as Treasury yields rose during the period. While TIPS achieved strong absolute returns for the fund during the six-month period, weaker security selection relative to the benchmark also weighed on the fund’s relative return. A small allocation to non-inflation-protected Treasuries achieved positive performance but had a negative impact relative to the benchmark.

Over the past six months, the income component of the Fund has been lower relative to past years due to the very low interest rate environment. This environment is the result of low current inflation pressures, low inflation expectations, a flight to quality given the events in Europe and, more recently, Operation Twist implemented by the Federal Reserve. Current nominal and real yields are historically low; in fact, TIPS with maturities as far out as January 2026 have negative real yields. We have tried to mitigate this low yield and income environment with the use of corporate bonds in the Fund. However, even corporate debt is trading at very low yield levels.

Outlook

U.S. economic data continued to improve into the first quarter of 2012, but the uncertainty surrounding Europe still poses a problem domestically and abroad. The fund has continued to benefit from the market’s preference for quality during uncertain times. While we remain optimistic about a long-term U.S. economic recovery, the fund’s quality bias could continue to be a positive factor should volatility persist in the short term. Low rates have stifled near-term inflation concerns, but longer term, as growth eventually takes hold, we believe the Federal Reserve Board will shift toward a more hawkish stance on inflation. Expectations for higher longer-term inflation may emerge over time, causing TIPS breakeven rates (the difference between yields on nominal Treasuries and TIPS of the same maturity) to widen.

5 |

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 5/20/91)^(e)		3.29	%		11.40	%		7.11	%		6.18	%

Retail Class (Inception 5/28/10)^(a)(e)		3.11			11.09			6.81			5.84

COMPARATIVE PERFORMANCE
Barclays Capital U.S. Treasury Inflation Protected Securities Index^(c)		3.57			12.20			7.60			7.51
Lipper Treasury Inflation Protected Securities Index^(c)		3.43			10.83			6.88			N/A

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.08% Retail: 1.31%

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 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)(e)

March 31, 2002 through March 31, 2012^(b)(d)(e)

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.

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 March 31, 2002 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 March 31, 2012. The chart above also compares the performance of the fund to the Lipper Treasury Inflation Protected Securities Funds Index from December 31, 2004 through March 31, 2012. 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 primarily in 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:

$599.0 million

Market Conditions

The momentum of the high-yield and equity market rallies from December 2011 continued into 2012. High-yield bonds generated strong returns in January before easing slightly in February and becoming flat in March. Actions by the European Central Bank calmed contagion fears, at least for the time being. In the United States, annualized fourth quarter gross domestic product growth of 3% pointed to a moderate but continued recovery and also helped subdue investor fears.

Performance Results

For the six months ended March 31, 2012, Loomis Sayles Institutional High Income Fund returned 12.55%. The fund outperformed its benchmark, the Barclays Capital U.S. Corporate High Yield Bond Index, which returned 12.14% for the period.

Explanation of Fund Performance

Out-of-benchmark allocations to convertible securities and common stock contributed significantly to the fund’s outperformance relative to the benchmark. In addition, an underweight position in below-investment-grade utilities had a positive effect on relative performance. An allocation to high-yield electric utilities posted the strongest gains. Investment-grade and high-yield consumer cyclical companies were also strong contributors. Similarly, investment-grade and high-yield financials made a positive contribution to performance, with brokerage and banking companies buoying the sector. Furthermore, a small, out-of-benchmark position in preferred securities contributed favorably to the fund’s return, as these equity-sensitive securities largely mirrored the upswing in the stock market.

In terms of lagging performers, consumer non-cyclical companies struggled, particularly within the healthcare and grocery store segments. In addition, an out-of-benchmark exposure to Treasuries detracted from the fund’s relative return.

OUTLOOK

7 |

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 6/5/96)		12.55	%		2.26	%		7.47	%		11.77	%
COMPARATIVE PERFORMANCE
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		12.14			6.45			8.10			9.24
Lipper High Current Yield Funds Index^(b)		11.88			4.62			5.74			7.64

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.69%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.69%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2002 through March 31, 2012^(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

| 8

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Fund and manager review

FUND FACTS

Managers:*

Neil A. Burke

Richard Raczkowski

Clifton V. Rowe, CFA

Symbols:


Institutional Class		LSDIX
Retail Class		LSDRX

Objective:

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

Strategy:

Invests primarily in 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:

$74.8 million

Please note that effective 4/23/12 Neil Burke and Richard Raczkowski are no longer managers. Christopher Harms and Kurt Wagner have joined Clifton Rowe as managers.

Market Conditions

The markets generally moved higher during the six-month period, despite a selloff in November that was triggered by growing investor fears about euro zone debt, ballooning U.S. debt and Italian and Spanish bond yields finally breaking through their debt yield threshold of 7%. In December, indications that the U.S. economy might be performing better than anticipated sparked a market rally that helped erase losses experienced in November. The new year began more optimistically, due to growing sentiment that the U.S. economy seemed to be improving, particularly after February’s unemployment numbers dropped to levels not seen since 2008. The Federal Reserve Board also shared the opinion that the U.S. economy was becoming stronger. European policymakers reached a deal in early 2012 to help reduce Greece’s sovereign debt and also provided the bank system with much needed liquidity through its long-term refinancing operations. These factors combined to quell investor fears, and investor appetites for risk increased, as indicated by a shift away from the relative safety of Treasuries into riskier assets.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Intermediate Duration Bond Fund returned 2.14%. The fund outperformed its benchmark, the Barclays Capital U.S. Intermediate Government/Credit Bond Index, which returned 1.46% for the period.

Explanation of Fund Performance

The fund’s outperformance relative to the benchmark primarily was due to favorable sector allocation and security selection. In particular, an out-of-benchmark allocation to commercial mortgage-backed securities (CMBS) generated the greatest excess returns of any individual sector, as spreads (the yield difference between non-Treasury securities and comparable-maturity Treasuries) narrowed sharply during the period. Lower-quality investment-grade holdings generated much of the performance in the CMBS sector. Earlier in 2012, we slightly pared back the fund’s CMBS allocation to lock in gains. In addition, an overweight in corporate bonds had a positive effect during the period, with the greatest contributions coming from the industrials sector. The financial industry, led by holdings in banking companies, posted the greatest overall returns within the corporate sector. Higher-beta (higher-risk/higher-reward potential) corporate securities generally outperformed lower-beta corporates, with the bulk of the returns generated from lower-quality securities since corporate spreads narrowed during the period. We also maintained a significant underweight in U.S. Treasuries, which proved beneficial. These securities were largely negative, given investor preference for riskier assets. Additionally, a small position in U.S. agencies was beneficial, as the segment outperformed the benchmark and contributed favorably to returns.

The fund’s yield curve positioning (a curve that shows the relationship among bond yields across the maturity spectrum) detracted modestly, as yields increased during the period. Also, an out-of-benchmark allocation to asset-backed securities weighed somewhat on fund performance. Finally, a small, out-of-benchmark position in 15-year mortgage-backed securities (MBS) underperformed on a relative basis.

Outlook

Recent economic data have been relatively encouraging for the U.S. growth outlook, but concerns remain about the sustainability of the recovery. We believe the sovereign debt crisis in Europe could hinder economic recovery in the U.S. While there appears to be some stability in Europe, at least in the near term, we cannot discount a possible resurgence of volatility and uncertainty from the ongoing sovereign debt issues in the region. Our current strategy remains relatively cautious toward Europe, and we have no plans to make significant additions to risk in the near term. The fund’s average duration remained mostly unchanged throughout the period, and we currently expect to keep it relatively neutral to the benchmark.

9 |

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 1/28/98)		2.14	%		5.83	%		6.73	%		5.76	%

Retail Class (Inception 5/28/10)^(a)		1.92			5.36			6.46			5.45

COMPARATIVE PERFORMANCE
Barclays Capital U.S. Intermediate Government/Credit Bond Index^(c)		1.46			6.09			5.67			5.29
Lipper Intermediate Investment Grade Debt Funds Index^(c)		3.32			7.11			5.88			5.56

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.57% Retail: 0.94%

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 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance^(d)

March 31, 2002 through March 31, 2012^(b)(d)

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)

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:

Matthew Eagan, CFA

Daniel Fuss, CFA, CIC

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:

$582.6 million

Market Conditions

The ongoing European sovereign debt crisis consistently moved markets higher or lower depending on headline news, causing investor preferences for risk to be intermittent. The European Central Bank’s (ECB’s) decision to cut rates and provide liquidity through its long-term refinancing operations (LTRO) helped ease market fears. During the second half of the period, investor appetite for risk returned and pushed credit-sensitive markets higher and narrowed yield spreads (the yield difference between non-Treasury securities and comparable-maturity Treasuries). In the United States, strong corporate and bank balance sheets helped markets slowly recover. For the time being, positive U.S. labor and economic data have mitigated the need for another round of quantitative easing from the Federal Reserve Board. These data indicate that economic recovery is underway, albeit at a slower pace than initially expected.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Investment Grade Fixed Income Fund returned 6.56%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 1.26% for the period.

Explanation of Fund Performance

Significant exposure to non-U.S.-dollar-denominated holdings boosted the fund’s performance during the period. A preference for risk remained a dominant theme among investors, and commodity-linked currency holdings tended to outperform. In particular, holdings denominated in the Canadian dollar, New Zealand dollar, Australian dollar and Indonesian rupiah were among the top performers. Certain euro-denominated issues added to performance during the second half of the period, receiving a boost from the ECB’s LTRO. An overweight in investment-grade corporate credits contributed to the fund’s outperformance during the period, as specific holdings in the banking, communication, transportation, basic industry and electric utilities sectors drove performance higher. An underweight position in U.S. Treasuries contributed to performance, as a preference for risk led investors away from the perceived safe-haven sector. Furthermore, out-of-benchmark allocations to industrial high-yield corporate bonds aided returns. Certain issues within financials, consumer cyclical, transportation and capital goods sectors contributed positively. An allocation to equity-sensitive convertible holdings also aided the fund’s outperformance, as these securities mirrored the rally in equity markets. Certain names within the technology and insurance sectors were strong performers.

A small allocation to high-yield utility corporate bonds weighed on fund performance. In particular, names from the electric utility and natural gas sectors generally underperformed. An underweight allocation to government-related securities detracted from relative performance.

OUTLOOK

In the first quarter of 2012, higher U.S. interest rates reinvigorated discussions surrounding the potential threat higher rates pose to fixed-income portfolios. We continue to believe that interest rates are in a period of transition and see rising rates as the next secular trend. However, given the Federal Reserve Board’s continued commitment to keep short-term rates low at least through the middle of 2014, the trading range in U.S. Treasuries should persist in the near term.

11 |

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Average Annual Total Returns

March 31, 2012



	6 MONTHS			1 YEAR			5 YEARS			10 YEARS

Institutional Class (Inception 7/1/94)		6.56	%		7.01	%		8.58	%		10.09	%
COMPARATIVE PERFORMANCE
Barclays Capital U.S. Government/Credit Bond Index^(b)		1.26			8.53			6.26			5.91
Lipper BBB-Rated Funds Index^(b)		4.22			9.41			6.37			6.36

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.49%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.49%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2002 through March 31, 2012^(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

| 12

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

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

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, (i) by calling Loomis, Sayles & Company, L.P. 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.

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 October 1, 2011 through March 31, 2012. 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.

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.

13 |

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,098.60		$3.04
Hypothetical (5% return before expenses)		$1,000.00		$1,022.10		$2.93
* 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 366 (to reflect the half-year period).

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,049.50		$3.59
Hypothetical (5% return before expenses)		$1,000.00		$1,021.50		$3.54

Retail Class
Actual		$1,000.00		$1,047.90		$5.07
Hypothetical (5% return before expenses)		$1,000.00		$1,020.05		$5.00
* Expenses are equal to the Fund’s annualized expense ratio: 0.70% and 0.99% 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 366 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,032.90		$2.03
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02

Retail Class
Actual		$1,000.00		$1,031.10		$3.30
Hypothetical (5% return before expenses)		$1,000.00		$1,021.75		$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 366 (to reflect the half-year period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,125.50		$3.61
Hypothetical (5% return before expenses)		$1,000.00		$1,021.60		$3.44
* Expenses are equal to the Fund’s annualized expense ratio: 0.68%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, divided by 366 (to reflect the half-year period).

Loomis Sayles Intermediate Duration Bond Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,021.40		$2.02
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02

Retail Class
Actual		$1,000.00		$1,019.20		$3.28
Hypothetical (5% return before expenses)		$1,000.00		$1,021.75		$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 366 (to reflect the half-year period).

| 14

Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,065.60		$2.53
Hypothetical (5% return before expenses)		$1,000.00		$1,022.55		$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 366 (to reflect the half-year period).

15 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 82.9% of Net Assets

	Non-Convertible Bonds – 73.4%

		ABS Other – 0.1%
$	725,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029	$	733,560

		Aerospace & Defense – 0.2%
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		179,375
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		536,162
	400,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		309,950
	1,400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,170,691

				2,196,178

		Airlines – 0.5%
	153,971	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		153,971
	48,940	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		48,509
	70,802	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		71,064
	275,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		279,812
	1,277,955	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		1,276,294
	276,711	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		294,698
	484,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		515,460
	1,009,113	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		1,069,660
	1,651,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		1,733,550

				5,443,018

		Automotive – 2.4%
	2,200,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		2,222,000
	200,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		276,409
	765,000	Ford Motor Co., 6.375%, 2/01/2029		829,603
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,117,550


		Automotive – continued
$	165,000	Ford Motor Co., 6.625%, 2/15/2028	$	182,740
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,696,214
	690,000	Ford Motor Co., 7.125%, 11/15/2025		752,100
	9,250,000	Ford Motor Co., 7.450%, 7/16/2031		11,308,125
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,842,400
	645,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		704,572
	565,000	Ford Motor Credit Co. LLC, 8.000%, 12/15/2016		655,063
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		353,437

				24,940,213

		Banking – 8.1%
	1,710,000	Associates Corp. of North America, 6.950%, 11/01/2018		1,935,493
	500,000	Bank of America Corp., 4.850%, 11/15/2014		491,230
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		1,904,499
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,131,552
	600,000	Bank of America Corp., 6.500%, 9/15/2037		578,818
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,591,052
	2,420,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,153,406
	250,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		185,331
	535,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		665,866
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		1,626,057
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		1,489,172
	550,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		564,822
	2,700,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		2,915,090
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		887,500

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	1,525,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A	$	1,319,125
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		1,242,812
	3,830,000	Citigroup, Inc., 5.000%, 9/15/2014		3,966,459
	300,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		241,462
	135,000	Citigroup, Inc., 5.850%, 12/11/2034		138,015
	3,320,000	Citigroup, Inc., 5.875%, 2/22/2033		3,115,740
	1,215,000	Citigroup, Inc., 6.000%, 10/31/2033		1,163,562
	795,000	Citigroup, Inc., 6.125%, 8/25/2036		764,052
	200,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		231,930
	4,030,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		3,937,604
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		1,987,408
	2,500,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		2,346,443
	21,194,634,240	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		2,297,708
	1,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		108,486
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		2,079,331
	1,700,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		1,789,957
	5,600,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		5,330,069
	2,000,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		2,038,542
	50,000	Merrill Lynch & Co., Inc., EMTN, 1.434%, 9/14/2018, (EUR)(c)		53,839
	1,000,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		1,233,520
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		273,029
	595,000	Morgan Stanley, 4.750%, 4/01/2014		604,737
	7,300,000	Morgan Stanley, 5.500%, 7/24/2020		7,124,691

		Banking – continued
$	7,400,000	Morgan Stanley, 5.750%, 1/25/2021	$	7,265,187
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		81,860
	200,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		195,056
	4,100,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		4,310,965
	1,600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		1,638,847
	300,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		296,526
	625,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		643,494
	300,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		490,137
	185,000	RBS Capital Trust A, (fixed rate to 6/30/2012, variable rate thereafter), 6.467%, 12/29/2049, (EUR)(e)		143,106
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		57,649
	300,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		372,502
	600,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		684,268
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,802,150

				83,490,156

		Brokerage – 0.7%
	1,495,000	Jefferies Group, Inc., 3.875%, 11/09/2015		1,476,313
	1,245,000	Jefferies Group, Inc., 5.125%, 4/13/2018		1,207,650
	2,395,000	Jefferies Group, Inc., 6.250%, 1/15/2036		2,161,487
	1,580,000	Jefferies Group, Inc., 6.450%, 6/08/2027		1,556,300
	165,000	Jefferies Group, Inc., 6.875%, 4/15/2021		167,888
	70,000	Jefferies Group, Inc., 8.500%, 7/15/2019		77,700

				6,647,338

		Building Materials – 1.1%
	860,000	Masco Corp., 4.800%, 6/15/2015		881,031
	240,000	Masco Corp., 5.850%, 3/15/2017		245,964
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,748,408
	755,000	Masco Corp., 6.500%, 8/15/2032		710,925
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,507,387

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Building Materials – continued
$	815,000	Masco Corp., 7.750%, 8/01/2029	$	840,616
	805,000	Owens Corning, Inc., 6.500%, 12/01/2016		894,331
	2,050,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,184,593
	1,680,000	USG Corp., 6.300%, 11/15/2016		1,570,800

				11,584,055

		Chemicals – 1.2%
	3,440,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		4,505,176
	275,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		284,625
	115,000	ICI Wilmington, Inc., 5.625%, 12/01/2013		122,000
	620,000	Methanex Corp., 5.250%, 3/01/2022		631,087
	1,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		1,627,221
	5,240,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(b)		4,244,400
	55,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(b)		48,950
	905,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(b)		778,300

				12,241,759

		Collateralized Mortgage Obligations – 0.1%
	1,037,035	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.689%, 4/25/2035(c)		962,509

		Commercial Mortgage-Backed Securities – 0.1%
	95,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039		103,024
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		1,076,751

				1,179,775

		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(b)		1,017,371
	1,155,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		1,186,762

				2,204,133

		Distributors – 0.1%
	1,000,000	ONEOK, Inc., 6.000%, 6/15/2035		1,065,943

		Diversified Manufacturing – 0.9%
	245,000	Textron, Inc., 5.600%, 12/01/2017		265,667

		Diversified Manufacturing – continued
$	6,855,000	Textron, Inc., 5.950%, 9/21/2021	$	7,493,550
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,480,968

				9,240,185

		Electric – 4.0%
	730,000	AES Corp. (The), 7.750%, 3/01/2014		788,400
	2,928,050	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,153,452
	4,126,072	Bruce Mansfield Unit, 6.850%, 6/01/2034		4,372,316
	380,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(d)		248,900
	810,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		530,550
	7,005,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		5,694,364
	5,555,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		4,909,426
	100,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		116,699
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		1,724,605
	1,589,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,901,698
	2,890,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		3,135,650
	275,000	Enersis S.A., 7.375%, 1/15/2014		298,301
	4,000,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		4,717,296
	3,256,600	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)		3,314,014
	675,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(d)		175,500
	2,865,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		1,869,412
	765,000	TXU Corp., Series P, 5.550%, 11/15/2014		560,362
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		795,375
	1,675,000	TXU Corp., Series R, 6.550%, 11/15/2034		837,500
	450,000	White Pine Hydro LLC, 6.310%, 7/10/2017(b)		409,324
	670,000	White Pine Hydro LLC, 6.960%, 7/10/2037(b)		563,912
	1,280,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(b)		1,158,221

				41,275,277


		Entertainment – 0.5%
	2,065,000	Time Warner, Inc., 6.625%, 5/15/2029		2,444,309
	730,000	Time Warner, Inc., 7.625%, 4/15/2031		934,661

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Entertainment – continued
$	1,155,000	Time Warner, Inc., 7.700%, 5/01/2032	$	1,506,397

				4,885,367

		Food & Beverage – 0.5%
	1,540,000	Corn Products International, Inc., 6.625%, 4/15/2037		1,741,395
	2,740,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		3,046,071

				4,787,466

		Gaming – 0.5%
	410,000	MGM Resorts International, 6.625%, 7/15/2015		421,275
	435,000	MGM Resorts International, 6.875%, 4/01/2016		439,350
	350,000	MGM Resorts International, 7.500%, 6/01/2016		360,500
	895,000	MGM Resorts International, 7.625%, 1/15/2017		924,088
	2,525,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		2,708,062

				4,853,275

		Government Guaranteed – 0.2%
	1,620,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		1,658,765

		Government Owned – No Guarantee – 0.7%
	2,400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		2,316,000
	18,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		1,977,165
	29,200,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		3,274,462

				7,567,627

		Healthcare – 2.2%
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		467,997
	290,000	Boston Scientific Corp., 5.450%, 6/15/2014		313,558
	435,000	Boston Scientific Corp., 6.400%, 6/15/2016		500,829
	860,000	Boston Scientific Corp., 7.000%, 11/15/2035		1,030,243
	455,000	HCA, Inc., 5.750%, 3/15/2014		472,063
	610,000	HCA, Inc., 5.875%, 3/15/2022		610,763
	2,345,000	HCA, Inc., 6.250%, 2/15/2013		2,406,556
	410,000	HCA, Inc., 6.375%, 1/15/2015		432,550
	115,000	HCA, Inc., 6.750%, 7/15/2013		119,600

		Healthcare – continued
$	3,545,000	HCA, Inc., 7.050%, 12/01/2027	$	3,181,637
	820,000	HCA, Inc., 7.190%, 11/15/2015		869,200
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,408,625
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,350,000
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,563,575
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,264,400
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		2,768,850
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		397,750
	335,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019		291,869
	320,000	Owens & Minor, Inc., 6.350%, 4/15/2016(b)		345,606
	1,075,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		919,125

				22,714,796

		Home Construction – 0.8%
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		182,250
	115,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		66,987
	835,000	KB Home, 8.000%, 3/15/2020		826,650
	1,700,000	Lennar Corp., Series B, 5.600%, 5/31/2015		1,776,500
	1,152,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,175,040
	3,920,000	Pulte Group, Inc., 6.000%, 2/15/2035		3,057,600
	1,960,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,577,800

				8,662,827

		Independent Energy – 0.9%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,723,857
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,275,436
	900,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		929,250
	300,000	Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A		300,000
	1,465,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,770,026

				8,998,569

		Life Insurance – 2.5%
	1,800,000	American International Group, Inc., 6.250%, 3/15/2087		1,620,000
	10,165,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		10,759,653

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Life Insurance – continued
$	615,000		American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018	$	668,816
	175,000		American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		188,132
	200,000		AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		228,224
	4,345,000		Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,290,648
	2,270,000		MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,735,350
	1,000,000		MetLife, Inc., 6.400%, 12/15/2066		980,000
	1,115,000		MetLife, Inc., 10.750%, 8/01/2069		1,530,338
	1,165,000		Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,228,794
	1,000,000		Protective Life Secured Trust, 4.660%, 9/10/2014(c)		1,037,530

					25,267,485

			Local Authorities – 5.0%
	4,505,000		New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		4,758,900
	5,390,000		New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		5,591,381
	845,000		New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		876,362
	4,280,000		New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,681,368
	565,743		Province of Alberta, 5.930%, 9/16/2016, (CAD)		630,908
	11,700,000		Province of British Columbia, Zero Coupon, 8/23/2013, (CAD)		11,509,741
	19,825,000		Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		21,918,307
	830,000		Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		890,749

					50,857,716

			Lodging – 0.0%
	150,000		Host Marriott LP, Series O, 6.375%, 3/15/2015		152,625

			Media Cable – 0.2%
	1,500,000		Time Warner Cable, Inc., 6.550%, 5/01/2037		1,736,985

			Media Non-Cable – 0.5%
	2,630,000		News America, Inc., 6.150%, 3/01/2037		2,939,764

			Media Non-Cable – continued
$	1,960,000		R.R. Donnelley & Sons Co., 8.250%, 3/15/2019	$	1,950,200

					4,889,964

			Metals & Mining – 2.2%
	1,500,000		Alcoa, Inc., 5.720%, 2/23/2019		1,598,295
	300,000		Alcoa, Inc., 5.870%, 2/23/2022		312,585
	6,720,000		Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		6,115,200
	855,000		ArcelorMittal, 5.500%, 3/01/2021		839,161
	2,295,000		ArcelorMittal, 6.125%, 6/01/2018		2,411,373
	6,630,000		ArcelorMittal, 6.750%, 3/01/2041		6,213,092
	3,300,000		ArcelorMittal, 7.000%, 10/15/2039		3,151,952
	1,760,000		United States Steel Corp., 7.500%, 3/15/2022		1,760,000

					22,401,658

			Non-Captive Consumer – 2.9%
	300,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		136,500
	3,905,000		Residential Capital LLC, 9.625%, 5/15/2015		3,319,250
	31,725	(††)	SLM Corp., 6.000%, 12/15/2043		694,064
	760,000		SLM Corp., MTN, 5.125%, 8/27/2012		765,695
	35,000		SLM Corp., Series A, MTN, 0.860%, 1/27/2014(c)		33,430
	1,665,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		1,702,462
	200,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		203,537
	145,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		139,166
	2,920,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		2,978,467
	200,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		206,521
	2,575,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		2,198,411
	7,986,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		8,904,390
	300,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		236,250
	1,050,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		1,008,000
	595,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		492,363
	1,805,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		1,665,112

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Consumer – continued
$	1,000,000	Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012	$	962,500
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,617,000
	3,255,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,538,900

				29,802,018

		Non-Captive Diversified – 5.1%
	224,000	Ally Financial, Inc., 6.875%, 8/28/2012		227,920
	682,000	Ally Financial, Inc., 7.500%, 12/31/2013		724,625
	2,275,000	Ally Financial, Inc., 7.500%, 9/15/2020		2,457,000
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,551,250
	1,291,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,423,327
	5,195,000	Ally Financial, Inc., 8.300%, 2/12/2015		5,656,056
	1,630,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		1,768,523
	35,000	General Electric Capital Corp., 5.625%, 5/01/2018		40,568
	170,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		186,870
	2,390,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		1,991,146
	1,345,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		1,163,786
	5,360,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		4,730,124
	1,145,000	General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015		1,258,104
	9,210,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		7,876,430
	6,375,000	International Lease Finance Corp., 6.250%, 5/15/2019		6,292,629
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,346,450
	635,000	International Lease Finance Corp., 8.250%, 12/15/2020		698,633
	3,045,000	International Lease Finance Corp., 8.625%, 9/15/2015		3,349,500
	790,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		799,875
	85,000	iStar Financial, Inc., 5.500%, 6/15/2012		84,575

		Non-Captive Diversified – continued
$	225,000	iStar Financial, Inc., 5.850%, 3/15/2017	$	197,438
	905,000	iStar Financial, Inc., 5.875%, 3/15/2016		811,106
	30,000	iStar Financial, Inc., 6.050%, 4/15/2015		27,450
	2,495,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,476,287
	195,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		177,450
	1,245,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		1,185,863

				52,502,985

		Oil Field Services – 0.0%
	235,000	Parker Drilling Co., 9.125%, 4/01/2018		249,100

		Packaging – 0.2%
	2,000,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		2,245,000

		Paper – 1.5%
	2,015,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		2,371,675
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,529,965
	6,043,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,530,056
	1,045,000	Westvaco Corp., 7.950%, 2/15/2031		1,131,503
	1,080,000	Westvaco Corp., 8.200%, 1/15/2030		1,196,061

				15,759,260

		Pipelines – 1.2%
	1,740,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		1,937,801
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		284,152
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,662,218
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		363,152
	1,300,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,395,111
	250,000	NiSource Finance Corp., 5.250%, 9/15/2017		277,778
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		2,064,144
	3,510,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		4,103,555
	455,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		362,863

				12,450,774

		Property & Casualty Insurance – 1.4%
	80,000	Axis Capital Holdings Ltd., 5.750%, 12/01/2014		85,624
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		3,759,029
	2,645,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		2,993,415

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Property & Casualty Insurance – continued
$	1,545,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A	$	934,725
	1,425,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		1,385,844
	2,140,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		2,241,808
	1,430,000	XL Group PLC, 6.250%, 5/15/2027		1,491,440
	1,135,000	XL Group PLC, 6.375%, 11/15/2024		1,255,171

				14,147,056

		Property Trust – 0.3%
	2,960,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		3,422,432

		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		400,000

		REITs – Apartments – 0.2%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,672,062
	70,000	ERP Operating LP, 5.125%, 3/15/2016		76,694

				1,748,756

		REITs – Diversified – 0.0%
	210,000	Duke Realty LP, 5.950%, 2/15/2017		234,688

		REITs – Office Property – 0.4%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,703,872
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		544,881

				4,248,753

		REITs – Regional Malls – 0.1%
	200,000	Simon Property Group LP, 5.875%, 3/01/2017		230,872
	290,000	Simon Property Group LP, 6.100%, 5/01/2016		333,577

				564,449

		REITs – Single Tenant – 0.1%
	185,000	Realty Income Corp., 5.750%, 1/15/2021		200,302
	815,000	Realty Income Corp., 6.750%, 8/15/2019		941,618

				1,141,920

		REITs – Warehouse/Industrials – 0.0%
	100,000	ProLogis LP, 5.625%, 11/15/2015		108,902

		REITs – Warehouse/Industrials – continued
$	80,000	ProLogis LP, 5.750%, 4/01/2016	$	87,205

				196,107

		Retailers – 0.8%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,009,625
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,185,250
	1,079,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		948,171
	575,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		601,594
	3,505,000	Toys R Us, Inc., 7.375%, 10/15/2018		3,145,738
	750,000	Toys R Us, Inc., 7.875%, 4/15/2013		776,250

				7,666,628

		Sovereigns – 1.8%
	1,787,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		256,217
	33,387,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		4,759,393
	7,590,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		811,232
	14,885,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		9,744,214
	625,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		454,683
	176,105,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		917,470
	212,600,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		1,141,396

				18,084,605

		Supermarkets – 1.0%
	125,000	American Stores Co., 7.900%, 5/01/2017		118,750
	25,000	American Stores Co., 8.000%, 6/01/2026		21,250
	6,515,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,983,975
	1,470,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,190,700
	2,660,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,014,950
	205,000	New Albertson’s, Inc., 8.700%, 5/01/2030		168,100
	1,745,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,230,225

				9,727,950

		Supranational – 3.1%
	373,680	European Financial Stability Facility, 0.400%, 3/12/2013, (EUR)		497,152
	373,680	European Financial Stability Facility, 1.000%, 3/12/2014, (EUR)		497,351

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued
		Supranational – continued
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)	$	17,460,472
	17,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		13,656,394

				32,111,369

		Technology – 1.2%
	5,215,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		6,272,461
	980,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		774,200
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		62,600
	1,645,000	Avnet, Inc., 6.000%, 9/01/2015		1,817,419
	130,000	Avnet, Inc., 6.625%, 9/15/2016		147,326
	450,000	Corning, Inc., 6.850%, 3/01/2029		522,105
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,404,195
	247,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		253,484
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		176,245
	150,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		163,125
	926,400	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		1,112,361

				12,705,521

		Tobacco – 0.5%
	3,320,000	Reynolds American, Inc., 6.750%, 6/15/2017		3,954,977
	810,000	Reynolds American, Inc., 7.250%, 6/15/2037		944,945

				4,899,922

		Transportation Services – 0.3%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)		1,725,000
	746,368	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		709,050
	708,763	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		609,536
	253,237	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		243,107

				3,286,693

		Treasuries – 10.6%
	8,525,000	Canadian Government, 1.750%, 3/01/2013, (CAD)		8,598,332
	19,910,000	Canadian Government, 2.000%, 9/01/2012, (CAD)		20,044,536
	2,860,000	Canadian Government, 3.500%, 6/01/2013, (CAD)		2,946,564

		Treasuries – continued
	7,385,000	Canadian Government, 3.750%, 6/01/2019, (CAD)	$	8,342,026
	9,615,000	Canadian Government, 4.250%, 6/01/2018, (CAD)		11,060,552
	7,050,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		8,480,500
	3,100,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		3,555,800
	450,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		527,528
	6,710,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		7,725,779
	205,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		246,211
	205,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		262,828
	200,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		264,135
	305,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		2,700,293
	14,170,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		12,055,474
	56,415,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		10,989,867
	9,425,000	Norwegian Government, 5.000%, 5/15/2015, (NOK)		1,820,719
	27,350,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		5,059,420
	1,675,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		1,279,359
	250,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		153,542
	375,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		299,522
	1,325,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,022,297
	275,460,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		1,466,882

				108,902,166

		Wireless – 1.0%
	1,745,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		1,745,000
	4,635,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		4,472,775
	165,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		165,000
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,009,655
	1,020,000	Sprint Capital Corp., 6.900%, 5/01/2019		882,300
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		257,250

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued
		Wireless – continued
$	898,000	Sprint Nextel Corp., 6.000%, 12/01/2016	$	801,465

				10,333,445

		Wirelines – 3.3%
	355,000	AT&T Corp., 6.500%, 3/15/2029		411,238
	355,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		289,325
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		230,553
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		868,005
	600,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		688,167
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		3,982,855
	235,000	Embarq Corp., 7.082%, 6/01/2016		264,662
	200,000	Embarq Corp., 7.995%, 6/01/2036		202,153
	350,000	GTE Corp., 6.940%, 4/15/2028		424,567
	1,960,000	Level 3 Financing, Inc., 8.625%, 7/15/2020, 144A		2,058,000
	985,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,029,325
	140,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		152,950
	200,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		191,653
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		837,230
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		1,819,661
	550,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		621,731
	3,305,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		3,528,087
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,886,640
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		359,087
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		751,806
	790,000	Qwest Corp., 6.875%, 9/15/2033		782,100
	1,780,000	Qwest Corp., 7.200%, 11/10/2026		1,793,350
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,305,400
	1,480,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,302,400
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,255,500

		Wirelines – continued
	1,300,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)	$	2,034,824

				34,071,269


		Total Non-Convertible Bonds
		(Identified Cost $673,359,282)		753,542,090


	Convertible Bonds – 8.9%

		Airlines – 0.0%
	470,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		430,121

		Automotive – 0.5%
	135,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(f)		112,556
	2,925,000	Ford Motor Co., 4.250%, 11/15/2016		4,636,125

				4,748,681

		Diversified Manufacturing – 0.6%
	5,310,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		5,197,162
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		555,900

				5,753,062

		Electric – 0.1%
	500,000	CMS Energy Corp., 5.500%, 6/15/2029		797,500

		Healthcare – 0.2%
	1,270,000	Omnicare, Inc., 3.750%, 12/15/2025		1,844,675

		Independent Energy – 0.2%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,265,694
	675,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		621,844

				1,887,538

		Life Insurance – 1.5%
	15,750,000	Old Republic International Corp., 3.750%, 3/15/2018		15,533,437

		Media Non-Cable – 0.0%
	443,618	Liberty Media LLC, 3.500%, 1/15/2031		267,835

		Metals & Mining – 0.2%
	235,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		266,431
	1,540,000	United States Steel Corp., 4.000%, 5/15/2014		1,821,050

				2,087,481

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued
		Pharmaceuticals – 0.9%
$	205,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012	$	205,513
	7,570,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		7,465,912
	1,370,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		1,570,362

				9,241,787

		Technology – 4.1%
	3,600,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		3,537,000
	5,195,000	Ciena Corp., 0.875%, 6/15/2017		4,565,106
	2,810,000	Ciena Corp., 3.750%, 10/15/2018, 144A		3,171,788
	8,417,000	Intel Corp., 2.950%, 12/15/2035		9,679,550
	7,000,000	Intel Corp., 3.250%, 8/01/2039		9,843,750
	3,585,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,638,775
	600,000	Micron Technology, Inc., 1.875%, 6/01/2014		609,750
	7,025,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		7,455,281

				42,501,000

		Wirelines – 0.6%
	3,040,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(b)		3,967,200
	1,990,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(b)		2,596,950

				6,564,150


		Total Convertible Bonds
		(Identified Cost $81,524,455)		91,657,267


	Municipals – 0.6%

		Michigan – 0.1%
	2,365,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		1,747,120

		Virginia – 0.5%
	7,725,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		4,926,619


		Total Municipals
		(Identified Cost $10,070,943)		6,673,739


		Total Bonds and Notes
		(Identified Cost $764,954,680)		851,873,096



	Senior Loans – 0.0%

		Media Non-Cable – 0.0%
$	522,331	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(c)
		(Identified Cost $517,238)	$	281,536


	Shares

	Preferred Stocks – 3.1%

	Convertible Preferred Stocks – 2.4%

		Automotive – 0.9%
	170,980	General Motors Co., Series B, 4.750%		7,155,513
	40,805	Goodyear Tire & Rubber Co. (The), 5.875%		1,690,551

				8,846,064

		Banking – 0.5%
	2,844	Bank of America Corp., Series L, 7.250%		2,783,992
	55,743	Sovereign Capital Trust IV, 4.375%		2,668,696

				5,452,688

		Construction Machinery – 0.1%
	19,095	United Rentals Trust I, 6.500%		1,029,937


		Consumer Products – 0.1%
	27,375	Newell Financial Trust I, 5.250%	$	1,293,469

		Electric – 0.1%
	10,000	AES Trust III, 6.750%		498,900

		Independent Energy – 0.0%
	775	Chesapeake Energy Corp., 4.500%		71,029

		Pipelines – 0.4%
	80,965	El Paso Energy Capital Trust I, 4.750%		3,732,486

		REITs – Healthcare – 0.0%
	7,400	Health Care REIT, Inc., Series I, 6.500%		386,872

		Technology – 0.3%
	3,875	Lucent Technologies Capital Trust I, 7.750%		3,148,437


		Total Convertible Preferred Stocks
		(Identified Cost $22,855,599)		24,459,882


	Non-Convertible Preferred Stocks – 0.7%

		Banking – 0.1%
	5,000	Bank of America Corp., 6.375%		117,350
	20,975	Countrywide Capital IV, 6.750%		493,542

				610,892

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued
		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%	$	7,484
	2,876	Entergy New Orleans, Inc., 4.750%		256,144
	12	MDU Resources Group, Inc., 5.100%		1,178
	4,670	Union Electric Co., 4.500%		419,132

				683,938

		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(f)		3,139,687

		Non-Captive Consumer – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,148,325

		Non-Captive Diversified – 0.1%
	2,321	Ally Financial, Inc., Series G, 7.000%, 144A		1,933,611


		Total Non-Convertible Preferred Stocks
		(Identified Cost $6,233,670)		7,516,453


		Total Preferred Stocks
		(Identified Cost $29,089,269)		31,976,335

	Common Stocks – 5.3%

		Biotechnology – 0.5%
	127,420	Vertex Pharmaceuticals, Inc.(e)		5,225,494

		Chemicals – 0.6%
	62,529	PPG Industries, Inc.		5,990,278

		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(e)		825,139
	136	Rock-Tenn Co., Class A		9,188

				834,327

		Diversified Telecommunication Services – 0.4%
	8,050	Hawaiian Telcom Holdco, Inc.(e)		138,782
	241,163	Telefonica S.A., Sponsored ADR		3,957,485

				4,096,267

		Electronic Equipment, Instruments & Components – 0.3%
	205,167	Corning, Inc.		2,888,751

		Media – 0.0%
	3,027	SuperMedia, Inc.(e)		7,235

		Oil, Gas & Consumable Fuels – 1.0%
	54,259	Chesapeake Energy Corp.		1,257,181
	164,530	Repsol YPF S.A., Sponsored ADR		4,109,959
	70,051	Royal Dutch Shell PLC, ADR		4,912,677

				10,279,817


		Pharmaceuticals – 1.1%
	160,000	Bristol-Myers Squibb Co.	$	5,400,000
	107,459	Valeant Pharmaceuticals International, Inc.(e)		5,769,474

				11,169,474
		Semiconductors & Semiconductor Equipment – 1.3%
	476,725	Intel Corp.		13,400,740


		Total Common Stocks
		(Identified Cost $40,230,371)		53,892,383


	Principal Amount (‡)

	Short-Term Investments – 5.8%
	204,613	European Financial Stability Facility Treasury Bill, 0.00%, 9/12/2012, (EUR)		272,393
	14,286	Repurchase Agreement with State Street Bank and Trust Company, dated 3/30/2012 at 0.000% to be repurchased at $14,286 on 4/02/2012 collateralized by $14,200 U.S. Treasury Note, 1.500% due 7/31/2016 valued at $14,604 including accrued interest (Note 2 of Notes to Financial Statements)		14,286
	58,817,114	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $58,817,114 on 4/02/2012 collateralized by $59,995,000 Federal Home Loan Bank, 0.200% due 9/14/2012 valued at $59,995,000 including accrued interest (Note 2 of Notes to Financial Statements)		58,817,114


		Total Short-Term Investments
		(Identified Cost $59,106,881)		59,103,793


		Total Investments – 97.1%
		(Identified Cost $893,898,439)(a)		997,127,143
		Other Assets Less Liabilities—2.9%		30,101,061


		Net Assets – 100.0%	$	1,027,228,204


	(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Fixed Income Fund – continued



	At March 31, 2012, the net unrealized appreciation on investments based on a cost of $895,767,981 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	$	119,497,592
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(18,138,430	)

	Net unrealized appreciation	$	101,359,162

(b)	Illiquid security. At March 31, 2012, the value of these securities amounted to $27,659,949 or 2.7% of net assets.
(c)	Variable rate security. Rate as of March 31, 2012 is disclosed.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(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 March 31, 2012, the value of Rule 144A holdings amounted to $115,332,157 or 11.2% 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 March 31, 2012 (Unaudited)


Treasuries	10.6	%
Banking	8.7
Technology	5.6
Non-Captive Diversified	5.2
Local Authorities	5.0
Electric	4.3
Life Insurance	4.0
Wirelines	3.9
Automotive	3.8
Supranational	3.1
Non-Captive Consumer	3.0
Healthcare	2.4
Metals & Mining	2.4
Pharmaceuticals	2.0
Other Investments, less than 2% each	27.3
Short-Term Investments	5.8

Total Investments	97.1
Other assets less liabilities	2.9

Net Assets	100.0	%

Currency Exposure at March 31, 2012 (Unaudited)


United States Dollar	70.6	%
Canadian Dollar	8.8
New Zealand Dollar	4.4
Euro	3.4
Australian Dollar	2.5
Other, less than 2% each	7.4

Total Investments	97.1
Other assets less liabilities	2.9

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 96.3% of Net Assets

	Non-Convertible Bonds – 95.9%

		Argentina – 0.5%
$	5,765,000	Pan American Energy LLC, 7.875%, 5/07/2021, 144A	$	5,620,875
	6,402,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		5,665,770

				11,286,645

		Australia – 2.5%
	4,705,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		4,550,253
	15,440,592	Australia Government Bond, 3.000%, 9/20/2025, (AUD)		18,981,207
	6,401,691	New South Wales Treasury Corp., 2.750%, 11/20/2025, (AUD)		6,852,647
	5,858,700	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		6,077,593
	6,600,000	SMART Trust/Australia, 1.500%, 5/14/2016, 144A		6,592,080
	4,700,000	SMART Trust/Australia, 2.010%, 12/14/2017, 144A		4,672,740
	7,600,000	Westpac Banking Corp., 2.450%, 11/28/2016, 144A		7,678,493

				55,405,013

		Brazil – 3.8%
	10,175,743	Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL)		5,710,628
	2,598,000	Braskem Finance Ltd., 5.750%, 4/15/2021, 144A		2,719,586
	6,540,000	Centrais Eletricas Brasileiras S.A., 5.750%, 10/27/2021, 144A		7,158,030
	7,403,000	Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A		7,569,567
	5,400,000	Itau Unibanco Holding S.A., 5.650%, 3/19/2022, 144A		5,416,200
	4,087,000	Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A		4,270,915
	1,400,000	Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A		1,282,120
	6,498,380	Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A		6,920,775
	12,535,000	Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)		7,107,138
	5,400,000	Petrobras International Finance Co., EMTN, 6.250%, 12/14/2026, (GBP)		9,163,662
	3,633,000	Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR)		5,033,412
	6,762,000	Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A		6,951,336


		Brazil – continued
$	6,100,000	Vale Overseas Ltd., 6.875%, 11/21/2036	$	7,075,018
	6,086,000	Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A		6,815,103

				83,193,490

		Canada – 6.7%
	4,033,000	Bell Aliant Regional Communications, 5.410%, 9/26/2016, (CAD)		4,391,682
	145,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		171,437
	2,888,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,633,040
	2,807,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		3,219,474
	52,079,000	Canadian Government, 3.000%, 12/01/2015, (CAD)(b)		55,089,030
	9,624,000	Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD)		10,227,520
	4,734,000	Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD)		4,746,102
	6,086,000	Province of Ontario, EMTN, 4.000%, 12/03/2019, (EUR)		9,071,281
	696,000,000	Province of Quebec Canada, 1.600%, 5/09/2013, (JPY)		8,509,750
	9,992,000	Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR)		14,367,113
	11,944,000	Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR)		17,036,569
	1,408,000	Shaw Communications, Inc., 6.500%, 6/02/2014, (CAD)		1,532,291
	8,629,000	Shaw Communications, Inc., 6.750%, 11/09/2039, (CAD)		9,222,895
	5,904,000	Videotron Ltee, 6.875%, 7/15/2021, 144A, (CAD)		6,314,371

				147,532,555

		China – 0.1%
	3,400,000	Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A		3,421,556

		Colombia – 1.0%
	8,357,000,000	Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP)		5,072,941
	3,088,000	Empresa de Energia de Bogota E.S.P., 6.125%, 11/10/2021, 144A		3,273,280
	15,986,000,000	Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP)		9,502,674
	5,200,000	Transportadora de Gas Internacional S.A. E.S.P., 5.700%, 3/20/2022, 144A		5,304,000

				23,152,895

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Czech Republic – 0.5%
$	10,600,000	CEZ AS, 4.250%, 4/03/2022, 144A	$	10,544,244

		Denmark – 0.6%
	41,563,550	Kingdom of Denmark, 4.000%, 11/15/2015, (DKK)		8,367,090
	3,179,000	TDC A/S, EMTN, 4.375%, 2/23/2018, (EUR)		4,623,757

				12,990,847

		France – 1.5%
	3,100,000	Alstom S.A., 3.625%, 10/05/2018, (EUR)		4,193,261
	1,000,000	Alstom S.A., 4.125%, 2/01/2017, (EUR)		1,402,310
	6,687,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		11,149,453
	1,700,000	Klepierre, EMTN, 4.000%, 4/13/2017, (EUR)		2,335,821
	422,000	Lafarge S.A., EMTN, 4.750%, 3/23/2020, (EUR)		523,424
	4,542,000	Lafarge S.A., EMTN, 6.625%, 11/29/2018, (EUR)		6,087,952
	6,676,000	Pernod-Ricard S.A., 4.450%, 1/15/2022, 144A		6,771,941

				32,464,162

		Germany – 13.6%
	16,071,600	Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR)		23,878,242
	66,754,209	Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)		100,826,549
	33,700,000	Bundesrepublik Deutschland, 3.750%, 1/04/2017, (EUR)		51,180,363
	6,176,603	Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR)		10,472,218
	64,000,000	Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)		99,986,930
	1,035,000,000	Kreditanstalt fuer Wiederaufbau, 2.600%, 6/20/2037, (JPY)		14,102,234

				300,446,536

		India – 0.4%
	4,542,000	Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021		4,415,796
	5,177,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		4,866,380

				9,282,176

		Italy – 0.9%
	1,785,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		1,754,153
	2,300,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		3,082,922
	4,405,000	Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR)		4,882,193


		Italy – continued
$	5,177,000	Republic of Italy, 6.875%, 9/27/2023	$	5,438,438
	3,749,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		3,374,100
	915,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		887,550

				19,419,356

		Japan – 13.1%
	360,000,000	Development Bank of Japan, 1.750%, 3/17/2017, (JPY)		4,646,118
	5,114,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		4,896,655
	2,816,000,000	Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY)		34,676,027
	7,918,500,000	Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY)		96,891,558
	1,153,550,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)		14,353,900
	8,516,100,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		107,821,008
	2,066,450,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)		26,498,620

				289,783,886

		Korea – 2.3%
	440,500,000	Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP)		10,110,929
	9,810,000	Hana Bank, 4.000%, 11/03/2016, 144A		10,077,637
	13,171,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.242%, 9/20/2016, 144A(c)		12,944,525
	3,088,000	Hyundai Steel Co., 4.625%, 4/21/2016, 144A		3,182,573
	8,538,000	Korea Finance Corp., 4.625%, 11/16/2021		8,708,427
	5,000,000	Korea National Oil Corp., 3.125%, 4/03/2017, 144A		4,989,215

				50,013,306

		Latvia – 0.3%
	7,500,000	Republic of Latvia, 5.250%, 2/22/2017, 144A		7,725,000

		Lithuania – 0.2%
	4,542,000	Lithuania Government International Bond, 6.125%, 3/09/2021, 144A		4,859,940

		Luxembourg – 0.1%
	2,725,000	ArcelorMittal, 6.125%, 6/01/2018		2,863,177

		Mexico – 3.3%
	2,870,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		2,324,700

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Mexico – continued
$	4,283,000		Axtel SAB de CV, 9.000%, 9/22/2019, 144A	$	3,490,645
	3,134,000		Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A		3,314,205
	7,630,000		Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015		7,706,300
	1,362,486	(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		10,862,050
	1,000,065	(††)	Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)		9,071,171
	1,247,129	(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		11,041,358
	2,968,403	(††)	Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN)		25,885,440

					73,695,869

			Namibia – 0.2%
	3,588,000		Namibia International Bonds, 5.500%, 11/03/2021, 144A		3,758,430

			Netherlands – 1.4%
	5,400,000		ABN Amro Bank N.V., 4.250%, 2/02/2017, 144A		5,478,354
	9,100,000		Allianz Finance II BV, EMTN, 4.750%, 7/22/2019, (EUR)		13,863,181
	681,000		EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		794,718
	2,900,000		EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		4,167,795
	300,000		Enel Finance International, EMTN, 5.750%, 9/14/2040, (GBP)		400,157
	2,862,000		Koninklijke KPN NV, GMTN, 4.500%, 10/04/2021, (EUR)		4,018,970
	908,000		OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		1,244,302

					29,967,477

			New Zealand – 1.0%
	24,516,000		New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		22,934,814



			Norway – 2.3%
$	3,625,000		Eksportfinans ASA, 2.000%, 9/15/2015	$	3,216,245
	32,562,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		6,343,208
	202,670,000		Norwegian Government, 4.500%, 5/22/2019, (NOK)(b)		40,703,047

					50,262,500

			Panama – 0.3%
	5,850,000		Banco Latinoamericano de Comercio Exterior, S.A., 3.750%, 4/04/2017, 144A		5,842,688

			Peru – 0.2%
	4,000,000		Banco Continental S.A. via Continental Senior Trustees II Cayman Ltd., 5.750%, 1/18/2017, 144A		4,200,000

			Philippines – 0.4%
	359,000,000		Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		8,930,893

			Poland – 0.5%
	5,360,000		Poland Government International Bond, 3.000%, 9/23/2014, (CHF)		6,145,563
	5,390,000		Poland Government International Bond, 5.000%, 3/23/2022		5,681,168

					11,826,731

			Singapore – 1.2%
	20,163,000		Singapore Government Bond, 1.625%, 4/01/2013, (SGD)		16,269,370
	4,919,000		Singapore Government Bond, 2.250%, 7/01/2013, (SGD)		4,015,337
	8,565,000		Singapore Government Bond, 2.250%, 6/01/2021, (SGD)		7,163,694

					27,448,401

			South Africa – 0.9%
	7,716,000		Edcon Proprietary Ltd., 4.126%, 6/15/2014, 144A, (EUR)(c)		9,055,927
	10,900,000		Transnet Ltd., 4.500%, 2/10/2016, 144A		11,282,797

					20,338,724

			Spain – 0.3%
	3,111,000		Telefonica Emisiones SAU, 7.045%, 6/20/2036		3,058,082
	1,817,000		Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		2,604,963

					5,663,045

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Supranationals – 1.8%
	1,540,000,000	Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY)	$	20,794,037
	15,870,000	European Investment Bank, 2.375%, 7/10/2020, (CHF)		19,003,688

				39,797,725

		Turkey – 0.4%
	6,177,000	Akbank TAS, 5.125%, 7/22/2015, 144A		6,167,735
	3,633,000	Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A		3,669,330

				9,837,065

		United Arab Emirates – 1.5%
	6,177,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		7,180,763
	4,500,000	Dolphin Energy Ltd., 5.500%, 12/15/2021, 144A		4,741,875
	11,640,000	DP World Ltd., 6.850%, 7/02/2037, 144A		11,232,600
	5,359,000	Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A		5,707,335
	4,996,000	IPIC GMTN Ltd., MTN, 5.000%, 11/15/2020, 144A		5,108,410

				33,970,983

		United Kingdom – 6.5%
	8,629,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		8,872,657
	4,078,000	Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP)		5,552,151
	6,449,000	British Telecommunications PLC, 5.750%, 12/07/2028, (GBP)		11,227,281
	3,906,000	HSBC Bank PLC, 4.125%, 8/12/2020, 144A		3,990,081
	4,360,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		4,313,051
	9,000,000	United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)		14,887,115
	12,026,209	United Kingdom Treasury, 4.000%, 3/07/2022, (GBP)		22,308,104
	8,065,917	United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)		14,959,221
	12,693,827	United Kingdom Treasury, 4.750%, 3/07/2020, (GBP)		24,780,774
	10,695,599	United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)		21,728,218
	3,633,296	United Kingdom Treasury, 5.250%, 6/07/2012, (GBP)		5,862,020
	3,610,000	Vedanta Resources PLC, 6.750%, 6/07/2016, 144A		3,357,300
	2,452,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		2,274,230

				144,112,203



		United States – 24.6%
$	3,603,391	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A	$	3,880,780
	5,137,000	Avnet, Inc., 5.875%, 6/15/2020		5,554,910
	13,640,000	Bank of America Corp., 5.625%, 7/01/2020		14,220,137
	2,348,017	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		2,529,209
	3,860,000	Braskem America Finance Co., 7.125%, 7/22/2041, 144A		3,873,510
	5,804,000	Cameron International Corp., 5.950%, 6/01/2041		6,593,390
	7,267,000	Capital One Financial Corp., 4.750%, 7/15/2021		7,646,497
	5,750,000	Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 1.721%, 8/17/2017, (EUR)(c)		7,134,237
	1,190,000	CHS/Community Health Systems, Inc., 8.000%, 11/15/2019, 144A		1,228,675
	9,901,000	Citigroup, Inc., 5.500%, 2/15/2017		10,385,020
	601,223	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		595,932
	181,095	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		181,765
	3,376,791	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		3,661,454
	6,975,000	Corning, Inc., 4.700%, 3/15/2037		6,732,863
	3,542,463	Credit Suisse Mortgage Capital Certificates, Series 2006-C2, Class A3, 5.851%, 3/15/2039(c)		3,888,919
	5,722,000	Crown Castle Towers LLC, 4.523%, 1/15/2035, 144A		5,984,497
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,433,201
	5,309,373	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		5,813,764
	1,302,387	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,326,741
	7,562,000	Dolpin Subsidiary II, Inc., 6.500%, 10/15/2016, 144A		8,129,150
	1,817,000	DPL, Inc., 7.250%, 10/15/2021, 144A		2,016,870

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
$	5,350,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A	$	5,425,875
	11,617,000	Extended Stay America Trust, Series 2010-ESHA, Class D, 5.498%, 11/05/2027, 144A		11,741,616
	1,000,000	Ford Motor Credit Co. LLC, 5.750%, 2/01/2021		1,078,960
	5,230,000	Fresenius Medical Care US Finance II Inc, 5.625%, 7/31/2019, 144A		5,386,900
	4,723,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		4,847,106
	8,175,000	Goldman Sachs Group, Inc. (The), 3.625%, 2/07/2016		8,172,678
	1,135,000	Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP)		1,629,377
	5,514,671	Greenwich Capital Commercial Funding Corp., Series 2005-GG5, Class A2, 5.117%, 4/10/2037		5,535,963
	4,668,785	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		5,153,713
	8,327,514	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.980%, 8/10/2045(c)		9,241,017
	1,095,000	HCA, Inc., 6.375%, 1/15/2015		1,155,225
	2,216,000	HCA, Inc., 6.500%, 2/15/2016		2,360,040
	577,000	HCA, Inc., 7.690%, 6/15/2025		556,084
	567,000	HCA, Inc., MTN, 7.580%, 9/15/2025		535,815
	5,177,000	HSBC USA, Inc., 5.000%, 9/27/2020		5,276,595
	7,644,000	Hyatt Hotels Corp., 5.375%, 8/15/2021		8,158,334
	5,800,000	Hyundai Capital America, 4.000%, 6/08/2017, 144A		5,959,222
	4,028,000	Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A		4,282,558
	4,201,000	International Paper Co., 6.000%, 11/15/2041		4,560,064
	1,703,000	IPALCO Enterprises, Inc., 7.250%, 4/01/2016, 144A		1,856,270
	6,454,000	JPMorgan Chase & Co., 4.400%, 7/22/2020		6,695,464
	3,633,000	Kinder Morgan Finance Co. LLC, 6.000%, 1/15/2018, 144A		3,855,521
	4,723,000	MBNA Credit Card Master Note Trust, Series 2005-B3, Class B3, 1.513%, 3/19/2018, (EUR)(c)		5,796,272


		United States – continued
$	5,250,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A	$	4,390,092
	4,482,579	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 6.032%, 6/12/2050(c)		5,027,544
	2,797,638	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		3,005,592
	1,880,000	Morgan Stanley, 5.375%, 11/14/2013, (GBP)		3,084,373
	8,357,000	Morgan Stanley, 5.500%, 7/24/2020		8,156,307
	2,874,845	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		3,139,693
	3,684,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		3,555,060
	8,649,000	NII Capital Corp., 7.625%, 4/01/2021		8,454,398
	3,097,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		3,004,313
	2,393,000	Qwest Corp., 6.875%, 9/15/2033		2,369,070
	4,691,000	Qwest Corp., 7.250%, 10/15/2035		4,784,820
	4,800,000	Qwest Corp., 7.500%, 6/15/2023		4,848,000
	3,000,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 6.875%, 2/15/2021, 144A		3,105,000
	4,779,526	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		4,773,552
	7,644,000	SLM Corp., MTN, 8.000%, 3/25/2020		8,255,520
	2,725,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		3,038,375
	1,400,000	Tennessee Gas Pipeline Co., 7.500%, 4/01/2017		1,656,407
	5,600,000	Tennessee Gas Pipeline Co., 8.000%, 2/01/2016		6,500,525
	8,300,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		11,251,250
	10,888,662	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A		10,485,562
	15,000,000	U.S. Treasury Bond, 4.375%, 5/15/2041		18,032,820
	5,990,000	U.S. Treasury Note, 0.625%, 2/28/2013(d)		6,011,995
	56,020,000	U.S. Treasury Note, 1.375%, 11/30/2015		57,367,953
	110,955,000	U.S. Treasury Note, 1.500%, 7/31/2016		113,841,605
	8,011,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		7,790,698

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		United States – continued
$	1,817,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A	$	1,798,830
	2,205,000	Wells Fargo & Co., 4.625%, 11/02/2035, (GBP)		3,527,323
	1,750,000	Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP)		2,527,332
	6,272,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		6,570,384
	4,360,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 10/02/2013, variable rate thereafter), 5.750%, 10/02/2023, (EUR)		5,890,466
	2,907,000	Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR)		3,906,651

				544,223,700

		Uruguay – 1.0%
	189,525,963	Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU)		9,579,911
	241,937,663	Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)		13,571,498

				23,151,409


		Total Non-Convertible Bonds
		(Identified Cost $2,038,358,646)		2,124,347,441


	Convertible Bonds – 0.2%

		United States – 0.2%
	4,882,000	Ciena Corp., 0.875%, 6/15/2017
		(Identified Cost $3,948,354)		4,290,058


	Municipals – 0.2%

		United States – 0.2%
	4,870,000	California Statewide Communities Development Authority, Series A, 4.750%, 4/01/2033
		(Identified Cost $4,056,910)		4,932,579


		Total Bonds and Notes
		(Identified Cost $2,046,363,910)		2,133,570,078



	Short-Term Investments – 1.9%
$	42,103,703	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $42,103,703 on 4/02/2012 collateralized by $42,840,000 Federal Home Loan Bank, 0.360% due 5/16/2013 valued at $42,947,100 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $42,103,703)	$	42,103,703


		Total Investments – 98.2%
		(Identified Cost $2,088,467,613)(a)		2,175,673,781
		Other Assets Less Liabilities—1.8%		38,951,082


		Net Assets – 100.0%	$	2,214,624,863


	(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $2,095,080,647 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	$	98,020,294
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(17,427,160	)

		Net unrealized appreciation	$	80,593,134

	(b)	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.
	(c)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(d)	All or a portion of this security has been pledged as collateral for open forward foreign currency contracts and/or as initial margin for open 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 March 31, 2012, the value of Rule 144A holdings amounted to $459,915,378 or 20.8% 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

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued


	JPY			Japanese Yen
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar
	PHP			Philippine Peso
	SGD			Singapore Dollar
	UYU			Uruguayan Peso

At March 31, 2012, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	5/29/2012	Australian Dollar		29,320,000	$	30,182,145	$	680,673
Sell²	6/28/2012	British Pound		13,800,000		22,060,356		(280,920	)
Sell¹	6/07/2012	Canadian Dollar		20,510,000		20,534,883		233,686
Buy³	6/21/2012	Malaysian Ringgit		62,652,000		20,345,898		(22,112	)
Sell⁴	6/04/2012	Mexican Peso		215,680,000		16,759,720		(199,523	)
Sell²	4/30/2012	New Zealand Dollar		27,310,000		22,320,873		(461,949	)
Buy²	4/11/2012	Singapore Dollar		26,340,000		20,953,954		417,223
Sell²	4/11/2012	Singapore Dollar		13,820,000		10,994,064		(57,751	)
Buy¹	6/11/2012	South Korean Won		24,975,000,000		21,931,578		(107,780	)
Buy²	6/11/2012	South Korean Won		31,476,000,000		27,640,374		(146,869	)
Sell⁵	6/20/2012	Swiss Franc		3,630,000		4,025,069		(33,997	)

Total							$	20,681


Settlement Date	Deliver/Units of Currency		Receive⁴/Units of Currency		Unrealized Appreciation (Depreciation)
06/12/2012	Norwegian Krone	140,000,000	Euro	18,786,903	$	547,024
05/02/2012	Japanese Yen	1,733,836,800	Singapore Dollar	27,200,000		685,815
05/02/2012	Singapore Dollar	27,200,000	Japanese Yen	1,674,704,000		(1,400,408	)

Total					$	(167,569	)

¹Counterparty is Credit Suisse.

²Counterparty is Barclays.

³Counterparty is JPMorgan Chase.

⁴Counterparty is Deutsche Bank AG.

⁵Counterparty is Morgan Stanley.

At March 31, 2012, open futures contracts purchased were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Ultra Long U.S. Treasury Bond		6/20/2012		93	$	14,040,094	$	(702,030	)

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		6/29/2012		444	$	54,407,344	$	359,938
10 Year U.S. Treasury Note		6/20/2012		288		37,291,500		534,973
30 Year U.S. Treasury Bond		6/20/2012		400		55,100,000		1,914,893

Total							$	2,809,804

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Global Bond Fund – continued

Industry Summary at March 31, 2012 (Unaudited)


Treasuries	48.6	%
Banking	7.0
Wirelines	3.3
Government Guaranteed	2.8
Local Authorities	2.8
Commercial Mortgage-Backed Securities	2.6
Government Owned—No Guarantee	2.6
Electric	2.6
Sovereigns	2.6
Other Investments, less than 2% each	21.4
Short-Term Investments	1.9

Total Investments	98.2
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	1.8

Net Assets	100.0	%

Currency Exposure at March 31, 2012 (Unaudited)


United States Dollar	39.6	%
Euro	18.9
Japanese Yen	14.8
British Pound	7.3
Canadian Dollar	4.5
Mexican Peso	2.6
Norwegian Krone	2.1
Other, less than 2% each	8.4

Total Investments	98.2
Other assets less liabilities (including open forward foreign currency contracts and futures contracts)	1.8

Net Assets	100.0	%

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 105.0% of Net Assets

		Automotive – 0.3%
$	60,000	Ford Motor Co., 7.450%, 7/16/2031	$	73,350

		Building Materials – 0.0%
	10,000	Masco Corp., 7.125%, 3/15/2020		10,691

		Chemicals – 0.1%
	25,000	CF Industries, Inc., 6.875%, 5/01/2018		28,844

		Collateralized Mortgage Obligations – 0.1%
	30,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		31,478

		Electric – 0.4%
	90,000	San Diego Gas & Electric Co., 3.950%, 11/15/2041		87,049

		Food & Beverage – 1.2%
	40,000	Bottling Group LLC, 5.125%, 1/15/2019		46,733
	75,000	Dean Holding Co., 6.900%, 10/15/2017		75,375
	165,000	Pernod-Ricard SA, 5.500%, 1/15/2042, 144A		165,877

				287,985

		Healthcare – 0.1%
	15,000	McKesson Corp., 6.000%, 3/01/2041		18,638

		Independent Energy – 0.1%
	15,000	SM Energy Co., 6.625%, 2/15/2019		15,900

		Life Insurance – 0.3%
	60,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		70,478

		Lodging – 0.2%
	50,000	Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027		50,250

		Media Non-Cable – 0.1%
	30,000	CBS Corp., 5.500%, 5/15/2033		31,368

		Metals & Mining – 0.4%
	85,000	Alcoa, Inc., 5.950%, 2/01/2037		82,704

		Paper – 0.4%
	70,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		81,806

		Pharmaceuticals – 0.0%
	10,000	Valeant Pharmaceuticals International, 6.750%, 10/01/2017, 144A		10,125

		Pipelines – 0.5%
	3,000	Colorado Interstate Gas Co., 5.950%, 3/15/2015		3,203

		Pipelines – continued
$	50,000	Energy Transfer Partners LP, 6.050%, 6/01/2041	$	50,455
	30,000	Energy Transfer Partners LP, 6.500%, 2/01/2042		31,612
	30,000	Southern Natural Gas Co., 7.350%, 2/15/2031		34,375

				119,645

		Property & Casualty Insurance – 0.2%
	35,000	Allstate Corp., 5.200%, 1/15/2042		36,616

		Technology – 1.5%
	105,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		126,291
	225,000	Hewlett-Packard Co., 4.650%, 12/09/2021		235,380

				361,671

		Treasuries – 96.9%
	15,000(††)	Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN)		128,530
	320,954	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2042		305,934
	768,078	U.S. Treasury Inflation Indexed Bond, 1.750%, 1/15/2028		915,993
	1,834,963	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2040		2,412,833
	201,806	U.S. Treasury Inflation Indexed Bond, 2.125%, 2/15/2041		266,115
	1,244,401	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2025		1,582,917
	966,477	U.S. Treasury Inflation Indexed Bond, 2.375%, 1/15/2027		1,240,110
	232,228	U.S. Treasury Inflation Indexed Bond, 2.500%, 1/15/2029		306,504
	772,470	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032		1,176,086
	202,024	U.S. Treasury Inflation Indexed Note, 1.125%, 1/15/2021		227,403
	738,907	U.S. Treasury Inflation Indexed Note, 1.250%, 4/15/2014		783,704
	1,105,672	U.S. Treasury Inflation Indexed Note, 1.375%, 1/15/2020		1,269,882
	379,808	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2015		413,842
	227,178	U.S. Treasury Inflation Indexed Note, 1.625%, 1/15/2018		261,077
	1,449,891	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2013		1,526,011
	1,788,505	U.S. Treasury Inflation Indexed Note, 1.875%, 7/15/2015		1,994,741
	938,303	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2014		1,002,811
	1,424,749	U.S. Treasury Inflation Indexed Note, 2.000%, 7/15/2014		1,551,975
	1,729,918	U.S. Treasury Inflation Indexed Note, 2.000%, 1/15/2016		1,953,726
	983,334	U.S. Treasury Inflation Indexed Note, 2.375%, 1/15/2017		1,151,806
	735,048	U.S. Treasury Inflation Indexed Note, 2.500%, 7/15/2016		858,225

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Treasuries – continued
$	1,153,632	U.S. Treasury Inflation Indexed Note, 2.625%, 7/15/2017	$	1,386,973

				22,717,198

		Wireless – 0.3%
	10,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		10,000
	85,000	Sprint Capital Corp., 6.875%, 11/15/2028		65,025

				75,025

		Wirelines – 1.9%
	91,000	AT&T, Inc., 5.350%, 9/01/2040		96,761
	30,000	Bell Canada, MTN, 5.000%, 2/15/2017, (CAD)		33,081
	5,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,912
	15,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		18,870
	35,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		40,143
	70,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		81,401
	155,000	Embarq Corp., 7.995%, 6/01/2036		156,668

				432,836


		Total Bonds and Notes
		(Identified Cost $23,552,836)		24,623,657


		Total Investments – 105.0%
		(Identified Cost $23,552,836)(a)		24,623,657
		Other Assets Less Liabilities—(5.0)%		(1,171,897	)


		Net Assets – 100.0%	$	23,451,760


	(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $23,821,300 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	$	890,956
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(88,599	)

		Net unrealized appreciation	$	802,357


	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 March 31, 2012, the value of Rule 144A holdings amounted to $252,392 or 1.1% of net assets.
	MTN	Medium Term Note

	CAD	Canadian Dollar
	MXN	Mexican Peso

Industry Summary at March 31, 2012 (Unaudited)


Treasuries	96.9	%
Other Investments, less than 2% each	8.1

Total Investments	105.0
Other assets less liabilities	(5.0	)

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 82.5% of Net Assets

	Non-Convertible Bonds – 67.2%

		Aerospace & Defense – 1.2%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)	$	139,973
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,229,375
	500,000	Ducommun, Inc., 9.750%, 7/15/2018		530,000
	600,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		464,924
	4,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		3,930,178

				7,294,450

		Airlines – 2.6%
	3,940,000	Air Canada, 9.250%, 8/01/2015, 144A		3,841,500
	985,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		957,893
	555,000	Air Canada, 12.000%, 2/01/2016, 144A		491,175
	337,637	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		365,054
	132,137	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		130,974
	62,825	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		63,057
	339,694	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		346,046
	395,244	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		394,730
	1,773,000	United Air Lines, Inc., 9.875%, 8/01/2013, 144A		1,861,650
	549,713	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		549,713
	4,355,000	US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A		4,333,225
	1,685,000	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,701,850
	695,000	US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014		708,900

				15,745,767

		Automotive – 1.6%
	600,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		606,000
	500,000	Cummins, Inc., 6.750%, 2/15/2027		594,301


		Automotive – continued
$	15,000	Ford Motor Co., 6.375%, 2/01/2029	$	16,267
	20,000	Ford Motor Co., 6.500%, 8/01/2018		21,700
	95,000	Ford Motor Co., 6.625%, 2/15/2028		105,214
	1,945,000	Ford Motor Co., 6.625%, 10/01/2028		2,159,370
	230,000	Ford Motor Co., 7.125%, 11/15/2025		250,700
	1,905,000	Ford Motor Co., 7.450%, 7/16/2031		2,328,862
	40,000	Ford Motor Co., 7.500%, 8/01/2026		44,800
	1,655,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		1,609,487
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		1,969,825

				9,706,526

		Banking – 4.1%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049		938,278
	7,110,000	HBOS PLC, 6.000%, 11/01/2033, 144A		5,403,330
	9,095,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		8,536,358
	7,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		759,405
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,270,702
	500,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		475,899
	900,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		917,344
	5,300,000	Morgan Stanley, 5.750%, 1/25/2021		5,203,444
	475,000	RBS Capital Trust A, (fixed rate to 6/30/2012, variable rate thereafter), 6.467%, 12/29/2049, (EUR)(b)		367,434
	50,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)(b)		36,010
	135,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049(b)		83,700
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049(b)		108,800
	350,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		399,156

				24,499,860

		Brokerage – 0.8%
	1,495,000	Jefferies Group, Inc., 3.875%, 11/09/2015		1,476,312

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Brokerage – continued
$	945,000	Jefferies Group, Inc., 5.125%, 4/13/2018	$	916,650
	1,565,000	Jefferies Group, Inc., 6.250%, 1/15/2036		1,412,413
	1,095,000	Jefferies Group, Inc., 6.450%, 6/08/2027		1,078,575
	115,000	Jefferies Group, Inc., 6.875%, 4/15/2021		117,013
	50,000	Jefferies Group, Inc., 8.500%, 7/15/2019		55,500

				5,056,463

		Building Materials – 1.4%
	440,000	Masco Corp., 5.850%, 3/15/2017		450,933
	750,000	Masco Corp., 6.125%, 10/03/2016		792,810
	670,000	Masco Corp., 6.500%, 8/15/2032		630,887
	1,225,000	Owens Corning, Inc., 7.000%, 12/01/2036		1,305,427
	4,695,000	USG Corp., 6.300%, 11/15/2016		4,389,825
	745,000	USG Corp., 9.750%, 1/15/2018		739,413

				8,309,295

		Chemicals – 2.1%
	3,043,000	Hercules, Inc., 6.500%, 6/30/2029		2,419,185
	3,687,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,816,045
	1,824,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		1,477,440
	555,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		493,950
	2,641,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		2,271,260
	5,327,000	Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(b)(c)(d)		2,130,800

				12,608,680

		Collateralized Mortgage Obligations – 0.2%
	518,013	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 6.706%, 4/25/2037(e)		366,420
	659,337	Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037		586,795
	81,703	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.866%, 4/25/2035(e)		70,851


		Collateralized Mortgage Obligations – continued
$	178,871	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.474%, 7/25/2047(e)	$	107,941

				1,132,007

		Commercial Mortgage-Backed Securities – 0.0%
	205,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		227,179

		Construction Machinery – 1.0%
	250,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		266,250
	1,200,000	Terex Corp., 8.000%, 11/15/2017		1,242,000
	1,995,000	United Rentals North America, Inc., 8.375%, 9/15/2020		2,064,825
	965,000	United Rentals North America, Inc., 10.875%, 6/15/2016		1,092,863
	1,410,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		1,448,775

				6,114,713

		Consumer Cyclical Services – 0.2%
	135,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		127,238
	1,450,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		1,236,125

				1,363,363

		Consumer Products – 0.1%
	400,000	Visant Corp., 10.000%, 10/01/2017		373,500

		Diversified Manufacturing – 0.3%
	2,160,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		1,641,600

		Electric – 1.4%
	560,000	AES Corp. (The), 7.375%, 7/01/2021, 144A		618,800
	296,703	AES Ironwood LLC, 8.857%, 11/30/2025		332,307
	100,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(f)		65,500
	490,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(f)		320,950
	720,000	Edison Mission Energy, 7.625%, 5/15/2027		426,600
	2,200,000	EDP Finance BV, 5.375%, 11/02/2012, 144A		2,201,100
	225,710	Midwest Generation LLC, Series B, 8.560%, 1/02/2016		215,553

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Electric – continued
$	1,645,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(f)	$	427,700
	1,025,000	RRI Energy, Inc., 7.875%, 6/15/2017		894,313
	920,000	TXU Corp., Series P, 5.550%, 11/15/2014		673,900
	1,515,000	TXU Corp., Series Q, 6.500%, 11/15/2024		795,375
	420,000	TXU Corp., Series R, 6.550%, 11/15/2034		210,000
	1,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		904,860

				8,086,958

		Gaming – 0.4%
	755,000	MGM Resorts International, 6.625%, 7/15/2015		775,762
	655,000	MGM Resorts International, 6.875%, 4/01/2016		661,550
	80,000	MGM Resorts International, 7.500%, 6/01/2016		82,400
	585,000	MGM Resorts International, 7.625%, 1/15/2017		604,013

				2,123,725

		Government Guaranteed – 0.7%
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		4,328,722

		Government Owned – No Guarantee – 0.6%
	400,000	DP World Ltd., 6.850%, 7/02/2037, 144A		386,000
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		988,583
	16,700,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		1,872,723
	700,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		430,500

				3,677,806

		Government Sponsored – 0.2%
	620,000	Eksportfinans ASA, 2.000%, 9/15/2015		550,089
	985,000	Eksportfinans ASA, 2.375%, 5/25/2016		868,226

				1,418,315

		Healthcare – 3.5%
	3,450,000	CHS/Community Health Systems, Inc., 8.000%, 11/15/2019, 144A		3,562,125
	550,000	HCA, Inc., 5.875%, 3/15/2022		550,688
	30,000	HCA, Inc., 6.250%, 2/15/2013		30,788
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		955,837


		Healthcare – continued
$	965,000	HCA, Inc., 7.190%, 11/15/2015	$	1,022,900
	865,000	HCA, Inc., 7.500%, 12/15/2023		826,075
	4,290,000	HCA, Inc., 7.500%, 11/06/2033		4,021,875
	1,375,000	HCA, Inc., 7.690%, 6/15/2025		1,325,156
	375,000	HCA, Inc., 8.360%, 4/15/2024		382,500
	600,000	HCA, Inc., MTN, 7.580%, 9/15/2025		567,000
	1,550,000	HCA, Inc., MTN, 7.750%, 7/15/2036		1,433,750
	7,644,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		6,535,620

				21,214,314

		Home Construction – 2.4%
	316,000	Beazer Homes USA, Inc., 9.125%, 6/15/2018		276,105
	590,000	Beazer Homes USA, Inc., 9.125%, 5/15/2019		507,400
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A		595,350
	1,068,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		622,110
	755,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		439,787
	985,000	K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016		890,194
	52,000	KB Home, 5.875%, 1/15/2015		51,220
	1,510,000	KB Home, 6.250%, 6/15/2015		1,479,800
	1,900,000	KB Home, 7.250%, 6/15/2018		1,824,000
	2,500,000	KB Home, 8.000%, 3/15/2020		2,475,000
	2,540,000	KB Home, 9.100%, 9/15/2017		2,654,300
	400,000	Pulte Group, Inc., 6.000%, 2/15/2035		312,000
	2,460,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,980,300
	195,000	Pulte Group, Inc., 7.875%, 6/15/2032		180,863

				14,288,429

		Independent Energy – 0.2%
	920,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		1,111,552

		Industrial Other – 1.5%
	9,150,000	Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD)		8,898,190

		Life Insurance – 1.8%
	1,300,000	American International Group, Inc., 6.250%, 3/15/2087		1,170,000

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Life Insurance – continued
$	6,535,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068	$	6,917,298
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		337,400
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,099,925

				10,524,623

		Local Authorities – 2.6%
	2,245,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		2,371,527
	12,200,000	Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD)		13,488,189

				15,859,716

		Media Non-Cable – 1.0%
	730,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		646,050
	3,035,000	Clear Channel Communications, Inc., 5.750%, 1/15/2013		3,012,238
	2,385,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		2,373,075

				6,031,363

		Metals & Mining – 3.5%
	9,430,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		8,581,300
	4,740,000	United States Steel Corp., 6.050%, 6/01/2017		4,834,800
	2,020,000	United States Steel Corp., 6.650%, 6/01/2037		1,696,800
	2,035,000	United States Steel Corp., 7.000%, 2/01/2018		2,090,962
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,680,000

				20,883,862

		Non-Captive Consumer – 3.7%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		455,000
	6,015,000	Residential Capital LLC, 9.625%, 5/15/2015		5,112,750
	875,000	SLM Corp., MTN, 7.250%, 1/25/2022		914,221
	115,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		110,373
	4,550,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		3,884,572
	2,020,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,252,300
	1,450,000	Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		1,765,173
	1,540,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		1,212,750


		Non-Captive Consumer – continued
$	250,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012	$	240,000
	525,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		434,438
	2,895,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		2,670,637
	3,630,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,831,400

				21,883,614

		Non-Captive Diversified – 2.6%
	3,225,000	Ally Financial, Inc., 5.500%, 2/15/2017		3,228,835
	585,000	Ally Financial, Inc., 8.000%, 12/31/2018		621,562
	633,000	Ally Financial, Inc., 8.000%, 11/01/2031		697,882
	970,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		808,122
	250,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		216,317
	3,035,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		2,595,545
	380,000	International Lease Finance Corp., 6.250%, 5/15/2019		375,090
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		330,063
	790,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		799,875
	65,000	iStar Financial, Inc., 5.500%, 6/15/2012		64,675
	555,000	iStar Financial, Inc., 5.850%, 3/15/2017		487,013
	1,335,000	iStar Financial, Inc., 5.875%, 3/15/2016		1,196,494
	944,000	iStar Financial, Inc., 6.050%, 4/15/2015		863,760
	2,940,000	iStar Financial, Inc., 8.625%, 6/01/2013		2,917,950
	120,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		109,200
	565,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		538,162

				15,850,545

		Oil Field Services – 0.0%
	210,000	Parker Drilling Co., 9.125%, 4/01/2018		222,600

		Packaging – 0.5%
	1,555,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		1,745,488

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Packaging – continued
$	950,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A	$	893,000
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		487,050

				3,125,538

		Paper – 1.9%
	1,390,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,636,044
	255,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		311,037
	3,620,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		4,510,806
	525,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		668,320
	2,930,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		3,952,696

				11,078,903

		Pharmaceuticals – 0.0%
	80,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		79,200

		Pipelines – 0.2%
	560,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		446,600
	1,000,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		885,000

				1,331,600

		Property & Casualty Insurance – 0.7%
	1,870,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		1,131,350
	3,245,000	White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A		3,116,823

				4,248,173

		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		251,200
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		26,400

				277,600

		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		499,518

		Retailers – 2.8%
	430,000	Dillard’s, Inc., 6.625%, 1/15/2018		439,675


		Retailers – continued
$	450,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	420,750
	750,000	Dillard’s, Inc., 7.130%, 8/01/2018		789,375
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,866,575
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		121,250
	170,000	Dillard’s, Inc., 7.875%, 1/01/2023		170,425
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,809,123
	3,494,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		3,935,435
	295,000	Macy’s Retail Holdings, Inc., 7.000%, 2/15/2028		340,282
	7,385,000	Toys R Us, Inc., 7.375%, 10/15/2018		6,628,037

				16,520,927

		Sovereigns – 1.4%
	1,153,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		165,315
	24,214,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		3,451,761
	6,561,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		986,864
	4,897,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		523,400
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		2,729,820
	23,500,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		122,430
	49,000,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		263,069

				8,242,659

		Supermarkets – 2.9%
	600,000	American Stores Co., 7.900%, 5/01/2017		570,000
	360,000	American Stores Co., 8.000%, 6/01/2026		306,000
	1,865,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		1,384,763
	3,435,000	New Albertson’s, Inc., 7.450%, 8/01/2029		2,627,775
	2,025,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,640,250
	8,945,000	New Albertson’s, Inc., 8.000%, 5/01/2031		6,775,837
	3,980,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,263,600
	940,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		662,700

				17,230,925

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Supranational – 0.3%
	186,420	European Financial Stability Facility, 0.400%, 3/12/2013, (EUR)	$	248,017
	186,420	European Financial Stability Facility, 1.000%, 3/12/2014, (EUR)		248,117
	1,639,380,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		168,725
	8,600,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		881,349

				1,546,208

		Technology – 2.1%
	90,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		99,000
	450,000	Alcatel-Lucent, 8.500%, 1/15/2016, (EUR)		619,970
	8,685,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		6,861,150
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		3,294,325
	20,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		20,525
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		12,741
	1,635,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(f)		1,778,062

				12,685,773

		Textile – 0.8%
	2,470,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		1,883,375
	2,835,000	Jones Group/Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019		2,774,756

				4,658,131

		Transportation Services – 0.9%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)		2,266,650
	1,098,228	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		1,043,316
	289,324	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(b)(g)		231,459
	212,629	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		182,861
	399,542	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(b)		303,652
	40,344	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(b)(g)		32,275
	1,247,000	Overseas Shipholding Group, 7.500%, 2/15/2024		827,696


		Transportation Services – continued
$	740,000	Teekay Corp., 8.500%, 1/15/2020	$	767,750

				5,655,659

		Treasuries – 3.1%
	3,225,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		3,879,377
	850,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		974,978
	175,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		205,150
	4,405,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		5,071,842
	95,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		841,075
	4,520,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		3,845,501
	6,355,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		1,175,598
	775,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		591,942
	560,000	Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		343,934
	175,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		139,777
	1,425,000	Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		1,099,452
	55,190,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		293,898

				18,462,524


		Wireless – 1.1%
	2,725,000	NII Capital Corp., 7.625%, 4/01/2021		2,663,687
��	4,085,000	Sprint Capital Corp., 6.875%, 11/15/2028		3,125,025
	840,000	Sprint Capital Corp., 6.900%, 5/01/2019		726,600
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		184,363

				6,699,675


		Wirelines – 6.7%
	410,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		334,150
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		308,000
	5,540,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		5,172,975
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		410,363
	4,351,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,959,410

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wirelines – continued
$	902,000	Frontier Communications Corp., 8.750%, 4/15/2022	$	951,610
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,522,000
	3,055,000	Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A		3,154,287
	890,000	Level 3 Financing, Inc., 8.625%, 7/15/2020, 144A		934,500
	1,590,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		1,661,550
	145,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		158,413
	250,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		239,566
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		837,230
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		2,247,816
	200,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		246,024
	1,100,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,243,463
	1,439,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		1,536,132
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		764,651
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,420,959
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		5,172,424
	1,936,000	Qwest Corp., 6.875%, 9/15/2033		1,916,640
	1,500,000	Qwest Corp., 7.200%, 11/10/2026		1,511,250
	645,000	Qwest Corp., 7.250%, 9/15/2025		690,150
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,435,140
	985,000	Qwest Corp., 7.500%, 6/15/2023		994,850

				39,823,553

		Total Non-Convertible Bonds (Identified Cost $368,669,646)		402,644,303


	Convertible Bonds – 15.2%

		Airlines – 0.3%
	1,705,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		1,560,331


		Automotive – 1.1%
	1,090,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h)		908,787


		Automotive – continued
$	3,530,000	Ford Motor Co., 4.250%, 11/15/2016	$	5,595,050

				6,503,837


		Brokerage – 0.2%
	1,050,000	Jefferies Group, Inc., 3.875%, 11/01/2029		997,500


		Diversified Manufacturing – 1.0%
	3,765,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		3,684,994
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,523,350

				6,208,344


		Electric – 0.1%
	250,000	CMS Energy Corp., 5.500%, 6/15/2029		398,750


		Healthcare – 1.8%
	3,325,000	Health Management Associates, Inc., 3.750%, 5/01/2028, 144A		3,349,937
	2,470,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h)		2,454,563
	660,000	Illumina, Inc., 0.250%, 3/15/2016, 144A		632,775
	345,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		346,294
	860,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		898,700
	2,646,000	Omnicare, Inc., 3.250%, 12/15/2035		2,543,467
	610,000	Omnicare, Inc., 3.750%, 12/15/2025		886,025

				11,111,761


		Home Construction – 0.5%
	2,295,000	Lennar Corp., 3.250%, 11/15/2021, 144A		3,147,019


		Independent Energy – 0.9%
	5,045,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		4,080,144
	1,340,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		1,234,475

				5,314,619

		Life Insurance – 1.1%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		6,443,171

		Media Non-Cable – 0.0%
	60,493	Liberty Media LLC, 3.500%, 1/15/2031		36,523

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Metals & Mining – 0.7%
$	1,250,000	Steel Dynamics, Inc., 5.125%, 6/15/2014	$	1,417,187
	2,280,000	United States Steel Corp., 4.000%, 5/15/2014		2,696,100

				4,113,287

		Pharmaceuticals – 1.2%
	3,325,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		3,333,313
	4,045,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		3,989,381

				7,322,694

		Technology – 5.2%
	740,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		727,050
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		6,937,731
	3,420,000	Ciena Corp., 3.750%, 10/15/2018, 144A		3,860,325
	175,000	Ciena Corp., 4.000%, 3/15/2015, 144A		197,531
	5,750,000	Intel Corp., 3.250%, 8/01/2039		8,085,937
	3,020,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		3,065,300
	280,000	Micron Technology, Inc., 1.875%, 6/01/2014		284,550
	3,970,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		4,213,163
	230,000	SanDisk Corp., 1.500%, 8/15/2017		272,263
	1,050,000	Teradyne, Inc., 4.500%, 3/15/2014		3,289,125

				30,932,975

		Textile – 0.3%
	1,925,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		1,879,281

		Wirelines – 0.8%
	2,210,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		2,884,050
	1,190,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		1,552,950
	400,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		488,134

				4,925,134


		Total Convertible Bonds
		(Identified Cost $75,894,728)		90,895,226



	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)	$	611,588


		Total Bonds and Notes
		(Identified Cost $445,104,374)		494,151,117


	Senior Loans – 1.4%

		Automotive – 0.2%
	1,000,000	TI Automotive Limited, New Term Loan, 6.750%, 3/14/2018(e)		1,001,880

		Food & Beverage – 0.1%
	576,963	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(e)		567,732

		Media Non-Cable – 0.2%
	1,854,387	Dex Media West LLC, New Term Loan, 7.250%, 10/24/2014(e)		1,180,633
	165,774	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(e)		89,352

				1,269,985

		Non-Captive Diversified – 0.7%
	4,000,000	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(e)		3,998,760

		Wireless – 0.1%
	825,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(e)		817,162

		Wirelines – 0.1%
	769,055	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(e)		631,479


		Total Senior Loans
		(Identified Cost $8,957,880)		8,286,998


	Shares

	Common Stocks – 7.6%

		Automobiles – 1.0%
	465,000	Ford Motor Co.		5,807,850

		Biotechnology – 1.1%
	165,617	Vertex Pharmaceuticals, Inc.(b)		6,791,953

		Chemicals – 1.4%
	156,958	Dow Chemical Co. (The)		5,437,025
	30,167	PPG Industries, Inc.		2,889,999

				8,327,024

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Containers & Packaging – 0.2%
	40,621	Owens-Illinois, Inc.(b)	$	948,094
	1,772	Rock-Tenn Co., Class A		119,716

				1,067,810

		Diversified Telecommunication Services – 0.3%
	22,208	FairPoint Communications, Inc.(b)		83,502
	2,627	Hawaiian Telcom Holdco, Inc.(b)		45,290
	117,962	Telefonica S.A., Sponsored ADR		1,935,756

				2,064,548

		Electronic Equipment, Instruments & Components – 0.2%
	69,766	Corning, Inc.		982,305

		Food Products – 0.0%
	3,100	ConAgra Foods, Inc.		81,406

		Household Durables – 0.0%
	6,775	KB Home		60,298

		Media – 0.0%
	849	Dex One Corp.(b)		1,205
	961	SuperMedia, Inc.(b)		2,297

				3,502

		Oil, Gas & Consumable Fuels – 0.7%
	2,846	Chesapeake Energy Corp.		65,942
	79,377	Repsol YPF S.A., Sponsored ADR		1,982,837
	33,796	Royal Dutch Shell PLC, ADR		2,370,114

				4,418,893

		Pharmaceuticals – 1.4%
	64,900	Bristol-Myers Squibb Co.		2,190,375
	117,041	Valeant Pharmaceuticals International, Inc.(b)		6,283,931

				8,474,306

		REITs – Apartments – 0.1%
	6,185	Apartment Investment & Management Co., Class A		163,346
	32,565	Associated Estates Realty Corp.		532,112

				695,458

		REITs – Shopping Centers – 0.0%
	7,868	DDR Corp.		114,873

		Semiconductors & Semiconductor Equipment – 1.2%
	245,350	Intel Corp.		6,896,789


		Total Common Stocks
		(Identified Cost $34,562,975)		45,787,015


	Preferred Stocks – 2.9%

	Convertible Preferred Stocks – 2.0%
		Automotive – 0.8%
	86,270	General Motors Co., Series B, 4.750%		3,610,399
	20,395	Goodyear Tire & Rubber Co. (The), 5.875%		844,965

				4,455,364



		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%	$	154,105

		Construction Machinery – 0.2%
	17,160	United Rentals Trust I, 6.500%		925,568

		Consumer Products – 0.2%
	25,550	Newell Financial Trust I, 5.250%		1,207,237

		Electric – 0.1%
	17,119	AES Trust III, 6.750%		854,067

		Home Construction – 0.0%
	11,000	Hovnanian Enterprises, Inc., 7.250%		147,400

		Pipelines – 0.3%
	38,750	El Paso Energy Capital Trust I, 4.750%		1,786,375

		Technology – 0.4%
	3,260	Lucent Technologies Capital Trust I, 7.750%		2,648,750


		Total Convertible Preferred Stocks
		(Identified Cost $12,629,426)		12,178,866


	Non-Convertible Preferred Stocks – 0.9%

		Banking – 0.2%
	18,000	Bank of America Corp., 6.375%		422,460
	23,925	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		650,760
	7,075	Countrywide Capital IV, 6.750%		166,475

				1,239,695

		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(b)		379,797

		Non-Captive Consumer – 0.1%
	12,475	SLM Corp., Series A, 6.970%		570,731

		Non-Captive Diversified – 0.5%
	3,578	Ally Financial, Inc., Series G, 7.000%, 144A		2,980,810

		REITs – Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		181,602


		Total Non-Convertible Preferred Stocks
		(Identified Cost $4,879,614)		5,352,635


		Total Preferred Stocks
		(Identified Cost $17,509,040)		17,531,501

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)


	Warrants – 0.0%
	33,185	FairPoint Communications, Inc., Expiration on 1/24/2018(b)(c)(d)
		(Identified Cost $0)	$	—


	Principal Amount (‡)

	Short-Term Investments – 1.6%
	100,079	European Financial Stability Facility Treasury Bill, 0.00%, 9/12/2012, (EUR)		133,231
	27,867	Repurchase Agreement with State Street Bank and Trust Company, dated 3/30/2012 at 0.000% to be repurchased at $27,867 on 4/02/2012 collateralized by $27,700 U.S. Treasury Note, 1.500% due 7/31/2016 valued at $28,488 including accrued interest (Note 2 of Notes to Financial Statements)		27,867
	9,351,092	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $9,351,092 on 4/02/2012 collateralized by $8,970,000 Federal National Mortage Association, 2.625% due 11/20/2014 valued at $9,541,837 including accrued interest (Note 2 of Notes to Financial Statements)		9,351,092


		Total Short-Term Investments
		(Identified Cost $9,513,700)		9,512,190


		Total Investments – 96.0%
		(Identified Cost $515,647,969)(a)		575,268,821
		Other Assets Less Liabilities—4.0%		23,749,438


		Net Assets – 100.0%	$	599,018,259


	(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $515,944,382 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	$	77,717,741
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(18,393,302	)

		Net unrealized appreciation	$	59,324,439

	(b)	Non-income producing security.
	(c)	Illiquid security. At March 31, 2012, the value of these securities amounted to $14,687,260 or 2.5% of net assets.
	(d)	Fair valued security by the Fund’s investment adviser. At March 31, 2012, the value of these securities amounted to $2,130,800 or 0.4% of net assets.
	(e)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(f)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(g)	Maturity has been extended under the terms of a plan of reorganization.
	(h)	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 March 31, 2012, the value of Rule 144A holdings amounted to $109,827,348 or 18.3% 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 March 31, 2012 (Unaudited)


Technology	7.7	%
Wirelines	7.6
Healthcare	5.3
Banking	4.3
Metals & Mining	4.2
Non-Captive Diversified	3.8
Non-Captive Consumer	3.8
Automotive	3.7
Chemicals	3.5
Treasuries	3.1
Home Construction	3.0
Airlines	2.9
Supermarkets	2.9
Life Insurance	2.9
Retailers	2.8
Pharmaceuticals	2.6
Local Authorities	2.6
Other Investments, less than 2% each	27.7
Short-Term Investments	1.6

Total Investments	96.0
Other assets less liabilities	4.0

Net Assets	100.0	%

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 97.6% of Net Assets

		ABS Car Loan – 3.1%
$	335,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	342,125
	150,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		150,837
	120,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		129,219
	310,000	BMW Vehicle Lease Trust, Series 2011-1, Class A3, 1.060%, 2/20/2014		311,339
	280,000	CarMax Auto Owner Trust, Series 2011-1, Class A3, 1.290%, 9/15/2015		282,018
	260,000	Ford Credit Floorplan Master Owner Trust, Series 2010-5, Class A1, 1.500%, 9/15/2015		262,341
	225,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		228,956
	320,000	Santander Drive Auto Receivables Trust, Series 2011-1, Class A3, 1.280%, 1/15/2015		321,437
	270,000	World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015		271,247

				2,299,519

		ABS Credit Card – 1.0%
	60,000	Capital One Multi-Asset Execution Trust, Series 2004-A4, Class A4, 0.462%, 3/15/2017(b)		60,171
	315,000	Chase Issuance Trust, Series 2007-A16, Class A16, 0.774%, 6/16/2014(b)		315,212
	150,000	Discover Card Master Trust I, Series 2007-3, Class A2, 0.292%, 10/16/2014(b)		150,004
	210,000	MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016		223,365

				748,752

		ABS Home Equity – 0.1%
	67,951	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		64,221

		ABS Student Loan – 1.4%
	450,000	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.360%, 7/25/2025(b)		441,310
	650,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.560%, 7/25/2025(b)		641,446

				1,082,756


		Aerospace & Defense – 1.3%
$	285,000	Goodrich Corp., 4.875%, 3/01/2020	$	322,837
	240,000	L-3 Communications Corp., 3.950%, 11/15/2016		252,693
	355,000	Raytheon Co., 3.125%, 10/15/2020		361,319

				936,849

		Airlines – 0.3%
	171,063	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		195,012

		Automotive – 0.8%
	235,000	Ford Motor Credit Co. LLC, 7.000%, 10/01/2013		250,575
	315,000	Toyota Motor Credit Corp., MTN, 2.000%, 9/15/2016		321,449

				572,024

		Banking – 8.0%
	85,000	American Express Co., 5.500%, 9/12/2016		94,658
	330,000	American Express Co., 6.150%, 8/28/2017		387,711
	100,000	Bank of America Corp., 3.750%, 7/12/2016		100,498
	460,000	Bank of America Corp., 5.650%, 5/01/2018		491,051
	360,000	Bank of Nova Scotia, 2.550%, 1/12/2017		369,096
	495,000	Bear Stearns Cos., Inc. (The), 7.250%, 2/01/2018		596,883
	365,000	Capital One Financial Corp., 2.125%, 7/15/2014		367,080
	270,000	Citigroup, Inc., 6.010%, 1/15/2015		293,356
	390,000	Goldman Sachs Group, Inc. (The), 3.625%, 2/07/2016		389,889
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		318,123
	495,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		550,291
	205,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		223,560
	435,000	Morgan Stanley, 4.750%, 3/22/2017		435,145
	475,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		500,182
	100,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		102,959
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		40,533
	330,000	U.S. Bancorp, MTN, 2.200%, 11/15/2016		336,407
	265,000	Wells Fargo & Co., 3.625%, 4/15/2015		282,142
	80,000	Wells Fargo & Co., 3.676%, 6/15/2016		85,433

				5,964,997

		Building Materials – 0.0%
	30,000	Masco Corp., 7.125%, 3/15/2020		32,072

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Chemicals – 0.3%
$	130,000	Eastman Chemical Co., 4.500%, 1/15/2021	$	135,274
	80,000	Ecolab, Inc., 4.350%, 12/08/2021		84,810
	25,000	Methanex Corp., 5.250%, 3/01/2022		25,447

				245,531

		Collateralized Mortgage Obligations – 5.0%
	111,668	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.285%, 7/25/2021(b)		96,754
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		789,605
	355,000	FHLMC Multifamily Structured Pass Through Certificates, Series K501, Class A2, 1.655%, 11/25/2016		356,775
	435,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018		460,649
	420,000	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		426,814
	140,000	NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020		146,896
	378,950	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.691%, 10/07/2020(b)		379,541
	1,104,163	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.801%, 12/08/2020(b)		1,108,303

				3,765,337

		Commercial Mortgage-Backed Securities – 6.1%
	255,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		287,496
	400,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.867%, 6/15/2039(b)		431,752
	360,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		391,891
	325,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		358,757
	375,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		412,658
	330,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.980%, 8/10/2045(b)		366,200

		Commercial Mortgage-Backed Securities – continued
$	410,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.003%, 6/15/2049(b)	$	449,395
	210,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		232,720
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		255,190
	475,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		519,436
	400,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		436,850
	420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		453,486

				4,595,831


		Construction Machinery – 0.8%
	290,000	Caterpillar Financial Services Corp., MTN, 6.125%, 2/17/2014		318,777
	300,000	John Deere Capital Corp., MTN, 3.150%, 10/15/2021		305,251

				624,028

		Consumer Products – 0.5%
	325,000	Koninklijke (Royal) Philips Electronics NV, 4.625%, 3/11/2013		336,457

		Diversified Manufacturing – 0.4%
	90,000	Snap-On, Inc., 4.250%, 1/15/2018		98,314
	220,000	Tyco International Finance S.A., 4.125%, 10/15/2014		235,262

				333,576


		Electric – 2.7%
	260,000	Carolina Power & Light Co., 5.250%, 12/15/2015		297,396
	5,000	Carolina Power & Light Co., 6.500%, 7/15/2012		5,084
	245,000	Consolidated Edison Co. of NY, Inc., 7.125%, 12/01/2018		317,197
	285,000	Dominion Resources, Inc., 1.950%, 8/15/2016		288,921
	150,000	Duke Energy Corp., 5.625%, 11/30/2012		154,953
	180,000	Duke Energy Corp., 5.650%, 6/15/2013		190,093
	140,000	NextEra Energy Capital Holdings, Inc., 0.920%, 11/09/2012(b)		139,765
	265,000	Southern California Edison Co., 5.750%, 3/15/2014		290,412

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Electric – continued
$	300,000	Southern Co., 1.950%, 9/01/2016	$	304,810

				1,988,631

		Entertainment – 0.5%
	310,000	Time Warner, Inc., 5.875%, 11/15/2016		363,103

		Environmental – 0.1%
	90,000	Waste Management, Inc., 6.375%, 3/11/2015		102,762

		Food & Beverage – 2.0%
	455,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		473,389
	300,000	Kellogg Co., 5.125%, 12/03/2012		309,132
	270,000	Kraft Foods, Inc., 6.125%, 8/23/2018		325,626
	380,000	Pernod-Ricard S.A., 2.950%, 1/15/2017, 144A		383,849

				1,491,996

		Government Owned – No Guarantee – 0.2%
	150,000	Federal National Mortgage Association, 5.375%, 6/12/2017		180,616

		Health Insurance – 1.3%
	275,000	UnitedHealth Group, Inc., 4.875%, 2/15/2013		284,922
	420,000	WellPoint, Inc., 4.350%, 8/15/2020		454,607
	165,000	WellPoint, Inc., 5.250%, 1/15/2016		184,926
	35,000	WellPoint, Inc., 6.000%, 2/15/2014		38,102

				962,557


		Healthcare – 1.7%
	75,000	Baxter International, Inc., 1.850%, 1/15/2017		75,956
	400,000	Express Scripts, Inc., 3.125%, 5/15/2016		416,522
	20,000	Express Scripts, Inc., 6.250%, 6/15/2014		21,987
	335,000	McKesson Corp., 3.250%, 3/01/2016		358,858
	105,000	McKesson Corp., 6.500%, 2/15/2014		115,476
	300,000	Stryker Corp., 2.000%, 9/30/2016		307,514

				1,296,313

		Hybrid ARMs – 0.2%
	138,767	FHLMC, 2.378%, 1/01/2035(b)		146,564

		Independent Energy – 2.0%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		115,290

		Independent Energy – continued
$	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017	$	130,704
	330,000	Canadian Natural Resources Ltd., 1.450%, 11/14/2014		334,433
	215,000	Encana Corp., 6.500%, 5/15/2019		253,843
	155,000	EQT Corp., 8.125%, 6/01/2019		181,108
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		120,462
	305,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		308,390
	55,000	XTO Energy, Inc., 4.900%, 2/01/2014		58,998

				1,503,228

		Integrated Energy – 0.9%
	380,000	BP Capital Markets PLC, 3.125%, 10/01/2015		401,648
	70,000	Hess Corp., 7.000%, 2/15/2014		77,394
	170,000	XTO Energy, Inc., 5.750%, 12/15/2013		183,769

				662,811

		Life Insurance – 1.1%
	85,000	Aflac, Inc., 2.650%, 2/15/2017		85,961
	130,000	American International Group, Inc., 3.650%, 1/15/2014		132,406
	220,000	American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017		236,509
	30,000	Lincoln National Corp., 4.300%, 6/15/2015		31,738
	255,000	MetLife, Inc., 4.750%, 2/08/2021		279,706
	70,000	Unum Group, 5.625%, 9/15/2020		74,084

				840,404

		Lodging – 0.0%
	15,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		16,704

		Media Cable – 2.0%
	335,000	Comcast Corp., 4.950%, 6/15/2016		376,283
	100,000	Cox Communications, Inc., 4.625%, 6/01/2013		104,474
	295,000	Cox Communications, Inc., 5.450%, 12/15/2014		327,938
	390,000	Time Warner Cable, Inc., 4.000%, 9/01/2021		399,589
	250,000	Time Warner Cable, Inc., 8.250%, 2/14/2014		283,043

				1,491,327

		Media Non-Cable – 0.2%
	175,000	Thomson Reuters Corp., 5.950%, 7/15/2013		185,625

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Metals & Mining – 0.7%
$	110,000	Alcoa, Inc., 6.150%, 8/15/2020	$	118,412
	235,000	ArcelorMittal, 9.850%, 6/01/2019		282,771
	110,000	Teck Resources Ltd., 3.150%, 1/15/2017		113,090

				514,273

		Mortgage Related – 1.8%
	638,170	FHLMC, 4.500%, with various maturities from 2019 to 2025(c)		681,163
	1,023	FHLMC, 6.000%, 11/01/2012		1,042
	2,184	FHLMC, 6.500%, 1/01/2024		2,464
	223	FHLMC, 8.000%, 7/01/2025		266
	214,479	FNMA, 4.000%, 4/01/2024		227,377
	245,054	FNMA, 4.500%, 4/01/2024		262,433
	135,909	FNMA, 5.500%, 1/01/2020		148,541
	2,369	FNMA, 6.000%, 9/01/2021		2,568
	813	FNMA, 7.500%, 6/01/2016		877
	1,181	FNMA, 8.000%, 6/01/2015		1,261
	6,045	GNMA, 6.500%, 12/15/2023		6,913
	1,522	GNMA, 8.500%, 9/15/2022		1,755
	3,466	GNMA, 9.500%, 1/15/2019		4,052

				1,340,712

		Non-Captive Consumer – 0.3%
	225,000	SLM Corp., MTN, 6.250%, 1/25/2016		234,000

		Non-Captive Diversified – 1.0%
	635,000	General Electric Capital Corp., MTN, 5.500%, 1/08/2020		720,256

		Oil Field Services – 1.5%
	305,000	Cameron International Corp., 1.414%, 6/02/2014(b)		305,414
	355,000	Ensco PLC, 3.250%, 3/15/2016		370,357
	115,000	Rowan Cos., Inc., 5.000%, 9/01/2017		122,426
	305,000	Schlumberger Norge AS, 1.950%, 9/14/2016, 144A		308,616

				1,106,813

		Pharmaceuticals – 1.1%
	530,000	Amgen, Inc., 2.500%, 11/15/2016		544,642

		Pharmaceuticals – continued
$	275,000	Eli Lilly & Co., 4.200%, 3/06/2014	$	293,191

				837,833

		Pipelines – 1.4%
	290,000	Energy Transfer Partners LP, 6.000%, 7/01/2013		304,556
	245,000	NiSource Finance Corp., 6.125%, 3/01/2022		284,665
	175,000	Questar Corp., 2.750%, 2/01/2016		179,664
	265,000	Spectra Energy Capital LLC, 5.668%, 8/15/2014		287,147

				1,056,032

		Property & Casualty Insurance – 0.7%
	350,000	Berkshire Hathaway, Inc., 1.900%, 1/31/2017		354,004
	155,000	Willis Group Holdings PLC, 4.125%, 3/15/2016		157,555
	15,000	Willis North America, Inc., 7.000%, 9/29/2019		17,353

				528,912

		Railroads – 1.8%
	350,000	Burlington Northern Santa Fe Corp., 7.000%, 2/01/2014		388,702
	370,000	Canadian National Railway Co., 1.450%, 12/15/2016		367,958
	245,000	CSX Corp., 3.700%, 10/30/2020		252,853
	30,000	CSX Corp., 6.150%, 5/01/2037		34,837
	260,000	Union Pacific Corp., 5.750%, 11/15/2017		308,155

				1,352,505

		Refining – 0.5%
	355,000	Phillips 66 Co., 2.950%, 5/01/2017, 144A		360,823

		REITs – Shopping Centers – 0.9%
	280,000	Federal Realty Investment Trust, 5.400%, 12/01/2013		294,672
	375,000	Health Care REIT, Inc., 4.125%, 4/01/2019		372,012

				666,684

		Supermarkets – 0.2%
	50,000	Kroger Co. (The), 6.200%, 6/15/2012		50,531
	65,000	Kroger Co. (The), 6.750%, 4/15/2012		65,119

				115,650

		Technology – 2.3%
	305,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		366,846
	95,000	Corning, Inc., 4.250%, 8/15/2020		100,918
	160,000	Equifax, Inc., 7.000%, 7/01/2037		186,507

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Technology – continued
$	290,000	Hewlett-Packard Co., 0.891%, 5/30/2014(b)	$	286,644
	240,000	Hewlett-Packard Co., 3.300%, 12/09/2016		249,698
	230,000	IBM International Group Capital, 5.050%, 10/22/2012		236,287
	275,000	Oracle Corp., 4.950%, 4/15/2013		287,982

				1,714,882

		Tobacco – 1.0%
	270,000	Altria Group, Inc., 9.700%, 11/10/2018		366,883
	365,000	Philip Morris International, Inc., 2.500%, 5/16/2016		380,974

				747,857

		Transportation Services – 0.4%
	300,000	ERAC USA Finance LLC, 2.250%, 1/10/2014, 144A		301,926

		Treasuries – 36.2%
	535,000	U.S. Treasury Note, 1.000%, 8/31/2016		537,299
	2,230,000	U.S. Treasury Note, 1.125%, 12/15/2012		2,244,546
	230,000	U.S. Treasury Note, 1.250%, 8/31/2015		234,870
	2,390,000	U.S. Treasury Note, 1.750%, 4/15/2013		2,427,344
	285,000	U.S. Treasury Note, 1.750%, 3/31/2014		292,904
	3,705,000	U.S. Treasury Note, 1.750%, 5/31/2016		3,843,937
	585,000	U.S. Treasury Note, 1.875%, 4/30/2014		603,099
	2,250,000	U.S. Treasury Note, 1.875%, 6/30/2015		2,341,933
	2,220,000	U.S. Treasury Note, 2.125%, 2/29/2016		2,336,377
	4,085,000	U.S. Treasury Note, 2.125%, 8/15/2021		4,082,128
	2,290,000	U.S. Treasury Note, 2.500%, 4/30/2015		2,425,252
	160,000	U.S. Treasury Note, 2.625%, 11/15/2020		168,263
	475,000	U.S. Treasury Note, 2.750%, 2/15/2019		511,701
	2,660,000	U.S. Treasury Note, 3.125%, 5/15/2021		2,895,245
	140,000	U.S. Treasury Note, 3.625%, 2/15/2020		158,812
	1,775,000	U.S. Treasury Note, 4.250%, 8/15/2014		1,934,335

				27,038,045

		Wireless – 0.6%
	250,000	America Movil SAB de CV, 3.625%, 3/30/2015		264,297

		Wireless – continued
$	5,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014	$	5,000
	170,000	Sprint Nextel Corp., 6.000%, 12/01/2016		151,725

				421,022

		Wirelines – 1.2%
	515,000	AT&T, Inc., 5.800%, 2/15/2019		611,275
	255,000	Embarq Corp., 7.995%, 6/01/2036		257,745

				869,020


		Total Bonds and Notes
		(Identified Cost $70,989,272)		72,956,848


	Short-Term Investments – 2.4%
	1,827,393	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $1,827,393 on 4/02/2012 collateralized by $1,860,000 U.S. Treasury Note, 0.500% due 10/15/2014 valued at $1,866,975 including accrued interest (Note 2 of Notes to Financial Statements)
		(Identified Cost $1,827,393)		1,827,393


		Total Investments – 100.0%
		(Identified Cost $72,816,665)(a)		74,784,241
		Other Assets Less Liabilities—(0.0)%		(26,307	)


		Net Assets – 100.0%	$	74,757,934


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $73,241,485 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	$	1,832,039
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(289,283	)

		Net unrealized appreciation	$	1,542,756

	(b)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(c)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association 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.

	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 March 31, 2012, the value of Rule 144A holdings amounted to $1,484,433 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

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued

Industry Summary at March 31, 2012 (Unaudited)


Treasuries	36.2	%
Banking	8.0
Commercial Mortgage-Backed Securities	6.1
Collateralized Mortgage Obligations	5.0
ABS Car Loan	3.1
Electric	2.7
Technology	2.3
Independent Energy	2.0
Food & Beverage	2.0
Media Cable	2.0
Other Investments, less than 2% each	28.2
Short-Term Investments	2.4

Total Investments	100.0
Other assets less liabilities	(0.0	)

Net Assets	100.0	%

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 79.0% of Net Assets

	Non-Convertible Bonds – 74.6%

		ABS Credit Card – 0.2%
$	1,000,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019	$	1,100,486

		ABS Other – 1.6%
	2,500,000	Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029		2,529,518
	2,564,790	SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A		2,649,689
	907,282	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		1,007,677
	3,131,787	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		3,153,098

				9,339,982

		Airlines – 3.5%
	337,637	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		365,054
	1,017,778	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		1,103,576
	4,423,752	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		5,043,078
	160,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		162,800
	1,661,104	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		1,692,166
	4,702,034	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		5,360,319
	2,000,907	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		2,165,982
	3,170,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		3,260,754
	861,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		904,050

				20,057,779

		Automotive – 0.8%
	1,930,000	Cummins, Inc., 5.650%, 3/01/2098		1,835,351
	2,665,000	Ford Motor Co., 6.375%, 2/01/2029		2,890,054

				4,725,405


		Banking – 10.9%
	2,670,000	Associates Corp. of North America, 6.950%, 11/01/2018		3,022,085


		Banking – continued
$	230,000	Bank of America Corp., 5.420%, 3/15/2017	$	235,171
	1,000,000	Bank of America Corp., 5.490%, 3/15/2019		1,002,368
	300,000	Bank of America Corp., 6.500%, 9/15/2037		289,409
	530,000	Bank of America Corp., MTN, 5.000%, 5/13/2021		530,818
	985,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		1,135,819
	500,000	Barclays Bank PLC, 6.050%, 12/04/2017, 144A		514,119
	2,770,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		2,464,849
	100,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b)		80,487
	85,000	Citigroup, Inc., 5.850%, 12/11/2034		86,898
	185,000	Citigroup, Inc., 5.875%, 2/22/2033		173,618
	2,515,000	Citigroup, Inc., 6.125%, 8/25/2036		2,417,096
	1,555,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017		1,589,737
	5,330,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,207,799
	870,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		884,422
	3,500,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		3,285,020
	60,000	JPMorgan Chase & Co., 4.750%, 5/01/2013		62,486
	5,000,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		542,432
	7,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		808,629
	900,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		947,624
	6,570,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		6,253,313
	900,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		917,344
	235,000	Merrill Lynch & Co., Inc., Series C, MTN, 5.000%, 1/15/2015		245,163
	1,700,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,547,167
	5,000,000	Morgan Stanley, 5.500%, 7/24/2020		4,879,925
	3,800,000	Morgan Stanley, 5.750%, 1/25/2021		3,730,772
	100,000	Morgan Stanley, GMTN, 5.500%, 1/26/2020		97,528
	2,000,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		2,102,910
	2,100,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,086,440
	600,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		614,568

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	1,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019	$	1,581,470
	695,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		715,566
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		440,883
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		57,649
	150,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		186,251
	825,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		835,996
	2,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		2,133,919
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		4,802,150
	300,000	Standard Chartered Bank, 6.400%, 9/26/2017, 144A		331,326
	4,500,000	Standard Chartered PLC, 5.500%, 11/18/2014, 144A		4,837,950

				63,679,176

		Brokerage – 1.6%
	2,955,000	Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A		2,990,534
	2,645,000	Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(b)		2,601,921
	755,000	Jefferies Group, Inc., 6.250%, 1/15/2036		681,387
	2,835,000	Jefferies Group, Inc., 8.500%, 7/15/2019		3,146,850

				9,420,692

		Building Materials – 1.6%
	1,175,000	Masco Corp., 4.800%, 6/15/2015		1,203,735
	730,000	Masco Corp., 5.850%, 3/15/2017		748,139
	1,695,000	Masco Corp., 6.125%, 10/03/2016		1,791,750
	1,330,000	Masco Corp., 6.500%, 8/15/2032		1,252,357
	375,000	Masco Corp., 7.750%, 8/01/2029		386,787
	1,235,000	Owens Corning, Inc., 6.500%, 12/01/2016		1,372,048
	2,255,000	Owens Corning, Inc., 7.000%, 12/01/2036		2,403,052

				9,157,868

		Chemicals – 1.2%
	4,450,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		5,827,916
	185,000	Methanex Corp., 5.250%, 3/01/2022		188,308


		Chemicals – continued
$	980,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015	$	1,018,963

				7,035,187

		Collateralized Mortgage Obligations – 0.2%
	675,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		804,779
	253,268	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.498%, 7/25/2035(c)		225,485
	176,217	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.638%, 3/25/2035(c)		171,061

				1,201,325

		Commercial Mortgage-Backed Securities – 4.5%
	160,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.366%, 9/10/2047(c)		178,668
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041		678,559
	360,000	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		408,257
	600,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		646,301
	407,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.905%, 6/11/2040(c)		463,674
	55,401	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD2, Class A2, 5.408%, 1/15/2046		55,379
	1,055,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		1,153,999
	480,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.940%, 6/10/2046(c)		541,506
	3,525,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.867%, 6/15/2039(c)		3,804,815
	2,030,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.967%, 9/15/2039(c)		2,170,929
	685,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		745,681
	3,125,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,473,213
	1,500,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		1,655,799

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	805,000	GS Mortgage Securities Corp. II, Series 2005-GG4, Class A4A, 4.751%, 7/10/2039	$	872,990
	350,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		394,315
	1,180,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043		1,320,323
	1,962,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.003%, 6/15/2049(c)		2,150,519
	1,405,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		1,557,007
	480,000	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A5, 4.739%, 7/15/2030		522,259
	380,000	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.067%, 6/15/2038(c)		432,258
	390,000	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		440,416
	235,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 6.095%, 6/12/2046(c)		267,682
	350,000	Morgan Stanley Capital I, Series 2005-HQ6, Class A4A, 4.989%, 8/13/2042		384,308
	425,000	Morgan Stanley Capital I, Series 2005-T19, Class A4A, 4.890%, 6/12/2047		466,659
	250,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		273,032
	800,000	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.455%, 1/11/2043(c)		942,768
	200,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048		223,188

				26,224,504

		Consumer Products – 0.3%
	605,000	Hasbro, Inc., 6.600%, 7/15/2028		649,316
	780,000	Snap-on, Inc., 6.700%, 3/01/2019		946,532

				1,595,848



		Diversified Manufacturing – 0.3%
	700,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)	$	948,901
	540,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		965,201

				1,914,102

		Electric – 3.0%
	2,200,000	AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018		1,947,000
	1,503,034	Bruce Mansfield Unit, 6.850%, 6/01/2034		1,592,736
	1,185,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		1,316,511
	555,000	Commonwealth Edison Co., 4.700%, 4/15/2015		609,920
	2,300,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,869,670
	800,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		707,028
	600,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		862,302
	1,000,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		1,196,789
	900,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		884,447
	6,112,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		5,547,129
	700,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		681,572

				17,215,104

		Financial Other – 1.2%
	4,165,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,039,675
	2,500,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		3,142,455

				7,182,130

		Food & Beverage – 0.1%
	500,000	Corn Products International, Inc., 6.625%, 4/15/2037		565,388

		Government Guaranteed – 0.9%
	1,000,000	Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD)		930,874
	840,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		860,100
	2,500,000	Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD)		2,458,421
	970,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		889,589

				5,138,984

		Government Owned – No Guarantee – 1.6%
	2,565,000	Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A		2,981,812
	4,500,000	DP World Ltd., 6.850%, 7/02/2037, 144A		4,342,500
	9,000,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		988,583

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Government Owned – No Guarantee – continued
	10,400,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)	$	1,166,247

				9,479,142

		Health Insurance – 0.0%
	20,000	CIGNA Corp., 7.875%, 5/15/2027		24,954

		Healthcare – 1.0%
	3,330,000	Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A		3,563,826
	855,000	Boston Scientific Corp., 6.000%, 1/15/2020		981,362
	55,000	HCA, Inc., 5.875%, 3/15/2022		55,069
	95,000	HCA, Inc., 6.375%, 1/15/2015		100,225
	100,000	HCA, Inc., 7.050%, 12/01/2027		89,750
	190,000	HCA, Inc., 7.190%, 11/15/2015		201,400
	75,000	HCA, Inc., 7.500%, 12/15/2023		71,625
	175,000	HCA, Inc., 7.690%, 6/15/2025		168,656
	305,000	HCA, Inc., 8.360%, 4/15/2024		311,100
	10,000	HCA, Inc., MTN, 7.580%, 9/15/2025		9,450
	305,000	HCA, Inc., MTN, 7.750%, 7/15/2036		282,125

				5,834,588

		Home Construction – 0.9%
	1,116,000	Pulte Group, Inc., 5.200%, 2/15/2015		1,138,320
	3,340,000	Pulte Group, Inc., 6.000%, 2/15/2035		2,605,200
	1,455,000	Pulte Group, Inc., 6.375%, 5/15/2033		1,171,275

				4,914,795

		Hybrid ARMs – 0.0%
	68,332	FNMA, 2.250%, 2/01/2037(c)		72,669
	112,782	FNMA, 2.653%, 9/01/2036(c)		120,974

				193,643

		Independent Energy – 1.3%
	1,195,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		1,419,919
	3,000,000	EQT Corp., 8.125%, 6/01/2019		3,505,323
	2,150,000	Equitable Resources, Inc., 6.500%, 4/01/2018		2,449,560

				7,374,802

		Industrial Other – 0.2%
	1,150,000	Worthington Industries, Inc., 6.500%, 4/15/2020		1,237,881



		Life Insurance – 2.0%
$	1,200,000	American International Group, Inc., 6.250%, 3/15/2087	$	1,080,000
	2,600,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		2,752,100
	390,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		424,127
	110,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		118,255
	355,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		486,162
	2,355,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		2,325,541
	1,095,000	MetLife, Inc., 6.400%, 12/15/2066		1,073,100
	2,885,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,388,819

				11,648,104

		Local Authorities – 2.7%
	4,635,000	Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD)		4,062,970
	4,360,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		4,522,899
	685,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		710,423
	4,000,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		4,375,110
	254,820	Province of Alberta, 5.930%, 9/16/2016, (CAD)		284,171
	1,185,000	Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD)		1,051,097
	670,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		719,039

				15,725,709

		Lodging – 0.6%
	1,480,000	Wyndham Worldwide Corp., 6.000%, 12/01/2016		1,649,675
	1,660,000	Wyndham Worldwide Corp., 7.375%, 3/01/2020		1,996,834

				3,646,509

		Media Non-Cable – 0.2%
	240,000	News America, Inc., 8.150%, 10/17/2036		291,866
	580,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		577,100

				868,966

		Metals & Mining – 0.6%
	420,000	ArcelorMittal, 6.250%, 2/25/2022		424,662

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Metals & Mining – continued
$	580,000	ArcelorMittal, 6.750%, 3/01/2041	$	543,528
	510,000	ArcelorMittal, 7.000%, 10/15/2039		487,120
	2,070,000	United States Steel Corp., 7.500%, 3/15/2022		2,070,000

				3,525,310

		Mortgage Related – 0.0%
	21,223	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020		23,829
	3,480	FHLMC, 10.000%, with various maturities in 2018(d)		4,089
	11,338	FNMA, 6.000%, 12/01/2018		12,496
	41,265	GNMA, 10.000%, with various maturities in 2018(d)		42,485

				82,899

		Non-Captive Consumer – 1.9%
	470,000	SLM Corp., MTN, 5.050%, 11/14/2014		481,645
	1,820,000	SLM Corp., MTN, 7.250%, 1/25/2022		1,901,580
	240,000	SLM Corp., Series A, MTN, 5.000%, 4/15/2015		244,244
	995,000	SLM Corp., Series A, MTN, 5.375%, 1/15/2013		1,014,923
	1,295,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		1,105,609
	2,385,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		2,659,275
	45,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		43,200
	1,300,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,001,000
	3,615,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		2,819,700

				11,271,176

		Non-Captive Diversified – 3.0%
	97,000	Ally Financial, Inc., 8.000%, 12/31/2018		103,063
	820,000	General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD)		889,686
	65,000	General Electric Capital Corp., 5.625%, 5/01/2018		75,341
	300,000	General Electric Capital Corp., MTN, 5.875%, 1/14/2038		329,770
	790,000	General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		658,161
	470,000	General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		406,676
	2,205,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)		1,945,881


		Non-Captive Diversified – continued
$	655,000	General Electric Capital Corp., Series A, MTN, 0.867%, 5/13/2024(c)	$	520,623
	5,650,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		4,831,904
	3,725,000	International Lease Finance Corp., 6.250%, 5/15/2019		3,676,869
	3,683,000	International Lease Finance Corp., 6.375%, 3/25/2013		3,784,282
	25,000	International Lease Finance Corp., 8.625%, 9/15/2015		27,500
	315,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		320,513

				17,570,269

		Oil Field Services – 0.2%
	1,090,000	Rowan Cos., Inc., 7.875%, 8/01/2019		1,300,930

		Paper – 0.4%
	1,500,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,765,515
	230,000	Mead Corp. (The), 7.550%, 3/01/2047		209,518
	200,000	Westvaco Corp., 8.200%, 1/15/2030		221,493

				2,196,526

		Pipelines – 1.0%
	635,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		707,186
	200,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		242,102
	800,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		858,530
	965,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		879,327
	2,000,000	NiSource Finance Corp., 6.125%, 3/01/2022		2,323,792
	810,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		917,261

				5,928,198

		Property & Casualty Insurance – 1.8%
	1,695,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		1,918,276
	2,465,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		2,713,778
	60,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		36,300
	800,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		778,018
	150,000	Progressive Corp., 7.000%, 10/01/2013		163,109
	220,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		230,466
	805,000	Willis North America, Inc., 7.000%, 9/29/2019		931,255

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Property & Casualty Insurance – continued
$	2,015,000	XL Group PLC, 6.250%, 5/15/2027	$	2,101,574
	1,595,000	XL Group PLC, 6.375%, 11/15/2024		1,763,874

				10,636,650

		Railroads – 0.0%
	190,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		152,000

		Refining – 0.1%
	750,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		746,098

		REITs – Apartments – 0.0%
	30,000	ERP Operating LP, 5.125%, 3/15/2016		32,869
	115,000	ERP Operating LP, 5.750%, 6/15/2017		131,168

				164,037

		REITs – Office Property – 0.2%
	80,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		85,024
	1,075,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		1,233,152

				1,318,176

		REITs – Shopping Centers – 0.4%
	1,000,000	Equity One, Inc., 6.000%, 9/15/2017		1,078,127
	1,350,000	Federal Realty Investment Trust, 5.650%, 6/01/2016		1,487,600

				2,565,727

		REITs – Single Tenant – 0.1%
	95,000	Realty Income Corp., 5.750%, 1/15/2021		102,857
	405,000	Realty Income Corp., 6.750%, 8/15/2019		467,921

				570,778

		REITs – Warehouse/Industrials – 0.3%
	55,000	ProLogis LP, 5.625%, 11/15/2015		59,896
	240,000	ProLogis LP, 5.625%, 11/15/2016		253,971
	265,000	ProLogis LP, 5.750%, 4/01/2016		288,867
	785,000	ProLogis LP, 7.375%, 10/30/2019		916,477

				1,519,211

		Restaurants – 0.1%
	610,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		618,172

		Retailers – 0.6%
	118,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		103,692


		Retailers – continued
$	2,803,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037	$	3,157,134

				3,260,826

		Sovereigns – 0.7%
	3,100,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		3,111,625
	42,740,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		222,666
	101,800,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		546,539

				3,880,830

		Supermarkets – 0.2%
	1,235,000	New Albertson’s, Inc., 8.000%, 5/01/2031		935,513
	115,000	New Albertson’s, Inc., 8.700%, 5/01/2030		94,300

				1,029,813

		Supranational – 1.9%
	4,000,000	European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL)		2,199,129
	201,090	European Financial Stability Facility, 0.400%, 3/12/2013, (EUR)		267,534
	201,090	European Financial Stability Facility, 1.000%, 3/12/2014, (EUR)		267,642
	45,300,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR)		4,543,376
	4,375,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		3,870,766

				11,148,447

		Technology – 1.7%
	210,000	Corning, Inc., 6.850%, 3/01/2029		243,649
	810,000	Corning, Inc., 7.000%, 5/15/2024		1,013,202
	3,565,000	Corning, Inc., 7.250%, 8/15/2036		4,260,385
	3,550,000	Ingram Micro, Inc., 5.250%, 9/01/2017		3,742,222
	49,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		52,024
	400,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		480,294

				9,791,776

		Tobacco – 0.2%
	735,000	Reynolds American, Inc., 6.750%, 6/15/2017		875,574
	195,000	Reynolds American, Inc., 7.250%, 6/15/2037		227,487

				1,103,061

		Transportation Services – 0.5%
	100,000	APL Ltd., 8.000%, 1/15/2024(b)		69,000

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Transportation Services – continued
$	1,705,985	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015	$	1,620,686
	945,000	Erac USA Finance Co., 6.700%, 6/01/2034, 144A		1,028,701

				2,718,387

		Treasuries – 12.3%
	135,000	Canadian Government, 1.750%, 3/01/2013, (CAD)		136,161
	31,580,000	Canadian Government, 3.750%, 6/01/2019, (CAD)		35,672,467
	1,000,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		1,103,133
	7,935,000	Canadian Government, 5.250%, 6/01/2012, (CAD)		8,010,496
	1,850,000	Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		2,225,379
	975,000	Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		1,118,356
	125,000	Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		146,536
	1,750,000	Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		2,014,920
	50,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		60,051
	50,000	Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		64,104
	50,000	Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		66,034
	140,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		1,239,479
	4,670,000	New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		3,973,117
	23,620,000	Norwegian Government, 4.250%, 5/19/2017, (NOK)		4,601,270
	57,675,000	Norwegian Government, 6.500%, 5/15/2013, (NOK)		10,669,179
	400,000	Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		305,519
	100,000	Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		79,872
	64,745,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		344,781

				71,830,854

		Wireless – 0.2%
	510,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014		510,000
	70,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		67,550
	35,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		35,000
	234,000	Sprint Capital Corp., 6.875%, 11/15/2028		179,010
	120,000	Sprint Capital Corp., 6.900%, 5/01/2019		103,800
	366,000	Sprint Nextel Corp., 6.000%, 12/01/2016		326,655

				1,222,015



		Wirelines – 3.8%
$	1,310,000	AT&T Corp., 6.500%, 3/15/2029	$	1,517,527
	2,000,000	BellSouth Telecommunications, Inc., 5.850%, 11/15/2045		1,972,922
	2,870,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,946,081
	245,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		228,941
	2,265,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		2,142,497
	1,220,000	Embarq Corp., 7.995%, 6/01/2036		1,233,132
	300,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		279,077
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		107,039
	500,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		533,750
	2,875,000	Qwest Corp., 6.875%, 9/15/2033		2,846,250
	195,000	Qwest Corp., 7.500%, 6/15/2023		196,950
	1,880,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,654,400
	1,700,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		2,660,924
	250,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		247,811
	2,170,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,650,794
	695,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		717,703

				21,935,798


		Total Non-Convertible Bonds
		(Identified Cost $378,451,717)		434,591,017


	Convertible Bonds – 3.7%

		Automotive – 0.3%
	1,035,000	Ford Motor Co., 4.250%, 11/15/2016		1,640,475

		Life Insurance – 1.5%
	8,595,000	Old Republic International Corp., 3.750%, 3/15/2018		8,476,819

		Technology – 1.9%
	3,505,000	Intel Corp., 2.950%, 12/15/2035		4,030,750
	4,700,000	Intel Corp., 3.250%, 8/01/2039		6,609,375
	530,000	Lam Research Corp., Series B, 1.250%, 5/15/2018, 144A		556,500

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Technology – continued
$	40,000	Micron Technology, Inc., 1.875%, 6/01/2014	$	40,650

				11,237,275


		Total Convertible Bonds
		(Identified Cost $18,287,108)		21,354,569


	Municipals – 0.7%
		Illinois – 0.2%
	1,105,000	State of Illinois, 5.100%, 6/01/2033		1,041,639

		Michigan – 0.1%
	1,040,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(b)		768,290

		Ohio – 0.1%
	750,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(b)		560,587


		Virginia – 0.3%
	2,815,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(b)		1,795,266


		Total Municipals
		(Identified Cost $5,411,793)		4,165,782


		Total Bonds and Notes
		(Identified Cost $402,150,618)		460,111,368


	Senior Loans – 0.5%

		Non-Captive Diversified – 0.5%
	2,950,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(c)		2,961,062

		(Identified Cost $2,920,929)

	Shares

	Common Stocks – 1.4%

		Biotechnology – 0.1%
	13,708	Vertex Pharmaceuticals, Inc.(e)		562,165

		Chemicals – 0.5%
	31,080	PPG Industries, Inc.		2,977,464

		Oil, Gas & Consumable Fuels – 0.8%
	81,779	Repsol YPF S.A., Sponsored ADR		2,042,839
	34,819	Royal Dutch Shell PLC, ADR		2,441,857

				4,484,696


		Total Common Stocks
		(Identified Cost $6,851,342)		8,024,325



	Preferred Stocks – 1.3%

	Convertible Preferred Stocks – 0.7%

		Banking – 0.3%
	940	Bank of America Corp., Series L, 7.250%	$	920,166
	25,000	Sovereign Capital Trust IV, 4.375%		1,196,875

				2,117,041

		Consumer Products – 0.3%
	33,050	Newell Financial Trust I, 5.250%		1,561,613

		Pipelines – 0.1%
	7,850	El Paso Energy Capital Trust I, 4.750%		361,885


		Total Convertible Preferred Stocks
		(Identified Cost $2,937,035)		4,040,539


	Non-Convertible Preferred Stocks – 0.6%

		Electric – 0.1%
	263	Connecticut Light & Power Co., 2.200%		11,391
	11	MDU Resources Group, Inc., 5.100%		1,080
	100	San Diego Gas & Electric Co., 4.500%		2,106
	3,160	Union Electric Co., 4.500%		283,610

				298,187

		Government Sponsored – 0.5%
	3,000	Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(f)		3,139,687

		Non-Captive Diversified – 0.0%
	161	Ally Financial, Inc., Series G, 7.000%, 144A		134,128


		Total Non-Convertible Preferred Stocks
		(Identified Cost $3,217,162)		3,572,002


		Total Preferred Stocks
		(Identified Cost $6,154,197)		7,612,541


	Principal Amount (‡)

	Short-Term Investments – 10.3%
	110,236	European Financial Stability Facility Treasury Bill, 0.00%, 9/12/2012, (EUR)		146,752

See accompanying notes to financial statements.

61 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)


	Short-Term Investments – continued
$	59,841,178	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $59,841,178 on 4/02/2012 collateralized by $57,860,000 U.S. Treasury Note, 2.625% due 6/30/2014 valued at $61,042,300 including accrued interest (Note 2 of Notes to Financial Statements)	$	59,841,178


		Total Short-Term Investments
		(Identified Cost $59,989,592)		59,987,930


		Total Investments – 92.5%
		(Identified Cost $478,066,678)(a)		538,697,226
		Other Assets Less Liabilities—7.5%		43,952,580


		Net Assets – 100.0%	$	582,649,806


	(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $480,747,507 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	$	62,928,809
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,979,090	)

		Net unrealized appreciation	$	57,949,719

	(b)	Illiquid security. At March 31, 2012, the value of these securities amounted to $6,027,551 or 1.0% of net assets.
	(c)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(d)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association 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 March 31, 2012, the value of Rule 144A holdings amounted to $89,909,112 or 15.4% 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 March 31, 2012 (Unaudited)


Treasuries	12.3	%
Banking	11.2
Commercial Mortgage-Backed Securities	4.5
Wirelines	3.8
Technology	3.6
Non-Captive Diversified	3.5
Life Insurance	3.5
Airlines	3.5
Electric	3.1
Local Authorities	2.7
Other Investments, less than 2% each	30.5
Short-Term Investments	10.3

Total Investments	92.5
Other assets less liabilities	7.5

Net Assets	100.0	%

Currency Exposure at March 31, 2012 (Unaudited)


United States Dollar	69.9	%
Canadian Dollar	7.9
New Zealand Dollar	3.8
Australian Dollar	3.0
Norwegian Krone	2.6
Other, less than 2% each	5.3

Total Investments	92.5
Other assets less liabilities	7.5

Net Assets	100.0	%

See accompanying notes to financial statements.

| 62

Statements of Assets and Liabilities

March 31, 2012 (Unaudited)


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
ASSETS
Investments at cost	$	835,067,039		$	2,046,363,910		$	23,552,836
Repurchase agreement(s) at cost		58,831,400			42,103,703			—
Net unrealized appreciation		103,228,704			87,206,168			1,070,821

Investments at value		997,127,143			2,175,673,781			24,623,657
Cash		76,361			—			74,142
Foreign currency at value (identified cost $256,354, $31,548,354 and $0)		205,341			31,481,618			—
Receivable for Fund shares sold		—			4,947,756			—
Receivable from investment adviser (Note 6)		—			—			16,830
Receivable for securities sold		19,349,467			3,223,573			—
Collateral received for open forward foreign currency contracts (Note 2)		—			732,124			—
Dividends and interest receivable		13,697,582			23,222,673			123,638
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			2,564,421			—
Tax reclaims receivable		26,051			51,623			—
Receivable for variation margin on futures contracts (Note 2)		—			467,191			—

TOTAL ASSETS		1,030,481,945			2,242,364,760			24,838,267


LIABILITIES
Payable for securities purchased		2,618,467			21,735,521			—
Payable for Fund shares redeemed		—			1,056,517			1,297,840
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			2,711,309			—
Foreign taxes payable (Note 2)		6,384			—			—
Due to brokers (Note 2)		—			732,124			—
Management fees payable (Note 6)		417,404			1,014,842			—
Deferred Trustees’ fees (Note 6)		120,233			206,405			63,339
Administrative fees payable (Note 6)		37,889			84,745			979
Payable to distributor (Note 6d)		—			41,529			145
Other accounts payable and accrued expenses		53,364			156,905			24,204

TOTAL LIABILITIES		3,253,741			27,739,897			1,386,507

NET ASSETS	$	1,027,228,204		$	2,214,624,863		$	23,451,760

NET ASSETS CONSIST OF:
Paid-in capital	$	919,499,367		$	2,157,501,075		$	22,153,718
Undistributed (Distributions in excess of) net investment income		9,665,243			354,212			(268,376	)
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,092,589	)		(32,346,878	)		495,541
Net unrealized appreciation on investments, futures contracts and foreign currency translations		103,156,183			89,116,454			1,070,877

NET ASSETS	$	1,027,228,204		$	2,214,624,863		$	23,451,760


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	1,027,228,204		$	1,249,540,528		$	21,599,528

Shares of beneficial interest		72,965,346			74,172,939			1,848,816

Net asset value, offering and redemption price per share	$	14.08		$	16.85		$	11.68

Retail Class:
Net assets	$	—		$	965,084,335		$	1,852,232

Shares of beneficial interest		—			57,832,702			158,853

Net asset value, offering and redemption price per share	$	—		$	16.69		$	11.66

See accompanying notes to financial statements.

63 |


	Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	506,269,010		$	70,989,272		$	418,225,500
Repurchase agreement(s) at cost		9,378,959			1,827,393			59,841,178
Net unrealized appreciation		59,620,852			1,967,576			60,630,548

Investments at value		575,268,821			74,784,241			538,697,226
Cash		49,449			—			66,562
Foreign currency at value (identified cost $50,391, $0 and $79,386)		40,951			—			68,134
Receivable for Fund shares sold		500,000			287,136			90,000
Receivable for securities sold		18,152,603			—			42,214,327
Dividends and interest receivable		8,645,330			520,364			7,447,533
Tax reclaims receivable		14,230			—			34,760

TOTAL ASSETS		602,671,384			75,591,741			588,618,542


LIABILITIES
Payable for securities purchased		3,205,207			730,800			616,260
Payable for Fund shares redeemed		829			4,835			5,000,000
Foreign taxes payable (Note 2)		1,397			—			2,453
Management fees payable (Note 6)		306,315			1,617			196,524
Deferred Trustees’ fees (Note 6)		82,060			66,368			89,968
Administrative fees payable (Note 6)		23,171			2,816			22,299
Payable to distributor (Note 6d)		66			27			—
Other accounts payable and accrued expenses		34,080			27,344			41,232

TOTAL LIABILITIES		3,653,125			833,807			5,968,736

NET ASSETS	$	599,018,259		$	74,757,934		$	582,649,806

NET ASSETS CONSIST OF:
Paid-in capital	$	539,736,411		$	73,093,998		$	522,871,211
Undistributed (Distributions in excess of) net investment income		5,040,566			(217,580	)		(681,354	)
Accumulated net realized loss on investments and foreign currency transactions		(5,366,238	)		(86,060	)		(147,982	)
Net unrealized appreciation on investments and foreign currency translations		59,607,520			1,967,576			60,607,931

NET ASSETS	$	599,018,259		$	74,757,934		$	582,649,806


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	599,018,259		$	72,534,323		$	582,649,806

Shares of beneficial interest		81,360,420			6,881,817			45,628,263

Net asset value, offering and redemption price per share	$	7.36		$	10.54		$	12.77

Retail Class:
Net assets	$	—		$	2,223,611		$	—

Shares of beneficial interest		—			210,926			—

Net asset value, offering and redemption price per share	$	—		$	10.54		$	—

See accompanying notes to financial statements.

| 64

Statements of Operations

For the Six Months Ended March 31, 2012 (Unaudited)


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
INVESTMENT INCOME
Interest	$	25,794,955		$	43,367,606		$	175,372
Dividends		1,949,221			—			—
Less net foreign taxes withheld		(112,653	)		(130,818	)		—

		27,631,523			43,236,788			175,372

Expenses
Management fees (Note 6)		2,328,168			6,038,262			37,106
Distribution fees (Note 6)		—			1,223,049			2,533
Administrative fees (Note 6)		214,346			512,165			6,845
Trustees’ fees and expenses (Note 6)		24,684			43,516			12,577
Transfer agent fees and expenses (Notes 6 and 7)		2,493			1,032,048			8,532
Audit and tax services fees		22,677			24,433			20,343
Custodian fees and expenses		38,149			137,935			8,741
Legal fees		6,882			17,763			220
Registration fees		32,460			64,625			24,837
Shareholder reporting expenses		1,142			96,776			943
Miscellaneous expenses		14,140			33,421			3,162

Total expenses		2,685,141			9,223,993			125,839
Less waiver and/or expense reimbursement (Note 6)		—			—			(63,935	)

Net expenses		2,685,141			9,223,993			61,904

Net investment income		24,946,382			34,012,795			113,468


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(2,471,570	)		29,516,935			1,500,473
Futures contracts		—			(3,671,822	)		—
Foreign currency transactions		2,979			(6,764,650	)		(377	)
Net change in unrealized appreciation (depreciation) on:
Investments		64,688,636			37,292,409			(649,885	)
Futures contracts		—			4,118,475			—
Foreign currency translations		208,731			9,279,118			409

Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		62,428,776			69,770,465			850,620


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	87,375,158		$	103,783,260		$	964,088

See accompanying notes to financial statements.

65 |


	Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	17,070,838		$	908,475		$	12,824,109
Dividends		1,074,316			—			405,410
Less net foreign taxes withheld		(71,569	)		—			(18,671	)

		18,073,585			908,475			13,210,848

Expenses
Management fees (Note 6)		1,571,129			86,901			1,021,995
Distribution fees (Note 6)		—			5,714			—
Administrative fees (Note 6)		120,444			16,003			117,519
Trustees’ fees and expenses (Note 6)		17,837			13,140			18,510
Transfer agent fees and expenses (Notes 6 and 7)		5,967			4,099			1,456
Audit and tax services fees		21,728			20,246			21,080
Custodian fees and expenses		23,976			10,192			21,216
Legal fees		3,608			481			3,573
Registration fees		16,962			24,567			28,677
Shareholder reporting expenses		831			616			890
Miscellaneous expenses		8,315			3,533			8,542

Total expenses		1,790,797			185,492			1,243,458
Less waiver and/or expense reimbursement (Note 6)		—			(40,737	)		—

Net expenses		1,790,797			144,755			1,243,458

Net investment income		16,282,788			763,720			11,967,390


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(5,160,144	)		284,644			2,006,600
Foreign currency transactions		(24,382	)		—			(40,106	)
Net change in unrealized appreciation (depreciation) on:
Investments		51,542,051			461,248			19,633,670
Foreign currency translations		49,739			—			192,833

Net realized and unrealized gain on investments and foreign currency transactions		46,407,264			745,892			21,792,997


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	62,690,052		$	1,509,612		$	33,760,387

See accompanying notes to financial statements.

| 66

Statements of Changes in Net Assets


	Fixed Income Fund						Global Bond Fund
	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011			Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income	$	24,946,382		$	44,342,263		$	34,012,795		$	71,002,868
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(2,468,591	)		21,230,024			19,080,463			85,455,091
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		64,897,367			(43,095,648	)		50,690,002			(130,794,927	)

Net increase in net assets resulting from operations		87,375,158			22,476,639			103,783,260			25,663,032

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(55,065,901	)		(48,778,586	)		(32,247,843	)		(57,085,645	)
Retail Class		—			—			(24,806,917	)		(39,906,009	)
Net realized capital gains
Institutional Class		(3,493,626	)		—			—			—
Retail Class		—			—			—			—

Total distributions		(58,559,527	)		(48,778,586	)		(57,054,760	)		(96,991,654	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		117,143,114			101,432,953			(164,337,279	)		91,658,933

Net increase (decrease) in net assets		145,958,745			75,131,006			(117,608,779	)		20,330,311
NET ASSETS
Beginning of the period		881,269,459			806,138,453			2,332,233,642			2,311,903,331

End of the period	$	1,027,228,204		$	881,269,459		$	2,214,624,863		$	2,332,233,642

UNDISTRIBUTED NET INVESTMENT INCOME	$	9,665,243		$	39,784,762		$	354,212		$	23,396,177

See accompanying notes to financial statements.

67 |


	Inflation Protected Securities Fund						Institutional High Income Fund
	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011			Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income	$	113,468		$	737,744		$	16,282,788		$	27,303,838
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		1,500,096			180,184			(5,184,526	)		14,025,279
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(649,476	)		881,255			51,591,790			(46,766,231	)

Net increase (decrease) in net assets resulting from operations		964,088			1,799,183			62,690,052			(5,437,114	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(308,481	)		(886,738	)		(30,835,110	)		(28,511,356	)
Retail Class		(23,238	)		(27,306	)		—			—
Net realized capital gains
Institutional Class		(354,085	)		—			(11,637,175	)		(15,983,712	)
Retail Class		(23,631	)		—			—			—

Total distributions		(709,435	)		(914,044	)		(42,472,285	)		(44,495,068	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(12,605,653	)		21,601,812			149,179,340			95,860,676

Net increase (decrease) in net assets		(12,351,000	)		22,486,951			169,397,107			45,928,494
NET ASSETS
Beginning of the period		35,802,760			13,315,809			429,621,152			383,692,658

End of the period	$	23,451,760		$	35,802,760		$	599,018,259		$	429,621,152

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(268,376	)	$	(50,125	)	$	5,040,566		$	19,592,888

See accompanying notes to financial statements.

| 68

Statements of Changes in Net Assets – continued


	Intermediate Duration Bond Fund						Investment Grade Fixed Income Fund
	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011			Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income	$	763,720		$	1,565,069		$	11,967,390		$	22,558,640
Net realized gain on investments, futures contracts and foreign currency transactions		284,644			1,361,090			1,966,494			13,747,397
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		461,248			(1,020,642	)		19,826,503			(19,285,277	)

Net increase in net assets resulting from operations		1,509,612			1,905,517			33,760,387			17,020,760

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(883,851	)		(1,893,993	)		(14,688,765	)		(26,029,453	)
Retail Class		(61,869	)		(42,505	)		—			—
Net realized capital gains
Institutional Class		(442,766	)		—			(6,747,521	)		(19,655,485	)
Retail Class		(48,501	)		—			—			—

Total distributions		(1,436,987	)		(1,936,498	)		(21,436,286	)		(45,684,938	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		14,510,333			23,164,733			118,015,988			7,775,191

Net increase (decrease) in net assets		14,582,958			23,133,752			130,340,089			(20,888,987	)
NET ASSETS
Beginning of the period		60,174,976			37,041,224			452,309,717			473,198,704

End of the period	$	74,757,934		$	60,174,976		$	582,649,806		$	452,309,717

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(217,580	)	$	(35,580	)	$	(681,354	)	$	2,040,021

See accompanying notes to financial statements.

69 |

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| 70

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
3/31/2012(f)	$	13.69	$	0.37	$	0.91		$	1.28		$	(0.84	)	$	(0.05	)	$	(0.89	)
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
3/31/2012(f)	$	16.52	$	0.27	$	0.50		$	0.77		$	(0.44	)	$	—		$	(0.44	)
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
3/31/2012(f)		16.37		0.24		0.50			0.74			(0.42	)		—			(0.42	)
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)

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.

(e)

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

(f)

For the six months ended March 31, 2012 (Unaudited).

(g)

Effective June 2, 2008, redemption fees were eliminated.

(h)

Includes fee/expense recovery of 0.01%.

(i)

Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

71 |


										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(%)



$	—		$	14.08		9.86		$	1,027,228		0.58			0.58			5.36		6
	—			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




$	—		$	16.85		4.95		$	1,249,541		0.70			0.70			3.18		41
	—			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	(g)		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


	—			16.69		4.79			965,084		0.99			0.99			2.90		41
	—			16.37		0.94			978,241		0.97			0.97			2.84		84
	—			16.84		9.05			1,026,809		1.00	(h)		1.00	(h)		3.08		100
	—			15.96		18.81			918,742		1.00			1.02			4.46		75
	0.00	(g)		14.31		(4.45	)		1,073,466		1.00	(i)		1.00	(i)		4.02		60
	0.00			15.71		8.36			874,575		1.00			1.04			3.53		95

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(b)			Total distributions

INFLATION PROTECTED SECURITIES FUND

Institutional Class
3/31/2012(f)	$	11.58		$	0.04	(g)	$	0.34		$	0.38		$	(0.13	)	$	(0.15	)	$	(0.28	)
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	(h)		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
3/31/2012(f)		11.56			0.05			0.32			0.37			(0.12	)		(0.15	)		(0.27	)
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
3/31/2012(f)	$	7.15		$	0.22		$	0.61		$	0.83		$	(0.45	)	$	(0.17	)	$	(0.62	)
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)

For the six months ended March 31, 2012 (Unaudited).

(g)

Net investment income is low relative to past years due to lower inflation and a low interest rate/yield environment.

(h)

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.

(i)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

73 |


							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 (%)




$	11.68		3.29		$	21,600		0.40			0.82			0.76	(g)		39
	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	(h)		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


	11.66		3.11			1,852		0.65			1.24			0.81			39
	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




$	7.36		12.55		$	599,018		0.68			0.68			6.22			11
	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	(i)		0.75	(i)		6.60			31

See accompanying notes to financial statements.

| 74

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
3/31/2012(e)	$	10.54	$	0.12	$	0.10		$	0.22		$	(0.14	)	$	(0.08	)	$	(0.22	)
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
3/31/2012(e)		10.55		0.10		0.10			0.20			(0.13	)		(0.08	)		(0.21	)
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
3/31/2012(e)	$	12.52	$	0.30	$	0.51		$	0.81		$	(0.38	)	$	(0.18	)	$	(0.56	)
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.

(e)

For the six months ended March 31, 2012 (Unaudited).

See accompanying notes to financial statements.

75 |


							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		2.14		$	72,534		0.40		0.51		2.21		20
	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


	10.54		1.92			2,224		0.65		0.84		1.98		20
	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




$	12.77		6.56		$	582,650		0.49		0.49		4.68		13
	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.

| 76

Notes To Financial Statements

March 31, 2012 (Unaudited)

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.

Effective January 1, 2012, the name of the Funds’ administrator changed from Natixis Asset Management Advisors, L.P. to NGAM Advisors, L.P. (“NGAM Advisors”) and the name of the Funds’ distributor changed from Natixis Distributors, L.P. to NGAM Distribution, L.P. (“NGAM Distribution”).

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.

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 period-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. 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 an independent 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 are priced at bid prices supplied by an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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. Credit default 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.

77 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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.

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.

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.

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, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to 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 a 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

| 78

Notes To Financial Statements – continued

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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 supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced.

f. Swap Agreements. The Funds 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 pay or receive upfront premiums. 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 premiums 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 six months ended March 31, 2012.

g. Due to Brokers. Transactions and positions in certain forward foreign currency contracts 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 March 31, 2012 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 six 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.

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, and are reflected as foreign taxes payable on the Statements of Assets and Liabilities.

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

79 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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, 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.

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


	2011 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Fixed Income Fund	$	48,778,586	$	—	$	48,778,586
Global Bond Fund		96,991,654		—		96,991,654
Inflation Protected Securities Fund		914,044		—		914,044
Institutional High Income Fund		43,588,875		906,193		44,495,068
Intermediate Duration Bond Fund		1,936,498		—		1,936,498
Investment Grade Fixed Income Fund		33,639,027		12,045,911		45,684,938

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 capital loss carryforwards were as follows:


Capital loss carryforward:	Fixed Income Fund		Global Bond Fund			Inflation Protected Securities Fund			Institutional High Income Fund		Intermediate Duration Bond Fund		Investment Grade Fixed Income Fund
Short-term:
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	)	$	—	$	—	$	—

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 previously limited 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. Additionally, capital losses realized in taxable years beginning after the effective date of the Act are carried over in the character (short-term or long-term) realized. Rules in effect previously treated all capital loss carryforwards as short-term.

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.

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Notes To Financial Statements – continued

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There were no delayed delivery securities held by the Funds as of March 31, 2012.

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 six months ended March 31, 2012, 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;

•

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 March 31, 2012, 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	$	694,064	$	29,107,954	$	—	$	29,802,018
All Other Non-Convertible Bonds(a)		—		723,740,072		—		723,740,072

Total Non-Convertible Bonds		694,064		752,848,026		—		753,542,090

Convertible Bonds(a)		—		91,657,267		—		91,657,267
Municipals(a)		—		6,673,739		—		6,673,739

Total Bonds and Notes		694,064		851,179,032		—		851,873,096

Senior Loans(a)		—		281,536		—		281,536
Preferred Stocks
Convertible Preferred Stocks
Banking		2,783,992		2,668,696		—		5,452,688
Construction Machinery		—		1,029,937		—		1,029,937
Consumer Products		—		1,293,469		—		1,293,469
All Other Convertible Preferred Stocks(a)		16,683,788		—		—		16,683,788

Total Convertible Preferred Stocks		19,467,780		4,992,102		—		24,459,882

81 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Non-Convertible Preferred Stocks
Electric	$	419,132	$	264,806	$	—	$	683,938
Government Sponsored		—		3,139,687		—		3,139,687
Non-Captive Diversified		—		1,933,611		—		1,933,611
All Other Non-Convertible Preferred Stocks(a)		1,759,217		—		—		1,759,217

Total Non-Convertible Preferred Stocks		2,178,349		5,338,104		—		7,516,453

Total Preferred Stocks		21,646,129		10,330,206		—		31,976,335

Common Stocks(a)		53,892,383		—		—		53,892,383
Short-Term Investments		—		59,103,793		—		59,103,793

Total	$	76,232,576	$	920,894,567	$	—	$	997,127,143

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

A preferred stock valued at $1,207,960 was transferred from Level 1 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policy; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

All transfers are recognized as of the beginning of the reporting period.

Global Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Australia	$	—	$	29,571,159	$	25,833,854	$	55,405,013
Canada		—		142,786,453		4,746,102		147,532,555
Panama		—		—		5,842,688		5,842,688
All Other Non-Convertible Bonds(a)		—		1,915,567,185		—		1,915,567,185

Total Non-Convertible Bonds		—		2,087,924,797		36,422,644		2,124,347,441

Convertible Bonds(a)		—		4,290,058		—		4,290,058
Municipals(a)		—		4,932,579		—		4,932,579

Total Bonds and Notes		—		2,097,147,434		36,422,644		2,133,570,078

Short-Term Investments		—		42,103,703		—		42,103,703

Total Investments		—		2,139,251,137		36,422,644		2,175,673,781

Forward Foreign Currency Contracts (unrealized appreciation)		—		2,564,421		—		2,564,421
Futures Contracts (unrealized appreciation)		2,809,804		—		—		2,809,804

Total	$	2,809,804	$	2,141,815,558	$	36,422,644	$	2,181,048,006

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,711,309	)	$	—	$	(2,711,309	)
Futures Contracts (unrealized depreciation)		(702,030	)		—			—		(702,030	)

Total	$	(702,030	)	$	(2,711,309	)	$	—	$	(3,413,339	)

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

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

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Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

Inflation Protected Securities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	24,623,657	$	—	$	24,623,657

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

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Institutional High Income Fund


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	—	$	10,477,880	$	2,130,800	$	12,608,680
All Other Non-Convertible Bonds(a)		—		390,035,623		—		390,035,623

Total Non-Convertible Bonds		—		400,513,503		2,130,800		402,644,303

Convertible Bonds(a)		—		90,895,226		—		90,895,226
Municipals(a)		—		611,588		—		611,588

Total Bonds and Notes		—		492,020,317		2,130,800		494,151,117

Senior Loans(a)		—		8,286,998		—		8,286,998
Common Stocks(a)		45,787,015		—		—		45,787,015
Preferred Stocks
Convertible Preferred Stocks
Construction Machinery		—		925,568		—		925,568
Consumer Products		—		1,207,237		—		1,207,237
All Other Convertible Preferred Stocks(a)		10,046,061		—		—		10,046,061

Total Convertible Preferred Stocks		10,046,061		2,132,805		—		12,178,866

Non-Convertible Preferred Stocks(a)		2,371,825		2,980,810		—		5,352,635

Total Preferred Stocks		12,417,886		5,113,615		—		17,531,501

Warrants(b)		—		—		—		—
Short-Term Investments		—		9,512,190		—		9,512,190

Total	$	58,204,901	$	514,933,120	$	2,130,800	$	575,268,821

(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 2 inputs.

A preferred stock valued at $573,120 was transferred from Level 1 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policy; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

All transfers are recognized as of the beginning of the reporting period.

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		��	Level 3		Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	3,408,562		$	356,775	$	3,765,337
All Other Bonds and Notes(a)		—		69,191,511			—		69,191,511

Total Bonds and Notes		—		72,600,073			356,775		72,956,848

Short-Term Investments		—		1,827,393			—		1,827,393

Total	$	—	$	74,427,466		$	356,775	$	74,784,241

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

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

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Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Paper	$	—	$	1,987,008	$	209,518	$	2,196,526
All Other Non-Convertible Bonds(a)		—		432,394,491		—		432,394,491

Total Non-Convertible Bonds		—		434,381,499		209,518		434,591,017

Convertible Bonds(a)		—		21,354,569		—		21,354,569
Municipals(a)		—		4,165,782		—		4,165,782

Total Bonds and Notes		—		459,901,850		209,518		460,111,368

Senior Loans(a)		—		2,961,062		—		2,961,062
Common Stocks(a)		8,024,325		—		—		8,024,325
Preferred Stocks
Convertible Preferred Stocks
Banking		920,166		1,196,875		—		2,117,041
Consumer Products		—		1,561,613		—		1,561,613
Pipelines		361,885		—		—		361,885

Total Convertible Preferred Stocks		1,282,051		2,758,488		—		4,040,539

Non-Convertible Preferred Stocks
Electric		285,716		12,471		—		298,187
Government Sponsored		—		3,139,687		—		3,139,687
Non-Captive Diversified		—		134,128		—		134,128

Total Non-Convertible Preferred Stocks		285,716		3,286,286		—		3,572,002

Total Preferred Stocks		1,567,767		6,044,774		—		7,612,541

Short-Term Investments		—		59,987,930		—		59,987,930

Total	$	9,592,092	$	528,895,616	$	209,518	$	538,697,226

(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 March 31, 2012:

Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Treasuries	$	55,017	$	1,488	$	(68,596	)	$	43,055	$	—	$	(30,964	)	$	—	$	—		$	—	$	—
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		672,600		—		—			—		—		—			—		(672,600	)		—		—

Total	$	727,617	$	1,488	$	(68,596	)	$	43,055	$	—	$	(30,964	)	$	—	$	(672,600	)	$	—	$	—

A preferred stock valued at $672,600 was transferred from Level 3 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

All transfers are recognized as of the beginning of the reporting period.

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Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

Global Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Australia	$	25,602,840	$	375,234	$	266,556		$	2,034,936	$	—	$	(2,445,712	)	$	—	$	—	$	25,833,854	$	2,140,158
Canada		4,973,757		—		2,895			237,779		—		(468,329	)		—		—		4,746,102		228,495
Panama		—		—		—			35,334		5,807,354		—			—		—		5,842,688		35,334
Supranationals		10,487,450		5,431		(1,604,887	)		640,526		—		(9,528,520	)		—		—		—		—

Total	$	41,064,047	$	380,665	$	(1,335,436	)	$	2,948,575	$	5,807,354	$	(12,442,561	)	$	—	$	—	$	36,422,644	$	2,404,347

Institutional High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	—	$	76,641	$	—		$	(1,568,201	)	$	—	$	—		$	3,622,360	$	—		$	2,130,800	$	(1,568,201	)
Consumer Cyclical Services		73,350		—		—			—			—		—			—		(73,350	)		—		—
Technology		347,500		19,868		(794,781	)		882,838			—		(455,425	)		—		—			—		—
Treasuries		27,508		744		(34,299	)		21,528			—		(15,481	)		—		—			—		—
Preferred Stocks
Convertible Preferred Stocks
Electric		186,750		—		77,422			12,328			621,000		(897,500	)		—		—			—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		268,800		—		—			—			—		—			—		(268,800	)		—		—

Total	$	903,908	$	97,253	$	(751,658	)	$	(651,507	)	$	621,000	$	(1,368,406	)	$	3,622,360	$	(342,150	)	$	2,130,800	$	(1,568,201	)

A debt security ($73,350) and a preferred stock ($268,800) valued at $342,150 were transferred from Level 3 to Level 2 during the period ended March 31, 2012. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the securities or did not provide reliable prices for the securities; at March 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

A debt security valued at $3,622,360 was transferred from Level 2 to Level 3 during the period ended March 31, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service; at March 31, 2012, this security was valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security and broker-dealer bid quotations could not be obtained due to the security being illiquid.

All transfers are recognized as of the beginning of the reporting period.

Intermediate Duration Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Collateralized Mortgage Obligations	$	—	$	—	$	—	$	2	$	356,773	$	—	$	—	$	—	$	356,775	$	2

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Investment Grade Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Paper	$	—	$	—	$	—		$	(45,120	)	$	—	$	—		$	254,638	$	—		$	209,518	$	(45,120	)
Treasuries		27,508		744		(34,299	)		21,528			—		(15,481	)		—		—			—		—
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified		96,600		—		—			—			—		—			—		(96,600	)		—		—

Total	$	124,108	$	744	$	(34,299	)	$	(23,592	)	$	—	$	(15,481	)	$	254,638	$	(96,600	)	$	209,518	$	(45,120	)

A debt security valued at $254,638 was transferred from Level 2 to Level 3 during the period ended March 31, 2012. At September 30, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service; at March 31, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.

A preferred stock valued at $96,600 was transferred from Level 3 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

All transfers are recognized as of the beginning of the reporting period.

In May 2011, Accounting Standards Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of June 30, 2012 for the Fund, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Fund’s financial statements.

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 Global Bond Fund 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 six months ended March 31, 2012, 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 without having to buy or sell portfolio securities. During the six months ended March 31, 2012, Global Bond Fund used futures contracts to manage duration.

Each Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These 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

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contracts at current fair value. As of March 31, 2012, 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	$	(530,266	)	$	483,770
	Deutsche Bank AG		(367,092	)		572,093
	JPMorgan Chase		(22,112	)		192,705
	Morgan Stanley		(33,997	)		—

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 offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of March 31, 2012, the maximum amount of loss that Global Bond Fund would incur if counterparties failed to meet their obligations is $2,564,421 and the amount of loss that Global Bond Fund would incur after taking into account master netting arrangements is $806,579. These amounts do not take into account the value of collateral received by the Global Bond Fund in the amount of $692,124.

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 March 31, 2012:


Statements of Assets and Liabilities Caption	Interest Rate Contracts			Foreign Exchange Contracts
Assets
Unrealized appreciation on forward foreign currency contracts	$	—		$	2,564,421
Unrealized appreciation on futures contracts*		2,809,804			—
Liabilities
Unrealized depreciation on forward foreign currency contracts		—			(2,711,309	)
Unrealized depreciation on futures contracts*		(702,030	)		—

* 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 six months ended March 31, 2012 were as follows:


Statements of Operations Caption	Interest Rate Contracts			Foreign Exchange Contracts
Net Realized Gain (Loss) on:
Foreign currency transactions*	$	—		$	(5,604,606	)
Futures contracts		(3,671,822	)		—
Net Change in Unrealized Appreciation (Depreciation) on:
Foreign currency translations*		—			6,536,755
Futures contracts		4,118,475			—

* Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period.

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 gross month-end notional amounts outstanding during the period including long and short positions, at absolute value, was as follows for the six months ended March 31, 2012:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		14.83%		7.60%
Highest Notional Amount Outstanding		19.06%		7.67%
Lowest Notional Amount Outstanding		14.44%		7.26%
Notional Amount Outstanding as of March 31, 2012		15.89%		7.26%

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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 six months ended March 31, 2012, 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	$	18,114,067	$	18,616,578	$	102,358,057	$	37,593,185
Global Bond Fund		288,985,691		126,212,069		590,771,961		926,345,044
Inflation Protected Securities Fund		10,191,981		18,387,390		696,181		355,392
Institutional High Income Fund		16,305,501		16,757,840		146,616,723		38,653,748
Intermediate Duration Bond Fund		16,171,840		6,893,511		11,297,461		6,306,664
Investment Grade Fixed Income Fund		40,759,018		41,911,834		56,785,951		14,661,148

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 six months ended March 31, 2012, 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		Over $2 Billion
Fixed Income Fund		0.50%		0.50%		0.50%
Global Bond Fund		0.60%		0.50%		0.48%
Inflation Protected Securities Fund		0.25%		0.25%		0.25%
Institutional High Income Fund		0.60%		0.60%		0.60%
Intermediate Duration Bond Fund		0.25%		0.25%		0.25%
Investment Grade Fixed Income Fund		0.40%		0.40%		0.40%

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, 2013 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 six months ended March 31, 2012, 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%	—

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.

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For the six months ended March 31, 2012, 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	$	2,328,168	$	—	$	2,328,168		0.50%		0.50%
Global Bond Fund		6,038,262		—		6,038,262		0.54%		0.54%
Inflation Protected Securities Fund		37,106		37,106		—		0.25%		0.00%
Institutional High Income Fund		1,571,129		—		1,571,129		0.60%		0.60%
Intermediate Duration Bond Fund		86,901		37,002		49,899		0.25%		0.14%
Investment Grade Fixed Income Fund		1,021,995		—		1,021,995		0.40%		0.40%

¹ Management fee waivers are subject to possible recovery until September 30, 2013.

For the six months ended March 31, 2012, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Total
Inflation Protected Securities Fund	$	440	$	1,745	$	2,185
Intermediate Duration Bond Fund		1,735		2,000		3,735

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $24,644 for the six months ended March 31, 2012².

² Expense reimbursements are subject to possible recovery until September 30, 2013.

No expenses were recovered for any of the Funds during the six months ended March 31, 2012 under the terms of the expense limitation agreements.

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. Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution 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 Plans”).

Under the Retail Class Plans, each Fund pays NGAM Distribution 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 NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution 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 six months ended March 31, 2012, the Funds paid the following distribution fees:


	Distribution Fees
Fund	Retail Class
Global Bond Fund	$	1,223,049
Inflation Protected Securities Fund		2,533
Intermediate Duration Bond Fund		5,714

c. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM 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 NGAM Advisors, each Fund pays NGAM 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.

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For the six months ended March 31, 2012, each Fund paid the following administrative fees to NGAM Advisors:


Fund	Administrative Fees
Fixed Income Fund	$	214,346
Global Bond Fund		512,165
Inflation Protected Securities Fund		6,845
Institutional High Income Fund		120,444
Intermediate Duration Bond Fund		16,003
Investment Grade Fixed Income Fund		117,519

d. Sub-Transfer Agent Fees. NGAM Distribution 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 have agreed to reimburse NGAM Distribution for 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 being held through the intermediaries.

For the six months ended March 31, 2012, 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	$	455,120	$	461,116
Inflation Protected Securities Fund		6,184		824
Institutional High Income Fund		2,834		—
Intermediate Duration Bond Fund		912		179
Investment Grade Fixed Income Fund		20		—

As of March 31, 2012, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:


	Reimbursements of Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class
Global Bond Fund	$	30,505	$	11,024
Inflation Protected Securities Fund		127		18
Institutional High Income Fund		66		—
Intermediate Duration Bond Fund		22		5

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2012, the Chairperson of the Board receives a retainer fee at the annual rate of $265,000. 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 $95,000. 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 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.

Prior to January 1, 2012, the Chairperson of the Board received a retainer fee at the annual rate of $250,000 and each Independent Trustee (other than the Chairperson) received, in aggregate, a retainer fee at the annual rate of $80,000. All other Trustee fees remain unchanged.

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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. Affiliated Ownership. At March 31, 2012, Loomis Sayles owned shares equating to 13.79% of Inflation Protected Securities Fund’s net assets 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	Retirement Plan
Global Bond Fund		0.40%
Inflation Protected Securities Fund		14.81%
Institutional High Income Fund		2.46%
Intermediate Duration Bond Fund		1.73%

7. Class Specific Expenses. For the six months ended March 31, 2012, 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	$	2,493	$	—
Global Bond Fund		489,879		542,169
Inflation Protected Securities Fund		6,788		1,744
Institutional High Income Fund		5,967		—
Intermediate Duration Bond Fund		1,735		2,364
Investment Grade Fixed Income Fund		1,456		—

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. Effective April 19, 2012, the commitment fee will be 0.10% per annum.

For the six months ended March 31, 2012, 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. 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 March 31, 2012, certain Funds had shareholders that owned more than 5% of the Funds’ total outstanding shares. The number of shareholders owning more than 5% of total outstanding shares of a fund, including affiliated accounts, 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% Shareholders	Percentage of Ownership
Fixed Income Fund	4		23.29%
Inflation Protected Securities Fund	4		52.18%
Institutional High Income Fund	1		5.53%
Intermediate Duration Bond Fund	5		61.16%
Investment Grade Fixed Income Fund	3		32.01%

Shares held in omnibus accounts may be beneficially held by one or more individuals or entities other than the owner of record. As of March 31, 2012, Global Bond Fund had omnibus accounts representing ownership of more than 25% of the Funds’ total outstanding shares. The number of omnibus accounts representing ownership of more than 25% of total outstanding shares of the Fund, based on accounts that

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represent more than 25% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:


Fund	Number of 25% Omnibus Accounts	Percentage of Ownership
Global Bond Fund	1		30.94%

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

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		8,114,442		$	113,214,207			13,546,359		$	191,418,231
Issued in connection with the reinvestment of distributions		3,792,125			49,183,862			3,122,786			41,814,110
Redeemed		(3,315,331	)		(45,254,955	)		(9,382,927	)		(131,799,388	)

Increase (decrease) from capital share transactions		8,591,236		$	117,143,114			7,286,218		$	101,432,953


	Global Bond Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		12,986,443		$	216,981,135			25,151,575		$	427,774,766
Issued in connection with the reinvestment of distributions		1,745,898			28,930,103			3,095,427			52,205,920
Redeemed		(9,597,006	)		(160,285,322	)		(21,912,559	)		(369,610,748	)
Redeemed in-kind (Note 12)		(12,917,122	)		(217,911,853	)		—			—

Net change		(7,781,787	)	$	(132,285,937	)		6,334,443		$	110,369,938


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		7,256,916		$	120,374,227			18,868,453		$	317,959,706
Issued in connection with the reinvestment of distributions		1,476,834			24,219,953			2,259,522			37,747,467
Redeemed		(10,660,336	)		(176,645,522	)		(22,325,827	)		(374,418,178	)

Net change		(1,926,586	)	$	(32,051,342	)		(1,197,852	)	$	(18,711,005	)

Increase (decrease) from capital share transactions		(9,708,373	)	$	(164,337,279	)		5,136,591		$	91,658,933


	Inflation Protected Securities Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		988,109		$	11,613,350			2,220,810		$	25,259,237
Issued in connection with the reinvestment of distributions		53,742			626,524			71,695			802,802
Redeemed		(2,119,048	)		(24,808,754	)		(558,915	)		(6,259,047	)

Net change		(1,077,197	)	$	(12,568,880	)		1,733,590		$	19,802,992

| 92

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

11. Capital Shares – continued


	Inflation Protected Securities Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		280,295		$	3,317,285			187,412		$	2,122,073
Issued in connection with the reinvestment of distributions		4,028			46,868			2,297			25,998
Redeemed		(291,781	)		(3,400,926	)		(30,197	)		(349,251	)

Net change		(7,458	)	$	(36,773	)		159,512		$	1,798,820

Increase (decrease) from capital share transactions		(1,084,655	)	$	(12,605,653	)		1,893,102		$	21,601,812


	Institutional High Income Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		19,523,790		$	139,413,964			17,611,718		$	137,196,965
Issued in connection with the reinvestment of distributions		5,682,363			37,958,187			5,108,876			37,652,413
Redeemed		(3,893,597	)		(28,192,811	)		(10,157,087	)		(78,988,702	)

Increase (decrease) from capital share transactions		21,312,556		$	149,179,340			12,563,507		$	95,860,676


	Intermediate Duration Bond Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,893,470		$	19,920,897			3,921,646		$	41,094,151
Issued in connection with the reinvestment of distributions		122,010			1,279,382			168,202			1,757,264
Redeemed		(679,832	)		(7,179,476	)		(2,038,767	)		(21,305,663	)

Net change		1,335,648		$	14,020,803			2,051,081		$	21,545,752


Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		567,606		$	5,957,119			214,017		$	2,245,994
Issued in connection with the reinvestment of distributions		5,587			58,547			655			6,860
Redeemed		(523,714	)		(5,526,136	)		(61,001	)		(633,873	)

Net change		49,479		$	489,530			153,671		$	1,618,981

Increase (decrease) from capital share transactions		1,385,127		$	14,510,333			2,204,752		$	23,164,733


	Investment Grade Fixed Income Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		10,474,670		$	130,969,943			7,739,370		$	99,118,544
Issued in connection with the reinvestment of distributions		1,573,978			19,476,974			3,146,404			39,907,537
Redeemed		(2,544,922	)		(32,430,929	)		(9,966,294	)		(131,250,890	)

Increase (decrease) from capital share transactions		9,503,726		$	118,015,988			919,480		$	7,775,191

93 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

12. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Global Bond Fund realized a gain of $10,034,128 on redemptions in-kind during the six months ended March 31, 2012. This amount is included in realized gain (loss) on the Statements of Operations.

| 94

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			7
Statements of Assets and Liabilities			20
Statements of Operations			21
Statements of Changes in Net Assets			22
Financial Highlights			23
Notes to Financial Statements			25

SEMI-ANNUAL REPORT

MARCH 31, 2012

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Daniel 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:

$70.3 million

Market Conditions

The momentum of the high-yield and equity market rallies from December 2011 continued into 2012. High-yield bonds generated strong returns in January before easing slightly in February and becoming flat in March. Actions by the European Central Bank calmed debt crisis contagion fears, at least for the time being. In the United States, annualized fourth quarter gross domestic product growth of 3% pointed to a moderate but continued recovery and also helped to subdue many investor fears.

Performance Results

For the six months ended March 31, 2012, Loomis Sayles High Income Opportunities Fund returned 12.91%. The fund outperformed its benchmark, the Barclays Capital U.S. Corporate High-Yield Bond Index, which returned 12.14% for the period.

Explanation of Fund Performance

An out-of-benchmark allocation to convertible securities contributed significantly to the fund’s performance, as the sector tracked equities, which surged throughout much of the period. An underweight position in below-investment-grade utilities had a positive effect on performance relative to the benchmark and security selection within high-yield electric utilities also contributed notably for the period. The consumer cyclical sector, across the quality spectrum, was a strong contributor to performance. Similarly, investment-grade and high-yield financials made a positive contribution to relative performance, with brokerage and banking securities buoying the sector. Furthermore, a small out-of-benchmark position in preferred securities contributed to the fund’s gains.

High-yield and investment-grade industrials contributed positively to the fund’s performance but trailed the benchmark in relative terms. In particular, security-specific refining companies accounted for the lagging results. In addition, out-of-benchmark exposure to common stocks detracted from the fund’s return.

Outlook

As the second quarter begins, fixed-income investors continue to face an environment filled with opportunities and pitfalls. The sovereign debt situation in Europe is a chief ongoing concern, and the market is now focusing on Spain. Investors are taking solace in the improving U.S. economic situation, but Europe’s debt problems cast a large shadow over any sustainable recovery. So far this year, investors have generally sought out higher-risk securities for yield, but the progress (or lack thereof) in the euro zone could greatly influence their risk tolerance. In some respects, this is very similar to 2011, when cash rushed into credit, equity and other risky markets early in the year, only to reverse when political gyrations increased uncertainty. However, a resulting period of volatility can create buying opportunities for us. We continue to add credits that we believe have long-term potential for improving fundamentals.

In the first quarter of 2012, higher U.S. interest rates reinvigorated discussions surrounding the potential threat higher rates pose to fixed-income portfolios. We continue to believe that interest rates are in a period of transition and see rising rates as the next secular trend. However, given the Fed’s continued commitment to keep short-term rates low at least through the middle of 2014, the trading range in U.S. Treasuries should persist in the near term.

1 |

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND

Average Annual Total Returns

March 31, 2012



	6 month			1 year			5 years			Since Inception^(a)

Institutional Class (Inception 4/12/04)		12.91	%		5.40	%		8.04	%		8.69	%

Comparative Performance
Barclays Capital U.S. Corporate High-Yield Bond Index^(b)		12.14			6.45			8.10			8.29
Lipper High Current Yield Funds Index^(b)		11.88			4.62			5.74			6.62

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to March 31, 2012

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)

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 & Company, L.P. 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:

$685.4 million

Market Conditions

Investors were generally optimistic during the sixth-month period, but markets were somewhat volatile, as they responded to various financial events in Europe. During the first quarter of 2012, negative news came less frequently, and Greek sovereign debt investors accepted a restructuring deal, which helped sustain the market rally. Domestic economic data generally improved, especially within the labor market and corporate sector. Late in the period, news that growth in China and other emerging market countries was slowing caused investors to be more cautious, and the market rally slowed.

Performance Results

For the six months ended March 31, 2012, Loomis Sayles Securitized Asset Fund returned 4.53%. The fund outperformed its benchmark, the Barclays Capital U.S. Securitized Bond Index, which returned 1.76% for the period.

Explanation of Fund Performance

The commercial mortgage-backed securities (CMBS) sector experienced strong returns during the period, and the fund’s large overweight in the sector combined with prudent security selection magnified those results versus the benchmark. Additionally, our security selection within the mortgage-backed securities (MBS) sector was particularly strong. Within the allocation, spreads (the yield difference between non-Treasury securities and comparable-maturity Treasuries) tightened due to diminishing risk concerns as the period progressed.

The fund’s longer-than-benchmark duration (price sensitivity to interest rate changes) also contributed to outperformance, as the longer end of the yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) tightened relative to the rather compressed shorter end.

While the asset-backed securities (ABS) sector posted a positive return, it simply could not keep up with other more-aggressive sectors. In addition, an overweight position in non-traditional MBS underperformed, because the allocation’s shorter-duration hybrid adjustable-rate mortgages (ARMs) underperformed longer-duration securities. In general, the fund’s securities lagged the higher-beta potential sectors.

The fund routinely buys and sells mortgage-backed securities in the To Be Announced (TBA) market. (TBA means that the mortgage-backed security that will be delivered to fulfill the trade is not designated at the time the trade is made; the security is “to be announced” prior to the established trade settlement date.) These securities are used to achieve the fund’s desired mortgage exposure. The fund also routinely uses Treasury futures to remove undesired interest rate exposure. Neither TBAs nor Treasury futures had a material impact on performance for the period.

Outlook

We expect the domestic economic environment to continue its gradual improvement, as American corporations continue to perform relatively well. We also expect volatility to play a role in the landscape, as concerns surrounding Europe, employment data, the U.S. Supreme Court ruling on the nation’s healthcare law and the presidential elections develop. In addition, China’s slowing economy could have a negative effect on U.S. growth.

The euro zone is likely to muddle along due to uncertainty about the fiscal situations of weaker member nations. Furthermore, Europe seems likely to fall into another recession. The reaction of the debt markets to impending new issues will continue to have an effect on global markets. Elsewhere, China and other emerging nations are struggling to rein in pockets of inflation and steer their economies toward a soft landing.

3 |

LOOMIS SAYLES SECURITIZED ASSET FUND

Average Annual Total Returns

March 31, 2012



	6 months			1 year			5 years			Since Inception^(a)
Institutional Class (Inception 3/2/06)		4.53	%		7.90	%		8.01	%		7.66	%

Comparative Performance
Barclays Capital U.S. Securitized Bond Index^(b)		1.76			6.28			6.18			6.07
Lipper U.S. Mortgage Funds Index^(b)		1.85			6.42			5.63			5.56

Expense Ratio^(c)
Institutional Class: 0.00%

Cumulative Performance

Inception to March 31, 2012

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)

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

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 NGAM Advisors, L.P. (“NGAM 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 NGAM Advisors. The institutional investment advisory clients of Loomis Sayles and NGAM Advisors pay Loomis Sayles or NGAM 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 NGAM 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 NGAM 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 October 1, 2011 through March 31, 2012. 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 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,129.10		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.00		$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 366 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,045.30		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.00		$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 366 (to reflect the half-year period).

| 6

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 88.2% of Net Assets

	Non-Convertible Bonds – 75.3%

		ABS Home Equity – 0.6%
$	80,000	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 5.103%, 5/25/2035	$	64,604
	75,000	New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.762%, 3/25/2035(b)		53,567
	125,000	New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.692%, 6/25/2035(b)		75,967
	225,000	Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.742%, 7/25/2035(b)		130,147
	73,007	Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.892%, 12/26/2034(b)		53,407
	78,148	Structured Asset Securities Corp., Series 2007-EQ1, Class A2, 0.332%, 3/25/2037(b)		53,810

				431,502

		ABS Other – 0.4%
	41,708	Diamond Resorts Owner Trust, Series 2009-1, Class B, 12.000%, 3/20/2026, 144A		44,958
	258,683	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		258,638

				303,596

		Aerospace & Defense – 1.5%
	885,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		907,125
	200,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		154,975

				1,062,100

		Airlines – 2.2%
	59,678	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		59,678
	26,779	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		26,779
	77,123	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		77,123
	75,147	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		73,644
	6,118	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		6,064
	25,928	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		26,024
	183,234	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		200,641


		Airlines – continued
$	523,129	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024	$	532,911
	175,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		186,375
	324,682	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		331,175

				1,520,414

		Automotive – 1.5%
	139,000	Cummins, Inc., 6.750%, 2/15/2027		165,216
	165,000	Ford Motor Co., 6.625%, 2/15/2028		182,740
	35,000	Ford Motor Co., 7.125%, 11/15/2025		38,150
	110,000	Ford Motor Co., 7.500%, 8/01/2026		123,200
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		301,600
	200,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		223,000

				1,033,906

		Banking – 1.5%
	50,000	HBOS PLC, 6.000%, 11/01/2033, 144A		37,998
	700,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		657,004
	400,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		384,172

				1,079,174

		Brokerage – 1.1%
	110,000	Jefferies Group, Inc., 3.875%, 11/09/2015		108,625
	140,000	Jefferies Group, Inc., 6.250%, 1/15/2036		126,350
	515,000	Jefferies Group, Inc., 6.450%, 6/08/2027		507,275
	15,000	Jefferies Group, Inc., 6.875%, 4/15/2021		15,262
	5,000	Jefferies Group, Inc., 8.500%, 7/15/2019		5,550

				763,062

		Building Materials – 1.7%
	205,000	Masco Corp., 6.500%, 8/15/2032		193,032
	145,000	Masonite International Corp., 8.250%, 4/15/2021, 144A		150,800
	115,000	Ply Gem Industries, Inc., 8.250%, 2/15/2018		115,719
	720,000	USG Corp., 6.300%, 11/15/2016		673,200
	30,000	USG Corp., 9.750%, 1/15/2018		29,775

				1,162,526

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Chemicals – 2.0%
$	675,000	Hercules, Inc., 6.500%, 6/30/2029	$	536,625
	235,000	JM Huber Corp., 9.875%, 11/01/2019, 144A		244,400
	110,000	Koppers, Inc., 7.875%, 12/01/2019		117,425
	200,000	LyondellBasell Industries NV, 6.000%, 11/15/2021, 144A		210,000
	150,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		155,964
	160,000	Momentive Performance Materials, Inc., 9.000%, 1/15/2021		140,000

				1,404,414

		Collateralized Mortgage Obligations – 3.0%
	134,510	Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.502%, 1/25/2036(b)		85,490
	83,596	American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.563%, 10/25/2034(b)		59,146
	132,814	American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.240%, 9/25/2045(b)		104,381
	159,286	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.452%, 5/25/2035(b)		95,270
	171,921	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-2, Class 2A3, 0.582%, 3/25/2035(b)		99,099
	142,065	GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.661%, 11/25/2035(b)		125,020
	70,370	Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 2.916%, 4/25/2035(b)		54,414
	218,843	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.742%, 1/25/2036(b)(l)		134,576
	229,066	Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.500%, 9/25/2037		173,043
	90,515	Lehman XS Trust, Series 2007-10H, Class 1A11, 0.362%, 7/25/2037(b)(c)		40,291
	94,295	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.725%, 3/25/2035(b)		82,147
	283,457	MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.402%, 1/25/2047(b)		152,337
	336,314	Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, 0.422%, 11/25/2036(b)		166,782


		Collateralized Mortgage Obligations – continued
$	214,401	Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036	$	140,164
	130,648	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 3A2, 2.556%, 6/25/2034(b)		119,377
	193,492	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.724%, 9/25/2046(b)		148,807
	246,228	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.119%, 8/25/2046(b)		114,318
	279,335	Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.482%, 1/25/2047(b)		114,412
	22,166	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR2, Class 2A2, 2.614%, 3/25/2035(b)		20,888
	74,442	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.689%, 4/25/2035(b)		69,093

				2,099,055

		Commercial Mortgage-Backed Securities – 0.4%
	189,269	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.947%, 6/19/2035(b)		175,862
	90,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.980%, 8/10/2045(b)		80,296

				256,158

		Construction Machinery – 1.0%
	200,000	RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 2/01/2021		213,000
	140,000	Terex Corp., 8.000%, 11/15/2017		144,900
	95,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		97,613
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A		212,000

				667,513

		Consumer Cyclical Services – 0.4%
	40,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		34,100
	225,000	ServiceMaster Co. (The), 8.000%, 2/15/2020, 144A		239,625

				273,725

		Consumer Products – 0.5%
	340,000	Visant Corp., 10.000%, 10/01/2017		317,475

		Diversified Manufacturing – 0.4%
	249,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		263,019

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Electric – 4.4%
$	20,000	AES Corp. (The), 8.000%, 10/15/2017	$	22,525
	325,000	AES Corp. (The), 8.000%, 6/01/2020		372,937
	47,400	CE Generation LLC, 7.416%, 12/15/2018		49,415
	300,000	Dubai Electricity & Water Authority, 7.375%, 10/21/2020, 144A		321,750
	525,000	Edison Mission Energy, 7.625%, 5/15/2027		311,062
	440,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(d)(f)		114,400
	264,000	NSG Holdings LLC, 7.750%, 12/15/2025, 144A		265,320
	345,000	RRI Energy, Inc., 7.875%, 6/15/2017		301,013
	1,415,000	TXU Corp., Series Q, 6.500%, 11/15/2024		742,875
	515,000	TXU Corp., Series R, 6.550%, 11/15/2034		257,500
	365,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(f)		330,274

				3,089,071

		Food & Beverage – 0.5%
	50,000	ARAMARK Holdings Corp., 8.625%, 5/01/2016, 144A(g)		51,250
	110,000	Dean Foods Co., 7.000%, 6/01/2016		113,025
	185,000	Del Monte Corp., 7.625%, 2/15/2019		184,075

				348,350

		Gaming – 2.8%
	835,000	Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018		645,037
	200,000	MGM Resorts International, 6.625%, 7/15/2015		205,500
	480,000	MGM Resorts International, 7.500%, 6/01/2016		494,400
	630,000	MGM Resorts International, 7.625%, 1/15/2017		650,475

				1,995,412

		Government Owned – No Guarantee – 0.8%
	600,000	DP World Ltd., 6.850%, 7/02/2037, 144A		579,000

		Healthcare – 5.1%
	630,000	Emergency Medical Services Corp., 8.125%, 6/01/2019		647,325
	5,000	HCA Holdings, Inc., 7.750%, 5/15/2021		5,169
	430,000	HCA, Inc., 7.050%, 12/01/2027		385,925
	30,000	HCA, Inc., 7.500%, 12/15/2023		28,650
	1,240,000	HCA, Inc., 7.500%, 11/06/2033		1,162,500


		Healthcare – continued
$	260,000	HCA, Inc., 7.690%, 6/15/2025	$	250,575
	40,000	HCA, Inc., 8.360%, 4/15/2024		40,800
	200,000	HCA, Inc., MTN, 7.580%, 9/15/2025		189,000
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		18,500
	975,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		833,625

				3,562,069

		Home Construction – 3.2%
	200,000	Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A		204,500
	390,000	Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A		413,400
	310,000	KB Home, 7.250%, 6/15/2018		297,600
	195,000	KB Home, 8.000%, 3/15/2020		193,050
	215,000	Lennar Corp., 6.950%, 6/01/2018		227,900
	720,000	Pulte Group, Inc., 6.000%, 2/15/2035		561,600
	470,000	Pulte Group, Inc., 6.375%, 5/15/2033		378,350

				2,276,400

		Hybrid ARMs – 0.1%
	156,873	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.925%, 4/25/2035(b)		76,622

		Independent Energy – 0.4%
	260,000	Pioneer Natural Resources Co., 6.875%, 5/01/2018		305,803

		Life Insurance – 0.6%
	370,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		391,645

		Lodging – 0.6%
	42,000	Felcor Lodging LP, 10.000%, 10/01/2014		47,880
	315,000	Royal Caribbean Cruises Ltd., 7.250%, 6/15/2016		340,200

				388,080

		Media Cable – 1.0%
	640,000	CSC Holdings LLC, 7.625%, 7/15/2018		713,600

		Media Non-Cable – 2.0%
	220,000	Clear Channel Communications, Inc., 5.500%, 9/15/2014		194,700
	940,000	Intelsat S.A., 11.250%, 2/04/2017		977,600
	185,000	R.R. Donnelley & Sons Co., 7.250%, 5/15/2018		179,450
	85,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		84,575

				1,436,325

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Metals & Mining – 3.0%
$	25,000	ArcelorMittal, 6.125%, 6/01/2018	$	26,268
	70,000	ArcelorMittal, 6.750%, 3/01/2041		65,598
	600,000	ArcelorMittal, 7.000%, 10/15/2039		573,082
	200,000	Arch Coal, Inc., 7.250%, 6/15/2021, 144A		184,500
	80,000	United States Steel Corp., 6.050%, 6/01/2017		81,600
	370,000	United States Steel Corp., 6.650%, 6/01/2037		310,800
	600,000	Vedanta Resources PLC, 8.250%, 6/07/2021, 144A		556,500
	325,000	Xstrata Finance Canada Ltd., 4.950%, 11/15/2021, 144A		340,484

				2,138,832

		Non-Captive Consumer – 4.0%
	620,000	Residential Capital LLC, 9.625%, 5/15/2015		527,000
	65,000	SLM Corp., Series A, MTN, 5.000%, 6/15/2018		62,385
	850,000	SLM Corp., Series A, MTN, 5.625%, 8/01/2033		725,689
	306,000	SLM Corp., Series A, MTN, 8.450%, 6/15/2018		341,190
	200,000	Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		192,000
	40,000	Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		33,100
	180,000	Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		166,050
	500,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		385,000
	500,000	Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		390,000

				2,822,414

		Non-Captive Diversified – 1.9%
	30,000	Aircastle Ltd., 7.625%, 4/15/2020, 144A		30,000
	60,000	Ally Financial, Inc., 7.500%, 9/15/2020		64,800
	401,000	Ally Financial, Inc., 8.000%, 11/01/2031		442,102
	95,000	Ally Financial, Inc., 8.300%, 2/12/2015		103,431
	50,000	Ally Financial, Inc., Series 8, 6.750%, 12/01/2014		52,375
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		44,419
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		77,015
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		283,475
	75,000	iStar Financial, Inc., 5.850%, 3/15/2017		65,813
	190,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		180,975

				1,344,405



		Oil Field Services – 2.0%
$	680,000	Basic Energy Services, Inc., 7.125%, 4/15/2016	$	690,200
	550,000	OGX Petroleo e Gas Participacoes S.A, 8.500%, 6/01/2018, 144A		571,450
	130,000	Parker Drilling Co., 9.125%, 4/01/2018		137,800

				1,399,450

		Packaging – 1.1%
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 7.875%, 8/15/2019, 144A		107,500
	400,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.500%, 2/15/2021, 144A		376,000
	100,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019, 144A		102,250
	95,000	Sealed Air Corp., 8.125%, 9/15/2019, 144A		104,856
	75,000	Sealed Air Corp., 8.375%, 9/15/2021, 144A		84,281

				774,887

		Paper – 1.0%
	190,000	Westvaco Corp., 7.950%, 2/15/2031		205,728
	455,000	Westvaco Corp., 8.200%, 1/15/2030		503,896

				709,624

		Pharmaceuticals – 1.0%
	320,000	Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A		311,200
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		371,250

				682,450


		Pipelines – 0.4%
	260,000	NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A		250,897
	35,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		30,035

				280,932

		Refining – 0.5%
	15,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019		15,600
	310,000	Calumet Specialty Products Partners LP/Calumet Finance Corp., 9.375%, 5/01/2019		322,400

				338,000

		REITs – Shopping Centers – 0.3%
	190,000	Developers Diversified Realty Corp., 7.875%, 9/01/2020		224,704

		Retailers – 3.4%
	155,000	Dillard’s, Inc., 6.625%, 1/15/2018		158,487

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Retailers – continued
$	480,000	Dillard’s, Inc., 7.000%, 12/01/2028	$	448,800
	175,000	Dillard’s, Inc., 7.130%, 8/01/2018		184,187
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		75,188
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		301,700
	185,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		162,569
	110,000	J.C. Penney Corp., Inc., 7.400%, 4/01/2037		107,388
	180,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		190,222
	875,000	Toys R Us, Inc., 7.375%, 10/15/2018		785,312

				2,413,853

		Supermarkets – 0.9%
	70,000	American Stores Co., 8.000%, 6/01/2026		59,500
	220,000	New Albertson’s, Inc., 7.750%, 6/15/2026		178,200
	605,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		426,525

				664,225

		Technology – 5.8%
	3,020,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,385,800
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		226,925
	145,000	CommScope, Inc., 8.250%, 1/15/2019, 144A		154,425
	680,000	First Data Corp., 8.250%, 1/15/2021, 144A		664,700
	615,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		668,812

				4,100,662

		Textile – 0.5%
	425,000	Jones Apparel Group, Inc., 6.125%, 11/15/2034		324,063

		Transportation Services – 0.7%
	185,000	APL Ltd., 8.000%, 1/15/2024(f)		127,650
	17,060	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		16,207
	347,188	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(h)		277,751
	155,000	Overseas Shipholding Group, 7.500%, 2/15/2024		102,881

				524,489

		Wireless – 2.4%
	300,000	Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A		223,500


		Wireless – continued
$	520,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014	$	520,000
	170,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		164,050
	851,000	Sprint Capital Corp., 6.875%, 11/15/2028		651,015
	10,000	Sprint Capital Corp., 6.900%, 5/01/2019		8,650
	105,000	Sprint Capital Corp., 8.750%, 3/15/2032		90,037

				1,657,252

		Wirelines – 6.7%
	765,000	Axtel SAB de CV, 7.625%, 2/01/2017, 144A		619,650
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		176,000
	205,000	Cincinnati Bell, Inc., 8.750%, 3/15/2018		191,419
	200,000	eAccess Ltd., 8.250%, 4/01/2018, 144A		191,500
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		13,238
	80,000	Frontier Communications Corp., 7.125%, 3/15/2019		80,200
	325,000	Frontier Communications Corp., 7.450%, 7/01/2035		263,656
	805,000	Frontier Communications Corp., 7.875%, 1/15/2027		732,550
	790,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		825,550
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		458,791
	315,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		323,178
	190,000	Qwest Corp., 6.875%, 9/15/2033		188,100
	10,000	Qwest Corp., 7.250%, 9/15/2025		10,700
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		363,750
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		282,750

				4,721,032


		Total Non-Convertible Bonds
		(Identified Cost $52,667,448)		52,921,290


	Convertible Bonds – 12.9%

		Automotive – 2.0%
	75,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i)		62,531
	765,000	Ford Motor Co., 4.250%, 11/15/2016		1,212,525
	115,000	Navistar International Corp., 3.000%, 10/15/2014		126,788

				1,401,844

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Diversified Manufacturing – 1.2%
$	515,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A	$	504,056
	330,000	Trinity Industries, Inc., 3.875%, 6/01/2036		359,700

				863,756

		Electric – 0.8%
	330,000	CMS Energy Corp., 5.500%, 6/15/2029		526,350

		Home Construction – 0.8%
	30,000	Lennar Corp., 2.000%, 12/01/2020, 144A		35,100
	15,000	Lennar Corp., 2.750%, 12/15/2020, 144A		20,963
	350,000	Lennar Corp., 3.250%, 11/15/2021, 144A		479,937

				536,000

		Media Non-Cable – 0.1%
	149,217	Liberty Media LLC, 3.500%, 1/15/2031		90,090

		Metals & Mining – 0.5%
	250,000	Peabody Energy Corp., 4.750%, 12/15/2066		237,500
	95,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		107,706

				345,206

		Pharmaceuticals – 1.0%
	135,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		135,337
	580,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		572,025

				707,362

		Technology – 4.4%
	635,000	Ciena Corp., 0.875%, 6/15/2017		558,006
	520,000	Ciena Corp., 3.750%, 10/15/2018, 144A		586,950
	30,000	Ciena Corp., 4.000%, 3/15/2015, 144A		33,863
	425,000	Intel Corp., 2.950%, 12/15/2035		488,750
	440,000	Intel Corp., 3.250%, 8/01/2039		618,750
	680,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		721,650
	60,000	SanDisk Corp., 1.500%, 8/15/2017		71,025

				3,078,994

		Textile – 0.2%
	175,000	Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A		170,844


		Wireless – 0.0%
	40,000	Clearwire Communications LLC/Clearwire Finance, Inc., 8.250%, 12/01/2040, 144A		30,950


		Wirelines – 1.9%
$	1,014,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f)	$	1,323,270


		Total Convertible Bonds
		(Identified Cost $7,410,551)		9,074,666


		Total Bonds and Notes
		(Identified Cost $60,077,999)		61,995,956


	Senior Loans – 0.2%

		Media Non-Cable – 0.2%
	181,970	Tribune Company, Term Loan X, 5.000%, 6/04/2009(b)(d)(j) (Identified Cost $181,970)		118,623


	Shares

	Preferred Stocks – 4.6%

	Convertible Preferred Stocks – 3.3%

		Automotive – 1.9%
	25,250	General Motors Co., Series B, 4.750%		1,056,713
	6,380	Goodyear Tire & Rubber Co. (The), 5.875%		264,323

				1,321,036

		Consumer Products – 0.4%
	5,724	Newell Financial Trust I, 5.250%		270,459

		Electric – 0.5%
	7,975	AES Trust III, 6.750%		397,873

		Pipelines – 0.5%
	8,050	El Paso Energy Capital Trust I, 4.750%		371,105


		Total Convertible Preferred Stocks
		(Identified Cost $2,481,882)		2,360,473


	Non-Convertible Preferred Stocks – 1.3%

		Non-Captive Diversified – 1.3%
	11,350	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		246,295
	803	Ally Financial, Inc., Series G, 7.000%, 144A		668,974


		Total Non-Convertible Preferred Stocks
		(Identified Cost $722,540)		915,269


		Total Preferred Stocks
		(Identified Cost $3,204,422)		3,275,742

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Shares		Description	Value (†)


	Common Stocks – 0.7%

		Diversified Telecommunication Services – 0.4%
	1,017	Hawaiian Telcom Holdco, Inc.(e)	$	17,533
	16,842	Telefonica S.A., Sponsored ADR		276,377

				293,910

		Household Durables – 0.3%
	23,775	KB Home		211,598


		Total Common Stocks
		(Identified Cost $453,998)		505,508


	Warrants – 0.0%
	1,603	FairPoint Communications, Inc., Expiration on 1/24/2018(e)(f)(k)
		(Identified Cost $0)		—


	Principal Amount

	Short-Term Investments – 4.7%
$	3,295,741	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $3,295,741 on 4/02/2012 collateralized by $3,190,000 U.S. Treasury Note, 2.625% due 6/30/2014 valued at $3,365,450 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,295,741)		3,295,741


		Total Investments – 98.4%
		(Identified Cost $67,214,130)(a)		69,191,570
		Other Assets Less Liabilities—1.6%		1,131,147


		Net Assets – 100.0%	$	70,322,717


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $67,247,778 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	$	5,227,148
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,283,356	)

		Net unrealized appreciation	$	1,943,792

	(b)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(c)	The issuer is making partial payments with respect to interest and/or principal. Income is not being accrued.
	(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)	Non-income producing security.
	(f)	Illiquid security. At March 31, 2012, the value of these securities amounted to $1,895,594 or 2.7% of net assets.
	(g)	All or a portion of interest payment is paid-in-kind.
	(h)	Maturity has been extended under the terms of a plan of reorganization.

	(i)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(j)	Issuer has filed for bankruptcy.
	(k)	Fair valued security by the Fund’s investment adviser.
	(l)	The issuer is making partial payments with respect to principal.

	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 March 31, 2012, the value of Rule 144A holdings amounted to $15,958,457 or 22.7% 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
	GMTN	Global Medium Term Note
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2012 (Unaudited)


Technology	10.2	%
Wirelines	8.6
Electric	5.7
Automotive	5.4
Healthcare	5.1
Non-Captive Consumer	4.0
Home Construction	4.0
Metals & Mining	3.5
Retailers	3.4
Non-Captive Diversified	3.2
Collateralized Mortgage Obligations	3.0
Gaming	2.8
Wireless	2.4
Media Non-Cable	2.3
Airlines	2.2
Chemicals	2.0
Oil Field Services	2.0
Pharmaceuticals	2.0
Other Investments, less than 2% each	21.9
Short-Term Investments	4.7

Total Investments	98.4
Other assets less liabilities	1.6

Net Assets	100.0	%

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)


	Bonds and Notes – 118.9% of Net Assets

		ABS Car Loan – 10.3%
$	7,250,000	Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016	$	7,404,209
	2,455,000	AmeriCredit Automobile Receivables Trust, Series 2011-1, Class A3, 1.390%, 9/08/2015		2,468,694
	779,418	ARI Fleet Lease Trust, Series 2010-A, Class A, 1.692%, 8/15/2018, 144A(b)		779,654
	5,300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2009-1A, Class A, 9.310%, 10/20/2013, 144A		5,432,388
	4,235,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class A, 4.640%, 5/20/2016, 144A		4,560,357
	582,487	Centre Point Funding LLC, Series 2010-1A, Class 1, 5.430%, 7/20/2016, 144A		609,957
	3,455,000	Credit Acceptance Auto Loan Trust, Series 2012-1A, Class A, 2.200%, 9/16/2019, 144A		3,455,000
	8,170,000	DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A		8,285,868
	5,733,937	Exeter Automobile Receivables Trust, Series 2012-1A, Class A, 2.020%, 8/15/2016, Series 2012-1A, Class A, 144A		5,736,111
	9,000,000	FUEL Trust, Series 2011-1, 4.207%, 10/15/2022, 144A		9,236,493
	2,740,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A1, 4.260%, 3/25/2014, 144A		2,806,697
	3,190,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class A2, 5.290%, 3/25/2016, 144A		3,495,966
	2,440,000	Hertz Vehicle Financing LLC, Series 2009-2A, Class B2, 5.930%, 3/25/2016, 144A		2,649,380
	3,000,000	Hyundai Auto Receivables Trust, Series 2011-B, Class A4, 1.650%, 2/15/2017		3,052,746
	1,500,000	Hyundai Capital Auto Funding Ltd., Series 2010-8A, Class A, 1.242%, 9/20/2016, 144A(b)		1,474,207
	1,201,042	Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015		1,209,120
	5,928,353	Santander Drive Auto Receivables Trust, Series 2011-S1A, Class D, 3.100%, 5/15/2017, 144A		5,914,480
	2,218,907	Santander Drive Auto Receivables Trust, Series 2011-S2A, Class D, 3.350%, 6/15/2017, 144A		2,216,134

				70,787,461

		ABS Credit Card – 4.8%
	11,410,000	Citibank Omni Master Trust, Series 2009-A14A, Class A14, 2.992%, 8/15/2018, 144A(b)		12,017,706


		ABS Credit Card – continued
$	2,815,000	GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A	$	3,067,319
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020		5,631,327
	1,520,000	World Financial Network Credit Card Master Trust, Series 2006-A, Class A, 0.372%, 2/15/2017, 144A(b)		1,514,073
	9,695,000	World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019		10,464,354

				32,694,779

		ABS Home Equity – 0.4%
	500,826	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035		473,332
	1,400,729	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035		986,483
	1,928,537	Soundview Home Equity Loan Trust, Series 2006-OPT5, Class 2A3, 0.392%, 7/25/2036(b)		1,194,383

				2,654,198

		ABS Other – 5.1%
	5,186,626	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		5,229,400
	3,180,000	GE Dealer Floorplan Master Note Trust, Series 2011-1, Class A, 0.842%, 7/20/2016(b)		3,194,778
	871,872	Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A		912,488
	6,720,000	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		6,761,479
	2,574,385	Premium Yield Facility, Series 2010-A, 6.080%, 2/20/2026(c)		2,574,385
	4,215,000	Sierra Receivables Funding Co, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		4,221,694
	1,106,313	Sierra Receivables Funding Co., Series 2007-1A, Class A2, 0.392%, 3/20/2019, 144A(b)		1,078,952
	788,732	Sierra Receivables Funding Co., Series 2010-1A, Class A1, 4.480%, 7/20/2026, 144A		811,038
	1,334,816	Sierra Receivables Funding Co., Series 2010-2A, Class A, 3.840%, 11/20/2025, 144A		1,361,834
	1,568,095	Sierra Receivables Funding Co., Series 2010-3A, Class A, 3.510%, 11/20/2025, 144A		1,599,685
	1,978,927	Sierra Receivables Funding Co., Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		2,013,553

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		ABS Other – continued
$	4,974,014	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.742%, 7/15/2041, 144A(b)	$	4,974,000

				34,733,286

		ABS Student Loan – 2.9%
	4,900,000	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.531%, 7/01/2024(b)		4,809,794
	15,565,000	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.560%, 7/25/2025(b)		15,360,165

				20,169,959

		Collateralized Mortgage Obligations – 24.4%
	921,533	Countrywide Alternative Loan Trust, Series 2006-15CB, Class A1, 6.500%, 6/25/2036		553,691
	562,280	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 5.285%, 7/25/2021(b)		487,187
	449,627	Countrywide Home Loans, Series 2004-HYB5, Class 6A2, 2.670%, 4/20/2035(b)		163,364
	485,453	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(d)		546,924
	690,548	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(d)(e)		151,576
	6,500,000	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019(d)		7,219,335
	2,797,000	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(d)		3,334,763
	10,510,000	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(d)		11,372,933
	6,263,227	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.208%, 6/15/2048(b)(d)		6,336,818
	6,454,976	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 5.144%, 12/15/2036(b)		6,523,542
	3,126,486	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(d)(e)		551,343
	4,483,052	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(d)(e)		324,946
	1,646,301	Federal National Mortgage Association, REMIC, Series 2004-1, Class CK, 5.500%, 11/25/2031(d)		1,670,060
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(d)		1,128,328
	10,000,000	Federal National Mortgage Association, REMIC, Series 2008-42, Class AY, 5.000%, 5/25/2023(d)		11,275,046

		Collateralized Mortgage Obligations – continued
$	11,382,659	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.921%, 8/25/2038(b)(d)	$	11,486,880
	3,014,027	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 5.405%, 3/25/2039(b)(d)		3,163,316
	617,822	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/01/2033(d)(e)		147,014
	3,764,677	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 8/01/2033(d)(e)		753,757
	799,142	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 8/01/2033(d)(e)		123,848
	9,195,573	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/01/2035(d)(e)		1,447,852
	3,713,942	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/01/2035(d)(e)		692,157
	3,299,699	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/01/2036(d)(e)		635,349
	6,537,373	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/01/2036(d)(e)		1,272,922
	2,334,627	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/01/2036(d)(e)		375,041
	2,866,937	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/01/2036(d)(e)		454,063
	3,381,176	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/01/2037(d)(e)		545,274
	2,879,539	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(d)(e)		536,383
	1,327,328	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(d)(e)		242,337
	2,394,922	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(d)(e)		384,633
	1,452,406	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(d)(e)		275,693
	611,179	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/01/2038(d)(e)		119,757
	11,232,513	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(d)(e)		1,820,660
	4,006,699	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(d)(e)		776,577
	2,555,395	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(d)(e)		497,585

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	4,118,189	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(d)(e)	$	572,745
	2,154,927	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(d)(e)		318,676
	11,745,000	FHLMC Multifamily Structured Pass Through Certificates, Series K012, Class A2, 4.186%, 12/25/2020(d)		12,956,344
	9,616,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(d)		10,472,882
	16,860,000	FHLMC Multifamily Structured Pass Through Certificates, Series K702, Class A2, 3.154%, 2/25/2018(d)		17,854,099
	2,670,000	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018(d)		2,761,594
	4,865,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018(d)		4,913,382
	26,600,000	FHLMC Multifamily Structured Pass Through Certificates, Series KAIV, Class A2, 3.989%, 6/25/2046(d)		28,968,544
	3,631,396	First Horizon Alternative Mortgage Securities, Series 2006-AA3, Class A1, 2.332%, 6/25/2036(b)		1,902,459
	500,000	Government National Mortgage Association, Series 2007-75, Class C, 5.533%, 9/16/2038		543,754
	625,864	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.498%, 7/25/2035(b)		557,209
	345,911	Residential Accredit Loans, Inc., Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021		313,801
	1,444,156	Residential Accredit Loans, Inc., Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		1,287,874
	74,190	Residential Accredit Loans, Inc., Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021		64,390
	7,831,015	Washington Mutual Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.630%, 11/25/2036(b)		6,188,311
	486,999	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR16, Class 3A2, 2.638%, 3/25/2035(b)		472,749

				167,539,767


		Commercial Mortgage-Backed Securities – 31.4%
$	189,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-6, Class A4, 5.366%, 9/10/2047(b)	$	211,051
	350,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-2, Class A4, 5.921%, 5/10/2045(b)		397,698
	127,312	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-4, Class A2, 5.522%, 7/10/2046		127,283
	6,017,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		6,783,788
	3,520,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		3,791,631
	1,200,000	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.905%, 6/11/2040(b)		1,367,096
	7,500,000	Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049		8,489,408
	8,870,000	Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		9,702,343
	250,000	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.940%, 6/10/2046(b)		282,035
	4,860,000	Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class A3, 6.008%, 6/15/2038(b)		5,487,990
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049		5,680,621
	7,038,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.867%, 6/15/2039(b)		7,596,676
	5,000,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.967%, 9/15/2039(b)		5,347,115
	11,163,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040		12,151,874
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.408%, 2/15/2041(b)		4,571,732
	6,600,000	Extended Stay America Trust, Series 2010-ESHA, Class B, 4.221%, 11/05/2027, 144A		6,673,049
	13,700,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		15,122,964
	8,745,000	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		9,623,173
	125,000	GS Mortgage Securities Corp. II, Series 2004-GG2, Class A6, 5.396%, 8/10/2038		134,861

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Commercial Mortgage-Backed Securities – continued
$	245,410	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A2, 5.506%, 4/10/2038	$	249,131
	6,730,000	GS Mortgage Securities Corp. II, Series 2006-GG6, Class A4, 5.553%, 4/10/2038		7,457,493
	7,500,000	GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039		8,449,613
	12,500,000	GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.980%, 8/10/2045(b)		13,871,213
	7,980,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043		9,009,308
	3,200,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047		3,557,718
	7,585,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		8,405,621
	95,309	LB-UBS Commercial Mortgage Trust, Series 2005-C3, Class A3, 4.647%, 7/15/2030		95,396
	2,440,000	LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class A4, 5.661%, 3/15/2039		2,741,909
	7,500,000	LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class A3, 5.347%, 11/15/2038		8,406,030
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-1, Class A4, 5.606%, 2/12/2039(b)		1,121,766
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-3, Class A4, 5.414%, 7/12/2046		1,119,812
	4,700,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		5,049,360
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051		8,102,551
	6,730,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049		7,359,592
	225,973	Morgan Stanley Capital I, Series 2006-T23, Class A2, 5.918%, 8/12/2041(b)		229,191
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049		9,971,110
	7,381,000	Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.076%, 6/11/2049(b)		8,324,838
	4,912	Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Class A2, 4.380%, 10/15/2041		4,910

		Commercial Mortgage-Backed Securities – continued
$	7,600,000	Wachovia Bank Commercial Mortgage Trust, Series 2006-C23, Class A4, 5.418%, 1/15/2045	$	8,445,728

				215,514,678

		Hybrid ARMs – 7.9%
	204,385	FHLMC, 2.378%, 1/01/2035(b)(d)		215,870
	2,216,833	FHLMC, 2.461%, 4/01/2035(b)(d)		2,350,461
	2,869,967	FHLMC, 2.502%, 5/01/2037(b)(d)		3,071,633
	4,885,102	FHLMC, 2.593%, 6/01/2035(b)(d)		5,160,119
	3,861,067	FHLMC, 3.224%, 11/01/2036(b)(d)		4,094,383
	953,209	FHLMC, 5.073%, 1/01/2036(b)(d)		1,023,235
	2,580,475	FHLMC, 5.681%, 2/01/2037(b)(d)		2,740,762
	1,631,508	FHLMC, 6.006%, 11/01/2036(b)(d)		1,732,913
	1,313,060	FNMA, 2.250%, 2/01/2037(b)(d)		1,396,407
	2,305,688	FNMA, 2.294%, 9/01/2034(b)(d)		2,424,135
	1,096,719	FNMA, 2.653%, 9/01/2036(b)(d)		1,176,381
	8,296,296	FNMA, 4.938%, 8/01/2038(b)(d)		8,866,404
	1,275,417	FNMA, 5.307%, 10/01/2035(b)(d)		1,375,043
	16,885,589	FNMA, 5.779%, 9/01/2037(b)(d)		18,251,340

				53,879,086

		Mortgage Related – 31.7%
	10,834,870	FHLMC, 4.000%, 11/01/2041(d)		11,351,657
	813,276	FHLMC, 5.000%, with various maturities from 2035 to 2036(d)(f)		877,233
	6,733,743	FHLMC, 5.500%, with various maturities from 2034 to 2038(d)(f)		7,348,456
	4,626,910	FHLMC, 6.000%, 10/01/2036(d)		5,141,840
	26,700,000	FHLMC (TBA), 4.500%, 4/01/2042(g)		28,310,344
	19,000,000	FHLMC (TBA), 5.000%, 4/01/2042(g)		20,453,945
	34,000,000	FHLMC (TBA), 5.500%, 4/01/2042(g)		36,948,439
	8,300,000	FHLMC (TBA), 6.000%, 4/01/2042(g)		9,148,156
	991,964	FNMA, 4.000%, 11/01/2041(d)		1,046,452
	4,052,806	FNMA, 5.000%, 2/01/2038(d)		4,388,143
	8,305,908	FNMA, 5.500%, with various maturities from 2034 to 2038(d)(f)		9,130,419
	2,197,373	FNMA, 6.000%, with various maturities from 2034 to 2036(d)(f)		2,439,475

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)


	Bonds and Notes – continued

		Mortgage Related – continued
$	10,271	FNMA, 7.000%, 12/01/2037(d)	$	11,773
	26,500,000	FNMA (TBA), 3.000%, 4/01/2027(g)		27,431,639
	13,000,000	FNMA (TBA), 4.000%, 4/01/2042(g)		13,629,688
	726,998	GNMA, 2.029%, 7/20/2060(b)(d)		747,672
	484,514	GNMA, 2.053%, 9/20/2060(b)(d)		498,519
	2,854,709	GNMA, 2.071%, 2/20/2061(b)(d)		2,983,170
	1,789,587	GNMA, 4.500%, 9/20/2060(d)		1,984,653
	11,463,003	GNMA, 4.659%, 2/20/2062(d)		12,847,893
	13,131,482	GNMA, 4.670%, 12/20/2061(d)		14,696,120
	1,016,077	GNMA, 4.951%, 1/20/2062(d)		1,138,242
	903,489	GNMA, 5.500%, with various maturities in 2059(d)(f)		997,886
	37,155	GNMA, 6.000%, 6/15/2036(d)		41,948
	3,038,182	GNMA, 6.514%, 5/20/2061(d)		3,448,130

				217,041,892


		Total Bonds and Notes
		(Identified Cost $781,381,458)		815,015,106


	Short-Term Investments – 0.3%
	1,674,496	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $1,674,496 on 4/02/2012 collateralized by $1,705,000 Federal Home Loan Bank, 0.360% due 5/16/2013 valued at $1,709,263 including accrued interest (Note 2 of Notes of Financial Statements)		1,674,496
	500,000	U.S. Treasury Bill, 0.144%-0.149%, 9/13/2012(h)(i)(j)		499,710


		Total Short-Term Investments
		(Identified Cost $2,174,157)		2,174,206


		Total Investments – 119.2%
		(Identified Cost $783,555,615)(a)		817,189,312
		Other Assets Less Liabilities—(19.2)%		(131,813,863	)


		Net Assets – 100.0%	$	685,375,449


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $783,555,615 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	$	40,286,562
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(6,652,865	)

		Net unrealized appreciation	$	33,633,697

	(b)	Variable rate security. Rate as of March 31, 2012 is disclosed.
	(c)	Illiquid security. At March 31, 2012, the value of this security amounted to $2,574,385 or 0.4% 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, Federal National Mortgage Association 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.
	(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.
	(j)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.

	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 March 31, 2012, the value of Rule 144A holdings amounted to $108,888,962 or 15.9% 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.

| 18

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued

At March 31, 2012, open futures contracts sold were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/20/2012		98	$	12,689,469	$	182,040
5 Year U.S. Treasury Note		6/29/2012		434		53,181,953		351,831

Total							$	533,871

Industry Summary at March 31, 2012 (Unaudited)


Mortgage Related	31.7	%
Commercial Mortgage-Backed Securities	31.4
Collateralized Mortgage Obligations	24.4
ABS Car Loan	10.3
Hybrid ARMs	7.9
ABS Other	5.1
ABS Credit Card	4.8
ABS Student Loan	2.9
ABS Home Equity	0.4
Short-Term Investments	0.3

Total Investments	119.2
Other assets less liabilities (including open futures contracts)	(19.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

19 |

Statements of Assets and Liabilities

March 31, 2012 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	67,214,130		$	783,555,615
Net unrealized appreciation		1,977,440			33,633,697

Investments at value		69,191,570			817,189,312
Cash		14,767			—
Receivable for Fund shares sold		93,574			1,306,457
Receivable for securities sold		523,175			2,912,896
Dividends and interest receivable		1,115,446			3,151,181
Receivable for variation margin on futures contracts (Note 2)		—			95,598

TOTAL ASSETS		70,938,532			824,655,444


LIABILITIES
Payable for securities purchased		605,969			2,908,934
Payable for delayed delivery securities purchased (Note 2)		—			136,031,975
Payable for Fund shares redeemed		9,846			339,086

TOTAL LIABILITIES		615,815			139,279,995

NET ASSETS	$	70,322,717		$	685,375,449

NET ASSETS CONSIST OF:
Paid-in capital	$	73,376,491		$	646,825,013
Undistributed net investment income		110,084			345,127
Accumulated net realized gain (loss) on investments and futures contracts		(5,141,298	)		4,037,741
Net unrealized appreciation on investments and futures contracts		1,977,440			34,167,568

NET ASSETS	$	70,322,717		$	685,375,449


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	70,322,717		$	685,375,449

Shares of beneficial interest		6,927,227			61,453,709

Net asset value, offering and redemption price per share	$	10.15		$	11.15

See accompanying notes to financial statements.

| 20

Statements of Operations

For the Six Months Ended March 31, 2012 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	2,354,775		$	13,887,378
Dividends		131,315			—
Less net foreign taxes withheld		(3,057	)		—

Investment income		2,483,033			13,887,378


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss) on:
Investments		(438,788	)		4,444,722
Futures contracts		—			(587,804	)

Net change in unrealized appreciation (depreciation) on:
Investments		6,019,703			11,700,290
Futures contracts		—			727,811

Net realized and unrealized gain on investments and futures contracts		5,580,915			16,285,019


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	8,063,948		$	30,172,397

See accompanying notes to financial statements.

21 |

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011			Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income	$	2,483,033		$	4,889,758		$	13,887,378		$	25,215,950
Net realized gain (loss) on investments and futures contracts		(438,788	)		1,655,365			3,856,918			17,385,766
Net change in unrealized appreciation (depreciation) on investments and futures contracts		6,019,703			(4,986,457	)		12,428,101			(5,253,982	)

Net increase in net assets resulting from operations		8,063,948			1,558,666			30,172,397			37,347,734

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income Institutional Class		(2,615,515	)		(5,126,665	)		(16,584,157	)		(28,192,737	)
Net realized capital gains Institutional Class		—			—			(12,292,325	)		—

Total distributions		(2,615,515	)		(5,126,665	)		(28,876,482	)		(28,192,737	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		3,229,236			(346,709	)		(1,612,632	)		23,238,233

Net increase (decrease) in net assets		8,677,669			(3,914,708	)		(316,717	)		32,393,230
NET ASSETS
Beginning of the period		61,645,048			65,559,756			685,692,166			653,298,936

End of the period	$	70,322,717		$	61,645,048		$	685,375,449		$	685,692,166

UNDISTRIBUTED NET INVESTMENT INCOME	$	110,084		$	242,566		$	345,127		$	3,041,906

See accompanying notes to financial statements.

| 22

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
3/31/2012(f)	$	9.36	$	0.36	$	0.82		$	1.18		$	(0.39	)	$	—		$	(0.39	)
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	(g)		0.78			(0.75	)		(0.00	)		(0.75	)

SECURITIZED ASSET FUND

Institutional Class
3/31/2012(f)	$	11.13	$	0.23	$	0.26		$	0.49		$	(0.27	)	$	(0.20	)	$	(0.47	)
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)

For the six months ended March 31, 2012 (Unaudited).

(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.

See accompanying notes to financial statements.

23 |


							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 (%)



$	10.15		12.91		$	70,323		—		—		7.52		12
	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




$	11.15		4.53		$	685,375		—		—		4.08		114
	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.

| 24

Notes To Financial Statements

March 31, 2012 (Unaudited)

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 NGAM Advisors and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of NGAM 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 an independent 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 are priced at bid prices supplied by an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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.

25 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investment against currency fluctuation. 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 the Fund’s Statements of Assets and Liabilities. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency a 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 Funds during the six months ended March 31, 2012.

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 March 31, 2012 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 six 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 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.

| 26

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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 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, 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 characterization of distributions paid to shareholders during the year ended September 30, 2011 was as follows:


	2011 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	5,126,665	$	—	$	5,126,665
Securitized Asset Fund		28,192,737		—		28,192,737

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 capital loss carryforwards were as follows:


	High Income Opportunities Fund			Securitized Asset Fund
Capital loss carryforward:
Short-term:
Expires September 30, 2018	$	(4,658,255	)	$	—

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.

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

27 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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 six months ended March 31, 2012, 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.

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.

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2012, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	61,995,956	$	—	$	61,995,956
Senior Loans(a)		—		118,623		—		118,623
Preferred Stocks
Convertible Preferred Stocks
Consumer Products		—		270,459		—		270,459
All Other Convertible Preferred Stocks(a)		2,090,014		—		—		2,090,014

Total Convertible Preferred Stocks		2,090,014		270,459		—		2,360,473

Non-Convertible Preferred Stocks(a)		246,295		668,974		—		915,269

Total Preferred Stocks		2,336,309		939,433		—		3,275,742

Common Stocks(a)		505,508		—		—		505,508
Warrants(b)		—		—		—		—
Short-Term Investments		—		3,295,741		—		3,295,741

Total	$	2,841,817	$	66,349,753	$	—	$	69,191,570

(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 2 inputs.

| 28

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
ABS Car Loan	$	—	$	67,332,461	$	3,455,000	$	70,787,461
ABS Other		—		32,158,901		2,574,385		34,733,286
Mortgage Related		—		215,795,701		1,246,191		217,041,892
All Other Bonds and Notes(a)		—		492,452,467		—		492,452,467

Total Bonds and Notes		—		807,739,530		7,275,576		815,015,106

Short-Term Investments		—		2,174,206		—		2,174,206

Total Investments		—		809,913,736		7,275,576		817,189,312

Futures Contracts (unrealized appreciation)		533,871		—		—		533,871

Total	$	533,871	$	809,913,736	$	7,275,576	$	817,723,183

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

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2012:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Preferred Stocks
Non-Convertible Preferred Stocks
Non-Captive Diversified	$	481,800	$	—	$	—	$	—	$	—	$	—	$	—	$	(481,800)	$	—	$	—

A preferred stock valued at $481,800 was transferred from Level 3 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service was unable to price the security or did not provide a reliable price for the security; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

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, 2011		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 March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
ABS Car Loan	$	—	$	—	$	—		$	397	$	3,454,603	$	—		$	—	$	—	$	3,455,000	$	397
ABS Other		3,125,850		—		—			—		—		(551,465	)		—		—		2,574,385		—
Mortgage Related		—		—		(168	)		580		1,251,709		(5,930	)		—		—		1,246,191		580

Total	$	3,125,850	$	—	$	(168	)	$	977	$	4,706,312	$	(557,395	)	$	—	$	—	$	7,275,576	$	977

29 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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 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 six months ended March 31, 2012, Securitized Asset Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for Securitized Asset Fund as of March 31, 2012:


Statements of Assets and Liabilities Caption	Interest Rate Contracts
Assets
Unrealized appreciation on futures contracts*	$	533,871

*	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 six months ended March 31, 2012 were as follows:


Statements of Operations Caption	Interest Rate Contracts
Net Realized Gain (Loss) on:
Futures contracts	$	(587,804	)
Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		727,811

The volume of futures activity, as a percentage of net assets, for Securitized Asset Fund, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2012:


Securitized Asset Fund	Futures
Average Notional Amount Outstanding		6.05%
Highest Notional Amount Outstanding		9.72%
Lowest Notional Amount Outstanding		4.53%
Notional Amount Outstanding as of March 31, 2012		9.61%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

| 30

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

5. Purchases and Sales of Securities. For the six months ended March 31, 2012, 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	$	—	$	—	$	10,500,341	$	7,702,595
Securitized Asset Fund		885,260,473		850,508,618		44,894,939		98,404,374

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 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. Administrative Fees. NGAM Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. NGAM Advisors is a wholly-owned subsidiary of Natixis US. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to NGAM Advisors for services to the Funds.

c. Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust. NGAM Distribution currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse NGAM Distribution to the extent that NGAM Distribution incurs expenses in connection with any redemption of Fund shares.

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2012, the Chairperson of the Board receives a retainer fee at the annual rate of $265,000. 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 $95,000. 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 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.

31 |

Notes To Financial Statements – continued

March 31, 2012 (Unaudited)

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.

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. Effective April 19, 2012, the commitment fee will be 0.10% per annum.

For the six months ended March 31, 2012, neither of the Funds had borrowings under these agreements.

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 March 31, 2012, High Income Opportunities Fund had shareholders that owned more than 5% of the Fund’s total outstanding shares. The number of shareholders owning more than 5% of total outstanding shares of the 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% Shareholders		Percentage of Ownership
High Income Opportunities Fund		5		44.58%

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

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		468,740		$	4,481,696			911,554		$	9,368,420
Issued in connection with the reinvestment of distributions		213,884			2,041,571			396,670			4,031,669
Redeemed		(338,544	)		(3,294,031	)		(1,336,121	)		(13,746,798	)

Increase (decrease) from capital share transactions		344,080		$	3,229,236			(27,897	)	$	(346,709	)


	Securitized Asset Fund

	Six Months Ended March 31, 2012						Year Ended September 30, 2011

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		6,302,199		$	69,808,156			15,571,776		$	171,889,032
Issued in connection with the reinvestment of distributions		99,361			1,093,316			56,303			622,843
Redeemed		(6,544,530	)		(72,514,104	)		(13,489,707	)		(149,273,642	)

Increase (decrease) from capital share transactions		(142,970	)	$	(1,612,632	)		2,138,372		$	23,238,233

| 32

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			10
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

SEMI-ANNUAL REPORT

MARCH 31, 2012

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:

$587.2 million

Market Conditions

Ongoing concerns related to the sovereign debt crisis in Europe contributed to market volatility during the second half of 2011. The European Central Bank’s December 2011 decision to open a low-interest financing program for banks helped calm the markets. Improved investor sentiment sparked a rally among stocks. The U.S. economy continued to show signs of improvement, with increased strength in consumer spending and job growth. Against this backdrop, small-cap stock performance was particularly strong during the first quarter of 2012, and it represented the best first quarter performance since 2006.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 26.63%. The fund underperformed its benchmark, the Russell 2000 Growth Index, which returned 30.26% for the period.

Explanation of Fund Performance

Despite its positive absolute return, the fund underperformed relative to the benchmark primarily due to stock selection in the healthcare and producer durables sectors. The largest positive contributions came from stock selection in the technology and energy sectors.

Technology companies DealerTrack Holdings, Allot Communications and Sourcefire were among the fund’s top individual contributors for the six-month period. Shares of DealerTrack Holdings, a provider of on-demand software and data solutions for the U.S. automotive industry, rallied due to better-than-expected growth in the company’s transaction revenue. This was a function of easing financing to consumers on new and used automobile purchases — a trend we expect will continue. Allot Communications, a leader in network traffic technology, benefited as wireless carriers across the board continued to adopt its must-have technology to monitor data traffic. Recent outperformance was due to favorable fourth-quarter results and strong guidance

1 |

for 2012. Sourcefire, a security software specialist, has been rapidly gaining market share. Recent outperformance was due to strong fourth-quarter results and attractive 2012 revenue guidance. The company is also in the initial stages of a new product launch that should help secure market share growth into the future.

The largest individual detractors from fund performance for the last six months included ZELTIQ Aesthetics, DexCom and Diamond Foods. ZELTIQ Aesthetics, a developer of a non-invasive fat-elimination procedure called CoolSculpting, had a disappointing launch. While the product is FDA-approved, unit placements have been slow, and potential competition is on the horizon. This led to weak results, and we exited the position. DexCom, a medical device company focused on glucose monitoring devices for Type 2 diabetes patients, was forced to push out its product launch due to another in a string of requests from the FDA for more data. DexCom’s next-generation product will be a significant move toward integrating glucose sensor and insulin pump devices, which are the two critical components of an artificial pancreas. We sold this position due to our stop-loss discipline. Diamond Foods, a snack and nut company, delivered strong and improving results during the two years we owned its stock. The combination of strong earnings and positive forecasts for its Pringles acquisition pushed the stock higher, and we trimmed our position size into that strength. In the fourth quarter of 2011, an Securities and Exchange Commission inquiry into timing problems related to payments between Diamond’s walnut co-op and walnut growers triggered a sharp decline in its stock price. Our stop-loss strategy triggered a sale, and the stock declined further after we exited the position.

Outlook

While volatility was markedly lower during the first quarter of 2012, rising volatility in the second quarter could have a positive effect on valuations among higher-quality stocks. Given the quality bias in the fund, we believe higher volatility may be beneficial to performance. In addition, because the first-quarter rally in small-cap stocks was led primarily by low-quality holdings, we believe valuations on quality businesses appear more attractive.

What You Should Know

| 2

LOOMIS SAYLES SMALL CAP GROWTH FUND

Average Annual Total Returns

March 31, 2012



	6 months			1 year			5 years			10 years

Institutional Class (Inception 12/31/96)		26.63	%		2.64	%		7.12	%		6.94	%
Retail Class (Inception 12/31/96)		26.31			2.29			6.85			6.67

Comparative Performance
Russell 2000 Growth Index^(c)		30.26			0.68			4.15			6.00
Russell 2000 Index^(c)		29.83			-0.18			2.13			6.45
Lipper Small-Cap Growth Funds Index^(c)		28.86			1.35			3.16			5.19
Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.98% Retail: 1.27%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.98% Retail: 1.25%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2002 to March 31, 2012^(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.

3 |

LOOMIS SAYLES SMALL CAP VALUE FUND

Fund and manager review

FUND FACTS

Managers:

Joseph Gatz, CFA

Jeffrey Schwartz, 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:

$1.0 billion

Market Conditions

Beginning in the fourth quarter of 2011, back-to-back quarters of strong equity returns were a welcome respite from the market volatility that has persisted largely since the 2008 financial crisis. Following a particularly tumultuous summer, investor sentiment began to improve at the end of 2011, helped along by the European Central Bank’s decision to extend low-cost financing to European banks. Additionally, improving business conditions and moderate but steady employment gains in the United States helped boost consumer confidence, further supporting the rally within the markets. Returns from small-cap value and small-cap growth stocks were similar, with both indexes returning nearly 30% for the six-month period. Leading sectors in the Russell 2000 Value index included economically sensitive consumer discretionary, materials and processing and producer durables, while less economically sensitive utilities and consumer staples lagged.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned 31.53%. The fund outperformed its benchmark, the Russell 2000 Value Index, which returned 29.41% for the period.

Explanation of Fund Performance

Stock selection was a significant positive influence on fund performance, with favorable trends in technology and energy offsetting negative selection in financial services. Sector allocation also contributed, with the favorable impact of an underweight in utilities offsetting the impact of maintaining a small cash balance during a strong market rally.

The fund’s top-performing stocks for the period included WellCare Health Plans, Wright Express and W.R. Grace. WellCare, a managed care provider for government-sponsored healthcare programs, reported strong earnings on favorable utilization trends and solid

| 4

cost controls during the final two quarters of 2011. Wright Express, a provider of payment processing and information services for commercial and government vehicle fleets, rallied sharply on strong earnings, which exceeded consensus forecasts and the company’s prior guidance. W. R. Grace, a manufacturer of specialty chemicals and construction products, also surpassed its prior earnings expectations, which drove shares higher.

Leading detractors for the six-month period included PHH, DFC Global and RadioShack. PHH, an outsource provider of mortgages and vehicle fleet services, sold off sharply late in 2011 on a debt-rating downgrade by Standard & Poor’s. While the downgrade may result in a higher cost of funding in the intermediate term, we eliminated our position on concerns about ongoing strategic issues. DFC Global, a provider of consumer loans, including pawn and payday lending services, was among the fund’s top performers during the first nine months of 2011. Profit-taking weighed on the stock in late 2011 and early 2012, and regulatory issues in the United Kingdom, a key growth market for the company, emerged during the period. We concluded the selloff in the stock is based on a scenario far worse than what we believe is likely to occur. We initiated a small position in RadioShack, a retailer of consumer electronics goods and services, in late 2011, following the appointment of new management and the implementation of new initiatives to turn around the business. Early results from the turnaround strategy fell short of our expectations, and we quickly eliminated the position.

Outlook

Stock market valuation indicators suggest equities are attractively valued relative to history, and we believe that stocks remain attractively valued relative to interest rates. Furthermore, investors appear less distracted than they have been by macroeconomic issues and more focused on the performance of individual companies. Another favorable factor for equities is dividend growth: we believe dividends are positioned to grow faster than earnings this year.

In the near term, we are most concerned about factors that could cause a spike in oil prices. Looking out further, Congress and the president will be required to act on a long list of expiring tax measures and the debt ceiling, while the November elections introduce another level of uncertainty. However, the market’s current attractive valuation may already reflect some of these risks. Elsewhere, a slowdown in China and a potential recession in the euro zone remain as risks. At the same time, there are reasons to be optimistic. The U.S. banking system is in substantially better shape than it was in recent years, and the euro zone banks have taken important steps to address their challenges. Considering the key positive and negative factors, we believe equities should remain attractive longer-term investment alternatives.

What You Should Know

5 |

LOOMIS SAYLES SMALL CAP VALUE FUND

Average Annual Total Returns

March 31, 2012



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/13/91)		31.53	%		2.33	%		3.76	%		7.74	%

Retail Class (Inception 12/31/96)		31.30			2.04			3.50			7.47
Admin Class (Inception 1/2/98)		31.17			1.79			3.24			7.20

Comparative Performance
Russell 2000 Value Index^(c)		29.41			-1.07			0.01			6.59
Russell 2000 Index^(c)		29.83			-0.18			2.13			6.45
Lipper Small-Cap Core Funds Index^(c)		27.47			0.01			2.99			6.63

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 1.02% Retail: 1.31% Admin: 1.61%
Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.99% Retail: 1.24% Admin: 1.49%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance

March 31, 2002 to March 31, 2012^(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 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.

| 6

ADDITIONAL INFORMATION

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

7 |

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 October 1, 2011 through March 31, 2012. 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.

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,266.30		$5.38
Hypothetical (5% return before expenses)		$1,000.00		$1,020.25		$4.80

Retail Class
Actual		$1,000.00		$1,263.10		$7.07
Hypothetical (5% return before expenses)		$1,000.00		$1,018.75		$6.31

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.95% 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 366 (to reflect the half-year period).

| 8

Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,315.30		$5.21
Hypothetical (5% return before expenses)		$1,000.00		$1,020.50		$4.55

Retail Class
Actual		$1,000.00		$1,313.00		$6.65
Hypothetical (5% return before expenses)		$1,000.00		$1,019.25		$5.81

Admin Class
Actual		$1,000.00		$1,311.70		$8.09
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$7.06
* 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 366 (to reflect the half-year period).

9 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)


	Common Stocks – 96.8% of Net Assets

		Aerospace & Defense – 2.9%
	88,786	HEICO Corp.	$	4,580,470
	273,625	Hexcel Corp.(b)		6,569,736
	95,591	Triumph Group, Inc.		5,989,732

				17,139,938

		Air Freight & Logistics – 0.9%
	150,158	HUB Group, Inc., Class A(b)		5,410,193

		Auto Components – 2.2%
	391,378	Amerigon, Inc.(b)		6,332,496
	170,608	Tenneco, Inc.(b)		6,338,087

				12,670,583

		Biotechnology – 5.2%
	171,121	Aegerion Pharmaceuticals, Inc.(b)		2,366,603
	354,831	Alkermes PLC(b)		6,582,115
	127,806	Cepheid, Inc.(b)		5,346,125
	143,722	Cubist Pharmaceuticals, Inc.(b)		6,215,977
	364,964	Exact Sciences Corp.(b)		4,072,998
	282,753	Idenix Pharmaceuticals, Inc.(b)		2,768,152
	399,167	Neurocrine Biosciences, Inc.(b)		3,181,361

				30,533,331

		Building Products – 0.7%
	348,465	NCI Building Systems, Inc.(b)		4,010,832

		Capital Markets – 3.3%
	228,158	Evercore Partners, Inc., Class A		6,632,553
	303,394	Financial Engines, Inc.(b)		6,783,890
	165,589	Stifel Financial Corp.(b)		6,265,888

				19,682,331

		Chemicals – 0.9%
	438,343	Flotek Industries, Inc.(b)		5,268,883

		Commercial Banks – 3.1%
	100,108	Signature Bank(b)		6,310,809
	95,256	SVB Financial Group(b)		6,128,771
	166,823	Texas Capital Bancshares, Inc.(b)		5,775,412

				18,214,992

		Commercial Services & Supplies – 1.7%
	253,640	Mobile Mini, Inc.(b)		5,356,877
	146,756	Waste Connections, Inc.		4,773,972

				10,130,849

		Communications Equipment – 1.0%
	355,832	Ciena Corp.(b)		5,760,920

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Construction & Engineering – 0.7%
	243,915	MasTec, Inc.(b)	$	4,412,422

		Consumer Finance – 0.8%
	106,541	First Cash Financial Services, Inc.(b)		4,569,543

		Diversified Consumer Services – 0.9%
	314,483	Grand Canyon Education, Inc.(b)		5,585,218

		Electrical Equipment – 0.3%
	81,339	Thermon Group Holdings, Inc.(b)		1,663,383

		Electronic Equipment, Instruments & Components – 2.6%
	98,410	IPG Photonics Corp.(b)		5,122,240
	291,629	Maxwell Technologies, Inc.(b)		5,345,560
	142,664	Measurement Specialties, Inc.(b)		4,807,777

				15,275,577

		Energy Equipment & Services – 3.9%
	81,838	Dril-Quip, Inc.(b)		5,321,107
	90,595	Lufkin Industries, Inc.		7,306,487
	671,024	Newpark Resources, Inc.(b)		5,495,686
	85,813	Oceaneering International, Inc.		4,624,463

				22,747,743

		Food & Staples Retailing – 1.0%
	126,700	Fresh Market, Inc. (The)(b)		6,075,265

		Health Care Equipment & Supplies – 7.0%
	184,060	Abaxis, Inc.(b)		5,361,668
	192,468	Align Technology, Inc.(b)		5,302,494
	113,209	Cyberonics, Inc.(b)		4,316,659
	239,567	Insulet Corp.(b)		4,585,312
	253,306	NxStage Medical, Inc.(b)		4,881,207
	287,813	Tornier NV(b)		7,396,794
	192,489	Volcano Corp.(b)		5,457,063
	42,043	Zoll Medical Corp.(b)		3,894,443

				41,195,640

		Health Care Providers & Services – 4.0%
	98,410	Catalyst Health Solutions, Inc.(b)		6,271,669
	271,773	Hanger Orthopedic Group, Inc.(b)		5,940,958
	162,160	HMS Holdings Corp.(b)		5,061,014
	291,231	Team Health Holdings, Inc.(b)		5,987,709

				23,261,350

		Health Care Technology – 1.3%
	98,517	SXC Health Solutions Corp.(b)		7,384,834

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Hotels, Restaurants & Leisure – 4.9%
	243,047	Bravo Brio Restaurant Group, Inc.(b)	$	4,851,218
	154,257	Life Time Fitness, Inc.(b)		7,800,777
	27,183	Panera Bread Co., Class A(b)		4,374,288
	29,247	Peet’s Coffee & Tea, Inc.(b)		2,155,504
	221,779	Shuffle Master, Inc.(b)		3,903,310
	341,405	Texas Roadhouse, Inc.		5,680,979

				28,766,076

		Internet Software & Services – 5.2%
	246,986	Angie’s List, Inc.(b)		4,665,565
	207,356	Brightcove, Inc.(b)		5,142,429
	193,528	Constant Contact, Inc.(b)		5,765,199
	300,399	DealerTrack Holdings, Inc.(b)		9,090,074
	132,295	Liquidity Services, Inc.(b)		5,926,816

				30,590,083

		IT Services – 2.0%
	363,170	InterXion Holding NV(b)		6,518,901
	322,520	ServiceSource International, Inc.(b)		4,992,610

				11,511,511

		Life Sciences Tools & Services – 1.0%
	243,431	Luminex Corp.(b)		5,684,114

		Machinery – 4.7%
	115,746	Chart Industries, Inc.(b)		8,487,654
	157,343	RBC Bearings, Inc.(b)		7,258,233
	154,110	Robbins & Myers, Inc.		8,021,426
	95,445	Westport Innovations, Inc.(b)		3,905,609

				27,672,922

		Media – 0.4%
	219,129	MDC Partners, Inc., Class A		2,436,714

		Oil, Gas & Consumable Fuels – 5.1%
	161,526	Approach Resources, Inc.(b)		5,968,386
	282,140	Halcon Resources Corp.(b)		2,646,473
	168,999	Oasis Petroleum, Inc.(b)		5,210,239
	129,784	Petroleum Development Corp.(b)		4,813,689
	113,775	Rosetta Resources, Inc.(b)		5,547,669
	134,007	World Fuel Services Corp.		5,494,287

				29,680,743

		Pharmaceuticals – 1.6%
	283,634	Optimer Pharmaceuticals, Inc.(b)		3,942,512
	90,685	Questcor Pharmaceuticals, Inc.(b)		3,411,570
	84,566	Vivus, Inc.(b)		1,890,896

				9,244,978

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Professional Services – 5.5%
	78,318	Advisory Board Co. (The)(b)	$	6,940,541
	208,920	Corporate Executive Board Co. (The)		8,985,649
	92,810	CoStar Group, Inc.(b)		6,408,531
	152,979	FTI Consulting, Inc.(b)		5,739,772
	117,477	Huron Consulting Group, Inc.(b)		4,412,436

				32,486,929

		Road & Rail – 0.9%
	97,652	Genesee & Wyoming, Inc., Class A(b)		5,329,846

		Semiconductors & Semiconductor Equipment – 6.3%
	175,843	Cavium, Inc.(b)		5,440,582
	222,222	Ceva, Inc.(b)		5,046,662
	123,149	Cymer, Inc.(b)		6,157,450
	132,007	EZchip Semiconductor Ltd.(b)		5,719,863
	103,153	Hittite Microwave Corp.(b)		5,602,239
	130,501	Silicon Laboratories, Inc.(b)		5,611,543
	95,293	Volterra Semiconductor Corp.(b)		3,279,509

				36,857,848

		Software – 8.3%
	326,710	Allot Communications Ltd.(b)		7,596,008
	263,382	Ariba, Inc.(b)		8,615,225
	103,157	CommVault Systems, Inc.(b)		5,120,713
	126,252	Guidewire Software, Inc.(b)		3,886,037
	88,646	Imperva, Inc.(b)		3,470,491
	180,986	QLIK Technologies, Inc.(b)		5,791,552
	154,177	Sourcefire, Inc.(b)		7,420,539
	96,575	Ultimate Software Group, Inc.(The)(b)		7,077,016

				48,977,581

		Specialty Retail – 5.6%
	310,619	Asbury Automotive Group, Inc.(b)		8,386,713
	112,817	Hibbett Sports, Inc.(b)		6,154,167
	269,145	Lumber Liquidators Holdings, Inc.(b)		6,758,231
	58,811	Ulta Salon, Cosmetics & Fragrance, Inc.		5,462,954
	133,640	Vitamin Shoppe, Inc.(b)		5,908,225

				32,670,290

		Textiles, Apparel & Luxury Goods – 0.9%
	108,988	Oxford Industries, Inc.		5,538,770

		Total Common Stocks (Identified Cost $486,632,663)		568,442,232

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Principal Amount		Description	Value (†)


	Short-Term Investments – 4.8%
$	28,317,838	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $28,317,838 on 4/02/2012 collateralized by $27,380,000 U.S. Treasury Note, 2.625% due 6/30/2014 valued at $28,885,900 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $28,317,838)	$	28,317,838


		Total Investments – 101.6% (Identified Cost $514,950,501)(a)		596,760,070
		Other assets less liabilities—(1.6)%		(9,554,836	)

		Net Assets – 100.0%	$	587,205,234


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $514,950,511 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	$	86,280,536
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(4,470,977	)

		Net unrealized appreciation	$	81,809,559

	(b)	Non-income producing security.

Industry Summary at March 31, 2012 (Unaudited)


Software	8.3	%
Health Care Equipment & Supplies	7.0
Semiconductors & Semiconductor Equipment	6.3
Specialty Retail	5.6
Professional Services	5.5
Internet Software & Services	5.2
Biotechnology	5.2
Oil, Gas & Consumable Fuels	5.1
Hotels, Restaurants & Leisure	4.9
Machinery	4.7
Health Care Providers & Services	4.0
Energy Equipment & Services	3.9
Capital Markets	3.3
Commercial Banks	3.1
Aerospace & Defense	2.9
Electronic Equipment, Instruments & Components	2.6
Auto Components	2.2
IT Services	2.0
Other Investments, less than 2% each	15.0
Short-Term Investments	4.8

Total Investments	101.6
Other assets less liabilities	(1.6	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)


	Common Stocks – 97.3% of Net Assets

		Auto Components – 1.4%
	534,579	Dana Holding Corp.	$	8,285,974
	172,744	Tenneco, Inc.(b)		6,417,440

				14,703,414

		Building Products – 1.0%
	136,504	Armstrong World Industries, Inc.		6,657,300
	376,559	Griffon Corp.		4,029,181

				10,686,481

		Capital Markets – 1.7%
	777,711	Fifth Street Finance Corp.		7,590,459
	269,619	Stifel Financial Corp.(b)		10,202,383

				17,792,842

		Chemicals – 3.0%
	112,430	Koppers Holdings, Inc.		4,335,301
	97,033	Minerals Technologies, Inc.		6,346,929
	282,814	Olin Corp.		6,151,205
	203,318	WR Grace & Co.(b)		11,751,780
	182,181	Zep, Inc.		2,623,406

				31,208,621

		Commercial Banks – 8.4%
	587,102	BancorpSouth, Inc.		7,908,264
	618,248	Cathay General Bancorp		10,942,990
	159,134	City National Corp.		8,349,761
	495,700	CVB Financial Corp.		5,819,518
	482,130	First Financial Bancorp		8,340,849
	160,056	IBERIABANK Corp.		8,558,194
	246,925	Pinnacle Financial Partners, Inc.(b)		4,531,074
	2,604,324	Popular, Inc.(b)		5,338,864
	183,036	Prosperity Bancshares, Inc.		8,383,049
	147,680	Signature Bank(b)		9,309,747
	264,608	Wintrust Financial Corp.		9,470,320

				86,952,630

		Commercial Services & Supplies – 5.2%
	382,556	ACCO Brands Corp.(b)		4,747,520
	506,299	KAR Auction Services, Inc.(b)		8,207,107
	336,098	McGrath Rentcorp		10,792,107
	438,131	Rollins, Inc.		9,323,428
	406,373	Standard Parking Corp.(b)		8,330,646
	130,259	Team, Inc.(b)		4,031,516
	247,808	Waste Connections, Inc.		8,061,194

				53,493,518

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Communications Equipment – 1.9%
	163,343	ADTRAN, Inc.	$	5,094,668
	540,254	Brocade Communications Systems, Inc.(b)		3,106,460
	662,976	Harmonic, Inc.(b)		3,626,479
	205,280	NETGEAR, Inc.(b)		7,841,696

				19,669,303

		Computers & Peripherals – 0.4%
	256,240	QLogic Corp.(b)		4,550,822

		Construction & Engineering – 0.4%
	225,806	MYR Group, Inc.(b)		4,032,895

		Consumer Finance – 1.8%
	182,778	Cash America International, Inc.		8,760,549
	547,970	DFC Global Corp.(b)		10,340,194

				19,100,743

		Distributors – 0.4%
	109,064	Core-Mark Holding Co., Inc.		4,465,080

		Diversified Financial Services – 0.8%
	222,094	MarketAxess Holdings, Inc.		8,281,885

		Electric Utilities – 2.0%
	220,623	ALLETE, Inc.		9,153,648
	64,124	ITC Holdings Corp.		4,933,701
	190,505	UIL Holdings Corp.		6,621,954

				20,709,303

		Electrical Equipment – 3.7%
	151,992	AZZ, Inc.		7,848,867
	77,673	Belden, Inc.		2,944,583
	287,466	EnerSys(b)		9,960,697
	169,323	General Cable Corp.(b)		4,923,913
	148,139	Global Power Equipment Group, Inc.(b)		4,103,450
	357,614	II-VI, Inc.(b)		8,457,571

				38,239,081

		Electronic Equipment, Instruments & Components – 3.8%
	73,278	Cognex Corp.		3,104,056
	359,931	GSI Group, Inc.(b)		4,340,768
	168,298	Littelfuse, Inc.		10,552,285
	337,014	Methode Electronics, Inc.		3,127,490
	197,140	Rofin-Sinar Technologies, Inc.(b)		5,198,582
	122,746	Rogers Corp.(b)		4,756,407
	232,340	ScanSource, Inc.(b)		8,670,929

				39,750,517

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Energy Equipment & Services – 2.2%
	289,873	Helix Energy Solutions Group, Inc.(b)	$	5,159,739
	120,001	Lufkin Industries, Inc.		9,678,081
	148,637	Oceaneering International, Inc.		8,010,048

				22,847,868

		Food & Staples Retailing – 1.3%
	106,486	Casey’s General Stores, Inc.		5,905,714
	410,633	Spartan Stores, Inc.		7,440,670

				13,346,384

		Food Products – 2.2%
	147,190	Corn Products International, Inc.		8,485,503
	369,850	Darling International, Inc.(b)		6,442,787
	145,012	J & J Snack Foods Corp.		7,607,330

				22,535,620

		Gas Utilities – 0.5%
	209,629	UGI Corp.		5,712,390

		Health Care Equipment & Supplies – 0.9%
	155,947	SurModics, Inc.(b)		2,396,906
	112,062	Teleflex, Inc.		6,852,591

				9,249,497

		Health Care Providers & Services – 2.3%
	193,953	Hanger Orthopedic Group, Inc.(b)		4,239,813
	116,531	MEDNAX, Inc.(b)		8,666,410
	150,714	WellCare Health Plans, Inc.(b)		10,833,322

				23,739,545

		Hotels, Restaurants & Leisure – 2.9%
	107,958	Churchill Downs, Inc.		6,034,852
	89,415	Cracker Barrel Old Country Store, Inc.		4,989,357
	233,793	Marriott Vacations Worldwide Corp.(b)		6,665,438
	113,080	Six Flags Entertainment Corp.		5,288,752
	145,504	Wyndham Worldwide Corp.		6,767,391

				29,745,790

		Household Durables – 1.4%
	163,170	Jarden Corp.		6,564,329
	329,952	La-Z-Boy, Inc.(b)		4,936,082
	117,495	Leggett & Platt, Inc.		2,703,560

				14,203,971

		Industrial Conglomerates – 0.7%
	120,473	Raven Industries, Inc.		7,350,058

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Insurance – 3.4%
	446,540	Employers Holdings, Inc.	$	7,908,224
	326,467	HCC Insurance Holdings, Inc.		10,175,976
	108,309	ProAssurance Corp.		9,543,106
	133,959	Reinsurance Group of America, Inc., Class A		7,966,542

				35,593,848

		Internet & Catalog Retail – 0.5%
	127,655	HSN, Inc.		4,854,720

		Internet Software & Services – 0.9%
	98,524	IAC/InterActiveCorp		4,836,543
	341,227	Perficient, Inc.(b)		4,098,136

				8,934,679

		IT Services – 2.7%
	627,651	Convergys Corp.(b)		8,379,141
	300,794	Euronet Worldwide, Inc.(b)		6,283,587
	215,207	Wright Express Corp.(b)		13,930,349

				28,593,077

		Leisure Equipment & Products – 0.4%
	554,470	Callaway Golf Co.		3,748,217

		Machinery – 4.9%
	172,663	Actuant Corp., Class A		5,005,500
	146,584	Alamo Group, Inc.		4,406,315
	404,916	Albany International Corp., Class A		9,292,822
	443,446	Altra Holdings, Inc.(b)		8,514,163
	308,158	Commercial Vehicle Group, Inc.(b)		3,762,609
	185,466	John Bean Technologies Corp.		3,004,549
	54,759	Middleby Corp. (The)(b)		5,540,516
	170,275	RBC Bearings, Inc.(b)		7,854,786
	49,107	Wabtec Corp.		3,701,195

				51,082,455

		Marine – 0.8%
	121,016	Kirby Corp.(b)		7,961,643

		Media – 2.4%
	178,757	Arbitron, Inc.		6,610,434
	186,322	John Wiley & Sons, Inc., Class A		8,867,064
	59,508	Liberty Media Corp. - Liberty Capital, Class A(b)		5,245,630
	447,724	Live Nation Entertainment, Inc.(b)		4,208,606

				24,931,734

		Metals & Mining – 2.6%
	102,828	Haynes International, Inc.		6,514,154
	560,885	Horsehead Holding Corp.(b)		6,388,480

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Metals & Mining – continued
	154,083	Reliance Steel & Aluminum Co.	$	8,702,608
	371,515	SunCoke Energy, Inc.(b)		5,279,228

				26,884,470

		Multi Utilities – 0.3%
	96,223	NorthWestern Corp.		3,412,068

		Multiline Retail – 0.6%
	398,351	Fred’s, Inc. Class A		5,819,908

		Oil, Gas & Consumable Fuels – 1.7%
	109,369	Berry Petroleum Co., Class A		5,154,561
	349,136	Cloud Peak Energy, Inc.(b)		5,561,736
	441,718	Energy Partners Ltd.(b)		7,336,936

				18,053,233

		Pharmaceuticals – 0.7%
	287,573	Impax Laboratories, Inc.(b)		7,068,544

		Professional Services – 0.3%
	217,951	Kelly Services, Inc., Class A		3,485,037

		REITs – Apartments – 3.3%
	233,803	American Campus Communities, Inc.		10,455,670
	124,279	Home Properties, Inc.		7,582,262
	133,984	Mid-America Apartment Communities, Inc.		8,980,948
	258,603	UDR, Inc.		6,907,286

				33,926,166

		REITs – Diversified – 1.4%
	364,429	DuPont Fabros Technology, Inc.		8,910,289
	185,220	Potlatch Corp.		5,804,795

				14,715,084

		REITs – Healthcare – 0.9%
	427,396	Omega Healthcare Investors, Inc.		9,086,439

		REITs – Hotels – 0.9%
	1,629,443	Hersha Hospitality Trust		8,896,759

		REITs – Office Property – 1.0%
	532,268	BioMed Realty Trust, Inc.		10,102,447

		REITs – Single Tenant – 0.8%
	290,796	National Retail Properties, Inc.		7,906,743

		REITs – Storage – 1.8%
	776,343	CubeSmart		9,238,481
	180,366	Sovran Self Storage, Inc.		8,987,638

				18,226,119

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Road & Rail – 2.4%
	305,190	Avis Budget Group, Inc.(b)	$	4,318,438
	121,198	Genesee & Wyoming, Inc., Class A(b)		6,614,987
	195,914	Old Dominion Freight Line, Inc.(b)		9,339,220
	207,617	Werner Enterprises, Inc.		5,161,359

				25,434,004

		Semiconductors & Semiconductor Equipment – 2.7%
	965,558	Lattice Semiconductor Corp.(b)		6,208,538
	278,294	Semtech Corp.(b)		7,920,247
	199,069	Skyworks Solutions, Inc.(b)		5,504,258
	476,419	Teradyne, Inc.(b)		8,046,717

				27,679,760

		Software – 1.7%
	322,712	Monotype Imaging Holdings, Inc.(b)		4,808,409
	150,161	Progress Software Corp.(b)		3,546,803
	420,295	SS&C Technologies Holdings, Inc.(b)		9,805,482

				18,160,694

		Specialty Retail – 3.8%
	131,282	Genesco, Inc.(b)		9,406,355
	941,746	Hot Topic, Inc.		9,558,722
	175,920	Rent-A-Center, Inc.		6,640,980
	554,071	Sally Beauty Holdings, Inc.(b)		13,740,961

				39,347,018

		Textiles, Apparel & Luxury Goods – 0.8%
	351,488	Movado Group, Inc.		8,629,030

		Thrifts & Mortgage Finance – 1.2%
	216,184	BankUnited, Inc.		5,404,600
	557,049	Capitol Federal Financial, Inc.		6,606,601

				12,011,201

		Trading Companies & Distributors – 1.4%
	60,760	DXP Enterprises, Inc.(b)		2,642,452
	248,018	H&E Equipment Services, Inc.(b)		4,692,501
	341,141	Rush Enterprises, Inc., Class A(b)		7,239,012

				14,573,965

		Transportation Infrastructure – 0.3%
	176,533	Wesco Aircraft Holdings, Inc.(b)		2,859,835

		Water Utilities – 0.4%
	222,776	Middlesex Water Co.		4,208,239


		Total Common Stocks (Identified Cost $750,098,939)		1,008,555,394

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)


	Closed End Investment Companies – 0.8%
	527,881	Ares Capital Corp. (Identified Cost $7,110,703)	$	8,630,854


	Warrants – 0.0%
	67,892	Magnum Hunter Resources Corp., Expiration on 10/14/2013(b)(c)(d) (Identified Cost $0)		—


	Principal Amount

	Short-Term Investments – 1.8%
$	18,641,357	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $18,641,357 on 4/02/2012 collateralized by $18,945,000 U.S. Treasury Note, 0.500% due 10/15/2014 valued at $19,016,044 including accrued interest. (Note 2 of Notes to Financial Statements) (Identified Cost $18,641,357)		18,641,357


		Total Investments – 99.9% (Identified Cost $775,850,999)(a)		1,035,827,605
		Other assets less liabilities—0.1%		1,402,845

		Net Assets – 100.0%	$	1,037,230,450

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2012, the net unrealized appreciation on investments based on a cost of $775,853,673 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	$	271,278,812
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,304,880	)

		Net unrealized appreciation	$	259,973,932

	(b)	Non-income producing security.
	(c)	Fair valued security by the Fund’s investment adviser.
	(d)	Illiquid security.
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at March 31, 2012 (Unaudited)


Commercial Banks	8.4	%
Commercial Services & Supplies	5.2
Machinery	4.9
Electronic Equipment, Instruments & Components	3.8
Specialty Retail	3.8
Electrical Equipment	3.7
Insurance	3.4
REITs—Apartments	3.3
Chemicals	3.0
Hotels, Restaurants & Leisure	2.9
IT Services	2.7
Semiconductors & Semiconductor Equipment	2.7
Metals & Mining	2.6
Road & Rail	2.4
Media	2.4
Health Care Providers & Services	2.3
Energy Equipment & Services	2.2
Food Products	2.2
Electric Utilities	2.0
Other Investments, less than 2% each	34.2
Short-Term Investments	1.8

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 22

Statements of Assets and Liabilities

March 31, 2012 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund
ASSETS
Investments at cost	$	514,950,501		$	775,850,999
Net unrealized appreciation		81,809,569			259,976,606

Investments at value		596,760,070			1,035,827,605
Receivable for Fund shares sold		7,919,432			1,146,548
Receivable for securities sold		3,871,122			4,321,914
Dividends receivable		62,385			2,172,284

TOTAL ASSETS		608,613,009			1,043,468,351

LIABILITIES
Payable for securities purchased		18,316,352			2,089,346
Payable for Fund shares redeemed		2,563,338			3,204,454
Management fees payable (Note 5)		344,221			656,421
Deferred Trustees’ fees (Note 5)		77,453			149,707
Administrative fees payable (Note 5)		21,826			40,228
Payable to distributor (Note 5d)		19,844			12,726
Other accounts payable and accrued expenses		64,741			85,019

TOTAL LIABILITIES		21,407,775			6,237,901

NET ASSETS	$	587,205,234		$	1,037,230,450

NET ASSETS CONSIST OF:
Paid-in capital	$	524,117,452		$	799,470,821
Accumulated net investment (loss)/Undistributed net investment income		(2,041,131	)		2,288,393
Accumulated net realized loss on investments		(16,680,656	)		(24,505,370	)
Net unrealized appreciation on investments		81,809,569			259,976,606

NET ASSETS	$	587,205,234		$	1,037,230,450


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	380,860,863		$	591,632,711

Shares of beneficial interest		19,978,218			20,159,719

Net asset value, offering and redemption price per share	$	19.06		$	29.35

Retail Class:
Net assets	$	206,344,371		$	370,755,951

Shares of beneficial interest		11,249,562			12,752,148

Net asset value, offering and redemption price per share	$	18.34		$	29.07

Admin Class:
Net assets	$	—		$	74,841,788

Shares of beneficial interest		—			2,626,941

Net asset value, offering and redemption price per share	$	—		$	28.49

See accompanying notes to financial statements.

23 |

Statements of Operations

For the Six Months Ended March 31, 2012 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund
INVESTMENT INCOME
Dividends	$	364,858		$	8,555,322
Less net foreign taxes withheld		(8,759	)		—

		356,099			8,555,322

Expenses
Management fees (Note 5)		1,638,354			3,688,991
Service and distribution fees (Note 5)		206,781			665,866
Administrative fees (Note 5)		100,424			226,322
Trustees’ fees and expenses (Note 5)		16,502			27,334
Transfer agent fees and expenses (Notes 5 and 6)		276,918			482,122
Audit and tax services fees		18,631			21,268
Custodian fees and expenses		17,447			19,289
Legal fees		2,581			7,199
Registration fees		60,551			37,778
Shareholder reporting expenses		12,074			59,806
Miscellaneous expenses		6,809			15,575

Total expenses		2,357,072			5,251,550
Fee/expense recovery (Note 5)		—			12,239
Less waiver and/or expense reimbursement (Note 5)		(29,825	)		(171,131	)

Net expenses		2,327,247			5,092,658

Net investment income (loss)		(1,971,148	)		3,462,664


NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		10,514,962			32,046,228
Net change in unrealized appreciation (depreciation) on:
Investments		84,530,352			225,328,784

Net realized and unrealized gain on investments		95,045,314			257,375,012

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	93,074,166		$	260,837,676

See accompanying notes to financial statements.

| 24

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011			Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income (loss)	$	(1,971,148	)	$	(2,094,856	)	$	3,462,664		$	1,910,022
Net realized gain on investments		10,514,962			24,546,166			32,046,228			92,685,709
Net change in unrealized appreciation (depreciation) on investments		84,530,352			(32,206,864	)		225,328,784			(102,463,891	)

Net increase (decrease) in net assets resulting from operations		93,074,166			(9,755,554	)		260,837,676			(7,868,160	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		—			—			(1,033,253	)		(3,276,433	)
Retail Class		—			—			—			(1,768,636	)
Admin Class		—			—			—			(178,569	)

Total distributions		—			—			(1,033,253	)		(5,223,638	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		226,708,619			149,332,650			(67,595,065	)		(54,117,495	)

Net increase (decrease) in net assets		319,782,785			139,577,096			192,209,358			(67,209,293	)
NET ASSETS
Beginning of the period		267,422,449			127,845,353			845,021,092			912,230,385

End of the period	$	587,205,234		$	267,422,449		$	1,037,230,450		$	845,021,092

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT (LOSS)	$	(2,041,131	)	$	(69,983	)	$	2,288,393		$	(141,018	)

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 (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
3/31/2012(g)	$	15.06	$	(0.07	)	$	4.07		$	4.00		$	—		$	—		$	—
9/30/2011		14.03		(0.13	)		1.16	(h)		1.03			—			—			—
9/30/2010		11.58		(0.11	)(j)		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	)(k)		3.93			3.87			—			—			—

Retail Class
3/31/2012(g)		14.52		(0.09	)		3.91			3.82			—			—			—
9/30/2011		13.55		(0.18	)		1.15	(h)		0.97			—			—			—
9/30/2010		11.21		(0.13	)(j)		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	)(k)		3.83			3.74			—			—			—
SMALL CAP VALUE FUND

Institutional Class
3/31/2012(g)	$	22.36	$	0.11		$	6.93		$	7.04		$	(0.05	)	$	—		$	(0.05	)
9/30/2011		22.93		0.09	(m)		(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	(n)		(4.03	)		(3.92	)		(0.06	)		(2.78	)		(2.84	)
9/30/2007		27.69		0.12	(k)(o)		4.29			4.41			(0.17	)		(3.16	)		(3.33	)

Retail Class
3/31/2012(g)		22.14		0.08			6.85			6.93			—			—			—
9/30/2011		22.71		0.02	(m)		(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	(n)		(4.00	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.46		0.04	(k)(o)		4.28			4.32			(0.10	)		(3.16	)		(3.26	)

Admin Class
3/31/2012(g)		21.72		0.04			6.73			6.77			—			—			—
9/30/2011		22.30		(0.04	)(m)		(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	)(n)		(3.94	)		(3.95	)		—			(2.78	)		(2.78	)
9/30/2007		27.14		(0.03	)(k)(o)		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)

(f)

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

(g)

For the six months ended March 31, 2012 (Unaudited).

(h)

(i)

Includes fee/expense recovery of 0.03%.

See accompanying notes to financial statements.

27 |


									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 (loss) (%) (f)			Portfolio turnover rate (%)



$	—	$	19.06		26.63		$	380,861		0.95			0.95			(0.79	)		34
	—		15.06		7.34			154,313		0.98	(i)		0.98	(i)		(0.78	)		76
	—		14.03		21.16			52,501		1.00			1.06			(0.85	)(j)		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


	—		18.34		26.31			206,344		1.25			1.29			(1.09	)		34
	—		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	)(j)		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



$	—	$	29.35		31.53		$	591,633		0.90	(l)		0.90	(l)		0.85			10
	—		22.36		(1.88	)(m)		431,761		0.90			0.93			0.33	(m)		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


	—		29.07		31.30			370,756		1.15			1.22			0.57			10
	—		22.14		(2.12	)(m)		347,759		1.15			1.22			0.08	(m)		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


	—		28.49		31.17			74,842		1.40			1.52			0.33			10
	—		21.72		(2.40	)(m)		65,500		1.40			1.52			(0.17	)(m)		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

(j)

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.

(k)

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.

(l)

Includes fee/expense recovery of less than 0.01%.

(m)

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.

(n)

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

(o)

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

See accompanying notes to financial statements.

| 28

Notes to Financial Statements

March 31, 2012 (Unaudited)

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.

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 independent pricing services recommended by the investment

29 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

adviser and approved by the Board of Trustees. Such independent 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. 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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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.

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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.

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 March 31, 2012 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 six months that would result in the amounts of any unrecognized tax benefits significantly increasing or

31 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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.

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, distribution 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 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 year ended September 30, 2011 was as follows:


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

As of September 30, 2011, the capital loss carryforwards were as follows:


Capital loss carryforward:	Small Cap Growth Fund			Small Cap Value Fund
Short-term:
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	)

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

in effect previously limited 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. Additionally, capital losses realized in taxable years beginning after the effective date of the Act are carried over in the character (short-term or long-term) realized. Rules in effect previously treated all capital loss carryforwards as short-term.

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 six months ended March 31, 2012, 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 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.

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

•

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 March 31, 2012, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	568,442,232	$	—	$	—	$	568,442,232
Short-Term Investments		—		28,317,838		—		28,317,838

Total	$	568,442,232	$	28,317,838	$	—	$	596,760,070

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

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,008,555,394	$	—	$	—	$	1,008,555,394
Closed End Investment Companies		8,630,854		—		—		8,630,854
Warrants(b)		—		—		—		—
Short-Term Investments		—		18,641,357		—		18,641,357

Total	$	1,017,186,248	$	18,641,357	$	—	$	1,035,827,605

(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 2 inputs.

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

For the six months ended March 31, 2012, there were no transfers between Levels 1, 2 and 3.

In May, 2011, Accounting Standards Update (“ASU”) No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements” was issued and is effective for interim and annual periods beginning after December 15, 2011. The ASU requires reporting entities to disclose i) the amounts of any transfers between Level 1 and Level 2, and the reasons for the transfers; and ii) for Level 3 fair value measurements, a) quantitative information about significant unobservable inputs used, b) a description of the valuation processes used by the reporting entity, and c) a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs if a change in those inputs might result in a significantly higher or lower fair value measurement. Notwithstanding the projected regulatory implementation date of June 30, 2012 for the Fund, Management has already implemented disclosure of all transfers between Level 1 and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Fund’s financial statements.

4. Purchases and Sales of Securities. For the six months ended March 31, 2012, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	357,361,196	$	139,926,586
Small Cap Value Fund		94,626,038		160,128,035

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, 2013 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.

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

For the six months ended March 31, 2012, 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%

For the six months ended March 31, 2012, the management fees for each Fund were as follows:


Fund	Management Fees			Percentage of Average Daily Net Assets
Small Cap Growth Fund		$	1,638,354		0.75	%
Small Cap Value Fund			3,688,991		0.75	%

For the six months ended March 31, 2012, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class			Retail Class			Admin Class			Total
Small Cap Growth Fund		$	—		$	29,825		$	—		$	29,825
Small Cap Value Fund			—			126,344			44,787			171,131

¹ Expense reimbursements are subject to possible recovery until September 30, 2013.

For the six months ended March 31, 2012, expense reimbursements related to the prior fiscal year were recovered as follows:


	Recovered Expenses
Fund	Institutional Class		Retail Class		Admin Class		Total
Small Cap Value Fund	$	12,239	$	—	$	—	$	12,239

b. Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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 Admin Class Plan, Small Cap Value Fund pays NGAM Distribution 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 NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution to securities dealers or other financial intermediaries as commissions, asset-based sales charges or other compensation with 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 NGAM Distribution 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 six months ended March 31, 2012, the Funds paid the following service and distribution fees:


	Service Fees		Distribution Fees
Fund	Admin Class		Retail Class		Admin Class
Small Cap Growth Fund	$	—	$	206,781	$	—
Small Cap Value Fund		91,974		481,918		91,974

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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 six months ended March 31, 2012, each Fund paid the following administrative fees to NGAM Advisors:


Fund	Administrative Fees
Small Cap Growth Fund	$	100,424
Small Cap Value Fund		226,322

d. Sub-Transfer Agent Fees. NGAM Distribution 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 have agreed to reimburse NGAM Distribution for 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 their transfer agent had each customer’s shares been registered directly with the transfer agent instead of being held through the intermediaries.

For the six months ended March 31, 2012, 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	$	118,141	$	77,342	$	—
Small Cap Value Fund		146,935		254,610		68,637

As of March 31, 2012, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees:


	Reimbursements of Sub-Transfer Agent Fees
Fund	Institutional Class		Retail Class		Admin Class
Small Cap Growth Fund	$	12,868	$	6,976	$	—
Small Cap Value Fund		5,079		6,033		1,614

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 NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. Effective January 1, 2012, the Chairperson of the Board receives a retainer fee at the annual rate of $265,000. The Chairperson does not

| 38

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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 $95,000. 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.

Prior to January 1, 2012, the Chairperson of the Board received a retainer fee at the annual rate of $250,000. Each Independent Trustee (other than the Chairperson) received, in aggregate, a retainer fee at the annual rate of $80,000. All other Trustee fees remain unchanged.

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. Affiliated Ownership. At March 31, 2012, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) and 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		1.13	%		1.51	%
Small Cap Value Fund		1.09	%		2.00	%

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

6. Class-Specific Expenses. For the six months ended March 31, 2012, 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	$	128,210	$	148,708	$	—
Small Cap Value Fund		157,978		254,872		69,272

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. Effective April 19, 2012, the commitment fee will be 0.10% per annum.

For the six months ended March 31, 2012, 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 six months ended March 31, 2012, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	22,509
Small Cap Value Fund		25,578

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:


	Small Cap Growth Fund
	Six Months Ended March 31, 2012						Year Ended September 30, 2011
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		11,610,959		$	202,735,243			8,270,565		$	142,244,743
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(1,876,004	)		(33,165,238	)		(1,769,935	)		(30,230,462	)

Net change		9,734,955		$	169,570,005			6,500,630		$	112,014,281

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Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

9. Capital Shares – continued


	Small Cap Growth Fund – continued
	Six Months Ended March 31, 2012						Year Ended September 30, 2011
Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		5,474,236		$	91,409,514			5,486,059		$	91,670,428
Issued in connection with the reinvestment of distributions		—			—			—			—
Redeemed		(2,016,357	)		(34,270,900	)		(3,253,098	)		(54,352,059	)

Net change		3,457,879		$	57,138,614			2,232,961		$	37,318,369

Increase (decrease) from capital share transactions		13,192,834		$	226,708,619			8,733,591		$	149,332,650


	Small Cap Value Fund
	Six Months Ended March 31, 2012						Year Ended September 30, 2011
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,089,450		$	82,159,404			3,546,529		$	95,137,414
Issued in connection with the reinvestment of distributions		37,002			980,177			114,244			3,053,733
Redeemed		(2,275,187	)		(60,539,247	)		(4,186,397	)		(112,560,971	)

Net change		851,265		$	22,600,334			(525,624	)	$	(14,369,824	)


Retail Class
Issued from the sale of shares		725,944		$	19,247,633			2,574,140		$	67,167,049
Issued in connection with the reinvestment of distributions		—			—			66,486			1,762,558
Redeemed		(3,684,181	)		(99,333,274	)		(3,836,066	)		(101,096,155	)

Net change		(2,958,237	)	$	(80,085,641	)		(1,195,440	)	$	(32,166,548	)


Admin Class
Issued from the sale of shares		395,784		$	10,229,300			1,061,267		$	27,365,871
Issued in connection with the reinvestment of distributions		—			—			5,109			133,140
Redeemed		(784,745	)		(20,339,058	)		(1,344,604	)		(35,080,134	)

Net change		(388,961	)	$	(10,109,758	)		(278,228	)	$	(7,581,123	)

Increase (decrease) from capital share transactions		(2,495,933	)	$	(67,595,065	)		(1,999,292	)	$	(54,117,495	)

41 |

Loomis Sayles Bond Fund



TABLE OF CONTENTS
Fund and Manager Review			1
Portfolio of Investments			6
Statement of Assets and Liabilities			33
Statement of Operations			34
Statement of Changes in Net Assets			35
Financial Highlights			37
Notes to Financial Statements			39

SEMI-ANNUAL REPORT

MARCH 31, 2012

LOOMIS SAYLES BOND FUND

Fund and manager review

FUND FACTS

Managers:

Matthew Eagan, CFA

Daniel Fuss, CFA, CIC

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:

$21,175.9 million

Market Conditions

Market anxiety from the sovereign debt crisis in Europe eased markedly during the six-month period, as the European Central Bank took action to aid Greece and restore liquidity. In addition, the release of positive domestic macroeconomic data and a prominent increase in liquidity encouraged greater risk-taking in the markets. Furthermore, better-than-expected stress test results from U.S. banks bolstered general investor optimism and lifted many corporate financial names.

Performance Results

For the six months ended March 31, 2012, Institutional Class shares of Loomis Sayles Bond Fund returned 9.27%. The fund outperformed its benchmark, the Barclays Capital U.S. Government/Credit Bond Index, which returned 1.26% for the period.

Explanation of Fund Performance

A particularly strong showing by non-U.S.-dollar-denominated holdings in the second half of the period, coupled with robust security selection, resulted in a strong contribution to return. Winners within the non-U.S.-dollar allocation included investments denominated in the New Zealand dollar, Australian dollar, Brazilian real and Canadian dollar. A rally in commodity prices and a corresponding increase in demand for these currencies buoyed these securities. In addition, the fund’s allocation to convertible securities bolstered returns, as the sector tracked equities, which surged forward throughout much of the six-month period. The high-yield sector benefited from an increase in investor risk appetite, and the allocation helped performance. High-yield industrial names outpaced high-yield financials and utilities. High-yield industrials rebounded largely because subsectors that had previously lagged, such as homebuilders, telecommunications and retail, improved.

Selected holdings in traditionally defensive industries, such as natural gas, struggled, as investors favored higher-beta (higher risk/reward potential) names.

1 |

In addition, the fund’s underweight position in government-related securities detracted from relative performance, as this sector generated solid results.

Outlook

As the second quarter begins, fixed-income investors continue to face an environment filled with opportunities and pitfalls. The sovereign debt situation in Europe is a chief ongoing concern, and the market is now focusing on Spain. Investors are taking solace in the improving U.S. economic situation, but Europe’s debt problems cast a large shadow over any sustainable recovery. So far this year, investors have generally sought out higher-risk securities for yield, but the progress (or lack thereof) in the euro zone could greatly influence their risk tolerance. In some respects, this is very similar to 2011, when cash rushed into credit, equity and other risky markets early in the year, only to reverse when political gyrations increased uncertainty. However, a resulting period of volatility can create buying opportunities for us. We continue to add credits that we believe have long-term potential for improving fundamentals.

What You Should Know

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LOOMIS SAYLES BOND FUND

Average Annual Total Returns

March 31, 2012



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/16/91)		9.27	%		6.88	%		7.47	%		10.57	%
Retail Class (Inception 12/31/96)		9.15			6.53			7.15			10.26
Admin Class (Inception 1/2/98)		8.97			6.27			6.87			9.97

Comparative Performance
Barclays Capital U.S. Government/Credit Bond Index^(c)		1.26			8.53			6.26			5.91
Lipper BBB-Rated Funds Index^(c)		4.22			9.41			6.37			6.36

Gross expense ratio (before fee waivers and/or expense reimbursements)*
Institutional: 0.63% Retail: 0.92% Admin: 1.20%

Net expense ratio (after fee waivers and/or expense reimbursements)*
Institutional: 0.63% Retail: 0.92% Admin: 1.20%

As stated in the most recent prospectus. Waivers/reimbursements are contractual and are set to expire on 1/31/13. Contracts are reevaluated on an annual basis.

Cumulative Performance^(a)

March 31, 2002 through March 31, 2012^(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 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 4 for a description of the indices.

3 |

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 it 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 & Company, L.P. 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.

| 4

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 10/1/2011		Ending Account Value 3/31/2012		Expenses Paid During Period* 10/1/2011 – 3/31/2012
Actual		$1,000.00		$1,092.70		$3.35
Hypothetical (5% return before expenses)		$1,000.00		$1,021.80		$3.23

Retail Class
Actual		$1,000.00		$1,091.50		$4.86
Hypothetical (5% return before expenses)		$1,000.00		$1,020.35		$4.70

Admin Class
Actual		$1,000.00		$1,089.70		$6.22
Hypothetical (5% return before expenses)		$1,000.00		$1,019.05		$6.01
* Expenses are equal to the fund’s annualized expense ratio: 0.64%, 0.93% and 1.19% 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 366 (to reflect the half-year period).

5 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – 82.5% of Net Assets

	Non-Convertible Bonds – 73.4%

		ABS Car Loan – 0.1%
$	8,685,833	Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.382%, 8/20/2013, 144A(b)	$	8,644,284
	5,917,000	Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A		6,307,047

				14,951,331

		Aerospace & Defense – 0.2%
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, (CAD)		1,565,619
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		14,005,600
	5,200,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		4,646,736
	3,800,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,944,521
	12,800,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		10,703,462

				33,865,938

		Airlines – 1.8%
	51,400,000	Air Canada, 10.125%, 8/01/2015, 144A, (CAD)		49,985,463
	76,714	Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015		77,964
	3,698,394	Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016		3,698,394
	1,465,877	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		1,465,877
	2,647,651	Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018		2,647,651
	6,535,199	Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020		6,404,495
	2,942,762	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		2,909,509
	2,498,349	Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022		2,791,905
	2,361,602	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		2,553,364
	3,315,902	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		3,286,722
	2,739,895	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		2,931,688
	1,482,263	Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017		1,487,747
	16,452,676	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		17,839,637
	25,753,892	Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023		26,185,785
	22,505,398	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		25,656,154

See accompanying notes to financial statements.

| 6

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Airlines – continued
$	27,458,192	Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021	$	30,753,175
	5,915,000	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021		6,018,513
	2,703,060	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		2,959,851
	4,076,328	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		4,152,555
	30,321,795	Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014		30,282,377
	2,496,000	Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A		2,658,240
	3,354,469	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		3,488,648
	22,267,741	Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019		22,713,095
	2,000,000	Qantas Airways Ltd., 5.125%, 6/20/2013, 144A		2,040,780
	40,565,000	Qantas Airways Ltd., 6.050%, 4/15/2016, 144A		41,726,335
	24,655,093	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		26,134,399
	12,884,628	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		14,688,476
	26,163,534	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		26,163,534
	19,107,000	US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025		20,062,350

				383,764,683

		Automotive – 1.6%
	385,000	ArvinMeritor, Inc., 8.125%, 9/15/2015		406,175
	3,700,000	Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021		3,737,000
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,770,242
	6,550,000	FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR)		9,052,403
	2,590,000	Ford Motor Co., 6.375%, 2/01/2029		2,808,720
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,832,935
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,727,724
	64,950,000	Ford Motor Co., 6.625%, 10/01/2028		72,108,529
	2,720,000	Ford Motor Co., 7.125%, 11/15/2025		2,964,800
	122,204,000	Ford Motor Co., 7.450%, 7/16/2031		149,394,390
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,769,600
	55,235,000	Ford Motor Credit Co. LLC, 7.000%, 4/15/2015		60,336,449
	7,040,000	Ford Motor Credit Co. LLC, 8.700%, 10/01/2014		7,962,388
	8,755,000	Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022		8,514,238
	6,041,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		5,693,643
	3,700,000	TRW Automotive, Inc., 7.250%, 3/15/2017, 144A		4,125,500
	6,400,000	TRW Automotive, Inc., 8.875%, 12/01/2017, 144A		7,072,000

				344,276,736

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – 7.6%
	6,000,000	ABN Amro Bank NV, (fixed rate to 3/10/2016, variable rate thereafter), 4.310%, 3/29/2049, (EUR)	$	6,061,665
	100,540,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		127,562,337
	33,073,000	Associates Corp. of North America, 6.950%, 11/01/2018		37,434,237
	2,682,000	Bank of America Corp., 5.420%, 3/15/2017		2,742,297
	1,400,000	Bank of America Corp., 5.490%, 3/15/2019		1,403,315
	1,065,000	Bank of America Corp., 5.650%, 5/01/2018		1,136,890
	7,290,000	Bank of America Corp., 6.000%, 9/01/2017		7,939,976
	4,300,000	Bank of America Corp., 6.500%, 9/15/2037		4,148,197
	3,000,000	Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD)		3,143,168
	33,133,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		38,206,192
	12,823,000	Bank of America NA, 5.300%, 3/15/2017		13,381,698
	87,880,000,000	Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW)		78,198,890
	8,490,000	Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR)		6,293,838
	3,260,000	Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018		3,483,209
	12,028,000	BNP Paribas Capital Trust VI, (fixed rate to 1/16/2013, variable rate thereafter), 5.868%, 1/29/2049, (EUR)		14,970,151
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, 10/29/2049, (GBP)		33,897,031
	30,900,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, 4/29/2049, (EUR)		31,734,777
	11,200,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR)		11,501,826
	34,800,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, 4/29/2049, (GBP)		37,572,277
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 6/29/2049, 144A		19,702,500
	39,980,000	BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A		34,582,700
	13,150,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, 7/29/2049, (GBP)		15,564,744
	42,420,000	Citigroup, Inc., 5.000%, 9/15/2014		43,931,382
	5,900,000	Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)		4,748,747
	1,445,000	Citigroup, Inc., 5.850%, 12/11/2034		1,477,273
	36,155,000	Citigroup, Inc., 5.875%, 2/22/2033		33,930,600
	13,210,000	Citigroup, Inc., 6.000%, 10/31/2033		12,650,741
	43,650,000	Citigroup, Inc., 6.125%, 5/15/2018		48,931,039
	8,805,000	Citigroup, Inc., 6.125%, 8/25/2036		8,462,239
	72,120,000	Citigroup, Inc., 6.375%, 8/12/2014		78,250,416
	4,900,000	Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR)		5,682,294
	87,000,000	Citigroup, Inc., MTN, 5.500%, 10/15/2014		93,343,170

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
$	24,315,000	Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017	$	24,858,173
	900,000	Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036		870,831
	61,545,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		60,133,958
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,132,386
	6,365,000	HBOS PLC, 6.000%, 11/01/2033, 144A		4,837,158
	3,205,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		3,008,139
	12,345,000	ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A		11,604,300
	599,419,948,660	JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR)		64,983,048
	327,370,000,000	JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR)		35,515,206
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		30,727,887
	4,745,000	Lloyds Banking Group PLC, (fixed rate to 5/21/2037, variable rate thereafter), 6.657%, 1/29/2049, 144A(e)		3,274,050
	83,493,000	Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A		82,593,947
	4,825,000	Merrill Lynch & Co., Inc., 5.700%, 5/02/2017		4,948,086
	9,600,000	Merrill Lynch & Co., Inc., 6.050%, 5/16/2016		10,107,994
	36,435,000	Merrill Lynch & Co., Inc., 6.110%, 1/29/2037		34,678,760
	16,800,000	Merrill Lynch & Co., Inc., 6.220%, 9/15/2026		17,123,753
	100,400,000	Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL)		56,237,640
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 1.434%, 9/14/2018, (EUR)(b)		1,722,841
	4,887,000	Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR)		6,028,213
	8,660,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		9,627,313
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,276,353
	1,970,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017		2,148,354
	8,040,000	Morgan Stanley, 4.750%, 4/01/2014		8,171,567
	24,355,000	Morgan Stanley, 5.500%, 7/24/2020		23,770,115
	4,100,000	Morgan Stanley, 5.750%, 1/25/2021		4,025,306
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,292,077
	117,500,000	Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD)		123,545,939
	11,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		10,928,973
	19,400,000	Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD)		19,871,018
	9,600,000	Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019		9,488,822
	11,700,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		12,320,264
	7,795,000	Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017		8,025,662
	6,100,000	Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP)		9,966,125
	3,800,000	RBS Capital Trust A, (fixed rate to 6/30/2012, variable rate thereafter), 6.467%, 12/29/2049, (EUR)(e)		2,939,474
	1,755,000	RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR)(e)		1,263,947
	4,680,000	RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049(e)		2,901,600
	5,958,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049(e)		4,051,440

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Banking – continued
	1,300,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)	$	1,498,875
	4,800,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		5,960,037
	6,000,000	Societe Generale S.A., (fixed rate to 12/19/2017, variable rate thereafter), 6.999%, 12/29/2049, (EUR)		6,401,758
	12,900,000	Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR)		14,711,761
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		2,689,204

				1,609,332,170

		Brokerage – 0.4%
	13,130,000	Jefferies Group, Inc., 3.875%, 11/09/2015		12,965,875
	19,787,000	Jefferies Group, Inc., 5.125%, 4/13/2018		19,193,390
	21,845,000	Jefferies Group, Inc., 6.250%, 1/15/2036		19,715,113
	16,323,000	Jefferies Group, Inc., 6.450%, 6/08/2027		16,078,155
	1,700,000	Jefferies Group, Inc., 6.875%, 4/15/2021		1,729,750
	5,580,000	Jefferies Group, Inc., 8.500%, 7/15/2019		6,193,800

				75,876,083

		Building Materials – 1.0%
	4,805,000	Masco Corp., 4.800%, 6/15/2015		4,922,506
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,366,626
	19,873,000	Masco Corp., 6.125%, 10/03/2016		21,007,351
	14,307,000	Masco Corp., 6.500%, 8/15/2032		13,471,786
	23,972,000	Masco Corp., 7.125%, 3/15/2020		25,627,722
	9,733,000	Masco Corp., 7.750%, 8/01/2029		10,038,918
	18,360,000	Owens Corning, Inc., 6.500%, 12/01/2016		20,397,409
	51,180,000	Owens Corning, Inc., 7.000%, 12/01/2036		54,540,223
	35,870,000	USG Corp., 6.300%, 11/15/2016		33,538,450
	17,605,000	USG Corp., 9.750%, 1/15/2018		17,472,962

				204,383,953

		Chemicals – 0.7%
	51,205,000	Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A		67,060,321
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		18,514,755
	2,915,000	Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018		3,017,025
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		6,916,508
	10,565,000	Methanex Corp., Senior Note, 6.000%, 8/15/2015		10,985,044
	31,054,000	Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c)		25,153,740
	3,486,000	Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c)		3,102,540
	11,305,000	Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c)		9,722,300

				144,472,233

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Collateralized Mortgage Obligations – 0.2%
$	2,079,005	Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 6.706%, 4/25/2037(b)	$	1,470,599
	4,430,119	GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.866%, 4/25/2035(b)		3,841,714
	9,118,996	WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.474%, 7/25/2047(b)		5,502,904
	26,017,584	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.689%, 4/25/2035(b)		24,147,857

				34,963,074

		Construction Machinery – 0.5%
	60,172,000	Case New Holland, Inc., 7.750%, 9/01/2013		64,083,180
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		2,057,279
	27,030,000	Toro Co., 6.625%, 5/01/2037(c)		28,496,918
	6,815,000	UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A		7,002,412

				101,639,789

		Consumer Cyclical Services – 0.2%
	1,000,000	ServiceMaster Co. (The), 7.100%, 3/01/2018		942,500
	6,175,000	ServiceMaster Co. (The), 7.450%, 8/15/2027		5,264,187
	34,803,000	Western Union Co. (The), 6.200%, 11/17/2036		36,505,041
	1,575,000	Western Union Co. (The), 6.200%, 6/21/2040		1,629,884

				44,341,612

		Consumer Products – 0.0%
	7,210,000	Snap-on, Inc., 6.700%, 3/01/2019		8,749,349

		Distributors – 0.0%
	3,805,000	ONEOK, Inc., 6.000%, 6/15/2035		4,055,913

		Diversified Manufacturing – 0.4%
	8,473,000	Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A		8,950,030
	1,435,000	Textron Financial Corp., 5.400%, 4/28/2013		1,488,269
	3,135,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		2,382,600
	550,000	Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014		572,990
	19,900,000	Textron, Inc., 3.875%, 3/11/2013, (EUR)		26,975,889
	7,145,000	Textron, Inc., 5.600%, 12/01/2017		7,747,709
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		42,286,554

				90,404,041

		Electric – 2.8%
	4,875,000	AES Corp. (The), 7.750%, 3/01/2014		5,265,000
	11,739,910	AES Ironwood LLC, 8.857%, 11/30/2025		13,148,699
	1,305,319	AES Red Oak LLC, Series A, 8.540%, 11/30/2019		1,383,638
	71,324,475	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		76,815,033

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Electric – continued
$	3,105,000	Ameren Illinois Co., 6.250%, 4/01/2018	$	3,641,262
	93,100,864	Bruce Mansfield Unit, 6.850%, 6/01/2034		98,657,123
	4,204,380	CE Generation LLC, 7.416%, 12/15/2018		4,383,066
	46,650,000	Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036		50,169,229
	5,295,000	Dynegy Holdings, Inc., 7.125%, 5/15/2018(d)		3,468,225
	11,835,000	Dynegy Holdings, Inc., 7.625%, 10/15/2026(d)		7,751,925
	3,504,000	Dynegy Holdings, Inc., 7.750%, 6/01/2019(d)		2,303,880
	23,200,000	Edison Mission Energy, 7.625%, 5/15/2027		13,746,000
	49,635,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		40,348,292
	22,100,000	EDP Finance BV, 5.375%, 11/02/2012, 144A		22,111,050
	12,041,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		10,641,655
	4,150,000	EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR)		4,842,997
	2,750,000	EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR)		3,202,246
	250,000	EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR)		306,231
	3,700,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		5,317,532
	9,663,000	Endesa S.A./Cayman Islands, 7.875%, 2/01/2027		11,564,572
	7,425,000	Energy Future Holdings Corp., 10.000%, 1/15/2020		8,056,125
	4,250,000	Enersis S.A., Cayman Islands, 7.400%, 12/01/2016		5,012,127
	25,460,000	ITC Holdings Corp., 5.875%, 9/30/2016, 144A		29,061,597
	23,245,000	NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d)		6,043,700
	192,108	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		205,086
	23,535,000	Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A		15,356,588
	70,980,000	TXU Corp., Series P, 5.550%, 11/15/2014		51,992,850
	140,586,000	TXU Corp., Series Q, 6.500%, 11/15/2024		73,807,650
	9,406,000	TXU Corp., Series R, 6.550%, 11/15/2034		4,703,000
	9,175,000	White Pine Hydro LLC, 6.310%, 7/10/2017(c)		8,345,672
	14,695,000	White Pine Hydro LLC, 6.960%, 7/10/2037(c)		12,368,194
	5,000,000	White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c)		4,524,300

				598,544,544

		Entertainment – 0.0%
	10,000	Time Warner, Inc., 7.625%, 4/15/2031		12,804

		Financial Other – 0.5%
	71,260,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		69,115,787
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A		48,363,639

				117,479,426

		Food & Beverage – 0.2%
	30,905,000	Corn Products International, Inc., 6.625%, 4/15/2037		34,946,632
	6,400,000	Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD)		7,114,911

				42,061,543

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Gaming – 0.3%
$	1,625,000	MGM Resorts International, 6.625%, 7/15/2015	$	1,669,688
	1,730,000	MGM Resorts International, 6.875%, 4/01/2016		1,747,300
	1,415,000	MGM Resorts International, 7.500%, 6/01/2016		1,457,450
	3,545,000	MGM Resorts International, 7.625%, 1/15/2017		3,660,212
	54,170,000	MGM Resorts International, 8.625%, 2/01/2019, 144A		58,097,325

				66,631,975

		Government Guaranteed – 0.5%
	29,556,000	Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD)		30,263,250
	92,365,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		84,708,145

				114,971,395

		Government Owned – No Guarantee – 0.7%
	34,515,000	DP World Ltd., 6.850%, 7/02/2037, 144A		33,306,975
	152,980,000,000	Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR)		16,803,709
	691,350,000,000	Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR)		77,527,372
	17,955,000	Petroleos de Venezuela S.A., 5.375%, 4/12/2027		11,042,325

				138,680,381

		Healthcare – 2.1%
	7,100,000	Boston Scientific Corp., 5.125%, 1/12/2017		7,818,307
	3,725,000	Boston Scientific Corp., 5.450%, 6/15/2014		4,027,600
	15,410,000	Boston Scientific Corp., 6.000%, 1/15/2020		17,687,475
	7,230,000	Boston Scientific Corp., 6.400%, 6/15/2016		8,324,130
	22,142,000	Boston Scientific Corp., 7.000%, 11/15/2035		26,525,164
	13,400,000	HCA, Inc., 5.750%, 3/15/2014		13,902,500
	4,985,000	HCA, Inc., 5.875%, 3/15/2022		4,991,231
	7,800,000	HCA, Inc., 6.250%, 2/15/2013		8,004,750
	17,380,000	HCA, Inc., 6.375%, 1/15/2015		18,335,900
	58,750,000	HCA, Inc., 6.500%, 2/15/2016		62,568,750
	3,045,000	HCA, Inc., 6.750%, 7/15/2013		3,166,800
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		24,415,590
	20,287,000	HCA, Inc., 7.190%, 11/15/2015		21,504,220
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		25,926,340
	26,465,000	HCA, Inc., 7.500%, 11/06/2033		24,810,938
	70,501,000	HCA, Inc., 7.690%, 6/15/2025		67,945,339
	44,984,000	HCA, Inc., 8.360%, 4/15/2024		45,883,680
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		20,718,180
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		11,512,550
	3,875,000	Kindred Healthcare, Inc., 8.250%, 6/01/2019		3,376,094
	4,710,000	Owens & Minor, Inc., 6.350%, 4/15/2016(c)		5,086,889
	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		29,239,290

				455,771,717

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Home Construction – 0.5%
$	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A	$	11,292,075
	19,270,000	K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016		11,224,775
	1,650,000	K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016		961,125
	210,000	KB Home, 5.875%, 1/15/2015		206,850
	2,835,000	KB Home, 8.000%, 3/15/2020		2,806,650
	6,007,000	Pulte Group, Inc., 5.200%, 2/15/2015		6,127,140
	65,355,000	Pulte Group, Inc., 6.000%, 2/15/2035		50,976,900
	17,240,000	Pulte Group, Inc., 6.375%, 5/15/2033		13,878,200

				97,473,715

		Independent Energy – 0.2%
	9,585,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		11,389,060
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,073,983
	8,782,000	Pioneer Natural Resources Co., 7.200%, 1/15/2028		10,610,491
	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021		10,856,625

				34,930,159

		Industrial Other – 0.1%
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,345,446

		Life Insurance – 1.6%
	6,900,000	American International Group, Inc., 6.250%, 3/15/2087		6,210,000
	99,895,000	American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068		105,738,857
	8,400,000	American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP)		12,376,180
	3,245,000	American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016		3,514,199
	29,065,000	American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018		31,608,362
	7,075,000	American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017		7,605,908
	4,145,000	American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD)		4,237,794
	6,655,000	ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR)		9,113,828
	3,000,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A		2,467,500
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP)		1,459,465
	11,700,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		13,351,090
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		14,812,365
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,446,150
	22,550,000	MetLife, Inc., 6.400%, 12/15/2066		22,099,000

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Life Insurance – continued
$	10,175,000	MetLife, Inc., 10.750%, 8/01/2069	$	13,965,187
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		61,606,163
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A		12,111,345
	5,670,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		5,980,484
	9,965,000	Unum Group, 7.125%, 9/30/2016		11,377,050

				342,080,927

		Local Authorities – 1.7%
	19,650,000	New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD)		20,757,465
	110,680,000	New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD)		114,815,233
	15,305,000	New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD)		15,873,037
	95,840,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		104,827,640
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,158,220
	11,222,271	Province of Alberta, 5.930%, 9/16/2016, (CAD)		12,514,894
	1,490,000	Province of Ontario, 5.000%, 3/08/2014, (CAD)		1,594,806
	83,490,000	Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD)		89,600,809

				361,142,104

		Lodging – 0.0%
	8,450,000	Wyndham Worldwide Corp., 5.750%, 2/01/2018		9,409,683

		Media Cable – 0.5%
	20,860,000	Comcast Corp., 6.950%, 8/15/2037		26,410,304
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		42,269,890
	26,541,000	Time Warner Cable, Inc., 6.750%, 7/01/2018		32,382,594

				101,062,788

		Media Non-Cable – 0.2%
	42,100,000	R.R. Donnelley & Sons Co., 8.250%, 3/15/2019		41,889,500

		Metals & Mining – 0.7%
	11,557,000	Alcoa, Inc., 5.720%, 2/23/2019		12,314,330
	4,935,000	Alcoa, Inc., 5.870%, 2/23/2022		5,142,028
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,994,640
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,600,908
	15,150,000	Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A		13,786,500
	9,473,000	ArcelorMittal, 6.125%, 6/01/2018		9,953,347
	8,135,000	ArcelorMittal, 6.750%, 3/01/2041		7,623,455
	3,635,000	ArcelorMittal, 7.000%, 10/15/2039		3,471,923
	11,175,000	United States Steel Corp., 6.050%, 6/01/2017		11,398,500
	9,625,000	United States Steel Corp., 6.650%, 6/01/2037		8,085,000
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		24,166,800
	37,725,000	United States Steel Corp., 7.500%, 3/15/2022		37,725,000

				142,262,431

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Mortgage Related – 0.0%
$	161,840		FHLMC, 5.000%, 12/01/2031	$	174,820

			Non-Captive Consumer – 4.3%
	3,100,000		AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		1,410,500
	86,353,000		Residential Capital LLC, 9.625%, 5/15/2015		73,400,050
	1,305,000		SLM Corp., 6.000%, 5/10/2012, (AUD)		1,347,468
	150,125	(††)	SLM Corp., 6.000%, 12/15/2043		3,284,360
	27,880,000		SLM Corp., MTN, 5.050%, 11/14/2014		28,570,755
	4,875,000		SLM Corp., MTN, 5.125%, 8/27/2012		4,911,533
	8,000,000		SLM Corp., MTN, 7.250%, 1/25/2022		8,358,592
	2,030,000		SLM Corp., MTN, 8.000%, 3/25/2020		2,192,400
	5,285,000		SLM Corp., Series A, MTN, 0.860%, 1/27/2014(b)		5,047,899
	76,745,000		SLM Corp., Series A, MTN, 5.000%, 10/01/2013		78,471,762
	57,166,000		SLM Corp., Series A, MTN, 5.000%, 4/15/2015		58,176,981
	23,623,000		SLM Corp., Series A, MTN, 5.000%, 6/15/2018		22,672,505
	28,262,000		SLM Corp., Series A, MTN, 5.375%, 1/15/2013		28,827,890
	29,550,000		SLM Corp., Series A, MTN, 5.375%, 5/15/2014		30,513,448
	45,279,000		SLM Corp., Series A, MTN, 5.625%, 8/01/2033		38,657,037
	140,870,000		SLM Corp., Series A, MTN, 8.450%, 6/15/2018		157,070,050
	38,381,000		Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR)		46,723,534
	4,690,000		Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		3,693,375
	11,370,000		Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012		10,915,200
	4,955,000		Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015		4,100,262
	23,472,000		Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013		21,652,920
	4,800,000		Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012		4,620,000
	935,000		Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		719,950
	351,315,000		Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017		274,025,700

					909,364,171

			Non-Captive Diversified – 4.9%
	4,145,000		Aircastle Ltd., 7.625%, 4/15/2020, 144A		4,145,000
	30,190,000		Ally Financial, Inc., 6.750%, 12/01/2014		31,624,025
	23,588,000		Ally Financial, Inc., 7.500%, 12/31/2013		25,062,250
	50,810,000		Ally Financial, Inc., 7.500%, 9/15/2020		54,874,800
	44,981,000		Ally Financial, Inc., 8.000%, 12/31/2018		47,792,312
	45,762,000		Ally Financial, Inc., 8.000%, 11/01/2031		50,452,605
	62,225,000		Ally Financial, Inc., 8.300%, 2/12/2015		67,747,469
	45,800,000		General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD)		38,156,685
	89,985,000		General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		77,861,145
	15,000,000		General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD)		11,954,847

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Non-Captive Diversified – continued
	84,065,000	General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD)	$	74,186,167
	22,590,000	General Electric Capital Corp., Series A, MTN, 0.867%, 5/13/2024(b)		17,955,526
	266,643,000	General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD)		228,034,206
	360,000	International Lease Finance Corp., 5.875%, 5/01/2013		368,100
	31,085,000	International Lease Finance Corp., 6.250%, 5/15/2019		30,683,351
	13,466,000	International Lease Finance Corp., 6.375%, 3/25/2013		13,836,315
	17,700,000	International Lease Finance Corp., 8.250%, 12/15/2020		19,473,717
	35,950,000	International Lease Finance Corp., 8.625%, 9/15/2015		39,545,000
	7,645,000	International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013		7,740,563
	3,545,000	International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014		3,607,038
	3,865,000	iStar Financial, Inc., 5.500%, 6/15/2012		3,845,675
	33,955,000	iStar Financial, Inc., 5.850%, 3/15/2017		29,795,513
	29,057,000	iStar Financial, Inc., 5.875%, 3/15/2016		26,042,336
	12,655,000	iStar Financial, Inc., 6.050%, 4/15/2015		11,579,325
	46,795,000	iStar Financial, Inc., 8.625%, 6/01/2013		46,444,037
	9,690,000	iStar Financial, Inc., Series B, 5.700%, 3/01/2014		8,817,900
	60,205,000	iStar Financial, Inc., Series B, 5.950%, 10/15/2013		57,345,262

				1,028,971,169

		Oil Field Services – 1.0%
	15,693,000	Nabors Industries, Inc., 6.150%, 2/15/2018		18,312,067
	134,360,000	Nabors Industries, Inc., 9.250%, 1/15/2019		172,481,963
	4,497,000	Parker Drilling Co., 9.125%, 4/01/2018		4,766,820
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		27,510,498

				223,071,348

		Packaging – 0.1%
	3,450,000	OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR)		4,727,799
	18,644,000	Owens-Illinois, Inc., 7.800%, 5/15/2018		20,927,890

				25,655,689

		Paper – 1.5%
	29,283,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		34,466,384
	32,327,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		39,430,955
	470,000	Georgia-Pacific LLC, 7.700%, 6/15/2015		549,269
	88,057,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		109,725,979
	4,784,000	Georgia-Pacific LLC, 8.000%, 1/15/2024		6,089,989
	16,307,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		21,998,844
	4,447,000	International Paper Co., 6.875%, 11/01/2023		5,014,877
	10,392,000	International Paper Co., 8.700%, 6/15/2038		14,085,057
	24,586,000	Westvaco Corp., 7.950%, 2/15/2031		26,621,180
	36,799,000	Westvaco Corp., 8.200%, 1/15/2030		40,753,568

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Paper – continued
$	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027	$	4,332,194
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		14,951,289

				318,019,585

		Pipelines – 2.2%
	27,325,000	DCP Midstream LP, 6.450%, 11/03/2036, 144A		30,431,279
	1,000,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		1,136,609
	7,325,000	Energy Transfer Partners LP, 6.125%, 2/15/2017		8,183,995
	11,435,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		11,862,212
	22,725,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		26,790,002
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		9,078,810
	31,400,000	IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		33,697,287
	54,221,388	Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c)		58,008,210
	116,405,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		106,070,564
	57,010,000	NiSource Finance Corp., 6.400%, 3/15/2018		66,776,896
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,461,998
	28,845,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		33,355,868
	56,655,000	Plains All American Pipeline LP, 6.650%, 1/15/2037		66,235,587
	1,945,000	Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A		1,551,137
	5,572,000	Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A		4,931,220

				459,571,674

		Property & Casualty Insurance – 0.6%
	22,060,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		23,260,638
	4,090,000	Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020		4,628,759
	16,825,000	Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A		17,452,505
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,800,000
	46,522,000	Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033		51,217,186
	12,885,000	MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A		7,795,425
	3,375,000	Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A		3,282,262
	12,080,000	White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A		12,654,694
	6,575,000	XL Group PLC, 6.250%, 5/15/2027		6,857,495
	2,110,000	XL Group PLC, 6.375%, 11/15/2024		2,333,400

				131,282,364

		Property Trust – 0.4%
	68,360,000	WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A		79,039,678

		Railroads – 0.0%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)		6,355,200
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)		55,704

				6,410,904

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Real Estate Operations/Development – 0.0%
$	7,750,000	First Industrial LP, 5.950%, 5/15/2017	$	7,526,498

		REITs – Apartments – 0.3%
	2,565,000	Camden Property Trust, 5.000%, 6/15/2015		2,749,660
	40,075,000	Camden Property Trust, 5.700%, 5/15/2017		44,821,323
	4,680,000	ERP Operating LP, 5.125%, 3/15/2016		5,127,520
	3,000,000	ERP Operating LP, 5.375%, 8/01/2016		3,336,798

				56,035,301

		REITs – Diversified – 0.0%
	5,720,000	Duke Realty LP, 5.950%, 2/15/2017		6,392,466

		REITs – Office Property – 0.3%
	57,890,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		61,525,724
	5,640,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		6,469,745

				67,995,469

		REITs – Regional Malls – 0.1%
	9,032,000	Simon Property Group LP, 5.750%, 12/01/2015		10,184,718
	1,690,000	Simon Property Group LP, 6.125%, 5/30/2018		1,989,737

				12,174,455

		REITs – Warehouse/Industrials – 0.1%
	6,022,000	ProLogis LP, 5.625%, 11/15/2015		6,558,072
	6,110,000	ProLogis LP, 5.625%, 11/15/2016		6,465,669
	6,375,000	ProLogis LP, 5.750%, 4/01/2016		6,949,164
	2,332,000	ProLogis LP, 6.625%, 5/15/2018		2,654,614
	1,595,000	ProLogis LP, 6.875%, 3/15/2020		1,832,151
	3,020,000	ProLogis LP, 7.375%, 10/30/2019		3,525,811

				27,985,481

		Retailers – 0.9%
	1,920,000	Dillard’s, Inc., 6.625%, 1/15/2018		1,963,200
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		4,375,800
	1,740,000	Dillard’s, Inc., 7.130%, 8/01/2018		1,831,350
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		7,074,270
	1,000,000	Dillard’s, Inc., 7.750%, 5/15/2027		970,000
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022		15,374,847
	5,160,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		5,282,550
	50,232,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		44,141,370
	2,798,000	J.C. Penney Corp., Inc., 7.125%, 11/15/2023		2,927,408
	5,580,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		5,022,000
	28,445,000	Macy’s Retail Holdings, Inc., 6.375%, 3/15/2037		32,038,770
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,935,585
	2,098,000	Macy’s Retail Holdings, Inc., 6.900%, 4/01/2029		2,446,891
	1,485,000	Macy’s Retail Holdings, Inc., 7.875%, 7/15/2015		1,747,349

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Retailers – continued
$	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A	$	9,557,000
	39,965,000	Toys R Us, Inc., 7.375%, 10/15/2018		35,868,587
	11,255,000	Toys R Us, Inc., 7.875%, 4/15/2013		11,648,925

				197,205,902

		Sovereigns – 2.0%
	10,000,000,000	Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR)		1,375,073
	25,000,000,000	Indonesia Treasury Bond, 10.250%, 7/15/2027, (IDR)		3,663,326
	88,974,000,000	Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR)		12,756,949
	498,832,000,000	Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR)		71,109,636
	317,658,000,000	Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR)		47,780,120
	378,003,000,000	Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR)		40,401,592
	98,690,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		64,605,741
	10,025,000	Republic of Brazil, 12.500%, 1/05/2016, (BRL)		6,628,598
	114,735,000	Republic of Brazil, 12.500%, 1/05/2022, (BRL)		83,468,778
	26,800,000	Republic of Croatia, 6.750%, 11/05/2019, 144A		26,900,500
	7,413,690,000	Republic of Iceland, 4.250%, 8/24/2012, (ISK)		38,623,780
	4,616,100,000	Republic of Iceland, 7.250%, 5/17/2013, (ISK)		24,782,687

				422,096,780

		Supermarkets – 0.6%
	3,675,000	American Stores Co., 7.900%, 5/01/2017		3,491,250
	13,145,000	American Stores Co., Series B, MTN, 7.100%, 3/20/2028		9,760,163
	100,590,000	New Albertson’s, Inc., 7.450%, 8/01/2029		76,951,350
	20,550,000	New Albertson’s, Inc., 7.750%, 6/15/2026		16,645,500
	13,925,000	New Albertson’s, Inc., 8.000%, 5/01/2031		10,548,187
	3,880,000	New Albertson’s, Inc., 8.700%, 5/01/2030		3,181,600
	17,575,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		12,390,375

				132,968,425

		Supranational – 2.1%
	8,660,000	European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL)		4,891,196
	8,516,200	European Financial Stability Facility, 0.400%, 3/12/2013, (EUR)		11,330,146
	8,516,200	European Financial Stability Facility, 1.000%, 3/12/2014, (EUR)		11,334,678
	11,505,000	European Investment Bank, 11.250%, 2/14/2013, (BRL)		6,498,565
	837,962,640,000	European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR)		86,243,071
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		19,751,703
	71,230,000	European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD)		76,956,712
	345,270,000,000	Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR)		35,384,133

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Supranational – continued
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)	$	164,421,287
	40,000,000	International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD)		32,132,692

				448,944,183

		Technology – 1.5%
	1,940,000	Advanced Micro Devices, Inc., 7.750%, 8/01/2020		2,134,000
	65,276,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		78,512,210
	11,600,000	Alcatel-Lucent, 8.500%, 1/15/2016, (EUR)		15,981,456
	1,000,000	Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR)		1,363,708
	82,222,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		64,955,380
	5,166,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,042,395
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		3,035,525
	12,555,000	Avnet, Inc., 5.875%, 3/15/2014		13,311,401
	50,915,000	Avnet, Inc., 6.000%, 9/01/2015		56,251,605
	15,245,000	Avnet, Inc., 6.625%, 9/15/2016		17,276,838
	10,821,000	Corning, Inc., 6.850%, 3/01/2029		12,554,881
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,746,108
	15,578,000	Equifax, Inc., 7.000%, 7/01/2037		18,158,807
	143,000	Freescale Semiconductor, Inc., 8.875%, 12/15/2014		146,754
	2,080,000	Freescale Semiconductor, Inc., 10.125%, 12/15/2016		2,220,400
	929,000	Motorola Solutions, Inc., 6.000%, 11/15/2017		1,071,462
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,655,634
	2,955,000	Nortel Networks Capital Corp., 7.875%, 6/15/2026(d)		3,213,563
	4,048,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		4,860,575
	40,000	Xerox Corp., 6.350%, 5/15/2018		46,410
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		715,211

				311,254,323

		Tobacco – 0.5%
	71,085,000	Reynolds American, Inc., 6.750%, 6/15/2017		84,680,575
	17,990,000	Reynolds American, Inc., 7.250%, 6/15/2037		20,987,116

				105,667,691

		Transportation Services – 0.4%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(c)		14,485,860
	19,862,358	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015		18,869,240
	6,552,024	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(f)		5,241,619
	9,547,471	Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020		9,547,471

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)			Description	Value (†)


	Bonds and Notes – continued

			Transportation Services – continued
$	176,161		Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014	$	176,161
	9,707,687		Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016		8,348,611
	15,689,997		Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)		11,924,398
	5,946,501		Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017		5,708,641
	201,720		Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(e)(f)		161,376
	2,675,000		Erac USA Finance Co., 7.000%, 10/15/2037, 144A		3,051,728

					77,515,105

			Treasuries – 17.6%
	164,160,000		Canadian Government, 1.750%, 3/01/2013, (CAD)		165,572,094
	587,055,000		Canadian Government, 2.000%, 9/01/2012, (CAD)		591,021,866
	414,487,000		Canadian Government, 3.500%, 6/01/2013, (CAD)		427,032,353
	94,395,000		Canadian Government, 3.750%, 6/01/2012, (CAD)		95,065,025
	246,645,000		Canadian Government, 3.750%, 6/01/2019, (CAD)		278,607,838
	297,760,000		Canadian Government, 4.250%, 6/01/2018, (CAD)		342,526,244
	126,665,000		Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF)		54,022,405
	170,925,000		Ireland Government Bond, 4.500%, 10/18/2018, (EUR)		205,607,004
	76,200,000		Ireland Government Bond, 4.500%, 4/18/2020, (EUR)		87,403,868
	10,600,000		Ireland Government Bond, 5.000%, 10/18/2020, (EUR)		12,426,217
	161,275,000		Ireland Government Bond, 5.400%, 3/13/2025, (EUR)		185,689,279
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR)		1,261,083
	1,050,000		Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR)		1,346,190
	1,045,000		Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR)		1,380,108
	28,585,700	(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		253,081,242
	33,000,000		New Zealand Government Bond, 6.000%, 12/15/2017, (NZD)		30,263,670
	271,370,000		New Zealand Government Bond, 6.500%, 4/15/2013, (NZD)		230,874,666
	668,075,000		Norwegian Government, 4.250%, 5/19/2017, (NOK)		130,143,673
	319,620,000		Norwegian Government, 5.000%, 5/15/2015, (NOK)		61,744,090
	2,599,880,000		Norwegian Government, 6.500%, 5/15/2013, (NOK)		480,946,413
	40,050,000		Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR)		30,590,048
	2,030,000		Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR)		1,246,762
	9,000,000		Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR)		7,188,523
	21,275,000		Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR)		16,414,625
	5,188,170,000		Republic of Iceland, 6.000%, 10/13/2016, (ISK)		27,628,086

					3,719,083,372

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Wireless – 0.9%
$	57,512,000	Nextel Communications, Inc., Series C, 5.950%, 3/15/2014	$	57,512,000
	40,092,000	Nextel Communications, Inc., Series D, 7.375%, 8/01/2015		38,688,780
	4,680,000	Nextel Communications, Inc., Series E, 6.875%, 10/31/2013		4,680,000
	41,804,000	Sprint Capital Corp., 6.875%, 11/15/2028		31,980,060
	38,286,000	Sprint Capital Corp., 6.900%, 5/01/2019		33,117,390
	8,390,000	Sprint Capital Corp., 8.750%, 3/15/2032		7,194,425
	15,252,000	Sprint Nextel Corp., 6.000%, 12/01/2016		13,612,410

				186,785,065

		Wirelines – 3.8%
	8,395,000	Axtel SAB de CV, 9.000%, 9/22/2019, 144A		6,841,925
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		6,845,661
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		4,648,228
	31,176,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		35,757,148
	3,940,000	BellSouth Telecommunications, Inc., 7.000%, 12/01/2095		4,581,735
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		110,272,729
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,283,666
	4,400,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		4,162,026
	1,000,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		800,000
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,829,024
	3,075,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,798,250
	730,000	Frontier Communications Corp., 9.000%, 8/15/2031		708,100
	17,205,000	GTE Corp., 6.940%, 4/15/2028		20,870,508
	1,600,000	Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP)		2,827,790
	2,750,000	Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR)		3,898,371
	10,655,000	Level 3 Financing, Inc., 8.625%, 7/15/2020, 144A		11,187,750
	68,090,000	Level 3 Financing, Inc., 8.750%, 2/15/2017		71,154,050
	3,545,000	Level 3 Financing, Inc., 9.375%, 4/01/2019		3,872,913
	950,000	OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR)		910,350
	24,010,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		22,335,435
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		46,273,972
	940,000	Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR)		1,156,313
	1,000,000	Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR)		1,130,421
	30,365,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		32,414,638
	64,147,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,312,601
	15,925,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,338,461
	40,420,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		39,210,310
	38,025,000	Qwest Corp., 6.875%, 9/15/2033		37,644,750
	1,505,000	Qwest Corp., 7.200%, 11/10/2026		1,516,288
	10,620,000	Qwest Corp., 7.250%, 9/15/2025		11,363,400
	2,890,000	Qwest Corp., 7.500%, 6/15/2023		2,918,900

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

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	$	38,279,120
	28,320,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		25,488,000
	4,300,000	Telecom Italia Capital S.p.A., EMTN, 5.875%, 5/19/2023, (GBP)		6,254,514
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,041,547
	14,590,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		14,341,824
	5,845,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		8,379,751
	17,000,000	Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)		26,609,237
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		49,969,476
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		30,270,148
	15,250,000	Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033		15,116,471
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,548,643
	7,860,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		8,116,755

				813,281,199


		Total Non-Convertible Bonds (Identified Cost $14,136,743,529)		15,545,300,560


	Convertible Bonds – 7.9%

		Airlines – 0.0%
	6,445,000	United Continental Holdings, Inc., 4.500%, 6/30/2021		5,898,142

		Automotive – 1.5%
	5,645,000	ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g)		4,706,519
	182,545,000	Ford Motor Co., 4.250%, 11/15/2016		289,333,825
	12,335,000	Navistar International Corp., 3.000%, 10/15/2014		13,599,337

				307,639,681

		Diversified Manufacturing – 0.3%
	44,380,000	Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A		43,436,925
	24,037,000	Trinity Industries, Inc., 3.875%, 6/01/2036		26,200,330

				69,637,255

		Electric – 0.0%
	1,000,000	CMS Energy Corp., 5.500%, 6/15/2029		1,595,000

		Healthcare – 0.4%
	32,436,000	Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g)		32,233,275
	285,000	LifePoint Hospitals, Inc., 3.250%, 8/15/2025		286,069
	2,510,000	LifePoint Hospitals, Inc., 3.500%, 5/15/2014		2,622,950
	2,144,000	Omnicare, Inc., 3.250%, 12/15/2035		2,060,920
	29,850,000	Omnicare, Inc., 3.750%, 12/15/2025		43,357,125

				80,560,339

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

		Home Construction – 0.3%
$	47,320,000	Lennar Corp., 3.250%, 11/15/2021, 144A	$	64,887,550

		Independent Energy – 0.2%
	27,750,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		22,442,813
	9,405,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		8,664,356

				31,107,169

		Life Insurance – 0.3%
	72,915,000	Old Republic International Corp., 3.750%, 3/15/2018		71,912,419

		Media Non-Cable – 0.0%
	9,985,426	Liberty Media LLC, 3.500%, 1/15/2031		6,028,701

		Metals & Mining – 0.1%
	1,255,000	Steel Dynamics, Inc., 5.125%, 6/15/2014		1,422,856
	16,535,000	United States Steel Corp., 4.000%, 5/15/2014		19,552,638

				20,975,494

		Pharmaceuticals – 0.9%
	51,585,000	Human Genome Sciences, Inc., 2.250%, 8/15/2012		51,713,962
	126,055,000	Human Genome Sciences, Inc., 3.000%, 11/15/2018		124,321,744
	9,615,000	Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015		11,021,194

				187,056,900

		REITs – Warehouse/Industrials – 0.2%
	28,230,000	ProLogis LP, 3.250%, 3/15/2015		31,935,187

		Technology – 3.0%
	6,480,000	Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025		6,366,600
	49,074,000	Ciena Corp., 0.875%, 6/15/2017		43,123,777
	8,030,000	Ciena Corp., 3.750%, 10/15/2018, 144A		9,063,863
	8,680,000	Ciena Corp., 4.000%, 3/15/2015, 144A		9,797,550
	11,651,000	Intel Corp., 2.950%, 12/15/2035		13,398,650
	343,275,000	Intel Corp., 3.250%, 8/01/2039		482,730,469
	10,025,000	Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012		10,175,375
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018, 144A		1,685,250
	3,545,000	Micron Technology, Inc., 1.875%, 6/01/2014		3,602,606
	58,415,000	Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A		61,992,919

				641,937,059

		Wirelines – 0.7%
	64,473,000	Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c)		84,137,265
	48,975,000	Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c)		63,912,375
	1,350,000	Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR)		1,647,452

				149,697,092


		Total Convertible Bonds (Identified Cost $1,326,545,789)		1,670,867,988

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Bonds and Notes – continued

	Municipals – 1.2%

		California – 0.2%
$	5,425,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028	$	4,374,991
	2,165,000	San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028		1,946,010
	5,805,000	State of California, 4.500%, 8/01/2030		5,933,465
	7,340,000	State of California, (AMBAC insured), 4.500%, 8/01/2027		7,541,410
	5,945,000	State of California, (AMBAC insured), 4.500%, 8/01/2030		6,076,563
	17,945,000	State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033		18,026,470

				43,898,909

		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047		6,353,718

		Illinois – 0.3%
	2,440,000	Chicago O’Hare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038		2,463,204
	69,245,000	State of Illinois, 5.100%, 6/01/2033		65,274,492

				67,737,696

		Michigan – 0.1%
	20,690,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c)		15,284,531

		Ohio – 0.0%
	10,390,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c)		7,766,005

		Virginia – 0.6%
	178,970,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c)		114,138,117

		Total Municipals (Identified Cost $309,396,350)		255,178,976


		Total Bonds and Notes (Identified Cost $15,772,685,668)		17,471,347,524


	Senior Loans – 1.7%

		Automotive – 0.1%
	24,665,000	TI Automotive Limited, New Term Loan, 6.750%, 3/14/2018(b)		24,711,370

		Electric – 0.0%
	6,935,533	Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.743%, 10/10/2014(b)		4,220,411

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)


	Senior Loans – continued

		Food & Beverage – 0.1%
$	20,379,207	DS Waters Enterprises, L.P., 1st Lien Term Loan, 10.500%, 8/29/2017(b)	$	20,053,139

		Media Non-Cable – 0.1%
	3,870,563	Dex Media West LLC, New Term Loan, 7.250%, 10/24/2014(b)		2,464,271
	43,030,378	SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b)		23,193,374

				25,657,645

		Non-Captive Diversified – 1.1%
	107,801,000	Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(b)		108,205,254
	124,000,000	Istar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b)		123,961,560

				232,166,814

		Wireless – 0.1%
	29,185,000	Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(b)		28,907,742

		Wirelines – 0.2%
	37,206,274	FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b)		30,550,444


		Total Senior Loans (Identified Cost $387,732,245)		366,267,565


	Shares

	Common Stocks – 5.4%

		Biotechnology – 0.3%
	1,409,794	Vertex Pharmaceuticals, Inc.(e)		57,815,652

		Chemicals – 0.3%
	750,000	PPG Industries, Inc.		71,850,000

		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(e)		15,066,157
	2,766	Rock-Tenn Co., Class A		186,871

				15,253,028

		Diversified Telecommunication Services – 0.2%
	269,619	FairPoint Communications, Inc.(e)		1,013,768
	403,884	Hawaiian Telcom Holdco, Inc.(e)		6,962,960
	2,629,337	Telefonica S.A., Sponsored ADR		43,147,420

				51,124,148

		Electronic Equipment, Instruments & Components – 0.0%
	630,490	Corning, Inc.		8,877,299

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Common Stocks – continued

		Media – 0.0%
	4,746	Dex One Corp.(e)	$	6,739
	79,727	SuperMedia, Inc.(e)		190,548

				197,287

		Oil, Gas & Consumable Fuels – 0.5%
	1,026,979	Chesapeake Energy Corp.		23,795,104
	813,333	Repsol YPF S.A., Sponsored ADR		20,317,058
	750,000	Royal Dutch Shell PLC, ADR		52,597,500

				96,709,662

		Pharmaceuticals – 1.4%
	3,372,358	Bristol-Myers Squibb Co.		113,817,083
	3,384,721	Valeant Pharmaceuticals International, Inc.(e)		181,725,670

				295,542,753

		Semiconductors & Semiconductor Equipment – 2.2%
	16,210,621	Intel Corp.		455,680,556

		Software – 0.4%
	2,568,090	Microsoft Corp.		82,820,902


		Total Common Stocks (Identified Cost $764,164,730)		1,135,871,287


	Preferred Stocks – 2.6%

	Convertible Preferred Stocks – 1.9%

		Automotive – 1.0%
	4,096,100	General Motors Co., Series B, 4.750%		171,421,785
	964,435	Goodyear Tire & Rubber Co. (The), 5.875%		39,956,542

				211,378,327

		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		25,278,135
	305,595	Sovereign Capital Trust IV, 4.375%		14,630,360
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		13,939,766

				53,848,261

		Construction Machinery – 0.0%
	166,574	United Rentals Trust I, 6.500%		8,984,585

		Consumer Products – 0.1%
	298,666	Newell Financial Trust I, 5.250%		14,111,969

		Electric – 0.1%
	346,577	AES Trust III, 6.750%		17,290,727

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		Independent Energy – 0.1%
	87,351	Chesapeake Energy Corp., 4.500%	$	8,005,719
	144,600	SandRidge Energy, Inc., 8.500%		17,764,110

				25,769,829

		Pipelines – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		15,015,231
	25,000	Williams Cos., Inc., 5.500%		4,339,063

				19,354,294

		REITs – Healthcare – 0.0%
	172,150	Health Care REIT, Inc., Series I, 6.500%		9,000,002

		Technology – 0.2%
	52,704	Lucent Technologies Capital Trust I, 7.750%		42,822,000


		Total Convertible Preferred Stocks (Identified Cost $412,016,057)		402,559,994


	Non-Convertible Preferred Stocks – 0.7%

		Banking – 0.2%
	53,000	Bank of America Corp., 6.375%		1,243,910
	1,226,700	Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875%		33,366,240
	534,725	Countrywide Capital IV, 6.750%		12,582,079

				47,192,229

		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		109,413
	100	Entergy Arkansas, Inc., 4.320%		8,497
	5,000	Entergy Mississippi, Inc., 4.360%		432,657
	665	Entergy New Orleans, Inc., 4.360%		55,299
	200	Entergy New Orleans, Inc., 4.750%		17,813
	49	MDU Resources Group, Inc., 5.100%		4,808
	50,100	Southern California Edison Co., 4.780%		1,202,901

				1,831,388

		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(g)		39,769,375

		Home Construction – 0.0%
	41,783	Hovnanian Enterprises, Inc., 7.625%(e)		163,789

		Non-Captive Consumer – 0.0%
	149,767	SLM Corp., Series A, 6.970%		6,851,840

		Non-Captive Diversified – 0.2%
	58,879	Ally Financial, Inc., Series G, 7.000%, 144A		49,051,730

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)


	Preferred Stocks – continued

		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%	$	2,644,693

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		9,126,378

		Total Non-Convertible Preferred Stocks (Identified Cost $114,102,339)		156,631,422


		Total Preferred Stocks (Identified Cost $526,118,396)		559,191,416


	Closed End Investment Companies – 0.0%
	337,212	Morgan Stanley Emerging Markets Debt Fund, Inc.		3,658,750
	680,008	Pyxis Credit Strategies Fund, Inc.		4,311,251


		Total Closed End Investment Companies (Identified Cost $12,785,948)		7,970,001


	Principal Amount (‡)

	Short-Term Investments – 3.3%
	4,674,500	European Financial Stability Facility Treasury Bill, 0.000%, 9/12/2012, (EUR)		6,222,970
$	58,166	Repurchase Agreement with State Street Bank and Trust Company, dated 3/30/2012 at 0.000% to be repurchased at $58,166 on 4/02/2012 collateralized by $57,700 U.S. Treasury Note, 1.500%, due 7/31/2016 valued at $59,341 including accrued interest (Note 2 of Notes to Financial Statements)		58,166
	686,425,179	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/2012 at 0.000% to be repurchased at $686,425,179 on 4/02/2012 collateralized by $265,000,000 Federal Home Loan Mortgage Corp., 0.540% due 9/22/2014 valued at $265,000,000; $50,000,000 Federal National Mortgage Association, 0.500% due 9/19/2014 valued at $50,062,500; $135,000,000 Federal National Mortgage Association, 0.540% due 9/26/2014 valued at $134,831,250; $109,510,000 U.S. Treasury Note, 2.625% due 6/30/2014 valued at $115,533,050; $24,995,000 U.S. Treasury Note, 0.500% due 10/15/2014 valued at $25,088,731; $103,560,000 U.S. Treasury Note, 2.375% due 10/31/2014 valued at $109,644,150 including accrued interest (Note 2 of Notes to Financial Statements)		686,425,179


		Total Short-Term Investments (Identified Cost $692,776,858)		692,706,315


		Total Investments – 95.5% (Identified Cost $18,156,263,845)(a)		20,233,354,108
		Other assets less liabilities – 4.5%		942,512,195

		Net Assets – 100.0%	$	21,175,866,303

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued




(‡)	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 (Amounts exclude certain adjustments made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
	At March 31, 2012, the net unrealized appreciation on investments based on a cost of $18,245,406,143 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	$	2,539,425,136
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(551,477,171	)

	Net unrealized appreciation	$	1,987,947,965

(b)	Variable rate security. Rate as of March 31, 2012 is disclosed.
(c)	Illiquid security. At March 31, 2012, the value of these securities amounted to $471,736,267 or 2.2% of net assets.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Non-income producing security.
(f)	Maturity has been extended under the terms of a plan of reorganization.
(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 March 31, 2012, the value of Rule 144A holdings amounted to $2,235,082,268 or 10.6% 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.

31 |

Portfolio of Investments – as of March 31, 2012 (Unaudited)

Loomis Sayles Bond Fund – continued

Industry Summary at March 31, 2012 (Unaudited)


Treasuries	17.6	%
Banking	8.1
Non-Captive Diversified	6.2
Technology	4.7
Wirelines	4.7
Non-Captive Consumer	4.3
Automotive	4.2
Electric	2.9
Healthcare	2.5
Pharmaceuticals	2.3
Pipelines	2.3
Semiconductors & Semiconductor Equipment	2.2
Supranational	2.1
Sovereigns	2.0
Other Investments, less than 2% each	26.1
Short-Term Investments	3.3

Total Investments	95.5
Other assets less liabilities	4.5

Net Assets	100.0	%

Currency Exposure at March 31, 2012 (Unaudited)


United States Dollar	63.5	%
Canadian Dollar	10.2
New Zealand Dollar	4.5
Euro	4.2
Norwegian Krone	3.2
Australian Dollar	2.8
Indonesian Rupiah	2.6
Other, less than 2% each	4.5

Total Investments	95.5
Other assets less liabilities	4.5

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Statement of Assets and Liabilities

March 31, 2012 (Unaudited)


ASSETS
Investments at cost	$	18,156,263,845
Net unrealized appreciation		2,077,090,263

Investments at value		20,233,354,108
Cash		7,718,500
Foreign currency at value (identified cost $6,322,220)		5,005,413
Receivable for Fund shares sold		58,495,892
Receivable for securities sold		612,969,452
Dividends and interest receivable		301,011,614
Tax reclaims receivable		384,292

TOTAL ASSETS		21,218,939,271

LIABILITIES
Payable for securities purchased		13,968,835
Payable for Fund shares redeemed		17,390,278
Foreign taxes payable (Note 2)		132,099
Management fees payable (Note 5)		9,130,406
Deferred Trustees’ fees (Note 5)		977,885
Administrative fees payable (Note 5)		810,396
Payable to distributor (Note 5d)		157,984
Other accounts payable and accrued expenses		505,085

TOTAL LIABILITIES		43,072,968

NET ASSETS	$	21,175,866,303

NET ASSETS CONSIST OF:
Paid-in capital	$	19,875,732,873
Distributions in excess of net investment income		(77,055,888	)
Accumulated net realized loss on investments and foreign currency transactions		(697,977,629	)
Net unrealized appreciation on investments and foreign currency translations		2,075,166,947

NET ASSETS	$	21,175,866,303


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	12,377,183,467

Shares of beneficial interest		843,270,826

Net asset value, offering and redemption price per share	$	14.68

Retail Class:
Net assets	$	8,504,722,789

Shares of beneficial interest		581,765,052

Net asset value, offering and redemption price per share	$	14.62

Admin Class:
Net assets	$	293,960,047

Shares of beneficial interest		20,163,731

Net asset value, offering and redemption price per share	$	14.58

See accompanying notes to financial statements.

33 |

Statement of Operations

For the Six Months Ended March 31, 2012 (Unaudited)


INVESTMENT INCOME
Interest	$	538,278,864
Dividends		35,490,287
Less net foreign taxes withheld		(1,139,473	)

		572,629,678

Expenses
Management fees (Note 5)		51,040,110
Service and distribution fees (Note 5)		10,963,335
Administrative fees (Note 5)		4,582,778
Trustees’ fees and expenses (Note 5)		242,243
Transfer Agent fees and expenses (Notes 5 and 6)		7,913,300
Audit and tax services fees		30,534
Custodian fees and expenses		547,562
Legal fees		150,391
Registration fees		258,460
Shareholder reporting expenses		356,576
Miscellaneous expenses		258,869

Total expenses		76,344,158

Net investment income		496,285,520


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		4,730,399
Foreign currency transactions		(661,308	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,256,805,280
Foreign currency translations		6,720,996

Net realized and unrealized gain on investments and foreign currency transactions		1,267,595,367


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,763,880,887

See accompanying notes to financial statements.

| 34

Statement of Changes in Net Assets


	Six Months Ended March 31, 2012 (Unaudited)			Year Ended September 30, 2011
FROM OPERATIONS:
Net investment income	$	496,285,520		$	984,704,731
Net realized gain on investments and foreign currency transactions		4,069,091			458,192,150
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		1,263,526,276			(822,652,340	)

Net increase in net assets resulting from operations		1,763,880,887			620,244,541

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(383,752,428	)		(627,062,160	)
Retail Class		(265,779,284	)		(433,707,815	)
Admin Class		(8,553,225	)		(13,290,620	)

Total distributions		(658,084,937	)		(1,074,060,595	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,002,631,419			(180,549,809	)

Net increase (decrease) in net assets		2,108,427,369			(634,365,863	)
NET ASSETS
Beginning of the period		19,067,438,934			19,701,804,797

End of the period	$	21,175,866,303		$	19,067,438,934

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(77,055,888	)	$	84,743,529

See accompanying notes to financial statements.

35 |

This Page Intentionally Left Blank

| 36

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
3/31/2012(g)	$	13.88	$	0.36	$	0.92		$	1.28		$	(0.48	)	$	—		$	(0.48	)
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
3/31/2012(g)		13.83		0.34		0.91			1.25			(0.46	)		—			(0.46	)
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
3/31/2012(g)		13.80		0.32		0.90			1.22			(0.44	)		—			(0.44	)
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)

(f)

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

(g)

For the six months ended March 31, 2012 (Unaudited).

(h)

Effective July 1, 2007, the Fund decreased its net expense limitations to 0.70%, 0.95% and 1.20% from 0.75%, 1.00% and 1.25% for the Institutional Class, Retail Class and Admin Class, respectively.

(i)

Includes fee/expense recovery of less than 0.01%.

(j)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

37 |


									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 (%)


$	—	$	14.68		9.27		$	12,377,183		0.64			0.64			5.11		9
	—		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	(h)		0.67			5.75		20


	—		14.62		9.15			8,504,723		0.93			0.93			4.82		9
	—		13.83		2.97			7,907,178		0.92			0.92			4.75		22
	—		14.15		15.72			8,241,062		0.93	(i)		0.93	(i)		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	(i)		0.94	(i)		6.49		26
	0.00		14.67		9.93			6,432,333		0.97	(h)		0.97			5.49		20


	—		14.58		8.97			293,960		1.19			1.19			4.56		9
	—		13.80		2.77			262,567		1.20	(j)		1.20	(j)		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	(h)(i)		1.23	(i)		5.20		20

See accompanying notes to financial statements.

| 38

Notes to Financial Statements

March 31, 2012 (Unaudited)

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.

Effective January 1, 2012, the name of the Fund’s administrator changed from Natixis Asset Management Advisors, L.P. to NGAM Advisors, L.P. (“NGAM Advisors”) and the name of the Fund’s distributor changed from Natixis Distributors, L.P. to NGAM Distribution, L.P. (“NGAM Distribution”).

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 period-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.

39 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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

| 40

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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.

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 March 31, 2012 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 six 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.

41 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

Permanent differences are primarily due to differing treatments for book and tax purposes 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, 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 year ended September 30, 2011 was as follows:


2011 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total
$1,074,060,595	$ —	$1,074,060,595

As of September 30, 2011, the capital loss carryforwards were as follows:


Capital loss carryforward:
Short-term:
Expires September 30, 2018	$	(628,747,521	)

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 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.

| 42

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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 six months ended March 31, 2012, 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;

•

43 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

•

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 March 31, 2012, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes
Non-Convertible Bonds
Non-Captive Consumer	$	3,284,360	$	906,079,811	$	—	$	909,364,171
All Other Non-Convertible Bonds(a)		—		14,635,936,389		—		14,635,936,389

Total Non-Convertible Bonds		3,284,360		15,542,016,200		—		15,545,300,560

Convertible Bonds(a)		—		1,670,867,988		—		1,670,867,988
Municipals(a)		—		255,178,976		—		255,178,976

Total Bonds and Notes		3,284,360		17,468,063,164		—		17,471,347,524

Senior Loans(a)		—		366,267,565		—		366,267,565
Common Stocks(a)		1,135,871,287		—		—		1,135,871,287
Preferred Stocks
Convertible Preferred Stocks
Banking		39,217,901		14,630,360		—		53,848,261
Construction Machinery		—		8,984,585		—		8,984,585
Consumer Products		—		14,111,969		—		14,111,969
Independent Energy		8,005,719		17,764,110		—		25,769,829
Pipelines		15,015,231		4,339,063		—		19,354,294
All Other Convertible Preferred Stocks(a)		280,491,056		—		—		280,491,056

Total Convertible Preferred Stocks		342,729,907		59,830,087		—		402,559,994

| 44

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks – continued
Non-Convertible Preferred Stocks
Electric	$	1,202,901	$	628,487	$	—	$	1,831,388
Government Sponsored		—		39,769,375		—		39,769,375
Non-Captive Diversified		—		49,051,730		—		49,051,730
REITs – Office Property		—		2,644,693		—		2,644,693
All Other Non-Convertible Preferred Stocks(a)		63,334,236		—		—		63,334,236

Total Non-Convertible Preferred Stocks		64,537,137		92,094,285		—		156,631,422

Total Preferred Stocks		407,267,044		151,924,372		—		559,191,416

Closed End Investment Companies		7,970,001		—		—		7,970,001
Short-Term Investments		—		692,706,315		—		692,706,315

Total	$	1,554,392,692	$	18,678,961,416	$	—	$	20,233,354,108

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

A preferred stock valued at $10,537,480 was transferred from Level 1 to Level 2 during the period ended March 31, 2012. At September 30, 2011, this security was valued at market price in accordance with the Fund’s valuation policy; at March 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

All transfers are recognized as of the beginning of the reporting period.

45 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of March 31, 2012:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2011		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
Non-Convertible Bonds
Consumer Cyclical Services	$	5,032,625	$	—	$	—		$	—	$	—
Technology		910,000		44,969		(2,133,583	)		2,371,227		—
Treasuries		1,072,828		29,021		(1,337,634	)		839,582		—
Preferred Stocks
Convertible Preferred Stocks
Electric		9,376,875		—		359,347			682,528		—
Independent Energy		14,460,000		—		—			—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		31,705,800		—		—			—		—

Total	$	62,558,128	$	73,990	$	(3,111,870	)	$	3,893,337	$	—

| 46

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)


Investments in Securities – continued	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2012		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2012
Bonds and Notes
Non-Convertible Bonds
Consumer Cyclical Services	$	—		$	—	$	(5,032,625	)	$	—	$	—
Technology		(1,192,613	)		—		—			—		—
Treasuries		(603,797	)		—		—			—		—
Preferred Stocks
Convertible Preferred Stocks
Electric		(10,418,750	)		—		—			—		—
Independent Energy		—			—		(14,460,000	)		—		—
Non-Convertible Preferred Stocks
Non-Captive Diversified		—			—		(31,705,800	)		—		—

Total	$	(12,215,160	)	$	—	$	(51,198,425	)	$	—	$	—

A debt security ($5,032,625) and preferred stocks ($46,165,800) valued at $51,198,425 were transferred from Level 3 to Level 2 during the period ended March 31, 2012. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the securities or did not provide a reliable price for securities; at March 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.

All transfers are recognized as of the beginning of the reporting period.

47 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

and Level 2, and the reasons for the transfers. Management is currently evaluating the impact, if any, the Level 3 disclosures may have on the Fund’s financial statements.

4. Purchases and Sales of Securities. For the six months ended March 31, 2012, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $1,824,404,391 and $1,009,255,767, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $588,768,723 and $605,134,704, 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 $3 billion	Next $12 billion	Over $15 billion
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, 2013 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 six months ended March 31, 2012, 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 six months ended March 31, 2012, the management fees for the Fund were $51,040,110 (effective rate of 0.51% of average daily net assets).

No expenses were recovered during the six months ended March 31, 2012 under the terms of the expense limitation agreement.

| 48

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

b. Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution 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 NGAM Distribution 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 NGAM Distribution in connection with the marketing or sale of Retail Class shares or for payments made by NGAM Distribution 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 NGAM Distribution 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 NGAM Distribution in connection with the marketing or sale of Admin Class shares or for payments made by NGAM Distribution 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 NGAM Distribution 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 six months ended March 31, 2012, the Fund paid the following service and distribution fees:

49 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

c. Administrative Fees. NGAM Advisors provides certain administrative services for the Fund and contracts with State Street Bank to serve as sub-administrator. NGAM 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 NGAM Advisors, the Fund pays NGAM 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 six months ended March 31, 2012, the Fund paid $4,582,778 in administrative fees to NGAM Advisors.

d. Sub-Transfer Agent Fees. NGAM Distribution 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 has agreed to reimburse NGAM Distribution for 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 being held through the intermediaries.

For the six months ended March 31, 2012, 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
$2,852,888	$3,596,639	$149,679

As of March 31, 2012, the Fund owes NGAM Distribution the following reimbursements for sub-transfer agent fees:


Reimbursements of Sub-Transfer Agent Fees
Institutional Class	Retail Class	Admin Class
$67,734	$86,678	$3,572

| 50

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

the Board receives a retainer fee at the annual rate of $265,000. 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 $95,000. 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 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.

f. Affiliated Ownership. At March 31, 2012, 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% and 0.15% of net assets, respectively.

6. Class Specific Expenses. For the six months ended March 31, 2012, 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
$3,406,707	$4,347,463	$159,130

51 |

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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. Effective April 19, 2012, the commitment fee will be 0.10% per annum.

For the six months ended March 31, 2012, 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.

9. Concentration of Ownership. Shares held in omnibus accounts may be beneficially held by one or more individuals or entities other than the owner of record. As of March 31, 2012, the Fund had one omnibus account representing ownership of more than 25% of the Fund’s total outstanding shares. The number of omnibus accounts representing ownership of more than 25% of total outstanding shares of the fund, based on accounts that represent more than 25% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings was as follows:

Number of 25%

Omnibus Accounts

Percentage of

Ownership

35.53%

| 52

Notes to Financial Statements – continued

March 31, 2012 (Unaudited)

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:


	Six Months Ended March 31, 2012						Year Ended September 30, 2011
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		145,385,890		$	2,085,891,662			206,070,542		$	2,996,892,553
Issued in connection with the reinvestment of distributions		24,208,933			341,467,561			38,018,239			551,093,903
Redeemed		(111,189,835	)		(1,582,519,851	)		(247,570,544	)		(3,586,490,923	)

Net change		58,404,988		$	844,839,372			(3,481,763	)	$	(38,504,467	)

Retail Class
Issued from the sale of shares		88,667,357		$	1,263,996,683			152,512,839		$	2,212,444,914
Issued in connection with the reinvestment of distributions		18,478,976			259,414,491			28,322,257			409,047,393
Redeemed		(97,051,920	)		(1,381,955,190	)		(191,624,020	)		(2,766,218,079	)

Net change		10,094,413		$	141,455,984			(10,788,924	)	$	(144,725,772	)

Admin Class
Issued from the sale of shares		4,258,495		$	60,329,029			5,958,423		$	86,183,597
Issued in connection with the reinvestment of distributions		555,392			7,777,354			837,745			12,063,830
Redeemed		(3,682,188	)		(51,770,320	)		(6,625,444	)		(95,566,997	)

Net change		1,131,699		$	16,336,063			170,724		$	2,680,430

Increase (decrease) from capital share transactions		69,631,100		$	1,002,631,419			(14,099,963	)	$	(180,549,809	)

53 |

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

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 Trust’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 was no change 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)	Not applicable.

(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)		Certifications 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: May 18, 2012

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: May 18, 2012

By: /s/ Michael C. Kardok

Name: Michael C. Kardok

Title: Treasurer

Date: May 18, 2012

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