Loomis Sayles Funds I NCSRS Certified 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, 2016

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:

LOGO

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

Semiannual Report

March 31, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			10
Financial Statements			59
Notes to Financial Statements			72

LOOMIS SAYLES FIXED INCOME FUND


Managers	Symbol
Matthew J. Eagan, CFA^®	Institutional Class	LSFIX
Daniel J. Fuss, CFA^®, CIC
Elaine M. Stokes

Objective

The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years

Institutional Class (Inception 1/17/95)		2.26	%		-2.49	%		4.68	%		6.81	%

Comparative Performance
Barclays U.S. Government/Credit Bond Index¹		2.70			1.75			4.04			4.93

Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. 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. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

Barclays 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.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

1 |

LOOMIS SAYLES GLOBAL BOND FUND


Managers	Symbols
Kenneth M. Buntrock, CFA^®, CIC	Institutional Class	LSGBX
David W. Rolley, CFA^®	Retail Class	LSGLX
Lynda L. Schweitzer, CFA^®	Class N	LSGNX
Scott M. Service, CFA^®

Objective

The Fund’s investment objective is high total investment return through a combination of high current income and capital appreciation.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years			Life of Class N

Institutional Class (Inception 5/10/91)		4.20	%		1.69	%		1.40	%		4.43	%		—	%

Retail Class (Inception 12/31/96)		4.05			1.45			1.15			4.14			—

Class N (Inception 2/1/13)		4.26			1.82			—			—			-0.47

Comparative Performance
Barclays Global Aggregate Bond Index¹		4.92			4.57			1.81			4.35			0.47

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

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND


Managers	Symbols
Elaine Kan, CFA^®	Institutional Class	LSGSX
Kevin P. Kearns	Retail Class	LIPRX
Maura T. Murphy, CFA^®

Objective

The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016³



	6 months			1 year			5 years			10 years

Institutional Class (Inception 5/20/91)		3.52	%		1.23	%		2.60	%		4.24	%

Retail Class (Inception 5/28/10)¹		3.27			0.88			2.32			3.94

Comparative Performance
Barclays U.S. Treasury Inflation Protected Securities Index²		3.79			1.51			3.02			4.62

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.

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

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

3 |

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND


Managers	Symbol
Matthew J. Eagan, CFA^®	Institutional Class	LSHIX
Daniel J. Fuss, CFA^®, CIC
Elaine M. Stokes

Objective

The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years

Institutional Class (Inception 6/5/96)		-0.85	%		-8.73	%		4.39	%		6.92	%

Comparative Performance
Barclays U.S. Corporate High-Yield Bond Index¹		1.22			-3.69			4.93			7.01

Barclays 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.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND


Managers	Symbols
Christopher T. Harms	Institutional Class	LSDIX
Clifton V. Rowe, CFA^®	Retail Class	LSDRX
Kurt L. Wagner, CFA^®, CIC

Objective

The Fund’s investment objective is above-average total return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016⁴



	6 months			1 year			5 years			10 years

Institutional Class (Inception 1/28/98)³		1.44	%		1.39	%		3.35	%		5.08	%

Retail Class (Inception 5/28/10)^1,3		1.31			1.14			3.05			4.80

Comparative Performance
Barclays U.S. Intermediate Government/Credit Bond Index²		1.74			2.06			3.01			4.34

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.

Barclays 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.

The Fund revised its investment strategy on May 28, 2010; performance may have been different had the current investment strategy been in place for all periods shown.

⁴

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

5 |

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND


Managers	Symbols
Matthew J. Eagan, CFA^®	Institutional Class	LSIGX
Daniel J. Fuss, CFA^®, CIC
Brian P. Kennedy
Elaine M. Stokes

Objective

The Fund’s investment objective is above-average total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years

Institutional Class (Inception 7/1/94)		3.77	%		-0.04	%		4.02	%		6.57	%

Comparative Performance
Barclays U.S. Government/Credit Bond Index¹		2.70			1.75			4.04			4.93

Barclays 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.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

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ADDITIONAL INFORMATION

Additional Index Information

This document may contain references to third party copyrights, indexes, and trademarks, each of which is the property of its respective owner. Such owner is not affiliated with Natixis Global Asset Management or any of its related or affiliated companies (collectively “NGAM”) and does not sponsor, endorse or participate in the provision of any NGAM services, funds or other financial products.

The index information contained herein is derived from third parties and is provided on an “as is” basis. The user of this information assumes the entire risk of use of this information. Each of the third party entities involved in compiling, computing or creating index information disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to such information.

Proxy Voting Information

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and 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 months ended June 30, 2015 is available on the Funds’ website and 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. Certain exemptions may apply. These costs are described in more detail in each Fund’s prospectus. The following examples 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, 2015 through March 31, 2016. 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 = 8.60) 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 to 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.

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,022.60		$2.88
Hypothetical (5% return before expenses)		$1,000.00		$1,022.15		$2.88
* Expenses are equal to the Fund’s annualized expense ratio of 0.57%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

7 |

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,042.00		$3.83
Hypothetical (5% return before expenses)		$1,000.00		$1,021.25		$3.79

Retail Class
Actual		$1,000.00		$1,040.50		$5.10
Hypothetical (5% return before expenses)		$1,000.00		$1,020.00		$5.05

Class N
Actual		$1,000.00		$1,042.60		$3.32
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): 0.75%, 1.00% and 0.65% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,035.20		$2.04
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02

Retail Class
Actual		$1,000.00		$1,032.70		$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 (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$991.50		$3.39
Hypothetical (5% return before expenses)		$1,000.00		$1,021.60		$3.44
* Expenses are equal to the Fund’s annualized expense ratio of 0.68%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Intermediate Duration Bond Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,014.40		$2.01
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02

Retail Class
Actual		$1,000.00		$1,013.10		$3.27
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 (183), divided by 366 (to reflect the half-year period).

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Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,037.70		$2.45
Hypothetical (5% return before expenses)		$1,000.00		$1,022.60		$2.43
* Expenses are equal to the Fund’s annualized expense ratio of 0.48%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

9 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 88.1% of Net Assets

	Non-Convertible Bonds – 80.1%

		ABS Other – 0.2%
$	1,054,167	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	927,456
	388,810	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		318,435
	1,855,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		383,057
	893,486	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A		853,259

				2,482,207

		Aerospace & Defense – 2.1%
	11,120,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		8,340,000
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		122,500
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		651,000
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,805,000
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,768,000
	245,000	Textron, Inc., 5.600%, 12/01/2017		257,433
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,774,146
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,476,503
	1,468,000	TransDigm, Inc., 6.500%, 7/15/2024		1,456,550
	1,375,000	TransDigm, Inc., 6.500%, 5/15/2025		1,344,062

				24,995,194

		Airlines – 3.6%
	5,550,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		4,481,665
	664,384	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		644,453
	13,360,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		13,593,800
	11,515,000	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		11,485,061
	1,050,537	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		1,072,714
	342,434	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		346,828
	789,523	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		794,283
	208,017	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		211,150
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,834,431

		Airlines – continued
	8,020	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		8,406
	205,320	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		214,560
	196,357	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		206,318
	767,169	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		803,609
	1,639,772	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		1,693,065
	1,245,512	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,439,344
	838,792	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		937,350
	450,751	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		498,080
	2,056,290	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		2,178,392
	343,981	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		347,421
	535,478	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		535,478

				43,326,408

		Automotive – 3.2%
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,816,282
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,122,647
	165,000	Ford Motor Co., 6.625%, 2/15/2028		191,992
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		5,134,653
	690,000	Ford Motor Co., 7.125%, 11/15/2025		835,579
	2,245,000	Ford Motor Co., 7.400%, 11/01/2046		2,869,267
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,455,577
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		2,053,996
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		633,555
	9,685,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		10,257,665
	495,000	General Motors Co., 5.200%, 4/01/2045		465,336
	830,000	General Motors Co., 6.750%, 4/01/2046		943,518
	2,175,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,247,921
	2,865,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		2,996,578
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		401,250

See accompanying notes to financial statements.

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Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Automotive – continued
$	515,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A	$	478,950

				38,904,766

		Banking – 12.1%
	6,735,000	Ally Financial, Inc., 5.125%, 9/30/2024		6,886,537
	1,460,000	Ally Financial, Inc., 8.000%, 12/31/2018		1,576,800
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,306,440
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		2,070,700
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,137,879
	5,600,000	Bank of America Corp., 6.110%, 1/29/2037		6,439,306
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,236,006
	1,700,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		1,714,283
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,615,005
	14,790,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		11,678,605
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(e)		1,942,324
	1,450,000	BNP Paribas S.A., (fixed rate to 4/12/2016, variable rate thereafter), 4.730%, (EUR)(e)		1,649,955
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e)		2,502,754
	2,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(e)		4,238,867
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(e)		1,080,000
	1,050,000	BNP Paribas S.A., (fixed rate to 7/13/2016, variable rate thereafter), 5.954%, (GBP)(e)		1,508,062
	3,340,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		2,407,502
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		10,154,374
	200,000	Citigroup, Inc., EMTN, 1.069%, 11/30/2017, (EUR)(f)		227,189
	6,560,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,319,977
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		4,950,937
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,169,332

		Banking – continued
$	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A	$	6,596,125
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,543,035
	18,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		1,348,643
	8,450,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045, 144A		8,278,634
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.321%, 9/14/2018, (EUR)(f)		55,700
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		353,730
	5,125,000	Morgan Stanley, 2.125%, 4/25/2018		5,160,532
	1,360,000	Morgan Stanley, 2.500%, 1/24/2019		1,383,752
	2,120,000	Morgan Stanley, 3.750%, 2/25/2023		2,208,966
	300,000	Morgan Stanley, 4.350%, 9/08/2026		308,724
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,193,423
	3,115,000	Morgan Stanley, 5.750%, 1/25/2021		3,565,479
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		3,935,202
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		74,425
	13,040,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		13,447,422
	900,000	Morgan Stanley, Series F, MTN, 1.070%, 10/18/2016(f)		899,430
	3,950,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		3,135,182
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e)		199,460
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e)		2,705,926
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		1,944,576
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e)		2,233,875
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		58,175
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		811,749
	150,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		168,978
	800,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		805,436

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(e)	$	1,212,750
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,664,390

				146,106,553

		Brokerage – 1.3%
	549,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		465,278
	2,890,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		2,485,400
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,290,977
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,236,784
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		2,949,407
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,902,428
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,856,620

				15,186,894

		Building Materials – 1.0%
	4,135,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,059,900
	240,000	Masco Corp., 5.850%, 3/15/2017		251,100
	2,600,000	Masco Corp., 6.125%, 10/03/2016		2,663,050
	800,000	Masco Corp., 6.500%, 8/15/2032		816,000
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,623,263
	815,000	Masco Corp., 7.750%, 8/01/2029		920,950
	2,400,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(g)		306,203
	10,000	Owens Corning, 6.500%, 12/01/2016		10,215
	2,050,000	Owens Corning, 7.000%, 12/01/2036		2,264,735

				11,915,416

		Cable Satellite – 0.9%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		692,431
	45,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		39,362
	3,035,000	DISH DBS Corp., 5.000%, 3/15/2023		2,678,387
	715,000	DISH DBS Corp., 5.875%, 11/15/2024		656,013
	375,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		332,890
	1,500,000	Time Warner Cable, Inc., 6.550%, 5/01/2037		1,643,756
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		4,130,007
	800,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		822,000

				10,994,846

		Chemicals – 2.0%
	3,845,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A		3,133,675

		Chemicals – continued
	710,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		568,000
	9,550,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		9,096,375
	5,240,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)		1,310,000
	275,000	Hexion, Inc., 8.875%, 2/01/2018		188,375
	905,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		253,400
	7,395,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,976,488
	6,830,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		6,556,800
	620,000	Methanex Corp., 5.250%, 3/01/2022		586,236

				24,669,349

		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(g)		1,122,211
	1,155,000	United Rentals North America, Inc., 7.625%, 4/15/2022		1,230,075

				2,352,286

		Consumer Products – 0.0%
	880,000	Avon Products, Inc., 8.700%, 3/15/2043		580,800

		Diversified Manufacturing – 0.0%
	45,000	General Electric Co., GMTN, 3.100%, 1/09/2023		47,651

		Electric – 3.7%
	1,970,000	AES Corp. (The), 4.875%, 5/15/2023		1,896,125
	415,000	AES Corp. (The), 5.500%, 3/15/2024		405,663
	180,000	AES Corp. (The), 5.500%, 4/15/2025		173,475
	2,360,028	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,617,590
	3,194,529	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		3,012,889
	2,850,000	DPL, Inc., 6.750%, 10/01/2019		2,892,750
	4,120,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		4,125,768
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,617,654
	5,455,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		5,768,662
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,256,346
	1,589,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		1,986,569
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,460,056
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		128,234
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,326,728
	4,000,000	Enersis Americas S.A., 7.400%, 12/01/2016		4,141,048
	1,762,849	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(g)		1,937,697

				44,747,254

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – 4.8%
$	300,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A	$	120,000
	1,345,000	General Electric Co., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		945,199
	2,390,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		1,684,988
	1,680,000	International Lease Finance Corp., 4.625%, 4/15/2021		1,722,000
	3,045,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,303,825
	4,695,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,006,044
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,346,450
	945,000	iStar, Inc., 4.875%, 7/01/2018		913,106
	225,000	iStar, Inc., 5.850%, 3/15/2017		229,500
	935,000	iStar, Inc., 7.125%, 2/15/2018		946,688
	1,525,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,515,469
	3,903,000	Navient Corp., 5.875%, 10/25/2024		3,307,792
	5,900,000	Navient Corp., MTN, 6.125%, 3/25/2024		5,074,000
	2,167,000	Navient LLC, 4.875%, 6/17/2019		2,091,155
	4,668,000	Navient LLC, 5.500%, 1/25/2023		3,967,800
	31,725(††)	Navient LLC, 6.000%, 12/15/2043		615,042
	726,000	Navient LLC, MTN, 5.500%, 1/15/2019		713,295
	145,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		142,825
	5,185,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(g)		3,655,425
	4,681,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		5,014,521
	1,950,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,891,500
	1,225,000	Springleaf Finance Corp., 5.250%, 12/15/2019		1,169,875
	3,770,000	Springleaf Finance Corp., 6.000%, 6/01/2020		3,619,200
	1,805,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,770,885
	725,000	Springleaf Finance Corp., 8.250%, 10/01/2023		699,625
	300,000	Springleaf Finance Corp., MTN, 5.750%, 9/15/2016		302,250
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		2,147,250

				57,915,709

		Food & Beverage – 0.4%
	2,445,000	Constellation Brands, Inc., 4.750%, 11/15/2024		2,548,912
	1,995,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		2,259,338

				4,808,250


		Government Owned – No Guarantee – 0.3%
	1,715,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		1,666,397
	1,605,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,171,168
	965,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		627,250

				3,464,815

		Healthcare – 2.7%
	650,000	BioScrip, Inc., 8.875%, 2/15/2021		549,250
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		436,936
	610,000	HCA, Inc., 5.875%, 3/15/2022		660,325
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		5,201,800
	3,545,000	HCA, Inc., 7.050%, 12/01/2027		3,633,625
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,563,500
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,540,800
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,859,500
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,475,300
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,164,400
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		460,100
	1,425,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,428,562
	2,245,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,256,225
	3,685,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		3,643,544
	1,285,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,230,388
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,431,094

				32,535,349

		Home Construction – 1.3%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		429,000
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(g)		184,950
	4,276,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		2,651,120
	835,000	KB Home, 8.000%, 3/15/2020		874,663
	4,235,000	Lennar Corp., 4.500%, 6/15/2019		4,372,637
	3,920,000	PulteGroup, Inc., 6.000%, 2/15/2035		3,812,200
	3,020,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,080,400
	760,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		754,300
	15,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		14,906

				16,174,176

		Independent Energy – 1.6%
	3,230,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		3,286,079
	1,915,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		2,006,872
	370,000	California Resources Corp., 5.000%, 1/15/2020		85,100
	6,085,000	California Resources Corp., 5.500%, 9/15/2021		1,338,700
	810,000	California Resources Corp., 6.000%, 11/15/2024		182,250

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	3,105,000	Chesapeake Energy Corp., 4.875%, 4/15/2022	$	1,086,750
	335,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		113,900
	1,135,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		436,975
	720,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		280,800
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		390,538
	550,000	Chesapeake Energy Corp., 7.250%, 12/15/2018		299,750
	980,000	Continental Resources, Inc., 3.800%, 6/01/2024		774,200
	185,000	Continental Resources, Inc., 4.500%, 4/15/2023		154,706
	2,015,000	Halcon Resources Corp., 8.875%, 5/15/2021		352,625
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		5,582,813
	500,000	QEP Resources, Inc., 5.250%, 5/01/2023		435,000
	690,000	Rice Energy, Inc., 6.250%, 5/01/2022		600,300
	1,600,000	RSP Permian, Inc., 6.625%, 10/01/2022		1,576,000
	1,221,000	SM Energy Co., 6.125%, 11/15/2022		890,109

				19,873,467

		Industrial Other – 0.2%
	385,000	AECOM, 5.750%, 10/15/2022		399,437
	405,000	AECOM, 5.875%, 10/15/2024		417,150
	660,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		674,850
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,086,750

				2,578,187

		Life Insurance – 1.5%
	160,000	American International Group, Inc., 4.125%, 2/15/2024		166,721
	130,000	American International Group, Inc., 4.875%, 6/01/2022		142,953
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e)		3,783,250
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		251,671
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		4,731,392
	790,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		578,675
	1,940,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		1,440,450
	840,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		562,800
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		3,078,688
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,694,800

		Life Insurance – continued
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,346,713

				17,778,113

		Local Authorities – 2.3%
	830,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		662,208
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		7,916,101
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		3,382,610
	70,453	Province of Alberta, 5.930%, 9/16/2016, (CAD)		55,490
	19,825,000	Province of Ontario Canada, 4.200%, 3/08/2018, (CAD)		16,229,558

				28,245,967

		Media Entertainment – 1.0%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,143,926
	3,805,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		2,644,475
	500,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		512,500
	1,250,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		1,303,125
	2,475,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		2,029,500
	120,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		102,600
	4,030,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		3,727,750
	295,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		297,213

				11,761,089

		Metals & Mining – 1.3%
	2,602,232	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(g)(h)(i)		260
	1,400,000	Alcoa, Inc., 5.870%, 2/23/2022		1,399,566
	400,000	Alcoa, Inc., 5.900%, 2/01/2027		380,000
	6,630,000	ArcelorMittal, 7.750%, 3/01/2041		5,668,650
	3,300,000	ArcelorMittal, 8.000%, 10/15/2039		2,871,000
	1,659,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		696,780
	2,015,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(g)(i)		60,450
	2,525,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		1,691,750
	1,400,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		994,000
	1,580,000	United States Steel Corp., 6.650%, 6/01/2037		884,800
	1,760,000	United States Steel Corp., 7.500%, 3/15/2022		1,254,880

				15,902,136

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Midstream – 1.8%
$	575,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A	$	368,288
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		276,301
	3,000,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025		3,025,050
	2,860,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		2,890,579
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,492,288
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		335,789
	1,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,411,814
	95,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		77,900
	375,000	ONEOK Partners LP, 4.900%, 3/15/2025		353,300
	115,000	ONEOK Partners LP, 6.200%, 9/15/2043		104,694
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,843,673
	7,195,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026, 144A		8,229,051
	1,280,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		1,139,200

				21,547,927

		Non-Agency Commercial Mortgage-Backed Securities – 0.4%
	1,061,000	Column Canada Issuer Corp., Series 2006-WEM, Class D, 5.101%, 1/15/2022, (CAD)		822,731
	530,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.794%, 8/10/2045(f)		504,948
	1,070,699	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		823,410
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(f)		1,020,352
	2,151,594	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(g)		2,016,474

				5,187,915

		Oil Field Services – 0.2%
	6,230,000	FTS International, Inc., 6.250%, 5/01/2022		685,300
	3,050,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(g)(i)		800,625
	1,317,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(g)(i)		352,297
	775,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		56,188
	400,000	Transocean, Inc., 4.300%, 10/15/2022		221,000

				2,115,410


		Packaging – 1.4%
	3,550,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 5.625%, 12/15/2016, 144A		3,538,906
	11,450,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		11,364,125
	200,000	Sealed Air Corp., 4.875%, 12/01/2022, 144A		208,000
	1,910,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		2,003,113

				17,114,144

		Paper – 1.1%
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,687,370
	5,492,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,508,607
	350,000	WestRock MWV LLC, 7.950%, 2/15/2031		436,316
	1,035,000	WestRock MWV LLC, 8.200%, 1/15/2030		1,333,233

				12,965,526

		Property & Casualty Insurance – 1.1%
	3,565,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		4,072,531
	1,630,000	MBIA Insurance Corp., 11.882%, 1/15/2033, 144A(d)(f)		562,350
	3,275,000	Old Republic International Corp., 4.875%, 10/01/2024		3,406,672
	2,140,000	Sirius International Group, 6.375%, 3/20/2017, 144A		2,195,109
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,676,616
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,321,998

				13,235,276

		Railroads – 0.7%
	7,100,000	Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(f)(g)		7,867,013
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(g)		478,117

				8,345,130

		REITs – Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,555,951

		REITs – Diversified – 0.0%
	20,000	Duke Realty LP, 5.950%, 2/15/2017		20,726

		REITs – Office Property – 0.3%
	3,485,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		3,609,063
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		522,550

				4,131,613

		REITs – Single Tenant – 0.1%
	275,000	Realty Income Corp., 5.750%, 1/15/2021		309,026
	725,000	Realty Income Corp., 6.750%, 8/15/2019		826,609

				1,135,635

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Restaurants – 0.1%
	450,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)	$	682,667

		Retailers – 0.6%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,175,179
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022(c)		1,238,015
	440,000	GameStop Corp., 5.500%, 10/01/2019, 144A		422,400
	793,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		652,243
	1,680,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,726,200
	2,305,000	Toys “R” Us, Inc., 7.375%, 10/15/2018		1,832,475

				7,046,512

		Sovereigns – 0.5%
	5,980,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		6,016,837

		Supermarkets – 1.4%
	1,781,000	Albertson’s Holdings LLC/Safeway, Inc., 7.750%, 10/15/2022, 144A		1,927,933
	7,570,000	New Albertson’s, Inc., 7.450%, 8/01/2029		6,869,775
	2,135,000	New Albertson’s, Inc., 7.750%, 6/15/2026		1,990,887
	3,780,000	New Albertson’s, Inc., 8.000%, 5/01/2031		3,548,475
	455,000	New Albertson’s, Inc., 8.700%, 5/01/2030		436,800
	2,020,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,706,900

				16,480,770

		Supranational – 1.2%
	7,000,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		525,980
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		14,394,136

				14,920,116

		Technology – 1.4%
	925,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		605,875
	2,415,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,565,937
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		82,400
	2,950,000	Amkor Technology, Inc., 6.375%, 10/01/2022		2,817,250
	130,000	Avnet, Inc., 6.625%, 9/15/2016		132,982
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,328,775
	2,095,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045, 144A		2,058,926
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		166,201

		Technology – continued
	694,800	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		886,346
	5,585,000	Western Digital Corp., 7.375%, 4/01/2023, 144A(j)		5,696,700

				16,341,392

		Transportation Services – 0.2%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(g)		1,675,000
	241,523	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(c)		245,749
	143,070	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(c)		143,070
	138,101	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 1/02/2018(c)		140,172

				2,203,991

		Treasuries – 16.4%
	29,780,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		22,858,429
	13,195,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		10,213,311
	31,645,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		24,403,016
	10,950,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		8,573,839
	8,305,000	Canadian Government, 1.750%, 9/01/2019, (CAD)		6,645,918
	8,185,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		6,358,807
	414,800(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		2,427,295
	424,300(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		2,579,067
	200,000(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,305,237
	595,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		3,821,701
	847,500(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		5,580,011
	150,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,038,785
	1,455,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		10,811,212
	21,085,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		15,794,480
	10,220,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,425,294
	63,235,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		7,967,517
	14,660,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		1,995,427

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	10,150,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)	$	2,159,484
	14,635,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		3,195,104
	264,630,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		1,469,799
	107,395,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		643,177
	271,710,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		1,625,882
	30,000,000	U.S. Treasury Note, 0.375%, 4/30/2016		30,003,000
	25,000,000	U.S. Treasury Note, 0.375%, 5/31/2016		25,003,900

				197,899,692

		Wireless – 0.6%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		3,990,200
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		1,917,710
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		234,750
	898,000	Sprint Communications, Inc., 6.000%, 12/01/2016		892,387
	735,000	Sprint Communications, Inc., 6.000%, 11/15/2022		537,469
	285,000	Sprint Corp., 7.125%, 6/15/2024		211,613

				7,784,129

		Wirelines – 2.8%
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		189,132
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		701,922
	210,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		195,334
	3,880,000	CenturyLink, Inc., 6.450%, 6/15/2021		3,930,906
	990,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		863,775
	1,400,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,677,094
	200,000	Embarq Corp., 7.995%, 6/01/2036		193,088
	3,585,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		3,701,513
	55,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		55,853
	560,000	Level 3 Financing, Inc., 7.000%, 6/01/2020		584,192
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		238,106
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		483,607
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		5,980,150
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		360,500

		Wirelines – continued
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		647,125
	4,484,000	Qwest Corp., 6.875%, 9/15/2033		4,372,079
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,334,203
	2,290,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,176,714
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,374,075
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		698,784
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		491,640
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		490,343
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,655,507
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,349,948

				33,745,590


		Total Non-Convertible Bonds
		(Identified Cost $1,022,590,832)		967,823,831


	Convertible Bonds – 7.0%

		Building Materials – 0.4%
	5,140,000	KB Home, 1.375%, 2/01/2019		4,741,650

		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		378,688

		Consumer Cyclical Services – 0.2%
	1,595,000	Jarden Corp., 1.125%, 3/15/2034		2,017,675

		Consumer Products – 0.0%
	270,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		183,600

		Diversified Manufacturing – 0.0%
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		541,238

		Finance Companies – 0.3%
	2,840,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		3,383,150

		Healthcare – 0.0%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(k)		271,425

		Leisure – 0.2%
	2,800,000	Rovi Corp., 0.500%, 3/01/2020		2,667,980

		Midstream – 0.3%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		626,000
	3,885,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		2,457,262

				3,083,262

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Pharmaceuticals – 0.0%
$	205,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	237,416
	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		337,903

				575,319

		Property & Casualty Insurance – 1.9%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		539,687
	18,045,000	Old Republic International Corp., 3.750%, 3/15/2018		22,353,244

				22,892,931

		Technology – 3.7%
	955,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		946,047
	9,090,000	Ciena Corp., 0.875%, 6/15/2017		8,919,562
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,085,537
	1,783,000	Intel Corp., 2.950%, 12/15/2035		2,265,524
	7,000,000	Intel Corp., 3.250%, 8/01/2039		11,134,375
	313,446	Liberty Media LLC, 3.500%, 1/15/2031		291,500
	1,350,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		919,688
	9,404,000	Nuance Communications, Inc., 1.500%, 11/01/2035		9,686,120
	4,095,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		4,120,594
	2,020,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		1,965,713

				44,334,660


		Total Convertible Bonds
		(Identified Cost $75,823,595)		85,071,578


	Municipals – 1.0%

		Illinois – 0.3%
	4,075,000	State of Illinois, Series B, 5.520%, 4/01/2038		3,785,797

		Michigan – 0.2%
	2,165,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		1,980,304

		Virginia – 0.5%
	7,380,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		5,934,553


		Total Municipals
		(Identified Cost $13,601,677)		11,700,654


		Total Bonds and Notes
		(Identified Cost $1,112,016,104)		1,064,596,063


	Senior Loans – 0.6%

		Chemicals – 0.1%
	1,048,109	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(f)		1,027,147
	463,910	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(f)		422,158

				1,449,305

		Media Entertainment – 0.0%
	144,665	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(f)		46,565

		Other Utility – 0.2%
	1,193,975	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f)		1,170,095
	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f)		730,750

				1,900,845

		Supermarkets – 0.2%
	2,694,121	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(f)		2,630,809

		Wirelines – 0.1%
	1,163,162	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(f)(g)		1,102,828


		Total Senior Loans
		(Identified Cost $7,476,166)		7,130,352


	Shares

	Preferred Stocks – 1.6%

	Convertible Preferred Stocks – 1.4%

		Banking – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%		3,236,472

		Communications – 0.0%
	2,083	Cincinnati Bell, Inc., 6.750%		101,026

		Electric – 0.2%
	50,764	AES Trust III, 6.750%		2,564,090

		Energy – 0.4%
	96,065	El Paso Energy Capital Trust I, 4.750%		4,110,621

		Metals & Mining – 0.2%
	68,395	Alcoa, Inc., Series 1, 5.375%		2,256,351

		Midstream – 0.0%
	10,213	Chesapeake Energy Corp., 4.500%(d)		182,404
	12,055	Chesapeake Energy Corp., 5.000%(d)		165,395
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A(d)		114,262

				462,061

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		REITs – Diversified – 0.3%
	1,667	Crown Castle International Corp., Series A, 4.500%	$	178,703
	73,202	Weyerhaeuser Co., Series A, 6.375%		3,742,086

				3,920,789

		REITs – Health Care – 0.0%
	7,400	Welltower, Inc., 6.500%		459,540

		REITs – Mortgage – 0.0%
	3,106	iStar, Inc., Series J, 4.500%		130,328


		Total Convertible Preferred Stocks
		(Identified Cost $18,723,906)		17,241,278


	Non-Convertible Preferred Stocks – 0.2%

		Banking – 0.0%
	5,000	Bank of America Corp., 6.375%		130,000
	20,975	Countrywide Capital IV, 6.750%		532,555

				662,555

		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		8,927
	2,876	Entergy New Orleans, Inc., 4.750%		289,847
	4,670	Union Electric Co., 4.500%		438,980

				737,754

		Finance Companies – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,164,640


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,941,291)		2,564,949


		Total Preferred Stocks
		(Identified Cost $20,665,197)		19,806,227


	Common Stocks – 6.5%

		Airlines – 0.1%
	14,401	United Continental Holdings, Inc.(d)		862,044

		Automobiles – 0.4%
	341,305	Ford Motor Co.		4,607,617

		Chemicals – 0.1%
	8,917	PPG Industries, Inc.		994,156

		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(d)		564,234

		Diversified Telecommunication Services – 0.3%
	8,050	Hawaiian Telcom Holdco, Inc.(d)		189,577
	17,222	Level 3 Communications, Inc.(d)		910,183
	241,163	Telefonica S.A., Sponsored ADR		2,684,144

				3,783,904

		Electronic Equipment, Instruments & Components – 0.4%
	205,167	Corning, Inc.		4,285,939


		Energy Equipment & Services – 0.0%
	170,674	Hercules Offshore, Inc.(d)		409,618

		Metals & Mining – 0.1%
	359,067	ArcelorMittal, (Registered)		1,644,527

		Multi-Utilities – 0.1%
	20,449	CMS Energy Corp.		867,856

		Oil, Gas & Consumable Fuels – 0.5%
	54,259	Chesapeake Energy Corp.		223,547
	172,008	Repsol YPF S.A., Sponsored ADR		1,945,410
	70,051	Royal Dutch Shell PLC, Sponsored ADR		3,393,971

				5,562,928

		Pharmaceuticals – 0.8%
	160,000	Bristol-Myers Squibb Co.		10,220,800

		Semiconductors & Semiconductor Equipment – 3.5%
	1,317,153	Intel Corp.		42,609,899

		Trading Companies & Distributors – 0.1%
	23,272	United Rentals, Inc.(d)		1,447,286


		Total Common Stocks
		(Identified Cost $73,598,889)		77,860,808


	Principal Amount (‡)

	Short-Term Investments – 2.4%
$	36,822	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2016 at 0.000% to be repurchased at $36,822 on 4/01/2016 collateralized by $36,900 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $37,571 including accrued interest (Note 2 of Notes to Financial Statements)		36,822
	29,471,053	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $29,471,078 on 4/01/2016 collateralized by $29,580,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $30,060,675 including accrued interest (Note 2 of Notes to Financial Statements)		29,471,053


		Total Short-Term Investments
		(Identified Cost $29,507,875)		29,507,875


		Total Investments – 99.2%
		(Identified Cost $1,243,264,231)(a)		1,198,901,325
		Other assets less liabilities—0.8%		9,425,157


		Net Assets – 100.0%	$	1,208,326,482


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


(††)	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 that will be 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, 2016, the net unrealized depreciation on investments based on a cost of $1,245,772,334 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	$	89,157,722
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(136,028,731	)

	Net unrealized depreciation	$	(46,871,009	)

(b)	Illiquid security. At March 31, 2016, the value of these securities amounted to $3,192,348 or 0.3% of net assets.
(c)	Fair valued by the Fund’s adviser. At March 31, 2016, the value of these securities amounted to $4,959,354 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
(d)	Non-income producing security.
(e)	Perpetual bond with no specified maturity date.
(f)	Variable rate security. Rate as of March 31, 2016 is disclosed.
(g)	Illiquid security. At March 31, 2016, the value of these securities amounted to $21,559,550 or 1.8% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
(h)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.
(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(j)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
(k)	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, 2016, the value of Rule 144A holdings amounted to $220,265,163 or 18.2% of net assets.
ABS	Asset-Backed Securities
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
PIK	Payment-in-Kind
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
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	16.4	%
Banking	12.4
Finance Companies	5.2
Technology	5.1
Electric	4.0
Airlines	3.7
Semiconductors & Semiconductor Equipment	3.5
Automotive	3.2
Property & Casualty Insurance	3.0
Wirelines	2.9
Healthcare	2.7
Local Authorities	2.3
Chemicals	2.2
Midstream	2.1
Aerospace & Defense	2.1
Other Investments, less than 2% each	26.0
Short-Term Investments	2.4

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2016 (Unaudited)


United States Dollar	75.9	%
Canadian Dollar	10.1
New Zealand Dollar	3.9
Mexican Peso	2.7
Other, less than 2% each	6.6

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 97.4% of Net Assets

		Argentina – 0.1%
$	1,785,000	YPF S.A., 8.500%, 3/23/2021, 144A	$	1,785,000

		Australia – 3.5%
	4,695,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A		4,644,200
	22,155,000	New South Wales Treasury Corp., 6.000%, 3/01/2022, (AUD)(b)		20,410,770
	34,175,000	Queensland Treasury Corp., Series 23, 4.250%, 7/21/2023, 144A, (AUD)(b)		28,814,233

				53,869,203

		Barbados – 0.3%
	1,062,500	Global SC Finance II S.r.l., Series 2013-1A, Class A, 2.980%, 4/17/2028, 144A		1,006,989
	3,041,667	Global SC Finance II S.r.l., Series 2014-1A, Class A1, 3.190%, 7/17/2029, 144A		2,862,383

				3,869,372

		Belgium – 2.2%
	5,000,000	Anheuser-Busch InBev Finance, Inc., 2.650%, 2/01/2021		5,137,935
	5,090,000	Anheuser-Busch InBev Finance, Inc., 3.650%, 2/01/2026		5,352,710
	470,000	Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036		507,931
	3,720,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046		4,157,331
	10,415,000	Belgium Government Bond, Series 65, 4.250%, 9/28/2022, (EUR)(b)		15,172,651
	2,150,000	Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A		2,185,716
	1,120,000	Solvay Finance (America) LLC, 4.450%, 12/03/2025, 144A		1,144,038

				33,658,312

		Bermuda – 0.6%
	1,840,000	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A		1,755,329
	7,075,000	Global Container Assets Ltd., Series 2013-1A, Class A2, 3.300%, 11/05/2028, 144A		7,039,190

				8,794,519

		Brazil – 1.3%
	5,000,000	Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A		5,080,000
	4,775,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,196,031
	2,600,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,897,220
	3,870,000	Petrobras Global Finance BV, EMTN, 6.250%, 12/14/2026, (GBP)		3,838,479
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,489,300

		Brazil – continued
	3,600,000	Vale Overseas Ltd., 6.875%, 11/21/2036		2,842,920

				19,343,950

		Canada – 2.3%
	7,610,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		5,958,623
	6,744,000	Canadian Government, 4.000%, 6/01/2041, (CAD)(b)		7,207,032
	180,000	Cenovus Energy, Inc., 3.000%, 8/15/2022		160,040
	415,000	Cenovus Energy, Inc., 3.800%, 9/15/2023		372,920
	437,920	Ford Auto Securitization Trust, Series 2013-R4A, Class A2, 1.824%, 7/15/2017, 144A, (CAD)		337,445
	3,906,408	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)(b)		3,004,182
	1,995,000	Magna International, Inc., 1.900%, 11/24/2023, (EUR)		2,361,527
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)(b)		7,041,495
	5,955,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		5,370,665
	4,455,000	Province of Ontario Canada, 1.950%, 1/27/2023, (CAD)(b)		3,465,381

				35,279,310

		Cayman Islands – 0.1%
	2,025,547	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.491%, 4/15/2032, 144A(b)(c)		1,987,662

		Chile – 0.5%
	5,420,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(b)		5,524,026
	1,375,000	Corpbanca S.A., 3.875%, 9/22/2019, 144A		1,408,217

				6,932,243

		Colombia – 0.4%
	3,910,000	Colombia Government International Bond, 5.000%, 6/15/2045		3,636,300
	3,600,000	Ecopetrol S.A., 4.125%, 1/16/2025		3,069,000

				6,705,300

		Denmark – 1.0%
	87,805,000	Denmark Government Bond, 1.750%, 11/15/2025, (DKK)(b)		15,053,439

		Finland – 0.8%
	9,610,000	Finland Government Bond, 1.500%, 4/15/2023, 144A, (EUR)(b)		12,045,360

		France – 2.5%
	2,370,000	AXA S.A., 7.125%, 12/15/2020, (GBP)		4,040,384
	2,600,000	AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)		3,559,874

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		France – continued
	1,800,000	AXA S.A., EMTN, (fixed rate to 7/04/2023, variable rate thereafter), 5.125%, 7/04/2043, (EUR)	$	2,358,025
	635,000	BNP Paribas S.A., 4.375%, 9/28/2025, 144A		634,401
	885,000	BNP Paribas S.A., (fixed rate to 10/14/2022, variable rate thereafter), 2.625%, 10/14/2027, (EUR)		1,005,156
	2,860,000	BNP Paribas S.A., EMTN, 5.750%, 1/24/2022, (GBP)		4,576,670
	14,055,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)		18,972,392
	3,324,000	Pernod Ricard S.A., 4.450%, 1/15/2022, 144A		3,588,145
	200,000	Veolia Environnement S.A., (fixed rate to 4/16/2018, variable rate thereafter), 4.850%, (GBP)(d)		294,225

				39,029,272

		Germany – 4.5%
	7,200,000	Allianz Finance II BV, EMTN, (fixed rate to 7/08/2021, variable rate thereafter), 5.750%, 7/08/2041, (EUR)(b)		9,455,393
	3,055,000	Bundesrepublik Deutschland, 2.500%, 7/04/2044, (EUR)(b)		4,956,423
	12,530,000	Bundesrepublik Deutschland, 4.250%, 7/04/2039, (EUR)(b)		24,933,590
	1,770,000	Fresenius U.S. Finance II, Inc., 4.500%, 1/15/2023, 144A		1,796,550
	1,035,000,000	KfW, 2.600%, 6/20/2037, (JPY)(b)		13,967,437
	800,000	Muenchener Rueckversicherungs AG, EMTN, (fixed rate to 5/26/2021, variable rate thereafter), 6.000%, 5/26/2041, (EUR)		1,084,014
	2,975,000	Schaeffler Finance BV, 2.500%, 5/15/2020, 144A, (EUR)		3,444,494
	1,970,000	Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)		2,275,288
	4,555,000	Unitymedia GmbH, 3.750%, 1/15/2027, (EUR)		4,677,778
	2,400,000	ZF North America Capital, Inc., 2.750%, 4/27/2023, (EUR)		2,737,787

				69,328,754

		Hong Kong – 0.2%
	3,450,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A		3,471,280

		Hungary – 0.5%
	1,955,500,000	Hungary Government Bond, 3.500%, 6/24/2020, (HUF)		7,590,027


		India – 0.3%
$	4,400,000	Bharti Airtel International BV, 5.125%, 3/11/2023, 144A		4,699,121

		Indonesia – 1.5%
	2,085,000	Indonesia Government International Bond, 5.125%, 1/15/2045, 144A		2,073,762
	274,572,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(b)		20,881,345

				22,955,107

		Ireland – 1.6%
	3,625,000	AIB Mortgage Bank, EMTN, 4.875%, 6/29/2017, (EUR)(b)		4,372,281
	6,860,000	Bank of Ireland Mortgage Bank, 1.875%, 5/13/2017, (EUR)(b)		7,965,329
	9,825,000	Ireland Government Bond, 2.000%, 2/18/2045, (EUR)(b)		11,991,680

				24,329,290

		Italy – 6.0%
	3,350,734	Asti RMBS S.r.l., Series 1, Class A, 1.009%, 12/27/2060, (EUR)(b)(c)		3,819,827
	1,280,117	Berica ABS S.r.l., Series 3, Class A, 0.808%, 6/30/2061, (EUR)(c)		1,464,741
	1,339,733	Berica Residential S.r.l., Series 8, Class A, 0.066%, 3/31/2048, (EUR)(c)		1,482,813
	1,805,979	Claris Finance S.r.l., Series 2014-1, Class A1, 0.909%, 12/28/2061, (EUR)(c)		2,060,383
	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		3,755,837
	1,005,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		1,288,750
	1,660,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)		2,926,340
	2,255,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		2,111,679
	1,645,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		1,596,471
	870,000	Intesa Sanpaolo SpA, EMTN, 2.855%, 4/23/2025, (EUR)		963,287
	7,550,000	Italy Buoni Poliennali Del Tesoro, 3.750%, 5/01/2021, (EUR)(b)		10,041,560
	7,620,000	Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b)		11,437,405
	14,420,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)		20,641,256
	2,000,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,080,000
	4,751,000	Republic of Italy, 6.875%, 9/27/2023(b)		5,975,209

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Italy – continued
	4,334,454	Siena Mortgages SpA/S.r.l., Series 2010-7, Class A3, 0.405%, 11/22/2070, (EUR)(b)(c)	$	4,889,441
	6,077,753	Siviglia SPV S.r.l., Series 2012-1, Class A, 0.354%, 10/25/2055, (EUR)(b)(c)		6,765,758
	4,485,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,263,127
	1,770,199	Vela Home S.r.l., Series 4, Class A2, 0.044%, 10/25/2042, (EUR)(c)		1,979,038
	2,069,959	Voba N 3 S.r.l., Series 2011-3, Class A2, 0.802%, 11/23/2047, (EUR)(c)		2,358,392

				91,901,314

		Japan – 11.9%
	1,781,844,000(††)	Japan Government CPI Linked Bond, Series 20, 0.100%, 3/10/2025, (JPY)(b)		16,659,592
	1,131,450,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)(b)		10,720,148
	5,240,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)(b)		48,675,268
	163,600,000	Japan Government Ten Year Bond, 1.300%, 12/20/2019, (JPY)(b)		1,535,931
	1,454,500,000	Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)(b)		16,773,049
	1,843,000,000	Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)(b)		21,088,099
	781,100,000	Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)(b)		8,340,409
	1,440,300,000	Japan Government Twenty Year Bond, 2.000%, 12/20/2024, (JPY)(b)		15,181,603
	1,540,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)(b)		17,007,664
	2,320,350,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)(b)		26,436,878

				182,418,641

		Korea – 0.9%
	56,100,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(b)		6,982,754
	7,135,000	Kookmin Bank, 2.125%, 10/21/2020, 144A(b)		7,156,733

				14,139,487


		Luxembourg – 0.1%
	2,205,000	ArcelorMittal, 6.500%, 3/01/2021		2,171,925

		Malaysia – 0.4%
	22,500,000	Malaysia Government Bond, 3.795%, 9/30/2022, (MYR)		5,795,415

		Mexico – 3.5%
	2,215,000	Cemex SAB de CV, 5.875%, 3/25/2019		2,226,075
	1,835,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		1,880,692
	6,180,440(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		37,567,212
	369,098(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(b)		2,238,946
	1,247,129(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(b)		8,211,202
	2,080,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A		1,864,200

				53,988,327

		Morocco – 0.2%
	2,475,000	OCP S.A., 4.500%, 10/22/2025, 144A		2,371,669
	1,015,000	OCP S.A., 6.875%, 4/25/2044, 144A		1,052,798

				3,424,467

		Namibia – 0.2%
	3,588,000	Namibia International Bond, 5.500%, 11/03/2021, 144A		3,731,520

		Netherlands – 0.6%
	5,810,000	ABN Amro Bank NV, 4.750%, 7/28/2025, 144A(b)		5,849,566
	1,775,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.750%, 5/15/2019		1,766,125
	1,575,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.250%, 7/01/2020		1,588,781
	430,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.625%, 10/30/2020		440,750

				9,645,222

		Norway – 1.7%
	138,655,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(b)		18,036,695
	66,335,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)(b)		8,358,112

				26,394,807

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Panama – 0.1%
$	1,355,000	Autoridad del Canal de Panama, 4.950%, 7/29/2035, 144A	$	1,406,680

		Philippines – 0.4%
	259,000,000	Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)		6,249,362

		Poland – 1.0%
	54,190,000	Poland Government Bond, 3.250%, 7/25/2019, (PLN)(b)		15,269,316

		Portugal – 0.6%
	3,625,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		3,630,075
	550,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		573,540
	4,960,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)		5,480,883

				9,684,498

		Singapore – 0.2%
	4,700,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)(b)		3,621,844

		South Africa – 0.3%
	5,135,000	Myriad International Holdings BV, 5.500%, 7/21/2025		5,160,162

		Spain – 3.3%
	1,000,000	Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)		1,205,639
	2,600,000	Santander Issuances SAU, 5.179%, 11/19/2025		2,512,513
	5,640,000	Spain Government Bond, 4.200%, 1/31/2037, 144A, (EUR)(b)		8,364,067
	20,240,000	Spain Government Bond, 5.850%, 1/31/2022, 144A, (EUR)(b)		29,937,932
	4,110,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		5,202,660
	1,817,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		3,008,056

				50,230,867

		Supranationals – 0.6%
	78,370,000	Nordic Investment Bank, GMTN, 1.375%, 7/15/2020, (NOK)(b)		9,656,102

		Switzerland – 0.8%
	4,150,000	Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A		4,471,476
	8,040,985	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(b)		7,819,858

				12,291,334

		Turkey – 0.5%
	9,000,000	Akbank TAS, 7.500%, 2/05/2018, 144A, (TRY)		2,953,411

		Turkey – continued
	2,300,000	TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A		2,299,793
	1,795,000	Turkiye Is Bankasi, 5.000%, 4/30/2020, 144A		1,797,154

				7,050,358

		United Arab Emirates – 0.1%
	1,560,000	DP World Ltd., 3.250%, 5/18/2020, 144A		1,569,017

		United Kingdom – 8.2%
	616,964	Auburn Securities PLC, Series 4, Class A2, 0.906%, 10/01/2041, (GBP)(c)		847,292
	5,945,000	Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)(b)		7,593,504
	900,000	Barclays PLC, 4.375%, 9/11/2024		846,698
	790,294	Clavis Securities PLC, Series 2006-1, Class A3B, 0.052%, 12/15/2031, (EUR)(c)		825,709
	953,000	Co-Operative Bank PLC, 4.750%, 11/11/2021, (GBP)		1,515,294
	2,500,000	Delphi Automotive PLC, 1.500%, 3/10/2025, (EUR)		2,682,769
	1,080,000	Delphi Automotive PLC, 3.150%, 11/19/2020		1,102,630
	3,465,000	Delphi Automotive PLC, 4.250%, 1/15/2026		3,616,833
	2,190,000	Delphi Corp., 4.150%, 3/15/2024		2,251,824
	2,240,000	FCE Bank PLC, EMTN, 1.528%, 11/09/2020, (EUR)		2,594,755
	460,000	HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)		572,552
	4,750,000	HSBC Holdings PLC, 4.250%, 3/14/2024		4,799,319
	855,000	HSBC Holdings PLC, 4.250%, 8/18/2025		844,630
	3,190,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(b)		5,004,841
	1,810,000	Imperial Brands Finance PLC, 4.250%, 7/21/2025, 144A		1,925,127
	4,105,000	Lloyds Banking Group PLC, 4.650%, 3/24/2026		4,068,334
	200,000	Noble Holding International Ltd., 6.050%, 3/01/2041		98,000
	305,000	Noble Holding International Ltd., 6.200%, 8/01/2040		151,069
	2,096,915	Precise Mortgage Funding, Series 2014-1, Class A, 1.391%, 9/12/2047, (GBP)(b)(c)		2,958,361
	507,346	Precise Mortgage Funding PLC, Series 2015-1, Class A, 1.541%, 3/12/2048, (GBP)(c)		713,681
	709,640	Residential Mortgage Securities PLC, Series 20X, Class A2A, 0.851%, 8/10/2038, (GBP)(c)		938,985
	620,136	Residential Mortgage Securities PLC, Series 21X, Class A3A, 0.990%, 11/12/2038, (GBP)(c)		820,296

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United Kingdom – continued
	615,144	Residential Mortgage Securities PLC, Series 22X, Class A3A, 0.953%, 11/14/2039, (GBP)(c)	$	804,715
	651,516	RMAC PLC, Series 2005-NS3X, Class A2C, 0.131%, 6/12/2043, (EUR)(c)		676,719
	2,409,071	RMAC PLC, Series 2005-NS4X, Class A3A, 0.931%, 12/12/2043, (GBP)(b)(c)		3,154,132
	5,830,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		5,604,904
	425,000	Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter), 3.625%, 3/25/2024, (EUR)		468,659
	5,458,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A		5,162,422
	6,490,000	Sky PLC, 3.750%, 9/16/2024, 144A(b)		6,697,699
	630,000	Sky PLC, EMTN, 2.500%, 9/15/2026, (EUR)		757,461
	7,675,000	Standard Chartered PLC, 3.950%, 1/11/2023, 144A(b)		7,369,312
	1,505,000	Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)		1,575,295
	4,810,000	Tesco PLC, EMTN, 5.000%, 3/24/2023, (GBP)		6,950,541
	4,355,000	United Kingdom Gilt, 3.500%, 1/22/2045, (GBP)(b)		7,854,610
	8,865,000	United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(b)		17,448,997
	1,875,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		2,061,917
	700,000	Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP)		1,020,455
	1,530,000	Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, 144A, (GBP)		2,095,829
	1,233,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, (GBP)		1,739,905
	1,408,818	Warwick Finance Residential Mortgages Number One PLC, Series 1, Class A, 1.588%, 9/21/2049, (GBP)(b)(c)		1,989,641
	5,140,000	WPP Finance 2010, 5.625%, 11/15/2043		5,315,125

				125,520,841

		United States – 31.6%
	67,636	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		67,638
	1,575,218	A10 Securitization LLC, Series 2013-2, Class A, 2.620%, 11/15/2027, 144A(b)		1,555,488
	1,115,000	Actavis Funding SCS, 3.800%, 3/15/2025		1,160,428
	1,745,000	Actavis Funding SCS, 4.550%, 3/15/2035		1,797,891
	3,000,000	Air Lease Corp., 3.750%, 2/01/2022		2,986,830

		United States – continued
	1,535,000	Air Lease Corp., 4.250%, 9/15/2024		1,515,813
	3,800,000	Ally Financial, Inc., 3.600%, 5/21/2018		3,766,750
	4,650,000	Ally Financial, Inc., 3.750%, 11/18/2019		4,603,500
	572,000	Ally Financial, Inc., 4.125%, 3/30/2020		567,710
	6,005,000	Ally Financial, Inc., 4.125%, 2/13/2022		5,899,912
	2,904,358	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		3,221,325
	770,000	Altria Group, Inc., 2.850%, 8/09/2022		795,374
	3,930,000	Altria Group, Inc., 4.000%, 1/31/2024		4,325,802
	2,610,000	American International Group, Inc., 4.800%, 7/10/2045		2,576,039
	2,285,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		2,034,847
	2,415,000	Anadarko Petroleum Corp., 5.550%, 3/15/2026		2,436,262
	1,525,000	AT&T, Inc., 4.750%, 5/15/2046		1,487,572
	3,140,000	Aviation Capital Group Corp., 4.875%, 10/01/2025, 144A		3,108,600
	4,510,000	Bank of America Corp., 4.100%, 7/24/2023		4,744,258
	891,000	Becton Dickinson and Co., 3.734%, 12/15/2024		948,563
	3,860,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 2.936%, 8/15/2029, 144A(c)		3,603,191
	4,580,000	BorgWarner, Inc., 1.800%, 11/07/2022, (EUR)		5,347,483
	1,785,000	Brixmor Operating Partnership LP, 3.850%, 2/01/2025		1,635,579
	3,315,000	Brixmor Operating Partnership LP, 3.875%, 8/15/2022		3,235,032
	3,578,679	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.836%, 12/15/2027, 144A(b)(c)		3,551,728
	2,975,000	Celgene Corp., 3.550%, 8/15/2022		3,119,219
	2,910,000	Celgene Corp., 5.000%, 8/15/2045		3,146,682
	4,978,548	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		4,925,386
	5,912,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,069,200
	2,515,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		892,825
	1,405,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		547,950
	256,000	Cimarex Energy Co., 4.375%, 6/01/2024		252,066
	3,100,000	Citigroup, Inc., 4.000%, 8/05/2024		3,128,157
	2,930,000	Citigroup, Inc., 4.090%, 6/09/2025, (CAD)		2,275,214
	1,725,000	Comcast Corp., 4.200%, 8/15/2034(b)		1,823,420
	3,407,412	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.137%, 5/13/2031, 144A(c)(e)		3,353,852

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A(b)	$	2,637,825
	2,800,000	Commercial Mortgage Trust, Series 2014-PAT, Class D, 2.588%, 8/13/2027, 144A(c)		2,649,721
	4,000,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 2.187%, 6/15/2034, 144A(b)(c)		3,915,419
	1,240,000	Concho Resources, Inc., 5.500%, 4/01/2023		1,215,200
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,571,625
	98,531	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		103,273
	5,695,000	Continental Resources, Inc., 3.800%, 6/01/2024		4,499,050
	1,605,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,342,181
	1,964,414	Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 2.444%, 11/26/2036, 144A(c)		1,917,092
	1,885,000	Credit Suisse Mortgage Trust, Series 2010-RR1, Class 2B, 5.695%, 9/15/2040, 144A(c)		1,927,515
	3,089,000	Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A		3,408,206
	3,162,317	Delta Air Lines Pass Through Trust, Series 2015-1, Class B, 4.250%, 1/30/2025		3,139,327
	825,000	Devon Energy Corp., 3.250%, 5/15/2022		694,642
	1,390,000	Devon Energy Corp., 5.850%, 12/15/2025		1,341,681
	565,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		371,988
	2,690,000	Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)		2,654,426
	3,273,000	Energy Transfer Partners LP, 3.600%, 2/01/2023		2,839,364
	1,770,000	Energy Transfer Partners LP, 4.900%, 2/01/2024		1,610,231
	2,755,000	Energy Transfer Partners LP, 5.150%, 3/15/2045		2,141,621
	1,710,000	Energy Transfer Partners LP, 6.125%, 12/15/2045		1,534,834
	5,700,000	Extended Stay America Trust, Series 2013-ESH7, Class A17, 2.295%, 12/05/2031, 144A(b)		5,702,280
	1,580,000	Flextronics International Ltd., 4.750%, 6/15/2025		1,544,450
	18,130,000	FNMA (TBA), 3.000%, 5/01/2046(f)		18,559,170
	29,535,000	FNMA (TBA), 3.500%, 5/01/2046(f)		30,914,839
	11,585,000	FNMA (TBA), 4.000%, 5/01/2046(f)		12,359,747
	3,450,000	Ford Motor Credit Co. LLC, 3.664%, 9/08/2024		3,484,079

		United States – continued
	6,270,000	Ford Motor Credit Co. LLC, 4.050%, 12/10/2018, (AUD)		4,830,782
	930,000	Ford Motor Credit Co. LLC, 4.250%, 9/20/2022		994,745
	5,508,000	Ford Motor Credit Co. LLC, 4.375%, 8/06/2023		5,860,870
	185,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		113,313
	2,450,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		1,500,625
	50,000,000	General Electric Co., EMTN, 4.208%, 12/06/2021, (SEK)(b)		7,037,662
	8,000,000	General Motors Financial Co., Inc., 3.150%, 1/15/2020(b)		8,024,336
	2,235,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		2,194,479
	3,900,000	General Motors Financial Co., Inc., 4.000%, 1/15/2025		3,787,727
	965,000	General Motors Financial Co., Inc., 4.250%, 5/15/2023		970,419
	4,100,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		4,237,461
	2,745,000	Gilead Sciences, Inc., 4.750%, 3/01/2046		3,004,655
	1,218,230	GNMA, 2.216%, 5/20/2064(c)		1,280,061
	1,580,175	GNMA, 2.506%, 11/20/2064(c)		1,685,676
	1,633,998	GNMA, 2.588%, 11/20/2064(c)		1,746,350
	2,921,600	GNMA, 2.750%, 10/20/2063(b)(c)		3,131,249
	516,166	GNMA, 4.446%, 4/20/2065		580,098
	1,878,715	GNMA, 4.488%, 1/20/2063(b)		2,028,915
	763,231	GNMA, 4.534%, 6/20/2062		808,275
	4,111,101	GNMA, 4.556%, 12/20/2061(b)		4,338,402
	1,662,428	GNMA, 4.563%, 2/20/2065		1,869,586
	1,929,418	GNMA, 4.622%, 7/20/2064(b)		2,163,174
	3,518,708	GNMA, 4.668%, 5/20/2064(b)		3,945,652
	1,853,831	GNMA, 4.674%, 7/20/2064(b)		2,084,009
	8,320,000	GNMA (TBA), 3.500%, 5/01/2046(f)		8,775,000
	1,630,000	Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023		1,681,223
	2,030,000	Goldman Sachs Group, Inc. (The), MTN, 3.850%, 7/08/2024		2,097,526
	2,560,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,752,000
	1,892,000	HCA, Inc., 4.750%, 5/01/2023		1,925,110
	1,795,000	HCA, Inc., 5.375%, 2/01/2025		1,814,637
	915,000	Hewlett Packard Enterprise Co., 6.200%, 10/15/2035, 144A		900,311
	2,650,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045, 144A		2,604,370
	2,058,271	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A		2,047,780
	7,800,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A(b)		7,488,000
	6,454,000	JPMorgan Chase & Co., 3.875%, 2/01/2024(b)		6,876,679
	3,800,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A, 1.636%, 8/15/2027, 144A(b)(c)		3,769,939

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	1,032,576	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.174%, 9/26/2035, 144A(c)	$	1,019,374
	1,020,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,013,625
	1,970,000	Lennar Corp., 4.750%, 5/30/2025		1,935,525
	1,950,000	Lennar Corp., 4.875%, 12/15/2023		1,950,000
	5,210,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A		4,983,584
	4,846,763	Longtrain Leasing III LLC, Series 2015-1A, Class A1, 2.980%, 1/15/2045, 144A		4,679,028
	1,634,680	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A		1,664,988
	5,025,000	Micron Technology, Inc., 5.250%, 8/01/2023, 144A		4,107,937
	1,900,000	Morgan Stanley, 3.950%, 4/23/2027		1,902,008
	460,000	Morgan Stanley, Series F, 3.875%, 4/29/2024		482,491
	4,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.794%, 8/12/2045, 144A(c)		4,496,286
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.794%, 8/15/2045, 144A(c)		1,549,072
	670,000	MPLX LP, 4.500%, 7/15/2023, 144A		617,857
	60,000	MPLX LP, 4.875%, 12/01/2024, 144A		55,394
	1,220,000	MPLX LP, 5.500%, 2/15/2023, 144A		1,181,020
	815,000	Newfield Exploration Co., 5.625%, 7/01/2024		764,063
	4,980,000	Noble Energy, Inc., 5.250%, 11/15/2043		4,288,696
	534,000	Omnicom Group, Inc., 3.650%, 11/01/2024		550,247
	3,540,000	OneMain Financial Issuance Trust, Series 2016-2A, Class A, 4.100%, 3/20/2028, 144A		3,562,408
	646,298	Orange Lake Timeshare Trust, Series 2012-AA, Class B, 4.870%, 3/10/2027, 144A		659,799
	1,355,000	Pioneer Natural Resources Co., 3.450%, 1/15/2021		1,347,855
	2,970,000	Pioneer Natural Resources Co., 3.950%, 7/15/2022		3,015,943
	2,920,000	Pioneer Natural Resources Co., 4.450%, 1/15/2026		2,942,963
	850,000,000	Procter & Gamble Co. (The), 0.275%, 5/08/2020, (JPY)(b)		7,622,773
	490,000	QEP Resources, Inc., 5.250%, 5/01/2023		426,300
	225,000	QEP Resources, Inc., 5.375%, 10/01/2022		197,438
	1,625,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,576,250

		United States – continued
	2,670,000	RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A(c)		2,731,332
	745,402	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A		756,046
	6,272,000	Sirius International Group, 6.375%, 3/20/2017, 144A(b)		6,433,517
	275,000	SM Energy Co., 5.000%, 1/15/2024		190,352
	880,000	SM Energy Co., 5.625%, 6/01/2025		611,327
	120,000	SM Energy Co., 6.125%, 11/15/2022		87,480
	20,000	SM Energy Co., 6.500%, 1/01/2023		14,100
	3,890,000	Spirit Airlines Pass Through Certificates, Series 2015-1, Class B, 4.450%, 10/01/2025		3,680,874
	2,123,802	SpringCastle America Funding LLC, Series 2014-AA, Class A, 2.700%, 5/25/2023, 144A		2,115,054
	1,763,333	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A		1,689,744
	2,955,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018		2,947,612
	1,760,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,764,400
	4,415,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		4,437,075
	2,050,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		1,819,799
	1,545,000	Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP)		2,049,273
	575,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		570,234
	2,228,000	Time Warner Cos., Inc., 4.650%, 6/01/2044		2,178,995
	1,550,000	Time Warner Cos., Inc., 4.850%, 7/15/2045		1,576,772
	260,000	Time Warner Cos., Inc., 4.900%, 6/15/2042		264,912
	1,080,000	Time Warner Cos., Inc., 5.350%, 12/15/2043		1,149,332
	5,245,000	U.S. Treasury Bond, 2.875%, 5/15/2043(b)(g)		5,526,714
	23,105,000	U.S. Treasury Note, 0.875%, 3/31/2018		23,166,367
	11,570,000	U.S. Treasury Note, 1.250%, 3/31/2021		11,580,390
	1,455,081	United Airlines Pass Through Trust, Series 2013-1, Class B, 5.375%, 2/15/2023		1,480,763
	1,145,000	Verizon Communications, Inc., 3.850%, 11/01/2042		1,039,787
	725,000	Verizon Communications, Inc., 4.272%, 1/15/2036		721,369
	2,150,000	Verizon Communications, Inc., 4.400%, 11/01/2034		2,173,536
	2,473,000	Verizon Communications, Inc., 4.522%, 9/15/2048		2,477,207
	490,000	Verizon Communications, Inc., 4.750%, 11/01/2041		503,452

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	2,138,000	Verizon Communications, Inc., 4.862%, 8/21/2046	$	2,254,566
	5,155,000	Verizon Communications, Inc., 5.050%, 3/15/2034(b)		5,587,314
	151,000	Verizon Communications, Inc., 6.400%, 9/15/2033		185,730
	2,871,000	Viacom, Inc., 4.375%, 3/15/2043		2,219,383
	65,000	Viacom, Inc., 5.250%, 4/01/2044		58,463
	40,000	Viacom, Inc., 5.850%, 9/01/2043		38,462
	655,000	Virginia Electric & Power Co., 4.450%, 2/15/2044		714,456
	3,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043(b)		3,216,581
	5,130,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		3,552,525
	3,015,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		2,035,125

				485,731,812


		Total Bonds and Notes
		(Identified Cost $1,555,850,060)		1,497,779,839


	Shares

	Preferred Stocks – 0.3%

		United States – 0.3%
	183,207	PNC Financial Services Group, Inc. (The), 5.375% (Identified Cost $4,580,175)		4,719,412


	Principal Amount (‡)

	Short-Term Investments – 4.2%
$	1,200,000	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $1,200,001 on 4/01/2016 collateralized by $1,190,000 U.S. Treasury Note, 1.875% due 10/31/2022 valued at $1,224,213 including accrued interest (Note 2 of Notes to Financial Statements)		1,200,000
	1,110,000	U.S. Treasury Bills, 0.245%, 4/28/2016(g)(h)		1,109,857
	61,780,000	U.S. Treasury Bills, 0.180%, 6/30/2016(h)		61,747,380


		Total Short-Term Investments
		(Identified Cost $64,062,922)		64,057,237


		Total Investments – 101.9%
		(Identified Cost $1,624,493,157)(a)		1,566,556,488
		Other assets less liabilities—(1.9)%		(28,812,638	)


		Net Assets – 100.0%	$	1,537,743,850

	(‡)	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 1.001.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2016, the net unrealized depreciation on investments based on a cost of $1,633,814,897 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	$	37,858,355
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(105,116,764	)

		Net unrealized depreciation	$	(67,258,409	)

	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
	(c)	Variable rate security. Rate as of March 31, 2016 is disclosed.
	(d)	Perpetual bond with no specified maturity date.
	(e)	Illiquid security. At March 31, 2016, the value of this security amounted to $3,353,852 or 0.2% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
	(f)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(g)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(h)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, the value of Rule 144A holdings amounted to $365,839,319 or 23.8% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REMIC	Real Estate Mortgage Investment Conduit
	TBA	To Be Announced

	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	DKK	Danish Krone
	EUR	Euro
	GBP	British Pound
	HUF	Hungarian Forint
	IDR	Indonesian Rupiah
	JPY	Japanese Yen
	MXN	Mexican Peso
	MYR	Malaysian Ringgit
	NOK	Norwegian Krone
	PHP	Philippine Peso
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	TRY	Turkish Lira

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued

At March 31, 2016, the Fund had the following open forward foreign currency contracts:


Contract to Buy/Sell	Delivery Date	Currency	Units of Currency		Notional Value		Unrealized Appreciation (Depreciation)
Sell¹	5/03/2016	Brazilian Real		6,025,000	$	1,662,307	$	(175,754	)
Buy²	6/08/2016	Canadian Dollar		22,000,000		16,940,358		377,211
Buy²	6/08/2016	Canadian Dollar		37,240,000		28,675,407		(10,908	)
Sell²	6/08/2016	Canadian Dollar		59,240,000		45,615,765		(1,698,336	)
Buy³	4/29/2016	Euro		46,550,000		53,008,921		835,130
Sell³	4/29/2016	Euro		72,200,000		82,217,918		(1,992,969	)
Buy²	6/15/2016	Japanese Yen		2,433,000,000		21,662,060		218,191
Buy²	6/15/2016	Japanese Yen		5,725,000,000		50,972,172		(424,047	)
Sell²	6/15/2016	Japanese Yen		1,980,000,000		17,628,804		(44,747	)
Buy⁴	6/15/2016	Mexican Peso		21,420,000		1,231,846		3,747
Sell⁴	6/15/2016	Mexican Peso		263,000,000		15,124,900		(484,326	)
Buy²	6/10/2016	South Korean Won		24,296,469,000		21,208,874		1,012,307
Sell²	6/10/2016	South Korean Won		1,960,000,000		1,710,923		(26,061	)
Buy²	6/15/2016	Swiss Franc		12,900,000		13,458,514		382,114
Sell²	6/15/2016	Swiss Franc		2,440,000		2,545,641		(30,507	)

Total							$	(2,058,955	)

At March 31, 2016, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
6/15/2016	Australian Dollar	50,500,000	Euro²	34,044,102	$	240,304
6/23/2016	British Pound	12,200,000	Euro⁵	15,566,784		230,190
6/23/2016	British Pound	4,660,000	Euro⁵	5,927,090		66,353
6/15/2016	Euro	2,317,679	Australian Dollar²	3,450,000		(7,173	)
6/23/2016	Euro	5,929,662	British Pound⁵	4,670,000		(54,920	)
6/15/2016	Euro	963,715	Norwegian Krone²	9,100,000		317
4/08/2016	Euro	1,275,612	Polish Zloty²	5,435,000		4,803
4/04/2016	Indonesian Rupiah	290,990,000,000	Japanese Yen⁶	2,499,914,089		267,627
6/30/2016	Indonesian Rupiah	290,990,000,000	Japanese Yen⁶	2,419,734,402		(78,935	)
6/15/2016	Japanese Yen	2,760,000,000	Euro⁵	22,284,824		840,066
4/04/2016	Japanese Yen	2,470,623,195	Indonesian Rupiah⁶	290,990,000,000		(7,367	)
6/15/2016	Norwegian Krone	96,720,000	Euro²	10,306,741		69,419
4/08/2016	Philippine Peso	282,000,000	Euro²	5,498,148		135,143
4/08/2016	Polish Zloty	52,000,000	Euro²	11,899,314		(393,350	)
4/11/2016	Turkish Lira	7,800,000	Euro²	2,316,321		(123,854	)

Total					$	1,188,623

¹Counterparty is Deutsche Bank AG

²Counterparty is Credit Suisse International

³Counterparty is Citibank N.A.

⁴Counterparty is UBS AG

⁵Counterparty is Morgan Stanley & Co.

⁶Counterparty is Bank of America, N.A.

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Global Bond Fund – continued

At March 31, 2016, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		6/30/2016		974	$	118,013,797	$	(199,088	)
Ultra Long U.S. Treasury Bond		6/21/2016		187		32,263,344		(230,137	)

Total							$	(429,225	)

At March 31, 2016, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2016		1,197	$	156,077,578	$	309,849
30 Year U.S. Treasury Bond		6/21/2016		261		42,918,188		231,923

Total							$	541,772

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	37.8	%
Banking	8.6
Mortgage Related	6.2
Automotive	4.3
Local Authorities	4.2
Non-Agency Commercial Mortgage-Backed Securities	3.3
ABS Home Equity	2.7
ABS Other	2.5
Independent Energy	2.3
Life Insurance	2.2
Government Owned — No Guarantee	2.1
Wirelines	2.0
Other Investments, less than 2% each	19.5
Short-Term Investments	4.2

Total Investments	101.9
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(1.9	)

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2016 (Unaudited)


United States Dollar	48.1	%
Euro	17.9
Japanese Yen	13.3
British Pound	5.3
Australian Dollar	3.5
Mexican Peso	3.1
Norwegian Krone	2.7
Canadian Dollar	2.3
Other, less than 2% each	5.7

Total Investments	101.9
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(1.9	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 99.0% of Net Assets

		Treasuries – 99.0%
$	1,773,649	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(b)	$	1,715,982
	239,959	U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(b)		250,264
	2,195,532	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)		3,177,976
	12,609,968	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(b)		12,874,323
	3,950,830	U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(b)		3,984,111
	3,541,420	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2025(b)(c)		3,618,750
	398,808	U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(b)		416,926


		Total Bonds and Notes
		(Identified Cost $25,386,580)		26,038,332


	Notional Amount

	Purchased Swaptions – 0.0%

		Interest Rate Swaptions – 0.0%
	2,500,000	10-year Interest Rate Swap Call, expiring 9/19/2016, Pay 2.570%, Receive 3-month LIBOR(d) (Identified Cost $77,000)		3,344


	Principal Amount

	Short-Term Investments – 1.2%
	314,666	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $314,666 on 4/01/2016 collateralized by $320,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $325,200 including accrued interest (Note 2 of Notes to Financial Statements)		314,666


Principal Amount		Description	Value (†)

	Short-Term Investments – continued
$	10,000	U.S. Treasury Bills, 0.326%, 4/11/2016(e)	$	9,994


		Total Short-Term Investments
		(Identified Cost $324,657)		324,660


		Total Investments – 100.2%
		(Identified Cost $25,788,237)(a)		26,366,336
		Other assets less liabilities—(0.2)%		(54,636	)


		Net Assets – 100.0%	$	26,311,700


	Notional Amount

	Written Swaptions – (0.0%)

		Interest Rate Swaptions – 0.0%
$	2,500,000	10-year Interest Rate Swap Call, expiring 9/19/2016, Pay 3-month LIBOR, Receive 3.070%(d) (Premiums Received $34,250)	$	(628	)


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2016, the net unrealized appreciation on investments based on a cost of $25,688,269 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	$	751,723
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(73,656	)

		Net unrealized appreciation	$	678,067

	(b)	Treasury Inflation Protected Security (TIPS).
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(d)	Counterparty is Bank of America, N.A.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	LIBOR	London Interbank Offered Rate

At March 31, 2016, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2016		2	$	281,500	$	(3,035	)

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund – continued

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	99.0	%
Interest Rate Swaptions	0.0
Short-Term Investments	1.2

Total Investments	100.2
Other assets less liabilities (including open written swaptions and futures contracts)	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 80.9% of Net Assets

	Non-Convertible Bonds – 69.1%

		Aerospace & Defense – 2.5%
$	3,220,000	Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/2021	$	3,340,750
	345,000	Bombardier, Inc., 6.125%, 1/15/2023, 144A		261,338
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		74,841
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,522,500
	1,165,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		1,218,881
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,805,000
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		5,408,000
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		1,879,200
	625,000	TransDigm, Inc., 6.500%, 5/15/2025		610,937

				16,121,447

		Airlines – 2.8%
	4,890,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		3,948,710
	4,080,000	Air Canada, 7.750%, 4/15/2021, 144A		4,018,800
	368,162	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		357,117
	810,000	Allegiant Travel Co., 5.500%, 7/15/2019		832,275
	429,303	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		431,892
	205,757	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		224,028
	21,655	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		22,698
	366,556	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		361,915
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,207,500
	267,482	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		278,807
	1,249,229	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,399,136
	258,765	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		285,935
	2,105,294	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,169,768

		Airlines – continued
$	1,750,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A	$	1,732,500
	191,811	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		193,729
	298,678	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		298,678

				17,763,488

		Automotive – 1.1%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,037,500
	15,000	Ford Motor Co., 6.375%, 2/01/2029		17,577
	95,000	Ford Motor Co., 6.625%, 2/15/2028		110,541
	230,000	Ford Motor Co., 7.125%, 11/15/2025		278,526
	40,000	Ford Motor Co., 7.500%, 8/01/2026		49,945
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,236,300
	3,505,000	Lear Corp., 5.375%, 3/15/2024		3,645,200

				7,375,589

		Banking – 1.7%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)		895,556
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,239,080
	11,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		824,171
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(b)		167,200
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,648,440
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(b)		113,207
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(b)		1,672,262
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(b)		82,556

				10,642,472

		Brokerage – 0.5%
	350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		296,625
	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,559,179
	1,045,000	Jefferies Group LLC, 6.450%, 6/08/2027		1,101,406

				2,957,210

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Building Materials – 1.3%
$	4,325,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A	$	3,200,500
	670,000	Masco Corp., 6.500%, 8/15/2032		683,400
	3,245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		3,415,362
	1,225,000	Owens Corning, 7.000%, 12/01/2036		1,353,318

				8,652,580

		Cable Satellite – 1.5%
	125,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		127,500
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		61,050
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		71,225
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,306,369
	300,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		306,000
	3,215,000	CSC Holdings LLC, 5.250%, 6/01/2024		2,865,369
	1,390,000	DISH DBS Corp., 5.000%, 3/15/2023		1,226,675
	2,686,000	DISH DBS Corp., 5.875%, 11/15/2024		2,464,405
	170,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		150,910

				9,579,503

		Chemicals – 2.4%
	1,025,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		973,750
	1,060,000	GCP Applied Technologies, Inc., 9.500%, 2/01/2023, 144A		1,150,100
	4,043,000	Hercules, Inc., 6.500%, 6/30/2029		3,153,540
	2,564,000	Hexion, Inc., 7.875%, 2/15/2023(c)(d)		641,000
	3,687,000	Hexion, Inc., 8.875%, 2/01/2018		2,525,595
	2,641,000	Hexion, Inc., 9.200%, 3/15/2021(c)(d)		739,480
	3,190,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		1,283,975
	1,405,000	INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A		1,415,537
	1,880,000	Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A		1,771,900
	2,971,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,079,700

				15,734,577

		Construction Machinery – 0.4%
	370,000	United Rentals North America, Inc., 5.500%, 7/15/2025		368,072
	2,320,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,320,000

				2,688,072

		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		137,700

		Consumer Cyclical Services – continued
$	1,902,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027	$	1,873,470

				2,011,170

		Consumer Products – 0.2%
	385,000	Avon Products, Inc., 4.200%, 7/15/2018		333,988
	805,000	Avon Products, Inc., 5.750%, 3/01/2018		756,700

				1,090,688

		Electric – 0.8%
	455,000	AES Corp. (The), 5.500%, 3/15/2024		444,763
	200,000	AES Corp. (The), 5.500%, 4/15/2025		192,750
	1,423,000	DPL, Inc., 6.750%, 10/01/2019		1,444,345
	340,000	Dynegy, Inc., 7.375%, 11/01/2022		314,500
	665,000	Dynegy, Inc., 7.625%, 11/01/2024		603,487
	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,147,080
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,057,500

				5,204,425

		Environmental – 0.1%
	536,000	Advanced Disposal Services, Inc., 8.250%, 10/01/2020		546,666

		Finance Companies – 3.1%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		400,000
	250,000	General Electric Co., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		175,688
	970,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		683,865
	240,000	International Lease Finance Corp., 4.625%, 4/15/2021		246,000
	60,000	International Lease Finance Corp., 6.250%, 5/15/2019		63,975
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		350,250
	3,980,000	iStar, Inc., 4.875%, 7/01/2018		3,845,675
	1,190,000	iStar, Inc., 5.000%, 7/01/2019		1,142,400
	840,000	iStar, Inc., 5.850%, 3/15/2017		856,800
	1,984,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,736,000
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		879,469
	815,000	Navient Corp., MTN, 6.125%, 3/25/2024		700,900
	875,000	Navient LLC, MTN, 7.250%, 1/25/2022		818,125
	115,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		113,275
	5,550,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(e)		3,912,750
	1,040,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,029,600
	2,075,000	Springleaf Finance Corp., 5.250%, 12/15/2019		1,981,625

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	805,000	Springleaf Finance Corp., 8.250%, 10/01/2023	$	776,825

				19,713,222

		Food & Beverage – 0.4%
	1,350,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		1,528,875
	1,081,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,110,728

				2,639,603

		Government Guaranteed – 0.5%
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		3,476,401

		Government Owned – No Guarantee – 0.2%
	900,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		585,000
	75,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		419,839

				1,004,839

		Healthcare – 6.0%
	1,080,000	BioScrip, Inc., 8.875%, 2/15/2021		912,600
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		2,962,719
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,091,625
	970,000	HCA, Inc., 7.500%, 12/15/2023		1,028,200
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		4,986,200
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		1,951,125
	375,000	HCA, Inc., 8.360%, 4/15/2024		418,125
	2,945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,180,600
	3,875,000	HCA, Inc., MTN, 7.750%, 7/15/2036		4,146,250
	2,475,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		2,580,187
	1,465,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		1,454,013
	540,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		533,925
	1,555,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,488,912
	9,829,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		7,924,631
	1,323,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		1,357,729
	2,554,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		2,598,695

				38,615,536

		Home Construction – 1.2%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		234,000
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(e)		604,170
	595,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		368,900
	4,885,000	Lennar Corp., 4.500%, 6/15/2019		5,043,762
	400,000	PulteGroup, Inc., 6.000%, 2/15/2035		389,000
	1,000,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		993,750

				7,633,582


		Independent Energy – 3.7%
$	530,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024	$	471,978
	480,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		376,530
	4,910,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		2,497,962
	1,050,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		278,250
	220,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		61,600
	370,000	California Resources Corp., 5.000%, 1/15/2020		85,100
	6,115,000	California Resources Corp., 5.500%, 9/15/2021		1,345,300
	995,000	California Resources Corp., 6.000%, 11/15/2024		223,875
	1,000,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		350,000
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		119,565
	630,000	Continental Resources, Inc., 3.800%, 6/01/2024		497,700
	325,000	Continental Resources, Inc., 4.500%, 4/15/2023		271,781
	1,960,000	Continental Resources, Inc., 5.000%, 9/15/2022		1,689,275
	6,850,000	Eclipse Resources Corp., 8.875%, 7/15/2023, 144A		3,562,000
	500,000	Halcon Resources Corp., 9.750%, 7/15/2020		88,750
	405,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022		221,738
	2,390,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		1,410,100
	1,242,000	Noble Energy, Inc., 5.625%, 5/01/2021		1,248,210
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(c)(d)(g)		—
	400,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)(d)(g)		—
	830,000	QEP Resources, Inc., 5.250%, 5/01/2023		722,100
	340,000	Range Resources Corp., 5.000%, 8/15/2022		293,250
	5,250,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020, 144A(f)		682,500
	2,241,000	RSP Permian, Inc., 6.625%, 10/01/2022		2,207,385
	1,140,000	Sanchez Energy Corp., 6.125%, 1/15/2023		615,600
	500,000	SM Energy Co., 5.000%, 1/15/2024		346,095
	572,000	SM Energy Co., 6.125%, 11/15/2022		416,988
	1,280,000	Southwestern Energy Co., 4.100%, 3/15/2022		851,200
	1,000,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		70,000
	700,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		54,250
	3,011,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		2,085,118

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	950,000	WPX Energy, Inc., 5.250%, 1/15/2017	$	935,750

				24,079,950

		Industrial Other – 0.3%
	1,340,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		1,370,150
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		600,075

				1,970,225

		Integrated Energy – 0.0%
	1,075,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(e)(g)		182,750
	625,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(e)(g)		106,250

				289,000

		Life Insurance – 1.1%
	4,400,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)		4,499,000
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		379,750
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,325,600

				7,204,350

		Local Authorities – 0.3%
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		1,720,356

		Media Entertainment – 0.4%
	1,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		696,250
	1,890,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		1,313,550
	739,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		744,543

				2,754,343

		Metals & Mining – 5.6%
	4,146,853	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(e)(g)(h)		415
	500,000	AK Steel Corp., 7.625%, 10/01/2021		285,000
	1,710,000	Alcoa, Inc., 5.125%, 10/01/2024		1,621,832
	650,000	Alcoa, Inc., 5.400%, 4/15/2021		660,361
	3,155,000	Alcoa, Inc., 5.950%, 2/01/2037		2,681,750
	3,000,000	ArcelorMittal, 6.250%, 8/05/2020		2,932,500
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		4,249,537
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042		1,618,248
	210,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		88,200
	945,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(e)(g)		28,350
	290,000	First Quantum Minerals Ltd., 7.250%, 10/15/2019, 144A		208,075
	4,530,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		3,035,100

		Metals & Mining – continued
	12,000,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		7,350,000
	3,960,000	Hecla Mining Co., 6.875%, 5/01/2021		3,187,800
	535,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		510,925
	1,860,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		1,767,000
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		568,000
	4,000,000	United States Steel Corp., 6.650%, 6/01/2037		2,240,000
	750,000	United States Steel Corp., 7.375%, 4/01/2020		585,000
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		2,623,840

				36,241,933

		Midstream – 1.3%
	800,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		666,000
	2,545,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		1,704,832
	5,415,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		5,088,914
	764,273	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		783,380

				8,243,126

		Non-Agency Commercial Mortgage-Backed Securities – 0.3%
	320,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.794%, 8/10/2045(i)		304,874
	1,434,396	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(e)		1,344,316

				1,649,190

		Oil Field Services – 1.2%
	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		519,100
	3,255,000	FTS International, Inc., 6.250%, 5/01/2022		358,050
	1,330,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(e)(g)		349,125
	3,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(e)(g)		821,760
	6,050,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		2,420,000
	3,006,000	Precision Drilling Corp., 6.625%, 11/15/2020		2,404,800
	4,675,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		338,937
	530,000	Transocean, Inc., 6.800%, 3/15/2038		265,000

				7,476,772

		Packaging – 1.3%
	335,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.000%, 6/30/2021, 144A		318,250

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Packaging – continued
$	1,500,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A	$	1,487,813
	4,050,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		4,151,250
	1,830,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,919,212
	510,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		539,325

				8,415,850

		Property & Casualty Insurance – 0.6%
	1,920,000	MBIA Insurance Corp., 11.882%, 1/15/2033, 144A(i)(j)		662,400
	3,245,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(b)		3,204,437

				3,866,837

		Railroads – 0.7%
	4,000,000	Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(e)(i)		4,432,120
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(e)		300,257
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(e)		30,004

				4,762,381

		REITs – Office Property – 0.1%
	470,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		486,732

		Restaurants – 0.1%
	405,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		614,400

		Retailers – 2.2%
	950,000	Dillard’s, Inc., 7.000%, 12/01/2028		1,042,526
	1,895,000	Dillard’s, Inc., 7.750%, 7/15/2026		2,172,648
	125,000	Dillard’s, Inc., 7.750%, 5/15/2027		144,497
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022(d)		1,889,662
	500,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		495,000
	1,215,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		1,178,550
	675,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		683,438
	165,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		135,713
	1,975,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		2,029,312
	3,005,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		435,725

		Retailers – continued
	4,890,000	Toys “R” Us, Inc., 7.375%, 10/15/2018		3,887,550

				14,094,621

		Supermarkets – 3.8%
	5,060,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,591,950
	2,865,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,671,613
	10,375,000	New Albertson’s, Inc., 8.000%, 5/01/2031		9,739,531
	5,625,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,400,000
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		929,500
	1,570,000	SUPERVALU, Inc., 7.750%, 11/15/2022		1,330,575

				24,663,169

		Supranational – 0.1%
	4,500,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		338,130

		Technology – 2.0%
	940,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		615,700
	1,499,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,592,687
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,336,300
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,266,100
	1,000,000	Micron Technology, Inc., 5.500%, 2/01/2025		810,625
	2,210,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		2,425,475
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		12,015

				13,058,902

		Transportation Services – 0.5%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(e)		2,200,950
	355,384	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(d)		361,603
	93,872	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(k)		95,984
	42,921	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(d)		42,921
	211,188	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(k)		217,523
	2,826	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(d)(k)		2,940

				2,921,921

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – 9.6%
	2,385,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)	$	2,523,767
	350,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(f)		280,968
	270,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(f)		175,575
	170,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(f)		108,943
	40,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(f)		25,190
	490,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(f)		311,894
	635,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(f)		403,524
	60,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(f)		38,240
	1,540,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(f)		977,189
	110,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		717,881
	310,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,991,138
	1,595,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		10,501,613
	75,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		519,393
	490,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		3,640,889
	15,955,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		11,951,668
	1,575,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		219,652
	1,590,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		200,338
	2,260,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		307,617
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		910,392
	48,865,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		271,404

		Treasuries – continued
	24,750,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)	$	148,225
	50,205,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		300,421
	25,000,000	U.S. Treasury Note, 0.750%, 1/31/2018		25,008,800

				61,534,721

		Wireless – 1.2%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,651,744
	7,280,000	Sprint Capital Corp., 6.875%, 11/15/2028		5,314,400
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		168,238
	605,000	Sprint Communications, Inc., 6.000%, 11/15/2022		442,406
	235,000	Sprint Corp., 7.125%, 6/15/2024		174,488

				7,751,276

		Wirelines – 5.7%
	300,000	CenturyLink, Inc., 7.650%, 3/15/2042		247,500
	1,495,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,229,638
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		357,088
	2,595,000	Communications Sales & Leasing, Inc./CSL Capital LLC, 8.250%, 10/15/2023		2,400,375
	1,120,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		1,341,675
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,534,950
	1,570,000	Frontier Communications Corp., 6.875%, 1/15/2025		1,325,669
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		355,725
	4,851,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,856,545
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		879,450
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,236,000
	940,000	Frontier Communications Corp., 11.000%, 9/15/2025, 144A		944,700
	1,160,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		1,197,700
	1,375,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		1,396,326
	200,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A		53,480
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		238,106
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		597,397
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		664,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,426,550
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		4,452,220
	645,000	Qwest Corp., 7.250%, 9/15/2025		705,378
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,388,695

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	2,827,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	2,687,148
	2,140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		2,107,900
	610,000	Windstream Services LLC, 7.500%, 6/01/2022		468,175
	2,755,000	Windstream Services LLC, 7.500%, 4/01/2023		2,059,362
	260,000	Windstream Services LLC, 7.750%, 10/15/2020		223,600
	375,000	Windstream Services LLC, 7.750%, 10/01/2021		305,859

				36,681,211


		Total Non-Convertible Bonds
		(Identified Cost $497,988,929)		444,270,466


	Convertible Bonds – 11.2%

		Building Materials – 1.7%
	3,510,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		3,106,350
	2,050,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		2,158,906
	770,000	KB Home, 1.375%, 2/01/2019		710,325
	2,295,000	Lennar Corp., 3.250%, 11/15/2021		4,733,438

				10,709,019

		Consumer Cyclical Services – 0.1%
	435,000	Jarden Corp., 1.125%, 3/15/2034		550,275

		Consumer Products – 0.4%
	3,622,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		2,462,960

		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,456,794

		Finance Companies – 0.1%
	390,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		464,588

		Healthcare – 0.2%
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(f)		1,712,562

		Leisure – 0.4%
	2,580,000	Rovi Corp., 0.500%, 3/01/2020		2,458,353

		Metals & Mining – 0.3%
	1,895,000	RTI International Metals, Inc., 1.625%, 10/15/2019		1,982,644

		Midstream – 0.9%
	5,585,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		2,234,000
	4,800,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		3,036,000
	1,365,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A		794,259

				6,064,259


		Pharmaceuticals – 0.1%
$	225,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	260,578
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		367,544

				628,122

		Property & Casualty Insurance – 1.6%
	2,145,000	Jefferies Group LLC, 3.875%, 11/01/2029		2,104,781
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		8,092,754

				10,197,535

		Technology – 5.0%
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		7,746,969
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,895,550
	3,595,000	Intel Corp., 3.250%, 8/01/2039		5,718,297
	42,744	Liberty Media LLC, 3.500%, 1/15/2031		39,751
	6,790,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		4,625,687
	7,895,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		7,268,334
	989,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,018,670
	830,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		807,694

				32,120,952

		Total Convertible Bonds
		(Identified Cost $67,692,646)		71,808,063


	Municipals – 0.6%

		District of Columbia – 0.1%
	540,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		685,740

		Puerto Rico – 0.5%
	4,260,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035		2,928,750

		Total Municipals
		(Identified Cost $4,099,148)		3,614,490


		Total Bonds and Notes
		(Identified Cost $569,780,723)		519,693,019


	Loan Participations – 0.1%

		ABS Other – 0.1%
	678,124	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(e)(i)
		(Identified Cost $683,210)		671,343


	Senior Loans – 1.6%

		Chemicals – 0.4%
	532,175	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(i)		521,532
	235,214	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(i)		214,045

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Chemicals – continued
$	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(i)	$	1,521,450

				2,257,027

		Diversified Manufacturing – 0.0%
	512,457	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(i)		231,887

		Finance Companies – 0.4%
	2,767,004	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(i)		2,746,251

		Financial Other – 0.1%
	732,600	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(i)		726,190

		Media Entertainment – 0.0%
	45,913	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(i)		14,778

		Oil Field Services – 0.0%
	436,364	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(i)		51,273
	157,582	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(i)		88,903
	95,596	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(e)(i)		40,946

				181,122

		Other Utility – 0.1%
	410,038	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(i)		401,837
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(i)		300,625

				702,462

		Property & Casualty Insurance – 0.0%
	158,400	CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(i)		156,156

		Retailers – 0.1%
	315,995	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(i)		277,286

		Supermarkets – 0.2%
	898,041	Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(i)		876,937

		Technology – 0.0%
	128,399	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(e)(i)		90,521

		Transportation Services – 0.0%
	157,961	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(i)		142,165

		Wirelines – 0.3%
	727,500	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(i)		719,919
	721,895	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(i)		715,037

		Wirelines – continued
	532,532	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(e)(i)		504,910

				1,939,866


		Total Senior Loans
		(Identified Cost $11,345,713)		10,342,648


	Shares

	Common Stocks – 11.0%

		Airlines – 0.5%
	52,244	United Continental Holdings, Inc.(j)		3,127,326

		Automobiles – 1.8%
	876,900	Ford Motor Co.		11,838,150

		Chemicals – 0.1%
	4,302	PPG Industries, Inc.		479,630

		Containers & Packaging – 0.1%
	40,621	Owens-Illinois, Inc.(j)		648,311

		Diversified Telecommunication Services – 0.2%
	2,627	Hawaiian Telcom Holdco, Inc.(j)		61,866
	117,962	Telefonica S.A., Sponsored ADR		1,312,917

				1,374,783

		Electronic Equipment, Instruments & Components – 3.6%
	1,119,766	Corning, Inc.		23,391,912

		Energy Equipment & Services – 0.1%
	142,224	Hercules Offshore, Inc.(j)		341,338

		Household Durables – 0.0%
	6,775	KB Home		96,747

		Metals & Mining – 0.2%
	202,147	ArcelorMittal, (Registered)		925,833
	6,543	Cliffs Natural Resources, Inc.(j)		19,629

				945,462

		Multi-Utilities – 0.1%
	10,224	CMS Energy Corp.		433,906

		Oil, Gas & Consumable Fuels – 0.4%
	2,846	Chesapeake Energy Corp.		11,725
	23,429	OGX Petroleo e Gas S.A., Sponsored ADR(j)		17,572
	82,985	Repsol YPF S.A., Sponsored ADR		938,560
	78,750	Rex Energy Corp.(j)		60,504
	33,796	Royal Dutch Shell PLC, Sponsored ADR		1,637,416

				2,665,777

		Pharmaceuticals – 0.7%
	64,900	Bristol-Myers Squibb Co.		4,145,812

		REITs – Apartments – 0.0%
	6,185	Apartment Investment & Management Co., Class A		258,657

		REITs – Shopping Centers – 0.0%
	7,868	DDR Corp.		139,972

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Semiconductors & Semiconductor Equipment – 3.0%
	603,280	Intel Corp.	$	19,516,108

		Trading Companies & Distributors – 0.2%
	20,913	United Rentals, Inc.(j)		1,300,579


		Total Common Stocks
		(Identified Cost $66,902,689)		70,704,470


	Preferred Stocks – 1.5%

	Convertible Preferred Stocks – 1.2%

		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		166,291

		Communications – 0.0%
	191	Cincinnati Bell, Inc., 6.750%		9,263

		Electric – 0.1%
	17,119	AES Trust III, 6.750%		864,681


		Energy – 0.5%
	74,087	El Paso Energy Capital Trust I, 4.750%		3,170,183

		Midstream – 0.1%
	12,537	Chesapeake Energy Corp., 5.000%(j)		172,007
	3,000	Chesapeake Energy Corp., 5.750%, 144A(j)		535,110
	190	Chesapeake Energy Corp., Series A, 5.750%, 144A(j)		32,894

				740,011

		REITs – Diversified – 0.3%
	15	Crown Castle International Corp., Series A, 4.500%		1,608
	34,071	Weyerhaeuser Co., Series A, 6.375%		1,741,710

				1,743,318

		REITs – Mortgage – 0.2%
	21,324	iStar, Inc., Series J, 4.500%		894,755


		Total Convertible Preferred Stocks
		(Identified Cost $10,404,576)		7,588,502


	Non-Convertible Preferred Stocks – 0.3%

		Banking – 0.1%
	18,000	Bank of America Corp., 6.375%		468,000
	7,075	Countrywide Capital IV, 6.750%		179,634

				647,634

		Finance Companies – 0.1%
	5,300	iStar, Inc., Series F, 7.800%		119,515
	2,575	iStar, Inc., Series G, 7.650%		58,067
	12,475	SLM Corp., Series A, 6.970%		578,840

				756,422

		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(j)		222,840


		REITs – Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%	$	216,283


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,932,685)		1,843,179


		Total Preferred Stocks
		(Identified Cost $12,337,261)		9,431,681


	Warrants – 0.0%
	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(d)(j)
		(Identified Cost $0)		—


	Principal Amount (‡)

	Short-Term Investments – 7.5%
$	72,566	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2016 at 0.00% to be repurchased at $72,566, on 4/01/2016 collateralized by $72,700 U.S. Treasury Note, 1.50% due 8/31/2018 valued at $74,022, including accrued interest (Note 2 of Notes to Financial Statements)		72,566
	48,306,996	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.03% to be repurchased at $48,307,036 on 4/01/2016 collateralized by $48,605,000 U.S. Treasury Note, 1.75% due 9/30/2022 valued at $49,273,319 including accrued interest (Note 2 of Notes to Financial Statements)		48,306,996


		Total Short-Term Investments
		(Identified Cost $48,379,562)		48,379,562


		Total Investments – 102.6%
		(Identified Cost $709,429,158)(a)		659,222,723
		Other assets less liabilities—(2.6)%		(16,745,148	)


		Net Assets – 100.0%	$	642,477,575


	(‡)	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 that will be 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.

41 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


	At March 31, 2016, the net unrealized depreciation on investments based on a cost of $710,407,320 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	$	54,579,773
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(105,764,370	)

	Net unrealized depreciation	$	(51,184,597	)

(b)	Perpetual bond with no specified maturity date.
(c)	Illiquid security. At March 31, 2016, the value of these securities amounted to $1,380,480 or 0.2% of net assets.
(d)	Fair valued security by the Fund’s investment adviser. At March 31, 2016, the value of these securities amounted to $3,991,113 or 0.6% of net assets.
(e)	Illiquid security. At March 31, 2016, the value of these securities amounted to $15,620,937 or 2.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
(f)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(g)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(h)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.
(i)	Variable rate security. Rate as of March 31, 2016 is disclosed.
(j)	Non-income producing security.
(k)	Maturity has been extended under the terms of a plan of reorganization.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, the value of Rule 144A holdings amounted to $121,230,602 or 18.9% of net assets.
ABS	Asset-Backed Securities
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
GO	General Obligation
MTN	Medium Term Note
PIK	Payment-in-Kind
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
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	9.6	%
Technology	7.0
Healthcare	6.2
Metals & Mining	6.1
Wirelines	6.0
Supermarkets	4.0
Independent Energy	3.7
Finance Companies	3.7
Electronic Equipment, Instruments & Components	3.6
Airlines	3.3
Semiconductors & Semiconductor Equipment	3.0
Building Materials	3.0
Chemicals	2.9
Aerospace & Defense	2.5
Midstream	2.3
Retailers	2.3
Property & Casualty Insurance	2.2
Other Investments, less than 2% each	23.7
Short-Term Investments	7.5

Total Investments	102.6
Other assets less liabilities	(2.6	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 94.9% of Net Assets

	Non-Convertible Bonds – 94.3%

		ABS Car Loan – 6.3%
$	195,000	Ally Master Owner Trust, Series 2014-1, Class A2, 1.290%, 1/15/2019	$	194,845
	100,000	AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019		99,936
	165,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020		165,628
	190,000	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021		190,161
	420,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		423,670
	170,000	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022		171,587
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		210,004
	360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A		359,964
	95,077	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		95,046
	38,083	California Republic Auto Receivables Trust, Series 2014-1, Class A3, 0.850%, 5/15/2018		38,052
	155,000	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		154,928
	415,000	Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019		415,570
	510,000	Capital Auto Receivables Asset Trust, Series 2015-3, Class A3, 1.940%, 1/21/2020		512,667
	11,098	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		11,088
	214,821	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		213,681
	54,426	CarMax Auto Owner Trust, Series 2013-4, Class A3, 0.800%, 7/16/2018		54,376
	69,608	CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018		69,502
	32,467	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		32,401
	114,283	CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A		113,661
	465,000	CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A		462,123
	112,156	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		112,087
	345,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		344,517
	275,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A		275,136

		ABS Car Loan – continued
$	360,000	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A	$	357,291
	120,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		118,297
	375,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		370,974
	155,000	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		154,913
	27,476	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A		27,400
	275,000	Fifth Third Auto Trust, Series 2014-3, Class A3, 0.960%, 3/15/2019		274,459
	102,720	First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A		102,664
	81,471	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		81,349
	9,305	Flagship Credit Auto Trust, Series 2013-1, Class A, 1.320%, 4/16/2018, 144A		9,302
	325,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		316,633
	115,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		116,508
	230,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		232,079
	595,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		589,244
	11,240	Prestige Auto Receivables Trust, Series 2014-1A, Class A2, 0.970%, 3/15/2018, 144A		11,233
	335,000	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A		334,637
	205,000	Santander Drive Auto Receivables Trust, Series 2015-2, Class C, 2.440%, 4/15/2021		204,691
	175,000	Santander Drive Auto Receivables Trust, Series 2015-3, Class C, 2.740%, 1/15/2021		175,025
	460,000	Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.970%, 3/15/2021		461,000
	8,132	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		8,131
	143,186	SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018		142,861
	229,706	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		228,787
	370,000	World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020		369,899

				9,408,007

		ABS Credit Card – 1.2%
	485,000	Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.360%, 9/15/2020		486,649

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Credit Card – continued
$	415,000	Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022	$	424,977
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		271,859
	560,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		584,100

				1,767,585

		ABS Home Equity – 1.2%
	335,089	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A		330,605
	223,987	Colony American Homes, Series 2014-1A, Class A, 1.591%, 5/17/2031, 144A(b)		220,197
	28,137	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.468%, 7/25/2021(b)(c)		27,454
	21,559	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		21,905
	260,000	Federal Home Loan Mortgage Corp., Series 2015-DN1, Class M2, 2.833%, 1/25/2025(b)		263,318
	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.283%, 10/25/2027(b)		494,527
	42,210	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A		42,812
	219,063	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A		220,515
	114,106	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.794%, 6/25/2035(b)		114,013

				1,735,346

		ABS Other – 1.8%
	62,884	CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A		62,727
	133,650	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		131,585
	50,863	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		49,907
	85,488	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		85,361
	445,000	John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021		446,447
	230,000	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		229,102
	385,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A		381,181

		ABS Other – continued
$	350,000	OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A	$	344,973
	256,180	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		253,772
	190,434	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		189,920
	217,708	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		206,581
	88,226	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		84,092
	216,667	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		202,236

				2,667,884

		ABS Student Loan – 1.2%
	481,971	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.419%, 7/25/2025(b)		472,910
	207,792	SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A		205,273
	636,967	SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A		627,794
	443,307	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.619%, 7/25/2025(b)		439,375

				1,745,352

		Aerospace & Defense – 0.3%
	60,000	Rockwell Collins, Inc., 0.984%, 12/15/2016(b)		60,022
	450,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A		451,193

				511,215

		Agency Commercial Mortgage-Backed Securities – 5.0%
	725,000	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		801,647
	570,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)		617,489
	785,000	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		808,372
	419,743	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		429,661
	1,035,000	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		1,056,420
	360,000	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		367,442
	1,460,000	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,483,271

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	1,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019	$	1,147,205
	3,329	FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.786%, 4/25/2019(b)		3,315
	700,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.141%, 11/25/2022(b)		702,164

				7,416,986

		Airlines – 0.3%
	92,027	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		103,032
	430,000	Latam Airlines Pass Through Trust, Series 2015-1, Class A, 4.200%, 8/15/2029, 144A		374,100

				477,132

		Automotive – 1.5%
	500,000	American Honda Finance Corp., MTN, 1.600%, 7/13/2018		502,939
	220,000	Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A		222,324
	50,000	Delphi Automotive PLC, 3.150%, 11/19/2020		51,048
	505,000	General Motors Financial Co., Inc., 4.200%, 3/01/2021		521,603
	370,000	General Motors Financial Co., Inc., 4.250%, 5/15/2023		372,078
	495,000	Hyundai Capital America, 3.000%, 3/18/2021, 144A		501,118
	115,000	Magna International, Inc., 3.625%, 6/15/2024		115,306

				2,286,416

		Banking – 13.2%
	840,000	Abbey National Treasury Services PLC, 2.500%, 3/14/2019		848,005
	230,000	American Express Credit Corp., 1.125%, 6/05/2017		229,791
	115,000	Bank of America Corp., 6.000%, 9/01/2017		121,538
	55,000	Bank of Montreal, MTN, 1.400%, 9/11/2017		55,160
	715,000	Bank of Nova Scotia, Series BKNT, 2.450%, 3/22/2021		720,172
	550,000	Barclays PLC, 3.250%, 1/12/2021		548,631
	220,000	Barclays PLC, 3.650%, 3/16/2025		206,646
	330,000	Bear Stearns Cos. LLC (The), 7.250%, 2/01/2018		362,438
	280,000	Citigroup, Inc., 3.375%, 3/01/2023		283,993
	245,000	Citigroup, Inc., 4.400%, 6/10/2025		249,829
	270,000	Citigroup, Inc., 4.450%, 9/29/2027		271,686
	430,000	Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019		432,434
	250,000	Comerica Bank, 2.500%, 6/02/2020		250,996

		Banking – continued
$	840,000	Commonwealth Bank of Australia, GMTN, 2.550%, 3/15/2021	$	851,886
	430,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		458,650
	355,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		363,651
	540,000	Credit Suisse Group Funding Guernsey Ltd., 3.125%, 12/10/2020, 144A		537,021
	520,000	Credit Suisse Group Funding Guernsey Ltd., 3.800%, 9/15/2022		517,543
	250,000	Deutsche Bank AG, 1.875%, 2/13/2018		248,409
	550,000	Deutsche Bank AG, 3.125%, 1/13/2021		546,822
	290,000	Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018		310,993
	185,000	HSBC USA, Inc., 2.375%, 11/13/2019		185,826
	365,000	ING Bank NV, 2.750%, 3/22/2021, 144A		370,453
	500,000	JPMorgan Chase & Co., 3.300%, 4/01/2026		504,061
	275,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		296,163
	685,000	Key Bank NA, Series BKNT, 2.350%, 3/08/2019		691,207
	445,000	Lloyds Bank PLC, 1.750%, 3/16/2018		444,477
	515,000	Lloyds Banking Group PLC, 4.650%, 3/24/2026		510,400
	595,000	Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A		592,790
	550,000	Macquarie Bank Ltd., 2.850%, 1/15/2021, 144A		555,927
	130,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		142,743
	245,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		260,408
	460,000	Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A		460,327
	535,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		584,506
	250,000	National Australia Bank Ltd., GMTN, 2.625%, 1/14/2021		254,467
	295,000	National Bank of Canada, 2.100%, 12/14/2018		297,021
	330,000	Royal Bank of Canada, 1.250%, 6/16/2017		330,393
	355,000	Royal Bank of Canada, 1.400%, 10/13/2017		355,478
	440,000	Royal Bank of Scotland Group PLC, 4.800%, 4/05/2026		441,456
	305,000	Santander Bank NA, 2.000%, 1/12/2018		302,396
	40,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		40,059
	400,000	Santander Issuances SAU, 5.179%, 11/19/2025		386,540
	365,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A		345,233
	540,000	Societe Generale S.A., 4.750%, 11/24/2025, 144A		534,415
	275,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		280,862
	260,000	Standard Chartered PLC, 3.200%, 4/17/2025, 144A		250,856

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	615,000	Toronto Dominion Bank (The), MTN, 2.125%, 4/07/2021	$	613,954
	275,000	Toronto-Dominion Bank (The), MTN, 1.950%, 1/22/2019		277,431
	870,000	UBS Group Funding Jersey Ltd., 3.000%, 4/15/2021, 144A		870,661

				19,596,804

		Building Materials – 0.1%
	120,000	Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020		121,467
	45,000	Masco Corp., 3.500%, 4/01/2021		45,337
	30,000	Masco Corp., 7.125%, 3/15/2020		34,538

				201,342

		Cable Satellite – 0.4%
	170,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		199,929
	325,000	NBCUniversal Enterprise, Inc., 1.159%, 4/15/2016, 144A(b)		325,056

				524,985

		Chemicals – 0.3%
	120,000	Airgas, Inc., 3.050%, 8/01/2020		122,789
	120,000	Albemarle Corp., 3.000%, 12/01/2019		120,719
	140,000	Eastman Chemical Co., 4.500%, 1/15/2021		151,431
	85,000	Methanex Corp., 3.250%, 12/15/2019		79,095

				474,034

		Collateralized Mortgage Obligations – 1.3%
	273,794	Government National Mortgage Association, Series 2014-H14, Class FA, 0.925%, 7/20/2064(b)		270,202
	191,655	Government National Mortgage Association, Series 2014-H15, Class FA, 0.925%, 7/20/2064(b)		188,865
	726,086	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		731,574
	680,000	Government National Mortgage Association, Series 2016-H06, Class FC, 1.345%, 2/20/2066(b)		677,450

				1,868,091

		Construction Machinery – 0.1%
	195,000	John Deere Capital Corp., 2.450%, 9/11/2020		199,640

		Consumer Cyclical Services – 1.0%
	225,000	Alibaba Group Holding Ltd., 2.500%, 11/28/2019		227,014
	350,000	eBay, Inc., 2.600%, 7/15/2022		336,419
	345,000	eBay, Inc., 3.800%, 3/09/2022		355,169
	350,000	Expedia, Inc., 5.000%, 2/15/2026, 144A		349,884
	75,000	Western Union Co. (The), 3.350%, 5/22/2019		76,236
	130,000	Western Union Co. (The), 3.650%, 8/22/2018		133,409

				1,478,131


		Diversified Manufacturing – 0.1%
$	90,000	Snap-On, Inc., 4.250%, 1/15/2018	$	94,629

		Electric – 1.4%
	220,000	Delmarva Power & Light Co., 3.500%, 11/15/2023		233,879
	260,000	Dominion Resources, Inc., 1.950%, 8/15/2016		260,821
	120,000	Duke Energy Indiana LLC, 0.967%, 7/11/2016(b)		120,036
	145,000	Duke Energy Progress LLC, 0.836%, 3/06/2017(b)		144,638
	200,000	Exelon Generation Co. LLC, 2.950%, 1/15/2020		201,288
	130,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		136,309
	220,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		211,893
	510,000	NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017		512,754
	305,000	Southern Co. (The), 2.750%, 6/15/2020		309,235

				2,130,853

		Finance Companies – 0.4%
	255,000	FS Investment Corp., 4.750%, 5/15/2022		252,581
	280,000	International Lease Finance Corp., 2.584%, 6/15/2016(b)		280,261

				532,842

		Food & Beverage – 0.3%
	10,000	Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019		10,971
	350,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		378,202

				389,173

		Government Owned – No Guarantee – 0.1%
	220,000	Ecopetrol S.A., 5.875%, 9/18/2023		216,922

		Healthcare – 0.6%
	46,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		48,760
	205,000	Life Technologies Corp., 6.000%, 3/01/2020		229,713
	40,000	Quest Diagnostics, Inc., 4.700%, 4/01/2021		43,449
	105,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		114,165
	285,000	Stryker Corp., 2.000%, 9/30/2016		286,772
	120,000	Stryker Corp., 2.625%, 3/15/2021		122,368

				845,227

		Hybrid ARMs – 0.2%
	76,522	FHLMC, 2.505%, 1/01/2035(b)		80,602
	229,369	FHLMC, 2.787%, 5/01/2036(b)		242,597

				323,199

		Independent Energy – 1.1%
	100,000	Anadarko Petroleum Corp., 5.950%, 9/15/2016		101,736
	110,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		115,277
	120,000	ConocoPhillips Co., 2.875%, 11/15/2021		117,700
	175,000	Devon Energy Corp., 5.850%, 12/15/2025		168,917

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	200,000	Encana Corp., 6.500%, 5/15/2019	$	199,560
	115,000	Newfield Exploration Co., 5.750%, 1/30/2022		112,089
	295,000	Occidental Petroleum Corp., 1.750%, 2/15/2017		295,594
	345,000	Occidental Petroleum Corp., 3.400%, 4/15/2026		348,295
	130,000	Pioneer Natural Resources Co., 3.450%, 1/15/2021		129,315

				1,588,483

		Industrial Other – 0.3%
	440,000	Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A		439,823

		Integrated Energy – 0.2%
	160,000	BP Capital Markets PLC, 3.062%, 3/17/2022		163,064
	105,000	Shell International Finance BV, 1.625%, 11/10/2018		105,317

				268,381

		Life Insurance – 0.9%
	185,000	AIG Global Funding, 1.650%, 12/15/2017, 144A		184,737
	415,000	New York Life Global Funding, 1.450%, 12/15/2017, 144A		415,913
	320,000	Prudential Financial, Inc., 3.500%, 5/15/2024		325,248
	385,000	Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A		385,624
	70,000	Unum Group, 5.625%, 9/15/2020		77,315

				1,388,837

		Media Entertainment – 0.3%
	125,000	McGraw Hill Financial, Inc., 3.300%, 8/14/2020		129,314
	55,000	Scripps Networks Interactive, Inc., 3.950%, 6/15/2025		55,018
	225,000	Time Warner, Inc., 3.550%, 6/01/2024		231,439

				415,771

		Metals & Mining – 0.7%
	140,000	Alcoa, Inc., 6.750%, 7/15/2018		150,500
	145,000	Allegheny Technologies, Inc., 5.950%, 1/15/2021		121,075
	183,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		187,082
	305,000	Glencore Funding LLC, 2.125%, 4/16/2018, 144A		286,685
	35,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		33,740
	5,000	Rio Tinto Finance USA Ltd., 3.500%, 11/02/2020		5,175
	60,000	Rio Tinto Finance USA Ltd., 3.750%, 9/20/2021		62,274
	135,000	Rio Tinto Finance USA PLC, 3.500%, 3/22/2022		135,621

				982,152


		Midstream – 1.5%
$	130,000	DCP Midstream Operating LP, 4.950%, 4/01/2022	$	114,238
	285,000	Energy Transfer Partners LP, 2.500%, 6/15/2018		275,870
	140,000	Energy Transfer Partners LP, 4.650%, 6/01/2021		134,525
	275,000	Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022		266,636
	285,000	Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A		289,151
	225,000	National Fuel Gas Co., 5.200%, 7/15/2025		206,510
	395,000	ONEOK Partners LP, 3.375%, 10/01/2022		354,488
	260,000	Plains All American Pipeline LP/PAA Finance Corp., 3.650%, 6/01/2022		237,987
	20,000	Plains All American Pipeline LP/PAA Finance Corp., 4.650%, 10/15/2025		18,490
	50,000	TransCanada PipeLines Ltd., 2.500%, 8/01/2022		47,315
	160,000	Williams Partners LP, 3.600%, 3/15/2022		131,747
	200,000	Williams Partners LP, 5.250%, 3/15/2020		191,660

				2,268,617

		Mortgage Related – 4.2%
	7,175	FHLMC, 3.000%, 10/01/2026		7,529
	766	FHLMC, 6.500%, 1/01/2024		872
	132	FHLMC, 8.000%, 7/01/2025		153
	268	FNMA, 6.000%, 9/01/2021		276
	281,786	GNMA, 4.312%, 2/20/2063		304,717
	530,926	GNMA, 4.356%, 2/20/2063		571,157
	230,579	GNMA, 4.496%, 10/20/2062		248,101
	492,666	GNMA, 4.500%, 4/20/2063		532,950
	287,345	GNMA, 4.505%, 4/20/2063		310,664
	325,343	GNMA, 4.514%, 5/20/2062		346,493
	292,994	GNMA, 4.520%, 5/20/2062		310,322
	281,732	GNMA, 4.549%, 3/20/2063		304,922
	290,480	GNMA, 4.560%, 3/20/2062		308,527
	196,234	GNMA, 4.567%, 7/20/2062		209,707
	331,906	GNMA, 4.575%, 2/20/2063		357,718
	243,103	GNMA, 4.604%, 6/20/2062		259,058
	496,832	GNMA, 4.636%, 11/20/2064		530,943
	282,868	GNMA, 4.685%, 8/20/2061		296,088
	654,116	GNMA, 4.689%, 5/20/2064		739,438
	2,476	GNMA, 6.500%, 12/15/2023		2,834
	411	GNMA, 8.500%, 9/15/2022		417
	1,120	GNMA, 9.500%, 1/15/2019		1,201
	613,717	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		616,008

				6,260,095

		Natural Gas – 0.1%
	120,000	NiSource Finance Corp., 6.125%, 3/01/2022		140,798

		Non-Agency Commercial Mortgage-Backed Securities – 9.7%
	33,784	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		34,929
	550,000	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		592,290

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	465,000	CG-CCRE Commercial Mortgage Trust, Series 2016-CR28, Class A4, 3.762%, 2/10/2049	$	498,345
	295,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		316,251
	95,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		97,824
	260,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		268,045
	230,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		242,152
	535,000	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047		567,965
	730,000	Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1.277%, 2/13/2032, 144A(b)		715,170
	900,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		963,979
	290,354	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.699%, 6/15/2039(b)		296,906
	180,237	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.941%, 9/15/2039(b)		186,746
	371,648	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		383,374
	95,000	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		100,833
	405,000	CSAIL Commercial Mortgage Trust, Series 2016-C5, Class A5, 3.757%, 11/15/2048		433,305
	231,727	GP Portfolio Trust, Series 2014-GPP, Class A, 1.386%, 2/15/2027, 144A(b)		227,428
	315,867	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		322,347
	259,234	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		269,499
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		348,626
	990,648	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.794%, 8/10/2045(b)		1,020,381
	265,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		283,936
	410,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.743%, 6/15/2049(b)		419,406

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	189,243	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049	$	193,120
	135,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		143,417
	313,755	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.416%, 7/15/2031, 144A(b)		312,121
	520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.136%, 7/15/2036, 144A(b)		515,924
	320,000	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 5.838%, 6/12/2050(b)		329,434
	618,234	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		629,782
	237,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		241,823
	295,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		313,639
	145,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		150,197
	785,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)		803,788
	8,629	PFP III Ltd., Series 2014-1, Class A, 1.606%, 6/14/2031, 144A(b)		8,616
	185,000	SCG Trust, Series 2013-SRP1, Class B, 2.936%, 11/15/2026, 144A(b)		180,364
	410,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.703%, 6/15/2049(b)		419,470
	427,777	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		440,288
	225,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		234,725
	250,362	WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 1.558%, 11/15/2029, 144A(b)		245,349
	200,000	WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047		211,788
	390,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047		416,154

				14,379,736

		Oil Field Services – 0.3%
	110,000	Nabors Industries, Inc., 4.625%, 9/15/2021		93,335
	155,000	Nabors Industries, Inc., 5.000%, 9/15/2020		133,958
	160,000	Oceaneering International, Inc., 4.650%, 11/15/2024		136,821
	100,000	Rowan Cos., Inc., 5.000%, 9/01/2017		96,269

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Oil Field Services – continued
$	60,000	Schlumberger Holdings Corp., 3.625%, 12/21/2022, 144A	$	61,716

				522,099

		Pharmaceuticals – 0.6%
	25,000	Amgen, Inc., 2.200%, 5/22/2019		25,575
	165,000	Eli Lilly & Co., 1.950%, 3/15/2019		168,795
	335,000	Johnson & Johnson, 1.650%, 3/01/2021		336,766
	290,000	Mylan, Inc., 4.200%, 11/29/2023		297,039

				828,175

		Property & Casualty Insurance – 0.8%
	255,000	Allied World Assurance Co. Holdings Ltd., 4.350%, 10/29/2025		255,513
	355,000	CNA Financial Corp., 4.500%, 3/01/2026		359,871
	500,000	Trinity Acquisition PLC, 4.400%, 3/15/2026		507,239

				1,122,623

		Railroads – 0.6%
	285,000	Canadian National Railway Co., 1.450%, 12/15/2016		285,701
	230,000	CSX Corp., 3.700%, 10/30/2020		244,287
	30,000	CSX Corp., 6.150%, 5/01/2037		36,943
	240,000	Union Pacific Corp., 3.646%, 2/15/2024		258,989

				825,920

		Refining – 0.4%
	545,000	Marathon Petroleum Corp., 3.400%, 12/15/2020		536,052

		REITs – Health Care – 0.5%
	535,000	HCP, Inc., 4.000%, 12/01/2022		537,677
	35,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		34,417
	240,000	Welltower, Inc., 4.000%, 6/01/2025		240,131

				812,225

		REITs – Hotels – 0.3%
	395,000	Hospitality Properties Trust, 5.250%, 2/15/2026		396,775

		REITs – Single Tenant – 0.2%
	200,000	Realty Income Corp., 5.875%, 3/15/2035		228,062

		Retailers – 0.3%
	350,000	Kohl’s Corp., 4.250%, 7/17/2025		345,797
	160,000	Ross Stores, Inc., 3.375%, 9/15/2024		161,884

				507,681

		Sovereigns – 0.4%
	150,000	Mexico Government International Bond, 5.625%, 1/15/2017		154,725
	405,000	Republic of Poland, 3.250%, 4/06/2026		404,409

				559,134

		Supranational – 0.1%
	220,000	Nordic Investment Bank, 0.500%, 4/14/2016		220,003


		Technology – 1.7%
$	55,000	Apple, Inc., 2.700%, 5/13/2022	$	56,861
	155,000	Apple, Inc., 2.850%, 5/06/2021		162,522
	50,000	Avnet, Inc., 4.625%, 4/15/2026		50,546
	265,000	Hewlett Packard Enterprise Co., 4.400%, 10/15/2022, 144A		276,866
	275,000	HP, Inc., 4.300%, 6/01/2021		286,213
	80,000	Ingram Micro, Inc., 4.950%, 12/15/2024		77,855
	375,000	International Business Machines Corp., 2.875%, 11/09/2022		388,840
	100,000	Jabil Circuit, Inc., 5.625%, 12/15/2020		103,250
	25,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		27,125
	520,000	Juniper Networks, Inc., 4.500%, 3/15/2024		528,700
	40,000	KLA-Tencor Corp., 4.125%, 11/01/2021		41,766
	325,000	Microsoft Corp., 2.375%, 2/12/2022		334,823
	75,000	Xerox Corp., 2.800%, 5/15/2020		70,698
	100,000	Xerox Corp., 6.350%, 5/15/2018		106,701

				2,512,766

		Tobacco – 0.2%
	285,000	Philip Morris International, Inc., 2.500%, 5/16/2016		285,656
	35,000	Philip Morris International, Inc., 2.900%, 11/15/2021		36,996
	5,000	Philip Morris International, Inc., 5.650%, 5/16/2018		5,467

				328,119

		Transportation Services – 0.3%
	430,000	TTX Co., 2.600%, 6/15/2020, 144A		429,572

		Treasuries – 29.7%
	5,745,000	U.S. Treasury Note, 0.750%, 2/15/2019		5,727,943
	2,195,000	U.S. Treasury Note, 1.000%, 3/15/2019		2,203,574
	5,885,000	U.S. Treasury Note, 1.125%, 2/28/2021		5,860,860
	6,675,000	U.S. Treasury Note, 1.375%, 1/31/2021		6,722,980
	4,220,000	U.S. Treasury Note, 1.625%, 6/30/2020		4,303,742
	1,075,000	U.S. Treasury Note, 1.625%, 7/31/2020		1,096,290
	1,465,000	U.S. Treasury Note, 1.625%, 2/15/2026		1,443,712
	875,000	U.S. Treasury Note, 1.750%, 4/30/2022		890,244
	3,360,000	U.S. Treasury Note, 1.750%, 1/31/2023		3,406,462
	2,595,000	U.S. Treasury Note, 1.875%, 8/31/2022		2,655,414
	2,020,000	U.S. Treasury Note, 1.875%, 10/31/2022		2,066,319
	815,000	U.S. Treasury Note, 2.000%, 11/15/2021		842,888
	1,025,000	U.S. Treasury Note, 2.000%, 7/31/2022		1,056,991
	2,175,000	U.S. Treasury Note, 2.000%, 11/30/2022		2,241,016
	1,385,000	U.S. Treasury Note, 2.000%, 8/15/2025		1,411,618
	885,000	U.S. Treasury Note, 2.125%, 6/30/2022		919,397
	950,000	U.S. Treasury Note, 2.125%, 5/15/2025		979,353
	180,000	U.S. Treasury Note, 2.250%, 11/15/2025		187,334

				44,016,137

		Wireless – 0.5%
	225,000	American Tower Corp., 3.300%, 2/15/2021		228,853
	210,000	American Tower Corp., 3.400%, 2/15/2019		215,279
	150,000	American Tower Corp., 4.700%, 3/15/2022		162,428
	150,000	Vodafone Group PLC, 2.500%, 9/26/2022		146,550

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Wireless – continued
$	35,000	Vodafone Group PLC, 2.950%, 2/19/2023	$	34,897

				788,007


		Wirelines – 0.1%
	220,000	British Telecommunications PLC, 1.625%, 6/28/2016		220,275


		Total Non-Convertible Bonds
		(Identified Cost $139,230,495)		139,878,113


	Municipals – 0.6%

		Florida – 0.4%
	545,000	Florida State Board of Administration Finance Corp. Revenue, Series A, 2.163%, 7/01/2019		548,450

		New Jersey – 0.2%
	310,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017		310,406

		Total Municipals
		(Identified Cost $855,000)		858,856


		Total Bonds and Notes
		(Identified Cost $140,085,495)		140,736,969


	Short-Term Investments – 7.3%
	5,764,140	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $5,764,145 on 4/01/2016 collateralized by $5,695,000 U.S. Treasury Note, 2.00% due 7/31/2022 valued at $5,880,088 including accrued interest (Note 2 of Notes to Financial Statements)		5,764,140
	2,060,000	U.S. Treasury Bills, 0.305%, 5/26/2016(d)		2,059,582
	2,945,000	U.S. Treasury Bills, 0.305%, 8/11/2016(d)		2,941,590


		Total Short-Term Investments
		(Identified Cost $10,764,887)		10,765,312


		Total Investments – 102.2%
		(Identified Cost $150,850,382)(a)		151,502,281
		Other assets less liabilities—(2.2)%		(3,206,448	)


		Net Assets – 100.0%	$	148,295,833


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2016, the net unrealized appreciation on investments based on a cost of $151,172,837 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	$	1,518,443
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,188,999	)

		Net unrealized appreciation	$	329,444

	(b)	Variable rate security. Rate as of March 31, 2016 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At March 31, 2016, the value of this security amounted to $27,454 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, the value of Rule 144A holdings amounted to $21,371,653 or 14.4% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	29.7	%
Banking	13.2
Non-Agency Commercial Mortgage-Backed Securities	9.7
ABS Car Loan	6.3
Agency Commercial Mortgage-Backed Securities	5.0
Mortgage Related	4.2
Other Investments, less than 2% each	26.8
Short-Term Investments	7.3

Total Investments	102.2
Other assets less liabilities	(2.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 89.6% of Net Assets

	Non-Convertible Bonds – 84.1%

		ABS Home Equity – 0.0%
$	55,794	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 2.461%, 7/25/2035(b)(c)	$	51,055

		ABS Other – 3.1%
	2,878,554	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)		2,851,265
	10,479,200	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		10,380,695
	565,113	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		587,445
	384,866	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		368,389
	880,730	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		907,608

				15,095,402

		Aerospace & Defense – 0.3%
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		662,039
	610,000	TransDigm, Inc., 6.500%, 5/15/2025		596,275

				1,258,314

		Airlines – 2.3%
	321,613	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		311,964
	525,269	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		536,357
	96,259	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		97,709
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		881,999
	156,300	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		170,179
	656,808	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		725,773
	2,470,974	Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018		2,524,100
	90,341	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		94,406
	834,673	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		943,180

		Airlines – continued
$	1,920,300	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021	$	2,149,929
	890,245	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		952,562
	493,377	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		570,158
	937,768	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		993,452

				10,951,768

		Automotive – 2.7%
	840,000	Cummins, Inc., 5.650%, 3/01/2098		894,183
	10,935,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		11,581,576
	200,000	General Motors Co., 5.200%, 4/01/2045		188,014
	340,000	General Motors Co., 6.750%, 4/01/2046		386,501

				13,050,274

		Banking – 10.5%
	2,875,000	Ally Financial, Inc., 4.125%, 2/13/2022		2,824,688
	74,000	Ally Financial, Inc., 8.000%, 12/31/2018		79,920
	130,000	Bank of America Corp., 5.420%, 3/15/2017		134,442
	800,000	Bank of America Corp., 5.490%, 3/15/2019		871,874
	683,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		688,739
	400,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		405,963
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		872,832
	3,305,000	Capital One NA, 2.400%, 9/05/2019		3,295,772
	1,045,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		753,245
	3,545,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		2,540,385
	250,000	Cooperatieve Rabobank UA, 1.700%, 3/19/2018		251,400
	815,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		869,302
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,242,368
	6,050,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		4,906,381
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		732,358
	4,110,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		4,266,381
	300,000	JPMorgan Chase & Co., EMTN, 1.071%, 5/30/2017, (GBP)(b)		426,816
	5,310,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		397,850

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034	$	1,522,218
	665,000	Morgan Stanley, 2.500%, 1/24/2019		676,614
	615,000	Morgan Stanley, 3.750%, 2/25/2023		640,809
	1,215,000	Morgan Stanley, 4.350%, 9/08/2026		1,250,333
	840,000	Morgan Stanley, 5.750%, 1/25/2021		961,477
	1,518,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,219,109
	5,992,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		6,179,214
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,621,884
	455,000	Morgan Stanley, Series F, MTN, 1.070%, 10/18/2016(b)		454,712
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		442,594
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		916,584
	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		2,858,764
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		58,175
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		379,649
	76,000	Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR)		85,616
	626,000	Santander Holdings USA, Inc., 4.625%, 4/19/2016		626,920
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		118,163
	300,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		302,039
	1,500,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(e)		2,293,814

				51,169,404

		Brokerage – 1.0%
	3,223,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,234,777
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		901,717
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		460,588
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		90,328

				4,687,410

		Building Materials – 1.1%
	554,000	Masco Corp., 5.850%, 3/15/2017		579,623
	1,287,000	Masco Corp., 6.125%, 10/03/2016		1,318,210
	1,010,000	Masco Corp., 6.500%, 8/15/2032		1,030,200
	285,000	Masco Corp., 7.750%, 8/01/2029		322,050
	2,505,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(d)		319,600
	11,000	Owens Corning, 6.500%, 12/01/2016		11,236
	1,712,000	Owens Corning, 7.000%, 12/01/2036		1,891,330

				5,472,249


		Cable Satellite – 0.0%
$	15,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A	$	13,121
	185,000	Time Warner Cable, Inc., 5.500%, 9/01/2041		183,466

				196,587

		Chemicals – 0.6%
	2,995,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		2,875,200
	140,000	Methanex Corp., 5.250%, 3/01/2022		132,376

				3,007,576

		Collateralized Mortgage Obligations – 0.1%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		586,397
	6,260	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020(c)		6,449

				592,846

		Consumer Products – 0.1%
	459,000	Hasbro, Inc., 6.600%, 7/15/2028		506,640

		Diversified Manufacturing – 0.1%
	65,000	General Electric Co., GMTN, 3.100%, 1/09/2023		68,830
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		670,541

				739,371

		Electric – 3.3%
	985,000	Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039, 144A		857,968
	883,657	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		833,412
	468,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		482,058
	1,800,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		1,802,520
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,691,467
	607,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		641,903
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		846,130
	683,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		752,134
	4,109,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,822,729
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		680,921
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,547,849

				15,959,091	��

		Finance Companies – 5.7%
	3,826,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,304,250
	12,895,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		9,071,882
	355,000	General Electric Co., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		249,476

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
	600,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)	$	423,010
	286,000	General Electric Co., Series A, MTN, 0.922%, 5/13/2024(b)		265,151
	30,000	International Lease Finance Corp., 3.875%, 4/15/2018		30,171
	889,000	International Lease Finance Corp., 4.625%, 4/15/2021		911,225
	19,000	International Lease Finance Corp., 5.875%, 8/15/2022		20,615
	2,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,217,800
	490,000	Navient LLC, 4.875%, 6/17/2019		472,850
	4,297,000	Navient LLC, 5.500%, 1/25/2023		3,652,450
	129,000	Navient LLC, MTN, 4.625%, 9/25/2017		130,451
	159,000	Navient LLC, MTN, 5.500%, 1/15/2019		156,218
	1,382,000	Navient LLC, MTN, 7.250%, 1/25/2022		1,292,170
	983,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)		693,015
	611,000	Springleaf Finance Corp., 5.250%, 12/15/2019		583,505
	1,522,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,493,234
	611,000	Springleaf Finance Corp., 8.250%, 10/01/2023		589,615
	987,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,009,207

				27,566,295

		Government Guaranteed – 1.0%
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		4,161,921
	736,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		542,083

				4,704,004

		Government Owned – No Guarantee – 0.3%
	780,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		757,895
	705,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		514,438
	625,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		406,250

				1,678,583

		Health Insurance – 0.0%
	15,000	Cigna Corp., 7.875%, 5/15/2027		20,363

		Healthcare – 1.3%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		732,583
	4,388,000	HCA, Inc., 5.250%, 4/15/2025		4,519,640
	42,000	HCA, Inc., 5.875%, 3/15/2022		45,465
	76,000	HCA, Inc., 7.050%, 12/01/2027		77,900
	57,000	HCA, Inc., 7.500%, 12/15/2023		60,420
	133,000	HCA, Inc., 7.690%, 6/15/2025		142,975

		Healthcare – continued
$	232,000	HCA, Inc., 8.360%, 4/15/2024	$	258,680
	8,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,640
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		248,240

				6,094,543

		Home Construction – 0.7%
	2,536,000	PulteGroup, Inc., 6.000%, 2/15/2035		2,466,260
	1,105,000	PulteGroup, Inc., 6.375%, 5/15/2033		1,127,100

				3,593,360

		Hybrid ARMs – 0.0%
	25,436	FNMA, 2.244%, 2/01/2037(b)		26,363
	35,823	FNMA, 2.619%, 9/01/2036(b)		37,724

				64,087

		Independent Energy – 1.7%
	907,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		950,513
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		17,940
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		16,485
	450,000	Continental Resources, Inc., 3.800%, 6/01/2024		355,500
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		66,900
	2,277,000	EQT Corp., 8.125%, 6/01/2019		2,453,684
	1,632,000	Equitable Resources, Inc., 6.500%, 4/01/2018		1,674,528
	1,317,000	Newfield Exploration Co., 5.625%, 7/01/2024		1,234,688
	1,805,000	Noble Energy, Inc., 3.900%, 11/15/2024		1,699,012

				8,469,250

		Integrated Energy – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		557,926

		Life Insurance – 2.1%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		52,101
	71,000	American International Group, Inc., 4.875%, 6/01/2022		78,074
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		1,947,003
	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)		2,884,941
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)		2,258,494
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		2,987,611

				10,208,224

		Local Authorities – 1.5%
	2,407,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		1,920,405
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		2,802,168
	3,037,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		2,400,230

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Local Authorities – continued
	24,033	Province of Alberta, 5.930%, 9/16/2016, (CAD)	$	18,929

				7,141,732

		Media Entertainment – 0.5%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		248,907
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		868,430
	50,000	Viacom, Inc., 4.375%, 3/15/2043		38,652
	845,000	Viacom, Inc., 5.250%, 4/01/2044		760,015
	305,000	Viacom, Inc., 5.850%, 9/01/2043		293,270

				2,209,274

		Metals & Mining – 1.1%
	319,000	ArcelorMittal, 7.250%, 2/25/2022		315,651
	1,750,000	ArcelorMittal, 7.750%, 3/01/2041		1,496,250
	387,000	ArcelorMittal, 8.000%, 10/15/2039		336,690
	1,717,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		1,373,600
	1,571,000	United States Steel Corp., 7.500%, 3/15/2022		1,120,123
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		954,917

				5,597,231

		Midstream – 2.6%
	159,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		101,840
	1,330,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025		1,341,105
	1,265,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		1,278,525
	152,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		170,133
	607,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		659,209
	213,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		205,811
	8,400,000	ONEOK Partners LP, 4.900%, 3/15/2025		7,913,926
	55,000	ONEOK Partners LP, 6.200%, 9/15/2043		50,071
	615,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		634,270
	500,000	Williams Partners LP, 3.350%, 8/15/2022		408,054

				12,762,944

		Mortgage Related – 0.0%
	616	FHLMC, 10.000%, with various maturities in 2018(f)		652
	1,565	FNMA, 6.000%, 12/01/2018		1,783
	1,885	GNMA, 10.000%, 5/15/2018		1,895

				4,330

		Natural Gas – 0.4%
	1,518,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,781,097


		Non-Agency Commercial Mortgage-Backed Securities – 3.2%
$	295,816	Bear Stearns Commercial Mortgage Securities, Series 2006-PW13, Class A4, 5.540%, 9/11/2041	$	296,687
	161,284	Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class A4, 5.537%, 10/12/2041		162,568
	242,247	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.721%, 6/11/2040(b)		248,147
	616,233	CD Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		628,252
	1,655,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV2, 2.786%, 10/15/2031, 144A(b)(d)		1,651,243
	580,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.386%, 10/15/2031, 144A(b)(d)		577,738
	505,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.586%, 10/15/2031, 144A(b)(d)		503,286
	1,942,494	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.699%, 6/15/2039(b)		1,986,331
	1,048,163	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.941%, 9/15/2039(b)		1,086,011
	383,464	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		395,564
	908,310	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		944,277
	233,698	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.794%, 8/10/2045(b)		240,712
	475,054	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		365,335
	827,485	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.743%, 6/15/2049(b)		846,468
	961,192	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		980,885
	78,913	LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.856%, 6/15/2038(b)		78,900
	286,893	LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class A4, 5.372%, 9/15/2039		288,961
	14,141	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-2, Class A4, 5.947%, 6/12/2046(b)		14,120
	189,790	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)		194,332
	509,888	Morgan Stanley Capital I, Series 2008-T29, Class A4, 6.268%, 1/11/2043(b)		540,697

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
	3,515,000	Original Wempi, Inc., 4.309%, 2/13/2024, (CAD)	$	2,882,909
	303,664	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		310,083
	94,890	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.620%, 3/15/2044, 144A(b)		100,375

				15,323,881

		Oil Field Services – 0.2%
	827,000	Rowan Cos., Inc., 7.875%, 8/01/2019		771,877

		Packaging – 0.4%
	1,660,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,740,925

		Paper – 0.4%
	1,139,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		1,500,213
	175,000	WestRock MWV LLC, 7.550%, 3/01/2047(d)		206,994
	133,000	WestRock MWV LLC, 8.200%, 1/15/2030		171,324

				1,878,531

		Property & Casualty Insurance – 1.1%
	87,000	MBIA Insurance Corp., 11.882%, 1/15/2033, 144A(b)(g)		30,015
	1,640,000	Old Republic International Corp., 4.875%, 10/01/2024		1,705,936
	167,000	Sirius International Group, 6.375%, 3/20/2017, 144A		171,301
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,793,862
	1,211,000	XLIT Ltd., 6.375%, 11/15/2024		1,410,520

				5,111,634

		Railroads – 0.0%
	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)		137,698

		REITs – Office Property – 0.2%
	61,000	Highwoods Properties, Inc., 5.850%, 3/15/2017		63,172
	816,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		897,686

				960,858

		REITs – Shopping Centers – 0.2%
	759,000	Equity One, Inc., 6.000%, 9/15/2017		798,271

		REITs – Single Tenant – 0.1%
	109,000	Realty Income Corp., 5.750%, 1/15/2021		122,487
	270,000	Realty Income Corp., 6.750%, 8/15/2019		307,840

				430,327

		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		438,706


		Retailers – 0.0%
$	66,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036	$	54,285

		Sovereigns – 2.0%
	2,429,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		2,806,843
	2,806,000	U.S. Department of Housing and Urban Development, 1.980%, 8/01/2020		2,868,855
	1,851,000	U.S. Department of Housing and Urban Development, 2.350%, 8/01/2021		1,918,950
	2,244,000	U.S. Department of Housing and Urban Development, 2.450%, 8/01/2022		2,324,986

				9,919,634

		Supermarkets – 0.5%
	171,000	Delhaize Group, 5.700%, 10/01/2040		184,361
	197,000	New Albertson’s, Inc., 7.450%, 8/01/2029		178,778
	1,017,000	New Albertson’s, Inc., 8.000%, 5/01/2031		954,709
	87,000	New Albertson’s, Inc., 8.700%, 5/01/2030		83,520
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		906,207

				2,307,575

		Supranational – 0.5%
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,422,241

		Technology – 1.7%
	2,706,000	Corning, Inc., 7.250%, 8/15/2036		3,060,139
	2,695,000	Ingram Micro, Inc., 5.250%, 9/01/2017		2,809,950
	990,000	KLA-Tencor Corp., 5.650%, 11/01/2034		986,243
	37,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		37,045
	228,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		290,856
	1,125,000	Western Digital Corp., 7.375%, 4/01/2023, 144A(h)		1,147,500

				8,331,733

		Transportation Services – 0.3%
	76,000	APL Ltd., 8.000%, 1/15/2024(d)		50,920
	419,145	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(c)		426,481
	717,000	ERAC USA Finance LLC, 6.700%, 6/01/2034, 144A		884,703

				1,362,104

		Treasuries – 23.2%
	8,301,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		6,371,653
	30,366,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		23,504,161
	26,800,000	Canadian Government, 1.750%, 9/01/2019, (CAD)		21,446,191
	99,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		76,912
	759,000	Canadian Government, 4.000%, 6/01/2016, (CAD)		587,611

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	255,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)	$	1,664,177
	265,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,702,102
	737,400(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,855,103
	175,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,211,916
	1,165,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		8,656,400
	1,675,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		1,254,719
	10,896,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,519,570
	28,844,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		3,634,301
	15,641,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		2,128,954
	3,986,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		848,050
	62,675,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		348,107
	51,425,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)		307,979
	87,450,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		523,291
	7,235,000	U.S. Treasury Note, 0.625%, 12/31/2016		7,237,829
	25,000,000	U.S. Treasury Note, 0.750%, 10/31/2017		25,008,800

				112,887,826

		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		585,854
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		129,940
	278,000	Sprint Communications, Inc., 6.000%, 12/01/2016		276,262
	66,000	Sprint Communications, Inc., 6.000%, 11/15/2022		48,262
	25,000	Sprint Corp., 7.125%, 6/15/2024		18,563

				1,058,881

		Wirelines – 5.6%
	1,985,000	AT&T, Inc., 2.625%, 12/01/2022		1,965,722
	1,585,000	AT&T, Inc., 3.000%, 2/15/2022		1,617,250
	1,860,000	AT&T, Inc., 3.950%, 1/15/2025		1,933,158
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,460,210
	2,179,000	CenturyLink, Inc., 6.450%, 6/15/2021		2,207,588
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		157,403
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,413,877
	926,000	Embarq Corp., 7.995%, 6/01/2036		893,997

		Wirelines – continued
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)	$	60,320
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		28,448
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		393,300
	1,856,000	Qwest Corp., 6.875%, 9/15/2033		1,809,674
	1,427,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,356,406
	150,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		163,880
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		490,343
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,655,507
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		674,974
	6,725,000	Verizon Communications, Inc., 2.450%, 11/01/2022		6,683,816
	1,647,000	Verizon New England, Inc., 7.875%, 11/15/2029		2,017,542
	209,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		232,310

				27,215,725


		Total Non-Convertible Bonds
		(Identified Cost $410,329,818)		408,343,942


	Convertible Bonds – 4.5%

		Midstream – 0.2%
	1,423,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		900,048

		Property & Casualty Insurance – 1.8%
	6,829,000	Old Republic International Corp., 3.750%, 3/15/2018		8,459,424

		Technology – 2.5%
	2,661,000	Intel Corp., 2.950%, 12/15/2035		3,381,133
	3,568,000	Intel Corp., 3.250%, 8/01/2039		5,675,350
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		592,196
	2,615,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		2,631,344

				12,280,023


		Total Convertible Bonds
		(Identified Cost $17,142,175)		21,639,495


	Municipals – 1.0%

		Illinois – 0.5%
	840,000	State of Illinois, 5.100%, 6/01/2033		785,526
	1,705,000	State of Illinois, Series B, 5.520%, 4/01/2038		1,583,996

				2,369,522

		Michigan – 0.1%
	725,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		663,150

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Ohio – 0.1%
$	450,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047	$	423,995

		Virginia – 0.3%
	2,045,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,644,466


		Total Municipals
		(Identified Cost $5,560,171)		5,101,133


		Total Bonds and Notes
		(Identified Cost $433,032,164)		435,084,570


	Senior Loans – 0.4%

		Finance Companies – 0.4%
	1,878,922	Flying Fortress, Inc., New Term Loan, 3.500%, 4/30/2020(b) (Identified Cost $1,876,993)		1,878,133


	Shares

	Common Stocks – 3.9%

		Automobiles – 0.2%
	91,715	Ford Motor Co.		1,238,152

		Chemicals – 0.1%
	3,363	PPG Industries, Inc.		374,941

		Electronic Equipment, Instruments & Components – 3.1%
	721,200	Corning, Inc.		15,065,868

		Metals & Mining – 0.1%
	84,025	ArcelorMittal, (Registered)		384,835

		Oil, Gas & Consumable Fuels – 0.4%
	64,896	Repsol YPF S.A., Sponsored ADR		733,974
	26,419	Royal Dutch Shell PLC, Sponsored ADR		1,280,000

				2,013,974


		Total Common Stocks
		(Identified Cost $14,367,967)		19,077,770


	Preferred Stocks – 0.6%

	Convertible Preferred Stocks – 0.5%

		Banking – 0.2%
	714	Bank of America Corp., Series L, 7.250%		812,532

		Energy – 0.1%
	15,775	El Paso Energy Capital Trust I, 4.750%		675,012

		Metals & Mining – 0.2%
	31,440	Alcoa, Inc., Series 1, 5.375%		1,037,206


		Midstream – 0.0%
	4,353	Chesapeake Energy Corp., 5.000%(g)	$	59,723


		Total Convertible Preferred Stocks
		(Identified Cost $3,134,105)		2,584,473


	Non-Convertible Preferred Stocks – 0.1%

		Electric – 0.1%
	213	Connecticut Light & Power Co., 2.200%		11,063
	2,360	Union Electric Co., 4.500%		221,840

				232,903


		Total Non-Convertible Preferred Stocks
		(Identified Cost $131,140)		232,903


		Total Preferred Stocks
		(Identified Cost $3,265,245)		2,817,376


	Principal Amount (‡)

	Short-Term Investments – 2.7%
$	16,623	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2016 at 0.000% to be repurchased at $16,623 on 4/1/2016 collateralized by $16,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $17,004 including accrued interest (Note 2 of Notes to Financial Statements)		16,623
	13,086,386	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $13,086,397 on 4/01/2016 collateralized by $13,135,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $13,348,444 including accrued interest (Note 2 of Notes to Financial Statements)		13,086,386


		Total Short-Term Investments
		(Identified Cost $13,103,009)		13,103,009


		Total Investments – 97.2%
		(Identified Cost $465,645,378)(a)		471,960,858
		Other assets less liabilities—2.8%		13,656,907

		Net Assets – 100.0%	$	485,617,765


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

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2016, the net unrealized appreciation on investments based on a cost of $466,888,011 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	$	34,244,234
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(29,171,387	)

	Net unrealized appreciation	$	5,072,847

(b)	Variable rate security. Rate as of March 31, 2016 is disclosed.
(c)	Fair valued by the Fund’s adviser. At March 31, 2016, the value of these securities amounted to $483,985 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.
(d)	Illiquid security. At March 31, 2016, the value of these securities amounted to $12,135,194 or 2.5% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
(e)	Perpetual bond with no specified maturity date.
(f)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation 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)	Non-income producing security.
(h)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.

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, 2016, the value of Rule 144A holdings amounted to $67,129,229 or 13.8% of net assets.
ABS	Asset-Backed Securities
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.
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
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	23.2	%
Banking	10.7
Finance Companies	6.1
Wirelines	5.6
Technology	4.2
Electric	3.4
Non-Agency Commercial Mortgage-Backed Securities	3.2
ABS Other	3.1
Electronic Equipment, Instruments & Components	3.1
Property & Casualty Insurance	2.9
Midstream	2.8
Automotive	2.7
Airlines	2.3
Life Insurance	2.1
Sovereigns	2.0
Other Investments, less than 2% each	17.1
Short-Term Investments	2.7

Total Investments	97.2
Other assets less liabilities	2.8

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2016 (Unaudited)


United States Dollar	70.0	%
Canadian Dollar	13.9
Mexican Peso	4.0
New Zealand Dollar	3.6
Other, less than 2% each	5.7

Total Investments	97.2
Other assets less liabilities	2.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 58

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
ASSETS
Investments at cost	$	1,243,264,231		$	1,624,493,157		$	25,788,237
Net unrealized appreciation (depreciation)		(44,362,906	)		(57,936,669	)		578,099

Investments at value		1,198,901,325			1,566,556,488			26,366,336
Cash		129,425			—			—
Due from brokers (Note 2)		—			1,490,000			—
Foreign currency at value (identified cost $186,615, $21,289,508 and $0, respectively)		189,085			21,183,030			—
Receivable for Fund shares sold		—			2,003,516			13,488
Receivable from investment adviser (Note 6)		—			—			5,064
Receivable for securities sold		—			116,344,256			—
Receivable for when-issued/delayed delivery securities sold (Note 2)		—			201,292,621			—
Collateral received for forward foreign currency contracts (Notes 2 and 4)		—			1,143,937			—
Dividends and interest receivable		16,340,415			13,880,628			48,904
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			4,682,922			—
Tax reclaims receivable		31,642			4,523			—

TOTAL ASSETS		1,215,591,892			1,928,581,921			26,433,792


LIABILITIES
Swaptions written, at value (premiums received $0, $0 and $34,250, respectively) (Note 2)		—			—			628
Payable for securities purchased		933,778			104,249,928			—
Payable for when-issued/delayed delivery securities purchased (Note 2)		5,585,000			271,793,895			—
Payable for Fund shares redeemed		—			6,041,367			3,268
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			5,553,254			—
Due to brokers (Note 2)		—			1,143,937			—
Payable for variation margin on futures contracts (Note 2)		—			289,969			1,094
Management fees payable (Note 6)		499,553			684,161			—
Deferred Trustees’ fees (Note 6)		151,349			239,574			79,111
Administrative fees payable (Note 6)		44,151			61,756			1,002
Payable to distributor (Note 6d)		—			35,770			274
Other accounts payable and accrued expenses		51,579			744,460			36,715

TOTAL LIABILITIES		7,265,410			390,838,071			122,092

NET ASSETS	$	1,208,326,482		$	1,537,743,850		$	26,311,700

NET ASSETS CONSIST OF:
Paid-in capital	$	1,255,477,615		$	1,684,228,883		$	28,300,277
Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss		7,485,182			(3,828,725	)		(100,215	)
Accumulated net realized loss on investments, futures contracts and foreign currency transactions		(10,361,543	)		(84,098,666	)		(2,497,048	)
Net unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		(44,274,772	)		(58,557,642	)		608,686

NET ASSETS	$	1,208,326,482		$	1,537,743,850		$	26,311,700


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	1,208,326,482		$	1,112,326,508		$	22,484,282

Shares of beneficial interest		95,888,995			71,171,233			2,138,910

Net asset value, offering and redemption price per share	$	12.60		$	15.63		$	10.51

Retail Class:
Net assets	$	—		$	383,552,611		$	3,827,418

Shares of beneficial interest		—			24,871,948			366,023

Net asset value, offering and redemption price per share	$	—		$	15.42		$	10.46

Class N shares:
Net assets	$	—		$	41,864,731		$	—

Shares of beneficial interest		—			2,674,953			—

Net asset value, offering and redemption price per share	$	—		$	15.65		$	—

See accompanying notes to financial statements.

59 |

Statements of Assets and Liabilities – continued

March 31, 2016 (Unaudited)


	Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	709,429,158		$	150,850,382		$	465,645,378
Net unrealized appreciation (depreciation)		(50,206,435	)		651,899			6,315,480

Investments at value		659,222,723			151,502,281			471,960,858
Cash		187,838			—			231
Foreign currency at value (identified cost $24,016, $0 and $61,933, respectively)		24,417			—			62,795
Receivable for Fund shares sold		—			1,014,445			10,000,000
Receivable for securities sold		1,063,717			2,797,054			—
Dividends and interest receivable		9,607,176			575,484			5,068,205
Tax reclaims receivable		14,089			110			7,688

TOTAL ASSETS		670,119,960			155,889,374			487,099,777


LIABILITIES
Payable for securities purchased		27,144,457			7,432,001			16,623
Payable for when-issued/delayed delivery securities purchased (Note 2)		—			—			1,125,000
Payable for Fund shares redeemed		504			8,296			—
Management fees payable (Note 6)		317,952			29,296			160,076
Deferred Trustees’ fees (Note 6)		107,708			82,704			113,557
Administrative fees payable (Note 6)		23,415			5,343			17,679
Payable to distributor (Note 6d)		88			311			—
Other accounts payable and accrued expenses		48,261			35,590			49,077

TOTAL LIABILITIES		27,642,385			7,593,541			1,482,012

NET ASSETS	$	642,477,575		$	148,295,833		$	485,617,765

NET ASSETS CONSIST OF:
Paid-in capital	$	694,246,015		$	148,064,370		$	483,109,125
Undistributed (Distributions in excess of) net investment income		1,089,862			(195,841	)		2,430,982
Accumulated net realized loss on investments and foreign currency transactions		(2,689,352	)		(224,595	)		(6,264,045	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		(50,168,950	)		651,899			6,341,703

NET ASSETS	$	642,477,575		$	148,295,833		$	485,617,765


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	642,477,575		$	128,553,523		$	485,617,765

Shares of beneficial interest		107,050,825			12,386,889			40,452,032

Net asset value, offering and redemption price per share	$	6.00		$	10.38		$	12.00

Retail Class:
Net assets	$	—		$	19,742,310		$	—

Shares of beneficial interest		—			1,901,758			—

Net asset value, offering and redemption price per share	$	—		$	10.38		$	—

See accompanying notes to financial statements.

| 60

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
INVESTMENT INCOME
Interest	$	29,376,510		$	24,113,480		$	47,613	(a)
Dividends		2,131,414			154,917			—
Less net foreign taxes withheld		(46,377	)		(158,464	)		—

		31,461,547			24,109,933			47,613

Expenses
Management fees (Note 6)		3,035,047			4,735,939			36,879
Distribution fees (Note 6)		—			516,965			8,582
Administrative fees (Note 6)		266,381			371,887			6,475
Trustees’ fees and expenses (Note 6)		18,420			22,885			7,757
Transfer agent fees and expenses (Notes 6 and 7)		3,407			1,475,121			17,025
Audit and tax services fees		27,863			26,870			22,756
Custodian fees and expenses		43,629			96,751			4,303
Legal fees		8,602			12,176			216
Registration fees		17,862			41,560			22,858
Shareholder reporting expenses		2,756			133,180			2,379
Miscellaneous expenses		18,047			47,061			5,530

Total expenses		3,442,014			7,480,395			134,760
Less waiver and/or expense reimbursement (Note 6)		—			(605,678	)		(67,088	)

Net expenses		3,442,014			6,874,717			67,672

Net investment income (loss)		28,019,533			17,235,216			(20,059	)


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized loss on:
Investments		(7,031,455	)		(60,885,511	)		(458,965	)
Futures contracts		—			(3,761,777	)		—
Foreign currency transactions		(1,191	)		(169,336	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		5,041,458			116,365,107			1,567,758
Futures contracts		—			1,389,663			(3,035	)
Swaptions written		—			—			17,664
Foreign currency translations		199,858			(4,398,907	)		—

Net realized and unrealized gain (loss) on investments, futures contracts, swaptions written and foreign currency transactions		(1,791,330	)		48,539,239			1,123,422


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	26,228,203		$	65,774,455		$	1,103,363

(a)	Includes income reductions resulting from principal deflation adjustments during the period in the amount of $39,692. See Note 2b of Notes to Financial Statements.

See accompanying notes to financial statements.

61 |

Statements of Operations – continued

For the Six Months Ended March 31, 2016 (Unaudited)


	Institutional High Income Fund			Intermediate Duration Bond Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	19,011,533		$	1,527,810		$	10,382,992
Dividends		1,634,688			—			438,529
Less net foreign taxes withheld		(22,474	)		(426	)		(12,871	)

		20,623,747			1,527,384			10,808,650

Expenses
Management fees (Note 6)		1,824,020			144,499			1,046,622
Distribution fees (Note 6)		—			24,066			—
Administrative fees (Note 6)		133,429			25,393			114,771
Trustees’ fees and expenses (Note 6)		12,805			8,413			12,367
Transfer agent fees and expenses (Notes 6 and 7)		6,896			16,893			2,304
Audit and tax services fees		25,801			25,557			27,610
Custodian fees and expenses		30,395			9,041			19,541
Legal fees		4,062			600			3,783
Registration fees		12,609			20,368			19,493
Shareholder reporting expenses		1,896			1,840			1,576
Miscellaneous expenses		12,053			5,460			11,849

Total expenses		2,063,966			282,130			1,259,916
Less waiver and/or expense reimbursement (Note 6)		—			(26,864	)		—

Net expenses		2,063,966			255,266			1,259,916

Net investment income		18,559,781			1,272,118			9,548,734


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		1,413,937			207,511			(3,746,700	)
Foreign currency transactions		(78,840	)		—			(53,162	)
Net change in unrealized appreciation (depreciation) on:
Investments		(23,497,660	)		487,091			11,058,090
Foreign currency translations		61,935			—			76,593

Net realized and unrealized gain (loss) on investments and foreign currency transactions		(22,100,628	)		694,602			7,334,821


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(3,540,847	)	$	1,966,720		$	16,883,555

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets


	Fixed Income Fund						Global Bond Fund
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	28,019,533		$	60,526,080		$	17,235,216		$	41,044,407
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(7,032,646	)		16,668,733			(64,816,624	)		(50,222,329	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		5,241,316			(161,324,372	)		113,355,863			(104,977,581	)

Net increase (decrease) in net assets resulting from operations		26,228,203			(84,129,559	)		65,774,455			(114,155,503	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(55,935,164	)		(62,823,544	)		—			(13,369,024	)
Retail Class		—			—			—			(5,236,847	)
Class N		—			—			—			(249,121	)
Net realized capital gains
Institutional Class		(20,555,156	)		(52,933,321	)		—			(14,810,093	)
Retail Class		—			—			—			(6,158,675	)
Class N		—			—			—			(266,282	)

Total distributions		(76,490,320	)		(115,756,865	)		—			(40,090,042	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(11,874,656	)		66,423,160			(297,494,769	)		(340,547,779	)

Net decrease in net assets		(62,136,773	)		(133,463,264	)		(231,720,314	)		(494,793,324	)
NET ASSETS
Beginning of the period		1,270,463,255			1,403,926,519			1,769,464,164			2,264,257,488

End of the period	$	1,208,326,482		$	1,270,463,255		$	1,537,743,850		$	1,769,464,164

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	7,485,182		$	35,400,813		$	(3,828,725	)	$	(21,063,941	)

See accompanying notes to financial statements.

63 |

Statements of Changes in Net Assets – continued


	Inflation Protected Securities Fund						Institutional High Income Fund
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income (loss)	$	(20,059	)	$	218,436		$	18,559,781		$	35,878,007
Net realized gain (loss) on investments and foreign currency transactions		(458,965	)		(532,097	)		1,335,097			18,138,284
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		1,582,387			(289,533	)		(23,435,725	)		(110,679,582	)

Net increase (decrease) in net assets resulting from operations		1,103,363			(603,194	)		(3,540,847	)		(56,663,291	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(38,499	)		(150,516	)		(38,822,138	)		(35,993,409	)
Retail Class		(7,837	)		(93,557	)		—			—
Net realized capital gains
Institutional Class		—			—			(20,172,827	)		(30,161,602	)

Total distributions		(46,336	)		(244,073	)		(58,994,965	)		(66,155,011	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(17,643,637	)		13,565,630			74,591,229			59,907,686

Net increase (decrease) in net assets		(16,586,610	)		12,718,363			12,055,417			(62,910,616	)
NET ASSETS
Beginning of the period		42,898,310			30,179,947			630,422,158			693,332,774

End of the period	$	26,311,700		$	42,898,310		$	642,477,575		$	630,422,158

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(100,215	)	$	(33,820	)	$	1,089,862		$	21,352,219

See accompanying notes to financial statements.

| 64

Statements of Changes in Net Assets – continued


	Intermediate Duration Bond Fund						Investment Grade Fixed Income Fund
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	1,272,118		$	1,895,908		$	9,548,734		$	20,815,759
Net realized gain (loss) on investments and foreign currency transactions		207,511			453,061			(3,799,862	)		3,141,130
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		487,091			(279,129	)		11,134,683			(46,423,266	)

Net increase (decrease) in net assets resulting from operations		1,966,720			2,069,840			16,883,555			(22,466,377	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(1,194,566	)		(1,890,490	)		(5,444,745	)		(22,346,530	)
Retail Class		(208,620	)		(195,269	)		—			—
Net realized capital gains
Institutional Class		(284,383	)		(35,990	)		(5,935,580	)		(5,521,716	)
Retail Class		(64,649	)		(2,801	)		—			—

Total distributions		(1,752,218	)		(2,124,550	)		(11,380,325	)		(27,868,246	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		41,063,632			34,383,012			(81,292,891	)		135,152

Net increase (decrease) in net assets		41,278,134			34,328,302			(75,789,661	)		(50,199,471	)
NET ASSETS
Beginning of the period		107,017,699			72,689,397			561,407,426			611,606,897

End of the period	$	148,295,833		$	107,017,699		$	485,617,765		$	561,407,426

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(195,841	)	$	(64,773	)	$	2,430,982		$	(1,673,007	)

See accompanying notes to financial statements.

65 |

Financial Highlights

For a share outstanding throughout each period.


	Fixed Income Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	13.16		$	15.22		$	14.97		$	14.83		$	13.69		$	14.12

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.60			0.65			0.69			0.72			0.73
Net realized and unrealized gain (loss)		(0.02	)		(1.46	)		0.57			0.27			1.31			(0.32	)

Total from Investment Operations		0.27			(0.86	)		1.22			0.96			2.03			0.41

LESS DISTRIBUTIONS FROM:
Net investment income		(0.61	)		(0.65	)		(0.76	)		(0.74	)		(0.84	)		(0.84	)
Net realized capital gains		(0.22	)		(0.55	)		(0.21	)		(0.08	)		(0.05	)		—

Total Distributions		(0.83	)		(1.20	)		(0.97	)		(0.82	)		(0.89	)		(0.84	)

Net asset value, end of the period	$	12.60		$	13.16		$	15.22		$	14.97		$	14.83		$	13.69

Total return		2.26	%(b)		(5.96	)%		8.51	%		6.71	%		15.79	%		3.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,208,326		$	1,270,463		$	1,403,927		$	1,192,028		$	1,134,935		$	881,269
Net expenses		0.57	%(c)		0.57	%		0.57	%		0.57	%		0.57	%		0.58	%
Gross expenses		0.57	%(c)		0.57	%		0.57	%		0.57	%		0.57	%		0.58	%
Net investment income		4.62	%(c)		4.29	%		4.31	%		4.64	%		5.10	%		5.14	%
Portfolio turnover rate		6	%		15	%		26	%		18	%		17	%		26	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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


	Global Bond Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	15.00		$	16.13		$	16.56		$	17.36		$	16.52		$	16.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.32			0.34			0.33			0.44			0.53
Net realized and unrealized gain (loss)		0.47			(1.16	)		(0.08	)		(0.70	)		1.05			(0.28	)

Total from Investment Operations		0.63			(0.84	)		0.26			(0.37	)		1.49			0.25

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.14	)		(0.51	)		(0.43	)		(0.65	)		(0.72	)
Net realized capital gains		—			(0.15	)		(0.18	)		—			—			—

Total Distributions		—			(0.29	)		(0.69	)		(0.43	)		(0.65	)		(0.72	)

Net asset value, end of the period	$	15.63		$	15.00		$	16.13		$	16.56		$	17.36		$	16.52

Total return		4.20	%(b)(c)		(5.31	)%(c)		1.57	%(c)		(2.14	)%(c)		9.45	%		1.23	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,112,327		$	1,289,885		$	1,553,641		$	1,669,103		$	1,629,719		$	1,353,993
Net expenses		0.75	%(d)(e)		0.75	%(e)		0.75	%(e)		0.75	%(e)		0.72	%		0.67	%
Gross expenses		0.83	%(d)		0.78	%		0.77	%		0.78	%		0.72	%		0.67	%
Net investment income		2.09	%(d)		2.07	%		2.03	%		1.96	%		2.64	%		3.15	%
Portfolio turnover rate		60	%		117	%		143	%		185	%(f)		102	%		84	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

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

(e)

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

(f)

The variation in the Fund’s turnover rate from 2012 to 2013 is due to an increase in TBA transactions. See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

| 66

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	14.82		$	15.97		$	16.40		$	17.20		$	16.37		$	16.84

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.28			0.29			0.29			0.40			0.48
Net realized and unrealized gain (loss)		0.46			(1.15	)		(0.07	)		(0.70	)		1.04			(0.28	)

Total from Investment Operations		0.60			(0.87	)		0.22			(0.41	)		1.44			0.20

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.13	)		(0.47	)		(0.39	)		(0.61	)		(0.67	)
Net realized capital gains		—			(0.15	)		(0.18	)		—			—			—

Total Distributions		—			(0.28	)		(0.65	)		(0.39	)		(0.61	)		(0.67	)

Net asset value, end of the period	$	15.42		$	14.82		$	15.97		$	16.40		$	17.20		$	16.37

Total return		4.05	%(b)(c)		(5.56	)%(c)		1.35	%		(2.39	)%		9.20	%		0.94	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	383,553		$	447,304		$	682,624		$	798,335		$	995,211		$	978,241
Net expenses		1.00	%(d)(e)		1.00	%(e)		0.98	%		0.98	%		0.97	%		0.97	%
Gross expenses		1.08	%(d)		1.03	%		0.98	%		0.98	%		0.97	%		0.97	%
Net investment income		1.84	%(d)		1.81	%		1.80	%		1.72	%		2.43	%		2.84	%
Portfolio turnover rate		60	%		117	%		143	%		185	%(f)		102	%		84	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

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

(e)

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

(f)

The variation in the Fund’s turnover rate from 2012 to 2013 is due to an increase in TBA transactions. See Note 2 of Notes to Financial Statements.


	Global Bond Fund – Class N
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013*
Net asset value, beginning of the period	$	15.01		$	16.13		$	16.56		$	17.18

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.34			0.36			0.22
Net realized and unrealized gain (loss)		0.47			(1.17	)		(0.08	)		(0.56	)

Total from Investment Operations		0.64			(0.83	)		0.28			(0.34	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			(0.14	)		(0.53	)		(0.28	)
Net realized capital gains		—			(0.15	)		(0.18	)		—

Total Distributions		—			(0.29	)		(0.71	)		(0.28	)

Net asset value, end of the period	$	15.65		$	15.01		$	16.13		$	16.56

Total return		4.26	%(b)		(5.22	)%		1.70	%		(1.97	)%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	41,865		$	32,275		$	27,993		$	550
Net expenses		0.65	%(d)		0.63	%		0.63	%(e)		0.70	%(d)(f)
Gross expenses		0.65	%(d)		0.63	%		0.63	%(e)		0.83	%(d)
Net investment income		2.20	%(d)		2.20	%		2.16	%		2.01	%(d)
Portfolio turnover rate		60	%		117	%		143	%		185	%

From commencement of Class operations on February 1, 2013 through September 30, 2013.

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

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

(e)

Includes fee/expense recovery of 0.01%.

(f)

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

See accompanying notes to financial statements.

67 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.17		$	10.33		$	10.64		$	12.18		$	11.58		$	11.10

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.00	)(b)(j)		0.06			0.15			0.09			0.11	(c)		0.46
Net realized and unrealized gain (loss)		0.36			(0.15	)		(0.16	)		(0.74	)		0.92			0.55

Total from Investment Operations		0.36			(0.09	)		(0.01	)		(0.65	)		1.03			1.01

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		(0.07	)		(0.20	)		(0.19	)		(0.28	)		(0.53	)
Net realized capital gains		—			—			(0.10	)		(0.70	)		(0.15	)		—

Total Distributions		(0.02	)		(0.07	)		(0.30	)		(0.89	)		(0.43	)		(0.53	)

Net asset value, end of the period	$	10.51		$	10.17		$	10.33		$	10.64		$	12.18		$	11.58

Total return(d)		3.52	%(e)		(0.92	)%		(0.02	)%		(5.70	)%		9.01	%		9.36	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	22,484		$	23,696		$	24,480		$	18,434		$	23,771		$	33,880
Net expenses(f)		0.40	%(g)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.87	%(g)		0.80	%		0.91	%		0.91	%		0.85	%		1.08	%
Net investment income (loss)		(0.03	)%(g)(j)		0.62	%		1.41	%		0.75	%(c)		0.95	%(c)		4.04	%
Portfolio turnover rate		16	%		135	%		206	%(h)		56	%		166	%(i)		20	%

(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.

(c)

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

(d)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)

Periods less than one year are not annualized.

(f)

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

(g)

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

(h)

The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to portfolio repositioning, as well as fluctuation in the level of fund assets due to shareholder flows.

(i)

The variation in the Fund’s turnover rate from 2011 to 2012 was primarily due to a change in the portfolio management team, as well as fluctuation in the level of fund assets due to shareholder flows.

(j)

Includes income reductions resulting from principal deflation adjustments during the period in the amount of $0.01 per share and 0.27% of average net assets. See Note 2b of Notes to Financial Statements.

See accompanying notes to financial statements.

| 68

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.14		$	10.31		$	10.61		$	12.15		$	11.56		$	11.09

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.02	)(i)		0.08			0.14			(0.05	)		0.04	(b)		0.35
Net realized and unrealized gain (loss)		0.35			(0.20	)		(0.16	)		(0.64	)		0.96			0.63

Total from Investment Operations		0.33			(0.12	)		(0.02	)		(0.69	)		1.00			0.98

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)		(0.05	)		(0.18	)		(0.15	)		(0.26	)		(0.51	)
Net realized capital gains		—			—			(0.10	)		(0.70	)		(0.15	)		—

Total Distributions		(0.01	)		(0.05	)		(0.28	)		(0.85	)		(0.41	)		(0.51	)

Net asset value, end of the period	$	10.46		$	10.14		$	10.31		$	10.61		$	12.15		$	11.56

Total return(c)		3.27	%(d)		(1.17	)%		(0.15	)%		(6.04	)%		8.71	%		9.14	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,827		$	19,203		$	5,700		$	3,499		$	3,169		$	1,923
Net expenses(e)		0.65	%(f)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		1.06	%(f)		1.03	%		1.19	%		1.23	%		1.23	%		1.31	%
Net investment income (loss)		(0.49	)%(f)(i)		0.75	%		1.36	%		(0.44	)%(b)		0.35	%(b)		3.09	%
Portfolio turnover rate		16	%		135	%		206	%(g)		56	%		166	%(h)		20	%

(a)

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

(b)

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

(c)

Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

The variation in the Fund’s turnover rate from 2013 to 2014 was primarily due to portfolio repositioning, as well as fluctuation in the level of fund assets due to shareholder flows.

(h)

(i)

See accompanying notes to financial statements.

69 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Institutional High Income Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	6.72		$	8.15		$	8.24		$	7.74		$	7.15		$	8.08

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.19			0.40			0.42			0.46			0.46			0.50
Net realized and unrealized gain (loss)		(0.27	)		(1.04	)		0.43			0.57			0.75			(0.51	)

Total from Investment Operations		(0.08	)		(0.64	)		0.85			1.03			1.21			(0.01	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.42	)		(0.43	)		(0.52	)		(0.50	)		(0.45	)		(0.59	)
Net realized capital gains		(0.22	)		(0.36	)		(0.42	)		(0.03	)		(0.17	)		(0.33	)

Total Distributions		(0.64	)		(0.79	)		(0.94	)		(0.53	)		(0.62	)		(0.92	)

Net asset value, end of the period	$	6.00		$	6.72		$	8.15		$	8.24		$	7.74		$	7.15

Total return		(0.85	)%(b)		(8.38	)%		11.14	%		14.17	%		18.37	%		(0.43	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	642,478		$	630,422		$	693,333		$	664,866		$	652,767		$	429,621
Net expenses		0.68	%(c)		0.68	%		0.68	%		0.68	%		0.68	%		0.69	%
Gross expenses		0.68	%(c)		0.68	%		0.68	%		0.68	%		0.68	%		0.69	%
Net investment income		6.11	%(c)		5.45	%		5.16	%		5.76	%		6.30	%		6.37	%
Portfolio turnover rate		8	%		19	%		29	%		28	%		21	%		25	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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


	Intermediate Duration Bond Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.39		$	10.39		$	10.33		$	10.80		$	10.54		$	10.57

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.22			0.24			0.21			0.22			0.30
Net realized and unrealized gain (loss)		0.02			0.04			0.12			(0.24	)		0.40			0.04

Total from Investment Operations		0.14			0.26			0.36			(0.03	)		0.62			0.34

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.25	)		(0.27	)		(0.27	)		(0.28	)		(0.37	)
Net realized capital gains		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)		—

Total Distributions		(0.15	)		(0.26	)		(0.30	)		(0.44	)		(0.36	)		(0.37	)

Net asset value, end of the period	$	10.38		$	10.39		$	10.39		$	10.33		$	10.80		$	10.54

Total return(b)		1.44	%(c)		2.42	%		3.60	%		(0.30	)%		6.06	%		3.26	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	128,554		$	88,592		$	66,759		$	66,424		$	75,588		$	58,471
Net expenses(d)		0.40	%(e)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.45	%(e)		0.47	%		0.57	%		0.48	%		0.51	%		0.57	%
Net investment income		2.24	%(e)		2.15	%		2.31	%		1.97	%		2.12	%		2.83	%
Portfolio turnover rate		65	%		151	%		134	%		124	%		82	%		83	%

(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, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

See accompanying notes to financial statements.

| 70

Financial Highlights – continued

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund – Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.39		$	10.39		$	10.34		$	10.80		$	10.55		$	10.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.20			0.22			0.18			0.20			0.27
Net realized and unrealized gain (loss)		0.03			0.03			0.11			(0.23	)��		0.39			0.04

Total from Investment Operations		0.13			0.23			0.33			(0.05	)		0.59			0.31

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(0.22	)		(0.25	)		(0.24	)		(0.26	)		(0.34	)
Net realized capital gains		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)		—

Total Distributions		(0.14	)		(0.23	)		(0.28	)		(0.41	)		(0.34	)		(0.34	)

Net asset value, end of the period	$	10.38		$	10.39		$	10.39		$	10.34		$	10.80		$	10.55

Total return(b)		1.31	%(c)		2.17	%		3.24	%		(0.46	)%		5.69	%		3.00	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,742		$	18,425		$	5,931		$	5,601		$	3,084		$	1,704
Net expenses(d)		0.65	%(e)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		0.70	%(e)		0.71	%		0.85	%		0.79	%		0.84	%		0.94	%
Net investment income		2.00	%(e)		1.93	%		2.07	%		1.71	%		1.91	%		2.60	%
Portfolio turnover rate		65	%		151	%		134	%		124	%		82	%		83	%

(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, total returns would have been lower.

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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


	Investment Grade Fixed Income Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	11.81		$	12.82		$	12.82		$	13.21		$	12.52		$	13.44

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.42			0.46			0.49			0.56			0.65
Net realized and unrealized gain (loss)		0.22			(0.88	)		0.21			(0.21	)		0.97			(0.17	)

Total from Investment Operations		0.43			(0.46	)		0.67			0.28			1.53			0.48

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.44	)		(0.51	)		(0.54	)		(0.66	)		(0.76	)
Net realized capital gains		(0.12	)		(0.11	)		(0.16	)		(0.13	)		(0.18	)		(0.64	)

Total Distributions		(0.24	)		(0.55	)		(0.67	)		(0.67	)		(0.84	)		(1.40	)

Net asset value, end of the period	$	12.00		$	11.81		$	12.82		$	12.82		$	13.21		$	12.52

Total return		3.77	%(b)		(3.74	)%		5.36	%		2.14	%		12.78	%		3.82	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	485,618		$	561,407		$	611,607		$	739,886		$	690,693		$	452,310
Net expenses		0.48	%(c)		0.48	%		0.48	%		0.47	%		0.48	%		0.49	%
Gross expenses		0.48	%(c)		0.48	%		0.48	%		0.47	%		0.48	%		0.49	%
Net investment income		3.65	%(c)		3.34	%		3.52	%		3.72	%		4.44	%		5.03	%
Portfolio turnover rate		16	%		26	%		23	%		25	%		19	%		17	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

See accompanying notes to financial statements.

71 |

Notes to Financial Statements

March 31, 2016 (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 Fixed Income Fund (the “Fixed Income Fund”)

Loomis Sayles Global Bond Fund (the “Global Bond Fund”)

Loomis Sayles Inflation Protected Securities Fund (the “Inflation Protected Securities Fund”)

Loomis Sayles Institutional High Income Fund (the “Institutional High Income Fund”)

Loomis Sayles Intermediate Duration Bond Fund (the “Intermediate Duration Bond Fund”)

Loomis Sayles Investment Grade Fixed Income Fund (the “Investment Grade Fixed Income Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund also offer Retail Class shares. In addition, Global Bond Fund offers Class N shares.

Each share class is sold without a sales charge. Retail Class shares pay a Rule 12b-1 fee. Effective November 2, 2015, Class N shares are offered to investors with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Global Bond Fund, Inflation Protected Securities Fund and Intermediate Duration Bond Fund and $3,000,000 for Fixed Income Fund, Institutional High Income Fund and Investment Grade Fixed Income Fund, though some categories of investors are exempted from the minimum investment amount as outlined in the Funds’ prospectus.

Most expenses 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds 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 distribution fees and, for Global Bond Fund Institutional Class and Retail Class, collectively, and Class N individually, 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 follow the accounting and reporting guidelines provided for investment companies and 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. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other swaptions not priced through an

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independent pricing service are valued based on quotations obtained from broker-dealers. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of March 31, 2016, securities held by the funds were fair valued as follows:


Fund	Illiquid securities¹		Percentage of Net Assets		Other fair valued securities²		Percentage of Net Assets
Fixed Income Fund	$	21,559,550		1.8%	$	4,959,354		0.4%
Global Bond Fund		3,353,852		0.2%		—		—
Institutional High Income Fund		15,620,937		2.4%		3,991,113		0.6%
Intermediate Duration Bond Fund		—		—		27,454		Less than 0.1%
Investment Grade Fixed Income Fund		12,135,194		2.5%		483,985		0.1%

¹ Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

² Fair valued by the Fund’s adviser.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV 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 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. 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 into U.S. dollars on the respective dates of such transactions.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates 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 or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the funds have net losses, reduce the amount of income available to be distributed by the funds.

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purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

During the six months ended March 31, 2016, the amount of income available to be distributed was reduced by the following amounts as a result of losses arising from changes in exchange rates:


Global Bond Fund	$	22,458,486
Investment Grade Fixed Income Fund	$	5,381,505

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. 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 Funds’ 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. Contracts are traded over-the-counter directly with a counterparty. 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 instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized 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; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f. Swaptions. Certain Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing purchase transaction, the difference between the premium received and any amount paid on effecting a closing purchase transaction, including commission, is treated as a realized gain or, if the premium received is less than the amount paid, as a realized loss. A Fund, as writer of a written interest rate swaption, bears the risk of an unfavorable change in the market value of the swap underlying the written interest rate swaption.

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Over-the-counter interest rate swaptions are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the swaption.

g. Swap Agreements. The Funds may enter into credit default and interest rate 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.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value 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 Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. 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.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are 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. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

For the six months ended March 31, 2016, no swap agreements were held by the Funds.

h. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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 value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV 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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i. 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, 2016 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 withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

j. 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 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 gains and losses, convertible bonds, paydown gains and losses, premium amortization, capital gain distributions received, return of capital distributions received, treasury inflation-protected bonds and contingent payment debt instruments. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, straddle deferrals, wash sales, convertible bonds, premium amortization, forward foreign currency and futures contracts mark-to-market, trust preferred securities, return of capital distributions received, contingent payment debt instruments and defaulted and/or non-income producing securities. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2015 was as follows:


	2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Fixed Income Fund	$	68,550,473	$	47,206,392	$	115,756,865
Global Bond Fund		29,469,272		10,620,770		40,090,042
Inflation Protected Securities Fund		244,073		—		244,073
Institutional High Income Fund		40,546,892		25,608,119		66,155,011
Intermediate Duration Bond Fund		2,124,550		—		2,124,550
Investment Grade Fixed Income Fund		22,367,076		5,501,170		27,868,246

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.

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As of September 30, 2015, the capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Fixed Income Fund		Global Bond Fund			Inflation Protected Securities Fund			Institutional High Income Fund		Intermediate Duration Bond Fund		Investment Grade Fixed Income Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—	$	—		$	(596,617	)	$	—	$	—	$	—
Long-term:
No expiration date		—		—			(1,263,205	)		—		—		—

Total capital loss carryforward	$	—	$	—		$	(1,859,822	)	$	—	$	—	$	—

Late-year ordinary and post-October capital loss deferrals	$	—	$	(26,469,151	)*	$	—		$	—	$	—	$	—

* Under current tax law, capital losses, foreign currency losses, and losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Global Bond Fund has deferred foreign currency losses that occurred after October 31, 2014.

As of March 31, 2016, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund		Institutional High Income Fund			Intermediate Duration Bond Fund		Investment Grade Fixed Income Fund
Unrealized appreciation (depreciation)
Investments	$	(1,210,824	)	$	1,113,448		$	708,654	$	(37,372,641	)	$	329,444	$	24,306,301
Foreign currency translations		(45,572,051	)		(68,992,830	)		—		(13,774,471	)		—		(19,207,231	)

Total unrealized appreciation (depreciation)	$	(46,782,875	)	$	(67,879,382	)	$	708,654	$	(51,147,112	)	$	329,444	$	5,099,070

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

k. Loan Participations. Each Fund may invest in loans to corporate, governmental or other borrowers. The Funds’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

l. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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. As of March 31, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

m. Due to/from Brokers. Transactions and positions in certain forward foreign currency contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. The due to brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash or securities received as collateral for forward foreign currency contracts. The due from brokers balance in the Statements of Assets and Liabilities for Global Bond Fund represents cash pledged as collateral for forward foreign currency contracts or delayed delivery securities. In certain circumstances a Fund’s use of cash and/or securities held at brokers is restricted by regulation or broker mandated limits.

n. 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

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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, 2016, none of the Funds had loaned securities under this agreement.

o. 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.); and

•

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 Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2016, at value:

Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	853,259	$	1,628,948	(b)	$	2,482,207
Chemicals		—		23,105,949		1,563,400	(c)		24,669,349
Finance Companies		615,042		57,180,667		120,000	(d)		57,915,709
Non-Agency Commercial Mortgage-Backed Securities		—		3,171,441		2,016,474	(d)		5,187,915
Retailers		—		5,808,497		1,238,015	(c)		7,046,512
Transportation Services		—		1,675,000		528,991	(c)		2,203,991
All Other Non-Convertible Bonds(a)		—		868,318,148		—			868,318,148

Total Non-Convertible Bonds		615,042		960,112,961		7,095,828			967,823,831

Convertible Bonds(a)		—		85,071,578		—			85,071,578
Municipals(a)		—		11,700,654		—			11,700,654

Total Bonds and Notes		615,042		1,056,885,193		7,095,828			1,064,596,063

| 78

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Fixed Income Fund – continued

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Senior Loans(a)	$	—	$	7,130,352	$	—		$	7,130,352
Preferred Stocks
Convertible Preferred Stocks
Midstream		182,404		114,262		165,395	(d)		462,061
REITs—Mortgage		—		130,328		—			130,328
All Other Convertible Preferred Stocks(a)		16,648,889		—		—			16,648,889

Total Convertible Preferred Stocks		16,831,293		244,590		165,395			17,241,278

Non-Convertible Preferred Stocks
Electric		—		737,754		—			737,754
All Other Non-Convertible Preferred Stocks(a)		1,827,195		—		—			1,827,195

Total Non-Convertible Preferred Stocks		1,827,195		737,754		—			2,564,949

Total Preferred Stocks		18,658,488		982,344		165,395			19,806,227

Common Stocks(a)		77,860,808		—		—			77,860,808
Short-Term Investments		—		29,507,875		—			29,507,875

Total	$	97,134,338	$	1,094,505,764	$	7,261,223		$	1,198,901,325

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

(b) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(d) Valued using broker-dealer bid prices.

Global Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
United States	$	—	$	480,029,532	$	5,702,280	(b)	$	485,731,812
All Other Bonds and Notes(a)		—		1,012,048,027		—			1,012,048,027

Total Bonds and Notes		—		1,492,077,559		5,702,280			1,497,779,839

Preferred Stocks(a)		4,719,412		—		—			4,719,412
Short-Term Investments		—		64,057,237		—			64,057,237

Total Investments		4,719,412		1,556,134,796		5,702,280			1,566,556,488

Forward Foreign Currency Contracts (unrealized appreciation)		—		4,682,922		—			4,682,922
Futures Contracts (unrealized appreciation)		541,772		—		—			541,772

Total	$	5,261,184	$	1,560,817,718	$	5,702,280		$	1,571,781,182

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(5,553,254	)	$	—	$	(5,553,254	)
Futures Contracts (unrealized depreciation)		(429,225	)		—			—		(429,225	)

Total	$	(429,225	)	$	(5,553,254	)	$	—	$	(5,982,479	)

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

(b) Valued using broker-dealer bid prices.

For the six months ended March 31, 2016, there were no transfers among Levels 1, 2 and 3.

Inflation Protected Securities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	26,038,332	$	—	$	26,038,332
Purchased Swaptions(a)		—		3,344		—		3,344
Short-Term Investments		—		324,660		—		324,660

Total	$	—	$	26,366,336	$	—	$	26,366,336

79 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Inflation Protected Securities Fund – continued

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Written Swaptions(a)	$	—		$	(628	)	$	—	$	(628	)
Futures Contracts (unrealized depreciation)		(3,035	)		—			—		(3,035	)

Total	$	(3,035	)	$	(628	)	$	—	$	(3,663	)

(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, 2016, there were no transfers among Levels 1, 2 and 3.

Institutional High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	16,364,352	$	1,399,136	(b)	$	17,763,488
Chemicals		—		14,354,097		1,380,480	(c)		15,734,577
Finance Companies		—		19,313,222		400,000	(b)		19,713,222
Independent Energy		—		23,397,450		682,500	(b)(d)		24,079,950
Non-Agency Commercial Mortgage-Backed Securities		—		304,874		1,344,316	(b)		1,649,190
Retailers		—		12,204,959		1,889,662	(c)		14,094,621
Transportation Services		—		2,200,950		720,971	(c)		2,921,921
All Other Non-Convertible Bonds(a)		—		348,313,497		—			348,313,497

Total Non-Convertible Bonds		—		436,453,401		7,817,065			444,270,466

Convertible Bonds(a)		—		71,808,063		—			71,808,063
Municipals(a)		—		3,614,490		—			3,614,490

Total Bonds and Notes		—		511,875,954		7,817,065			519,693,019

Loan Participations(a)		—		—		671,343	(b)		671,343
Senior Loans(a)		—		10,342,648		—			10,342,648
Common Stocks(a)		70,704,470		—		—			70,704,470
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		32,894		707,117	(b)		740,011
REITs—Mortgage		—		894,755		—			894,755
All Other Convertible Preferred Stocks(a)		5,953,736		—		—			5,953,736

Total Convertible Preferred Stocks		5,953,736		927,649		707,117			7,588,502

Non-Convertible Preferred Stocks
REITs—Warehouse/Industrials		—		216,283		—			216,283
All Other Non-Convertible Preferred Stocks(a)		1,626,896		—		—			1,626,896

Total Non-Convertible Convertible Preferred Stocks		1,626,896		216,283		—			1,843,179

Total Preferred Stocks		7,580,632		1,143,932		707,117			9,431,681

Warrants(d)		—		—		—			—
Short-Term Investments		—		48,379,562		—			48,379,562

Total	$	78,285,102	$	571,742,096	$	9,195,525		$	659,222,723

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

(b) Valued using broker-dealer bid prices.

(d) Includes securities fair valued at zero using level 3 inputs.

| 80

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	9,039,912	$	368,095	(b)	$	9,408,007
ABS Home Equity		—		1,707,892		27,454	(c)		1,735,346
Collateralized Mortgage Obligations		—		1,190,641		677,450	(b)		1,868,091
Non-Agency Commercial Mortgage-Backed Securities		—		14,145,011		234,725	(b)		14,379,736
All Other Non-Convertible Bonds(a)		—		112,486,933		—			112,486,933

Total Non-Convertible Bonds		—		138,570,389		1,307,724			139,878,113

Municipals(a)		—		858,856		—			858,856

Total Bonds and Notes		—		139,429,245		1,307,724			140,736,969

Short-Term Investments		—		10,765,312		—			10,765,312

Total	$	—	$	150,194,557	$	1,307,724		$	151,502,281

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

(b) Valued using broker-dealer bid prices.

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	—	$	51,055	(c)	$	51,055
ABS Other		—		11,656,692		3,438,710	(b)		15,095,402
Collateralized Mortgage Obligations		—		586,397		6,449	(c)		592,846
Non-Agency Commercial Mortgage-Backed Securities		—		12,591,614		2,732,267	(b)		15,323,881
Transportation Services		—		935,623		426,481	(c)		1,362,104
All Other Non-Convertible Bonds(a)		—		375,918,654		—			375,918,654

Total Non-Convertible Bonds		—		401,688,980		6,654,962			408,343,942

Convertible Bonds(a)		—		21,639,495		—			21,639,495
Municipals(a)		—		5,101,133		—			5,101,133

Total Bonds and Notes		—		428,429,608		6,654,962			435,084,570

Senior Loans(a)		—		1,878,133		—			1,878,133
Common Stocks(a)		19,077,770		—		—			19,077,770
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		59,723	(b)		59,723
All Other Convertible Preferred Stocks(a)		2,524,750		—		—			2,524,750

Total Convertible Preferred Stocks		2,524,750		—		59,723			2,584,473

Non-Convertible Preferred Stocks(a)		—		232,903		—			232,903

Total Preferred Stocks		2,524,750		232,903		59,723			2,817,376

Short-Term Investments		—		13,103,009		—			13,103,009

Total	$	21,602,520	$	443,643,653	$	6,714,685		$	471,960,858

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

(b) Valued using broker-dealer bid prices.

81 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or March 31, 2016:

Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	2,620,751	$	—	$	—	$	(804,406	)	$	—	$	(187,397	)	$	—	$	—		$	1,628,948	$	(874,066	)
Chemicals		—		26,762		—		(1,826,550	)		—		—			3,363,188		—			1,563,400		(1,826,550	)
Finance Companies		—		51		—		(108,051	)		—		—			228,000		—			120,000		(108,000	)
Metals & Mining		832,714		—		—		—			—		—			—		(832,714	)		—		—
Non-Agency Commercial Mortgage-Backed Securities		2,177,712		—		—		(152,832	)		—		(8,406	)		—		—			2,016,474		(152,763	)
Oil Field Services		317,750		—		—		—			—		—			—		(317,750	)		—		—
Retailers		1,207,488		3,542		—		26,985			—		—			—		—			1,238,015		26,985
Transportation Services		532,735		—		—		(3,744	)		—		—			—		—			528,991		(3,744	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—		(441,876	)		—		—			607,271		—			165,395		(441,876	)

Total	$	7,689,150	$	30,355	$	—	$	(3,310,474	)	$	—	$	(195,803	)	$	4,198,459	$	(1,150,464	)	$	7,261,223	$	(3,380,014	)

Debt securities valued at $3,363,188 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A debt security valued at $228,000 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $1,150,464 were transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A preferred stock valued at $607,271 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

| 82

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Global Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Canada	$	3,432,506	$	—	$	(220,902	)	$	335,360		$	—	$	(3,546,964	)	$	—	$	—	$	—	$	—
United States		5,708,550		—		—			(6,270	)		—		—			—		—		5,702,280		(6,270	)

Total	$	9,141,056	$	—	$	(220,902	)	$	329,090		$	—	$	(3,546,964	)	$	—	$	—	$	5,702,280	$	(6,270	)

Institutional High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		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, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
Airlines	$	1,492,764	$	—	$	—		$	(27,647	)	$	—	$	(65,981	)	$	—	$	—		$	1,399,136		$	(18,740	)
Chemicals		—		48,052		—			(1,736,540	)		—		—			3,068,968		—			1,380,480			(1,736,540	)
Finance Companies		—		167		—			(360,167	)		—		—			760,000		—			400,000			(360,167	)
Independent Energy		—		33,648		—			(33,739	)		682,500		—			91		—			682,500	(a)		—
Metals & Mining		1,326,993		—		—			—			—		—			—		(1,326,993	)		—			—
Non-Agency Commercial Mortgage-Backed Securities		1,451,808		—		—			(101,888	)		—		(5,604	)		—		—			1,344,316			(101,842	)
Oil Field Services		1,916,750		—		—			—			—		—			—		(1,916,750	)		—			—
Retailers		1,843,065		9,900		—			36,697			—		—			—		—			1,889,662			36,697
Transportation Services		786,339		—		10,848			(19,400	)		—		(56,816	)		—		—			720,971			(6,669	)
Loan Participations
ABS Other		701,799		—		(151	)		(10,122	)		—		(20,183	)		—		—			671,343			(10,172	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—			(1,120,684	)		—		—			1,827,801		—			707,117			(1,120,684	)
Warrants		—		—		—			—			—		—			—		—			—	(a)		—

Total	$	9,519,518	$	91,767	$	10,697		$	(3,373,490	)	$	682,500	$	(148,584	)	$	5,656,860	$	(3,243,743	)	$	9,195,525		$	(3,318,117	)

(a) Includes securities fair valued at zero using level 3 inputs.

Debt securities valued at $3,069,059 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A debt security valued at $760,000 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $3,243,743 were transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Preferred stocks valued at $1,827,801 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with

83 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

the Fund’s valuation policies. At March 31, 2016, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.

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, 2015		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	2		$	11	$	359,979	$	(40,389	)	$	48,492	$	—	$	368,095	$	11
ABS Home Equity		35,366		—		(33	)		312		—		(8,191	)		—		—		27,454		62
Collateralized Mortgage Obligations		—		—		—			—		677,450		—			—		—		677,450		—
Non-Agency Commercial Mortgage-Backed Securities		—		—		—			2,989		231,736		—			—		—		234,725		2,989

Total	$	35,366	$	—	$	(31	)	$	3,312	$	1,269,165	$	(48,580	)	$	48,492	$	—	$	1,307,724	$	3,062

A debt security valued at $48,492 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.

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

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	71,159	$	—	$	(3,711	)	$	534		$	—	$	(16,927	)	$	—	$	—		$	51,055	$	(626	)
ABS Other		3,983,601		—		581			(80,693	)		—		(52,443	)		—		(412,336	)		3,438,710		(78,312	)
Collateralized Mortgage Obligations		—		—		(31	)		(335	)		—		(1,118	)		7,933		—			6,449		(335	)
Non-Agency Commercial Mortgage-Backed Securities		2,735,916		—		—			(3,649	)		—		—			—		—			2,732,267		(3,649	)
Transportation Services		432,977		—		—			(6,496	)		—		—			—		—			426,481		(6,496	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—			(159,559	)		—		—			219,282		—			59,723		(159,559	)

Total	$	7,223,653	$	—	$	(3,161	)	$	(250,198	)	$	—	$	(70,488	)	$	227,215	$	(412,336	)	$	6,714,685	$	(248,977	)

A debt security valued at $412,336 was transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

A debt security valued at $7,933 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the security.

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March 31, 2016 (Unaudited)

A preferred stock valued at $219,282 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

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

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that Global Bond Fund and Inflation Protected Securities Fund used during the period include forward foreign currency contracts, futures contracts and swaptions.

Inflation Protected Securities Fund may use interest rate swaptions to gain exposure, such as to enter into a contract to benefit from a rise or fall in interest rates. During the six months ended March 31, 2016, the Fund engaged in interest rate swaptions for this purpose.

Global Bond Fund is 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. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Fund 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 Fund. During the six months ended March 31, 2016, Global Bond Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.

Global Bond Fund and Inflation Protected Securities Fund 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 and interest rate swaptions 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, 2016, Global Bond Fund used futures contracts and Inflation Protected Securities Fund used interest rate swaptions to manage duration. Inflation Protected Securities Fund used futures contracts and interest rate swaptions to hedge against changes in interest rates.

The following is a summary of derivative instruments for Global Bond Fund as of March 31, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts			Unrealized appreciation on futures contracts¹
Over-the-counter asset derivatives
Foreign exchange contracts	$	4,682,922		$	—
Exchange-traded/cleared asset derivatives
Interest rate contracts		—			541,772

Total asset derivatives	$	4,682,922		$	541,772


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(5,553,254	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(429,225	)

Total liability derivatives	$	(5,553,254	)	$	(429,225	)

¹ 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.

85 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Transactions in derivative instruments for Global Bond Fund during the six months ended March 31, 2016, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions²
Interest rate contracts	$	(3,761,777	)	$	—
Foreign exchange contracts		—			(312,826	)

Total	$	(3,761,777	)	$	(312,826	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts		Foreign currency translations²
Interest rate contracts	$	1,389,663	$	—
Foreign exchange contracts		—		(5,140,110	)

Total	$	1,389,663	$	(5,140,110	)

² Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

The following is a summary of derivative instruments for Inflation Protected Securities Fund as of March 31, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Investments at value¹
Over-the-counter asset derivatives
Interest rate contracts	$	3,344


Liabilities	Swaptions written at value			Unrealized depreciation on futures contracts²
Over-the-counter liability derivatives
Interest rate contracts	$	(628	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(3,035	)

Total liability derivatives	$	(628	)	$	(3,035	)

¹ Represents purchased swaptions, at value.

² 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 Inflation Protected Securities Fund during the six months ended March 31, 2016, as reflected within the Statements of Operations, were as follows:


Net Change in Unrealized Appreciation (Depreciation) on:	Investments³			Swaptions written		Futures contracts
Interest rate contracts	$	(43,705	)	$	17,664	$	(3,035	)

³ Represents change in unrealized appreciation (depreciation) for purchased swaptions 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 forward foreign currency contract and futures contract activity, as a percentage of net assets for Global Bond Fund and Inflation Protected Securities 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, 2016:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		30.80%		20.28%
Highest Notional Amount Outstanding		50.31%		22.71%
Lowest Notional Amount Outstanding		24.55%		19.23%
Notional Amount Outstanding as of March 31, 2016		50.31%		22.71%

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)


Inflation Protected Fund	Futures
Average Notional Amount Outstanding		0.13%
Highest Notional Amount Outstanding		1.07%
Lowest Notional Amount Outstanding		0.00%
Notional Amount Outstanding as of March 31, 2016		1.07%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

Unrealized gain and/or loss on open forwards and futures is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward and futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

The volume of interest rate swaption activity, as a percentage of net assets, for Inflation Protected Securities Fund, based on average premiums paid or received during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2016:


Inflation Protected Securities Fund	Interest Rate Call Swaptions Purchased		Interest Rate Call Swaptions Written
Average Premium Paid/Received		0.25%		0.11%
Highest Premium Paid/Received		0.29%		0.13%
Lowest Premium Paid/Received		0.26%		0.11%
Premium Paid/Received as of March 31, 2016		0.29%		0.13%

Swaptions outstanding at the end of the prior period are included in the average premium paid/received.

The following is a summary of Inflation Protected Securities Fund’s written interest rate swaption activity:


	Notional Amount		Premiums
Outstanding at September 30, 2015	$	2,500,000	$	34,250
Swaptions written		—		—
Swaptions terminated in closing purchase transactions		—		—

Outstanding at March 31, 2016	$	2,500,000	$	34,250

Over-the-counter derivatives, including forward foreign currency contracts and interest rate swaptions, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Funds and their counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by a Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Funds and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of March 31, 2016, gross amounts of over-the-counter derivative assets and liabilities not offset in the Statements of Assets and Liabilities and the related net amounts after taking into account master netting arrangements, by counterparty, are as follows:

Global Bond Fund


Counterparty	Gross Amounts of Assets		Offset Amount			Net Asset Balance		Collateral (Received)/ Pledged			Net Amount
Bank of America, N.A.	$	267,627	$	(86,302	)	$	181,325	$	(181,325	)	$	—
Citibank N.A.		835,130		(835,130	)		—		—			—
Credit Suisse International		2,439,809		(2,439,809	)		—		—			—
Morgan Stanley & Co.		1,136,609		(54,920	)		1,081,689		(870,000	)		211,689
UBS AG		3,747		(3,747	)		—		—			—

	$	4,682,922	$	(3,419,908	)	$	1,263,014	$	(1,051,325	)	$	211,689

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Global Bond Fund – continued


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(86,302	)	$	86,302		$	—		$	—	$	—
Citibank N.A.		(1,992,969	)		835,130			(1,157,839	)		1,110,000		(47,839	)
Credit Suisse International		(2,758,983	)		2,439,809			(319,174	)		319,174		—
Deutsche Bank AG		(175,754	)		—			(175,754	)		—		(175,754	)
Morgan Stanley & Co.		(54,920	)		54,920			—			—		—
UBS AG		(484,326	)		3,747			(480,579	)		377,951		(102,628	)

	$	(5,553,254	)	$	3,419,908		$	(2,133,346	)	$	1,807,125	$	(326,221	)

Inflation Protected Securities Fund
Counterparty	Gross Amounts of Assets			Offset Amount			Net Asset Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	3,344		$	(628	)	$	2,716		$	—	$	2,716

Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(628	)	$	628		$	—		$	—	$	—

The actual collateral received or pledged, if any, may exceed the amounts shown in the table due to overcollateralization. Timing differences may exist between when contracts under the ISDA agreements are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.

Counterparty risk is managed based on policies and procedures established by each Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. A Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2016:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Bond Fund	$	11,831,417	$	5,553,059
Inflation Protected Securities Fund		3,344		2,716

These amounts include cash and U.S. government and agency securities received as collateral for Global Bond Fund of $1,143,937. U.S. government and agency securities received as collateral are valued in accordance with the Fund’s valuation policies and are recorded on the Statements of Assets and Liabilities.

| 88

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

5. Purchases and Sales of Securities. For the six months ended March 31, 2016, purchases and sales of securities (excluding short-term investments and option/swaption contracts and including paydowns) were as follows:


	U.S. Government/Agency Securities				Other Securities
Fund	Purchases		Sales		Purchases		Sales
Fixed Income Fund	$	5,000,195	$	78,003,947	$	71,497,693	$	63,919,060
Global Bond Fund		739,405,530		741,769,175		248,330,635		540,665,449
Inflation Protected Securities Fund		4,635,383		21,126,761		—		—
Institutional High Income Fund		25,013,672		15,285,000		60,910,861		33,784,214
Intermediate Duration Bond Fund		40,504,875		12,522,886		69,062,790		62,096,832
Investment Grade Fixed Income Fund		24,941,406		77,716,635		54,748,877		83,946,505

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, 2016, provided for fees at the following annual percentage rates of each Fund’s average daily net assets:


	Percentage of Average Daily Net Assets
Fund	First $1 Billion		Next $1 Billion		Next $3 Billion		Next $5 Billion		Over $10 Billion
Fixed Income Fund		0.50%		0.50%		0.50%		0.50%		0.50%
Global Bond Fund		0.60%		0.50%		0.48%		0.45%		0.40%
Inflation Protected Securities Fund		0.25%		0.25%		0.25%		0.25%		0.25%
Institutional High Income Fund		0.60%		0.60%		0.60%		0.60%		0.60%
Intermediate Duration Bond Fund		0.25%		0.25%		0.25%		0.25%		0.25%
Investment Grade Fixed Income Fund		0.40%		0.40%		0.40%		0.40%		0.40%

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, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees, 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, 2016, 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	Class N
Fixed Income Fund	0.65%	—	—
Global Bond Fund	0.75%	1.00%	0.70%
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 they have 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 annual operating 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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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

For the six months ended March 31, 2016, the management fees and waivers of management fees for each Fund were as follows:


	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	$	3,035,047	$	—	$	3,035,047		0.50%		0.50%
Global Bond Fund		4,735,939		—		4,735,939		0.56%		0.56%
Inflation Protected Securities Fund		36,879		36,879		—		0.25%		—
Institutional High Income Fund		1,824,020		—		1,824,020		0.60%		0.60%
Intermediate Duration Bond Fund		144,499		26,864		117,635		0.25%		0.20%
Investment Grade Fixed Income Fund		1,046,622		—		1,046,622		0.40%		0.40%

¹Management fee waivers are subject to possible recovery until September 30, 2017.

For the six months ended March 31, 2016, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Class N		Total
Global Bond Fund	$	455,256	$	150,422	$	—	$	605,678

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $30,209 for the six months ended March 31, 2016².

²Expense reimbursements are subject to possible recovery until September 30, 2017.

No expenses were recovered for any of the Funds during the six months ended March 31, 2016 under the terms of the expense 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, L.P. (“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 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.

For the six months ended March 31, 2016, the distribution fees for each Fund were as follows:


Fund	Retail Class
Global Bond Fund	$	516,965
Inflation Protected Securities Fund		8,582
Intermediate Duration Bond Fund		24,066

c. Administrative Fees. NGAM Advisors, L.P. (“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 Trusts, Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

For the six months ended March 31, 2016, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Fixed Income Fund	$	266,381
Global Bond Fund		371,887
Inflation Protected Securities Fund		6,475
Institutional High Income Fund		133,429
Intermediate Duration Bond Fund		25,393
Investment Grade Fixed Income Fund		114,771

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended March 31, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Global Bond Fund	$	1,443,167
Inflation Protected Securities Fund		10,506
Institutional High Income Fund		3,093
Intermediate Duration Bond Fund		13,892

As of March 31, 2016, the Funds owe NGAM Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
Global Bond Fund	$	35,770
Inflation Protected Securities Fund		274
Institutional High Income Fund		88
Intermediate Duration Bond Fund		311

Sub-transfer agent fees attributable to Institutional Class and Retail Class 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 those classes.

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. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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, 2016, the Chairperson of the Board received a retainer fee at the annual rate of $300,000 and each Independent Trustee (other than the Chairperson) received, in the aggregate, a retainer fee at the annual rate of $130,000. The chairperson of the Governance Committee received an additional retainer fee at the annual rate of $5,000. All other Trustee fees remained unchanged.

91 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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. As of March 31, 2016, Loomis Sayles owned shares equating to 5.88% of Inflation Protected Securities Fund and Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”) held shares of the Funds representing the following percentages of the Fund’s net assets:


Fund	Retirement Plan
Global Bond Fund		0.45%
Inflation Protected Securities Fund		15.94%
Institutional High Income Fund		2.66%
Intermediate Duration Bond Fund		0.91%

Investment activities of affiliated shareholders could have material impacts on the Funds.

g. Payment by Affiliates. For the six months ended March 31, 2016, Loomis Sayles reimbursed Fixed Income Fund $4,383 and Investment Grade Fixed Income Fund $1,265 in connection with a trading error.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2016, Global Bond Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Institutional Class		Retail Class		Class N
Transfer Agent Fees and Expenses	$	1,107,004	$	367,872	$	245

Transfer agent fees and expenses attributable to Institutional Class and Retail Class 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 those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank and Trust. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% 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.

For the six months ended March 31, 2016, Global Bond Fund had an average daily balance on the line of credit (for those days on which there were borrowings) of $42,365,797 at a weighted average interest rate of 1.64%. Interest expense incurred (which is reflected in miscellaneous expenses in the Statements of Operations) was $3,860.

Effective April 14, 2016, the line of credit with State Street Bank and Trust Company expired, and the Funds, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, entered into a 364-day, $400,000,000 syndicated, committed, unsecured line of credit with Citibank, N.A. to be used for temporary or emergency purposes only. Any one Fund may borrow up to the full $400,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $400,000,000 limit at any time), subject to each Fund’s investment restrictions. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.10% 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. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement.

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, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

March 31, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts (including accounts owned by affiliates) representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such 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 were as follows:


Fund	Number of 5% Non-Affiliated Account Holders		Percentage of Non-Affiliated Ownership		Percentage of Affiliated Ownership (Note 6)		Total Percentage of Ownership
Fixed Income Fund		2		16.42%		—		16.42%
Global Bond Fund		1		31.50%		—		31.50%
Inflation Protected Securities Fund		2		30.99%		21.82%		52.81%
Institutional High Income Fund		2		12.28%		—		12.28%
Intermediate Duration Bond Fund		6		55.89%		—		55.89%
Investment Grade Fixed Income Fund		2		20.85%		—		20.85%

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts, or investment models where a shareholder account may be invested for a non-discretionary customer, are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,112,797		$	39,388,910			7,578,053		$	110,559,437
Issued in connection with the reinvestment of distributions		5,631,835			68,539,429			7,657,868			105,448,844
Redeemed		(9,407,019	)		(119,802,995	)		(10,927,998	)		(149,585,121	)

Increase (decrease) from capital share transactions		(662,387	)	$	(11,874,656	)		4,307,923		$	66,423,160


	Global Bond Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		6,966,197		$	104,601,679			26,388,877		$	413,652,643
Issued in connection with the reinvestment of distributions		—			—			1,664,577			26,297,178
Redeemed		(21,786,346	)		(330,846,889	)		(38,370,302	)		(595,400,327	)

Net change		(14,820,149	)	$	(226,245,210	)		(10,316,848	)	$	(155,450,506	)


Retail Class
Issued from the sale of shares		1,825,898		$	27,014,530			5,417,060		$	83,284,513
Issued in connection with the reinvestment of distributions		—			—			713,900			11,162,875
Redeemed		(7,138,860	)		(106,164,010	)		(18,692,966	)		(285,905,721	)

Net change		(5,312,962	)	$	(79,149,480	)		(12,562,006	)	$	(191,458,333	)


Class N
Issued from the sale of shares		609,809		$	9,168,484			404,297		$	6,188,648
Issued in connection with the reinvestment of distributions		—			—			32,616			515,369
Redeemed		(84,760	)		(1,268,563	)		(22,359	)		(342,957	)

Net change		525,049		$	7,899,921			414,554		$	6,361,060

Increase (decrease) from capital share transactions		(19,608,062	)	$	(297,494,769	)		(22,464,300	)	$	(340,547,779	)

93 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

11. Capital Shares – continued


	Inflation Protected Securities Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		173,159		$	1,762,658			1,045,091		$	10,909,078
Issued in connection with the reinvestment of distributions		3,744			37,658			14,391			146,404
Redeemed		(366,985	)		(3,737,573	)		(1,099,553	)		(11,391,665	)

Net change		(190,082	)	$	(1,937,257	)		(40,071	)	$	(336,183	)


Retail Class
Issued from the sale of shares		400,108		$	4,053,064			2,403,561		$	24,961,328
Issued in connection with the reinvestment of distributions		783			7,837			9,224			93,439
Redeemed		(1,929,258	)		(19,767,281	)		(1,071,383	)		(11,152,954	)

Net change		(1,528,367	)	$	(15,706,380	)		1,341,402		$	13,901,813

Increase (decrease) from capital share transactions		(1,718,449	)	$	(17,643,637	)		1,301,331		$	13,565,630


	Institutional High Income Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		10,613,287		$	63,175,619			13,671,170		$	97,738,097
Issued in connection with the reinvestment of distributions		9,032,267			52,567,796			8,207,097			58,434,535
Redeemed		(6,360,552	)		(41,152,186	)		(13,146,041	)		(96,264,946	)

Increase (decrease) from capital share transactions		13,285,002		$	74,591,229			8,732,226		$	59,907,686


	Intermediate Duration Bond Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		4,629,974		$	47,660,982			4,218,161		$	44,085,723
Issued in connection with the reinvestment of distributions		121,473			1,249,958			164,768			1,719,664
Redeemed		(891,646	)		(9,176,917	)		(2,280,808	)		(23,952,128	)

Net change		3,859,801		$	39,734,023			2,102,121		$	21,853,259


Retail Class
Issued from the sale of shares		360,335		$	3,716,026			1,537,057		$	16,023,946
Issued in connection with the reinvestment of distributions		26,460			272,223			18,774			195,640
Redeemed		(257,984	)		(2,658,640	)		(353,439	)		(3,689,833	)

Net change		128,811		$	1,329,609			1,202,392		$	12,529,753

Increase (decrease) from capital share transactions		3,988,612		$	41,063,632			3,304,513		$	34,383,012

| 94

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

11. Capital Shares – continued


	Investment Grade Fixed Income Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,022,067		$	35,968,043			7,899,784		$	100,220,843
Issued in connection with the reinvestment of distributions		917,903			10,685,542			2,051,654			25,569,037
Redeemed		(11,014,019	)		(127,946,476	)		(10,127,811	)		(125,654,728	)

Increase (decrease) from capital share transactions		(7,074,049	)	$	(81,292,891	)		(176,373	)	$	135,152

95 |

LOGO

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund

Semiannual Report

March 31, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			5
Financial Statements			24
Notes to Financial Statements			28

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND


Managers	Symbol
Matthew J. Eagan, CFA^®	Institutional Class	LSIOX
Daniel J. Fuss, CFA^®, CIC
Elaine M. Stokes

Objective

The Fund’s investment objective is high current income. Capital appreciation is the Fund’s secondary objective.

Average Annual Total Returns — March 31, 2016



	6 Months			1 Year			5 Years			10 Years

Institutional Class (Inception 4/12/04)		1.02	%		-3.40	%		5.64	%		7.28	%

Comparative Performance
Barclays U.S. Corporate High-Yield Bond Index¹		1.22			-3.69			4.93			7.01

Barclays 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.

1 |

LOOMIS SAYLES SECURITIZED ASSET FUND


Managers	Symbol
Ian Anderson	Institutional Class	LSSAX
Alessandro Pagani, CFA^®
Clifton V. Rowe, CFA^®

Objective

The Fund’s investment objective is to seek a high level of current income consistent with capital preservation.

Average Annual Total Returns — March 31, 2016



	6 Months			1 Year			5 Years			10 Years

Institutional Class (Inception 3/2/06)		1.46	%		2.49	%		4.82	%		6.30	%

Comparative Performance
Barclays U.S. Securitized Bond Index¹		1.87			2.44			3.29			4.71

Past performance does not guarantee future results. The table(s) do not reflect taxes shareholders might owe on any Fund distributions or when they redeem their shares. Performance for periods less than one year are cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. Unlike a fund, an index is not managed and does not reflect fees and expenses. It is not possible to invest directly in an index.

Barclays 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.

| 2

ADDITIONAL INFORMATION

Additional Index Information

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and 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-months ended June 30, 2015 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

3 |

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, 2015 through March 31, 2016.

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 to 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.

Loomis Sayles High Income Opportunities Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,010.20		$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 of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,014.60		$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 of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

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Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 93.7% of Net Assets

	Non-Convertible Bonds – 88.9%

		ABS Home Equity – 2.3%
$	165,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 2.941%, 6/17/2031, 144A(b)	$	152,797
	175,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		170,646
	63,909	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		64,516
	97,137	Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033		98,085
	310,850	Banc of America Alternative Loan Trust, Series 2004-9, Class 2CB1, 6.000%, 10/25/2034		312,050
	71,646	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		66,424
	72,969	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		74,201
	100,000	CAM Mortgage Trust LLC, Series 2015-1, Class M, 4.750%, 7/15/2064, 144A(b)		99,284
	33,477	Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.717%, 5/25/2035(b)		31,068
	111,553	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.643%, 5/25/2035(b)		91,065
	73,300	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 4.943%, 5/25/2035(b)		73,122
	237,933	DSLA Mortgage Loan, Series 2005-AR5, Class 2A1A, 0.762%, 9/19/2045(b)		170,438
	320,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.683%, 11/25/2023(b)		316,120
	270,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 3.733%, 10/25/2027(b)		256,147
	112,382	GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.928%, 6/19/2035(b)		107,612
	87,391	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.195%, 7/19/2035(b)		78,770
	70,007	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.875%, 12/25/2034(b)		66,914
	127,218	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.073%, 7/25/2045(b)		102,354
	114,806	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.933%, 1/25/2036(b)(d)		66,177
Principal Amount		Description	Value (†)

		ABS Home Equity – continued
	316,984	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 2.745%, 3/25/2035(b)		233,210
	80,143	Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036		79,033
	88,611	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		91,940
	125,859	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.155%, 9/25/2046(b)		108,322
	195,187	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.905%, 1/25/2047(b)		166,019

				3,076,314

		ABS Other – 0.2%
	230,655	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		228,600
	43,003	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		43,903

				272,503

		Aerospace & Defense – 2.9%
	315,000	Aerojet Rocketdyne Holdings, Inc., 7.125%, 3/15/2021		326,812
	45,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		47,250
	90,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		94,163
	690,000	KLX, Inc., 5.875%, 12/01/2022, 144A		686,550
	1,425,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,353,750
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		416,000
	350,000	Oshkosh Corp., 5.375%, 3/01/2025		352,625
	265,000	TransDigm, Inc., 6.000%, 7/15/2022		264,006
	225,000	TransDigm, Inc., 6.500%, 7/15/2024		223,245
	185,000	TransDigm, Inc., 6.500%, 5/15/2025		180,838

				3,945,239

		Airlines – 2.2%
	1,198,519	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		1,213,896
	138,610	Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024		159,402
	346,281	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		391,298
	1,280,000	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025, 144A		1,094,106
	65,447	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		65,447

				2,924,149

See accompanying notes to financial statements.

5 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Automotive – 2.4%
$	115,000	General Motors Financial Co., Inc., 4.250%, 5/15/2023	$	115,646
	1,565,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		1,636,874
	60,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		61,350
	100,000	Goodyear Tire & Rubber Co. (The), 6.500%, 3/01/2021		105,250
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		342,400
	415,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		385,950
	585,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		582,075

				3,229,545

		Banking – 4.8%
	600,000	Ally Financial, Inc., 3.500%, 1/27/2019		591,000
	155,000	Ally Financial, Inc., 4.125%, 3/30/2020		153,838
	20,000	Ally Financial, Inc., 4.125%, 2/13/2022		19,650
	980,000	Ally Financial, Inc., 5.125%, 9/30/2024		1,002,050
	1,125,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,270,069
	350,000	Deutsche Bank AG, 4.500%, 4/01/2025		304,203
	1,335,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		1,250,151
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		416,817
	265,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		268,392
	1,210,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		1,283,527

				6,559,697

		Brokerage – 0.6%
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		169,500
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		135,161
	515,000	Jefferies Group LLC, 6.450%, 6/08/2027		542,798

				847,459

		Building Materials – 2.0%
	670,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		495,800
	445,000	BMC Stock Holdings, Inc., 9.000%, 9/15/2018, 144A		464,469
	320,000	Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A		332,800
	300,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		307,470
	265,000	HD Supply, Inc., 5.250%, 12/15/2021, 144A		278,250
	80,000	Masco Corp., 5.950%, 3/15/2022		88,000
	15,000	Masco Corp., 7.750%, 8/01/2029		16,950
	150,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		157,875
	100,000	USG Corp., 5.500%, 3/01/2025, 144A		104,000
	110,000	USG Corp., 5.875%, 11/01/2021, 144A		114,950
	15,000	USG Corp., 9.750%, 1/15/2018		16,778
	325,000	Vulcan Materials Co., 4.500%, 4/01/2025		333,937

				2,711,279

Principal Amount		Description	Value (†)

		Cable Satellite – 7.2%
	690,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		691,725
	400,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		408,000
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		72,100
	85,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		86,488
	230,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 9/01/2023		238,625
	605,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		629,956
	575,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		586,500
	540,000	CSC Holdings LLC, 5.250%, 6/01/2024		481,275
	45,000	CSC Holdings LLC, 6.750%, 11/15/2021		46,215
	25,000	CSC Holdings LLC, 7.625%, 7/15/2018		27,000
	445,000	CSC Holdings LLC, 7.875%, 2/15/2018		477,262
	625,000	DISH DBS Corp., 5.000%, 3/15/2023		551,562
	440,000	DISH DBS Corp., 5.125%, 5/01/2020		436,700
	480,000	DISH DBS Corp., 5.875%, 7/15/2022		454,800
	500,000	DISH DBS Corp., 5.875%, 11/15/2024		458,750
	300,000	Neptune Finco Corp., 10.125%, 1/15/2023, 144A		321,000
	300,000	Neptune Finco Corp., 10.875%, 10/15/2025, 144A		325,500
	115,000	Sirius XM Radio, Inc., 5.750%, 8/01/2021, 144A		120,319
	1,320,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,371,982
	265,000	Virgin Media Secured Finance PLC, 5.250%, 1/15/2021		280,900
	875,000	Virgin Media Secured Finance PLC, 5.250%, 1/15/2026, 144A		875,000
	200,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		206,000
	565,000	Ziggo Bond Finance BV, 5.875%, 1/15/2025, 144A		553,700

				9,701,359

		Chemicals – 0.7%
	150,000	Axalta Coating Systems U.S. Holdings, Inc./Axalta Coating Systems Dutch Holding B BV, 7.375%, 5/01/2021, 144A		159,000
	805,000	Hercules, Inc., 6.500%, 6/30/2029		627,900
	195,000	PetroLogistics LP/PetroLogistics Finance Corp., 6.250%, 4/01/2020		200,850

				987,750

		Construction Machinery – 0.5%
	115,000	United Rentals North America, Inc., 4.625%, 7/15/2023		114,281
	290,000	United Rentals North America, Inc., 5.750%, 11/15/2024		290,000
	255,000	United Rentals North America, Inc., 6.125%, 6/15/2023		263,288

				667,569

See accompanying notes to financial statements.

| 6

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Consumer Cyclical Services – 1.3%
$	330,000	IHS, Inc., 5.000%, 11/01/2022	$	341,962
	460,000	Interval Acquisition Corp., 5.625%, 4/15/2023, 144A		461,150
	285,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A		294,263
	645,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		635,325

				1,732,700

		Diversified Manufacturing – 0.1%
	75,000	Entegris, Inc., 6.000%, 4/01/2022, 144A		76,125

		Electric – 2.3%
	300,000	AES Corp. (The), 5.500%, 4/15/2025		289,125
	315,000	Calpine Corp., 7.875%, 1/15/2023, 144A		333,900
	23,970	CE Generation LLC, 7.416%, 12/15/2018		22,172
	150,000	Dynegy, Inc., 6.750%, 11/01/2019		149,250
	190,000	Dynegy, Inc., 7.375%, 11/01/2022		175,750
	200,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		200,280
	1,695,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,885,688

				3,056,165

		Environmental – 0.2%
	195,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		193,538
	110,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		114,400

				307,938

		Finance Companies – 5.8%
	150,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.750%, 5/15/2019		149,250
	570,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021		582,466
	220,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.625%, 10/30/2020		225,500
	375,000	Aircastle Ltd., 5.125%, 3/15/2021		390,469
	410,000	Aircastle Ltd., 5.500%, 2/15/2022		427,679
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		33,900
	220,000	International Lease Finance Corp., 5.875%, 8/15/2022		238,700
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		47,981
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		81,725
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		306,637
	135,000	iStar, Inc., 4.000%, 11/01/2017		131,625
	195,000	iStar, Inc., 4.875%, 7/01/2018		188,419
	585,000	iStar, Inc., 5.000%, 7/01/2019		561,600
	75,000	iStar, Inc., 5.850%, 3/15/2017		76,500
	245,000	iStar, Inc., 6.500%, 7/01/2021		238,569
	55,000	iStar, Inc., 7.125%, 2/15/2018		55,688
Principal Amount		Description	Value (†)

		Finance Companies – continued
	865,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		756,875
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		208,687
	30,000	Navient Corp., MTN, 6.125%, 3/25/2024		25,800
	65,000	Navient LLC, 4.875%, 6/17/2019		62,725
	185,000	Navient LLC, 5.500%, 1/25/2023		157,250
	835,000	Navient LLC, MTN, 5.500%, 1/15/2019		820,387
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		137,388
	870,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		843,900
	395,000	Springleaf Finance Corp., 5.250%, 12/15/2019		377,225
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		274,708
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		106,150
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		204,500
	102,000	Stearns Holdings LLC, 9.375%, 8/15/2020, 144A		99,705

				7,812,008

		Financial Other – 1.2%
	450,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		432,000
	860,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		816,140
	388,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		381,210

				1,629,350

		Food & Beverage – 0.5%
	260,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		294,450
	120,000	TreeHouse Foods, Inc., 4.875%, 3/15/2022		122,700
	265,000	WhiteWave Foods Co. (The), 5.375%, 10/01/2022		285,206

				702,356

		Gaming – 1.8%
	150,000	Boyd Gaming Corp., 6.375%, 4/01/2026, 144A		155,625
	485,000	GLP Capital LP/GLP Financing II, Inc., 4.875%, 11/01/2020		504,400
	1,755,000	MGM Resorts International, 6.000%, 3/15/2023		1,816,425

				2,476,450

		Government Owned – No Guarantee – 1.0%
	650,000	Petrobras Global Finance BV, 4.875%, 3/17/2020		540,930
	610,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		504,244
	260,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		207,922
	60,000	Petrobras Global Finance BV, 6.750%, 1/27/2041		43,140

				1,296,236

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Health Insurance – 0.5%
$	721,000	WellCare Health Plans, Inc., 5.750%, 11/15/2020	$	746,235

		Healthcare – 5.5%
	135,000	Amsurg Corp., 5.625%, 7/15/2022		139,050
	215,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		194,037
	390,000	ExamWorks Group, Inc., 5.625%, 4/15/2023		397,800
	1,095,000	Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A		1,116,900
	55,000	Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		55,894
	300,000	HCA Holdings, Inc., 6.250%, 2/15/2021		322,500
	655,000	HCA, Inc., 5.375%, 2/01/2025		662,166
	430,000	HCA, Inc., 7.050%, 12/01/2027		440,750
	35,000	HCA, Inc., 7.500%, 12/15/2023		37,100
	790,000	HCA, Inc., 7.500%, 11/06/2033		845,300
	40,000	HCA, Inc., 7.690%, 6/15/2025		43,000
	40,000	HCA, Inc., 8.360%, 4/15/2024		44,600
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		221,400
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		21,400
	135,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		140,738
	70,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		69,475
	190,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		181,925
	140,000	LifePoint Health, Inc., 5.500%, 12/01/2021		146,300
	50,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		52,000
	180,000	Team Health, Inc., 7.250%, 12/15/2023, 144A		192,600
	490,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		469,175
	1,145,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		923,156
	445,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		456,681
	285,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		289,987

				7,463,934

		Home Construction – 2.4%
	200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(e)(f)(c)		2
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(g)		178,100
	385,000	Lennar Corp., 4.750%, 11/15/2022		385,962
	1,180,000	Lennar Corp., 4.750%, 5/30/2025		1,159,350
	720,000	PulteGroup, Inc., 6.000%, 2/15/2035		700,200
	495,000	PulteGroup, Inc., 6.375%, 5/15/2033		504,900
	380,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		377,150
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(e)(f)(c)		2

				3,305,666

		Independent Energy – 6.5%
	1,035,000	Antero Resources Corp., 5.125%, 12/01/2022		939,262
	75,000	Antero Resources Corp., 5.375%, 11/01/2021		69,375
Principal Amount		Description	Value (†)

		Independent Energy – continued
	100,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		70,500
	1,015,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		682,587
	220,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		58,300
	500,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		140,000
	30,000	California Resources Corp., 5.000%, 1/15/2020		6,900
	640,000	California Resources Corp., 5.500%, 9/15/2021		140,800
	310,000	California Resources Corp., 6.000%, 11/15/2024		69,750
	920,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		322,000
	5,000	Chesapeake Energy Corp., 5.375%, 6/15/2021		1,775
	70,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		23,800
	100,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		38,500
	185,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		72,150
	110,000	Concho Resources, Inc., 5.500%, 10/01/2022		108,075
	300,000	Concho Resources, Inc., 5.500%, 4/01/2023		294,000
	310,000	Continental Resources, Inc., 3.800%, 6/01/2024		244,900
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		66,900
	480,000	Continental Resources, Inc., 5.000%, 9/15/2022		413,700
	445,000	Eclipse Resources Corp., 8.875%, 7/15/2023, 144A		231,400
	100,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		71,000
	105,000	Halcon Resources Corp., 8.875%, 5/15/2021		18,375
	270,000	Halcon Resources Corp., 9.750%, 7/15/2020		47,925
	85,000	Matador Resources Co., 6.875%, 4/15/2023		81,388
	250,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		147,500
	140,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		84,525
	465,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		274,350
	834,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		617,160
	220,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		167,750
	580,000	QEP Resources, Inc., 5.250%, 5/01/2023		504,600
	220,000	QEP Resources, Inc., 5.375%, 10/01/2022		193,050
	5,000	QEP Resources, Inc., 6.875%, 3/01/2021		4,588
	380,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020, 144A(h)		49,400

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	660,000	Rice Energy, Inc., 6.250%, 5/01/2022	$	574,200
	370,000	RSP Permian, Inc., 6.625%, 10/01/2022		364,450
	200,000	Sanchez Energy Corp., 6.125%, 1/15/2023		108,000
	60,000	Sanchez Energy Corp., 7.750%, 6/15/2021		35,250
	280,000	SM Energy Co., 5.000%, 1/15/2024		193,813
	230,000	SM Energy Co., 5.625%, 6/01/2025		159,779
	170,000	SM Energy Co., 6.125%, 11/15/2022		123,930
	135,000	SM Energy Co., 6.500%, 11/15/2021		99,562
	15,000	SM Energy Co., 6.500%, 1/01/2023		10,575
	250,000	Southwestern Energy Co., 4.950%, 1/23/2025		171,250
	200,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		14,000
	270,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		186,975
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		502,075

				8,800,144

		Industrial Other – 0.1%
	130,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		132,925

		Integrated Energy – 0.1%
	400,000	Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A(f)(g)		68,000
	415,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(f)(g)		70,550

				138,550

		Life Insurance – 0.3%
	430,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		439,675

		Local Authorities – 0.2%
	315,000	Provincia de Buenos Aires, 9.125%, 3/16/2024, 144A		322,711

		Lodging – 0.6%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023		392,700
	400,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021		414,480

				807,180

		Media Entertainment – 1.8%
	660,000	AMC Networks, Inc., 4.750%, 12/15/2022		661,650
	830,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		761,525
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		80,962
	540,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		537,300
	383,000	DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A		386,830
	45,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		46,125

				2,474,392

Principal Amount		Description	Value (†)

		Metals & Mining – 3.1%
	405,000	Alcoa, Inc., 5.400%, 4/15/2021		411,456
	235,000	Alcoa, Inc., 5.900%, 2/01/2027		223,250
	50,000	Alcoa, Inc., 6.750%, 1/15/2028		48,735
	390,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A		316,875
	395,000	Anglo American Capital PLC, 4.875%, 5/14/2025, 144A		320,937
	150,000	ArcelorMittal, 7.750%, 3/01/2041		128,250
	930,000	ArcelorMittal, 8.000%, 10/15/2039		809,100
	600,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		432,372
	160,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(f)(g)		4,800
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		117,250
	355,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		237,850
	870,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		593,775
	75,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		45,938
	165,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		127,050
	340,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		324,700

				4,142,338

		Midstream – 4.5%
	365,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		318,507
	120,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		110,400
	55,000	Kinder Morgan Energy Partners LP, 3.450%, 2/15/2023		51,029
	80,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		72,479
	35,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		27,495
	150,000	MPLX LP, 4.500%, 7/15/2023, 144A		138,326
	430,000	MPLX LP, 4.875%, 12/01/2024, 144A		396,992
	340,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		205,700
	375,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		221,250
	195,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		172,056
	175,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		174,887
	130,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		126,294
	160,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		106,400
	175,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 11/15/2023		113,750
	825,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		793,031
	160,000	Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023		152,000

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Midstream – continued
$	335,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025	$	319,506
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		190,856
	985,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		930,214
	50,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		43,875
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018		299,250
	345,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		318,263
	105,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		101,325
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		14,700
	80,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019, 144A		79,600
	525,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022, 144A		518,438
	135,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		120,150

				6,116,773

		Non-Agency Commercial Mortgage-Backed Securities – 1.4%
	590,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.638%, 5/15/2018, 144A(b)(g)		590,000
	650,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.794%, 8/10/2045(b)		619,276
	385,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.222%, 11/05/2030, 144A(b)		387,265
	250,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.715%, 4/12/2049(b)		251,850

				1,848,391

		Oil Field Services – 0.3%
	60,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		39,503
	135,000	Ensco PLC, 5.750%, 10/01/2044		66,825
	20,000	Global Marine, Inc., 7.000%, 6/01/2028		9,500
	85,000	Noble Holding International Ltd., 5.250%, 3/15/2042		42,301
	155,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(f)(g)		40,688
	310,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(f)(g)		82,925
	15,000	Parker Drilling Co., 6.750%, 7/15/2022		10,800
	155,000	Transocean, Inc., 4.300%, 10/15/2022		85,637

				378,179

Principal Amount		Description	Value (†)

		Packaging – 0.9%
	545,000	Ball Corp., 4.375%, 12/15/2020		565,437
	325,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		333,125
	360,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		327,150

				1,225,712

		Pharmaceuticals – 2.1%
	200,000	Grifols Worldwide Operations Ltd., 5.250%, 4/01/2022		205,500
	1,065,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		883,950
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		300,000
	95,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		74,694
	115,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		90,562
	1,390,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,089,412
	15,000	Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A		13,613
	220,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		179,300

				2,837,031

		Property & Casualty Insurance – 0.4%
	420,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		413,700
	135,000	HUB International Ltd., 9.250%, 2/15/2021, 144A		140,063

				553,763

		Refining – 0.0%
	75,000	Western Refining, Inc., 6.250%, 4/01/2021		66,563

		Retailers – 1.6%
	125,000	CVS Health Corp., 4.750%, 12/01/2022, 144A		140,267
	165,000	CVS Health Corp., 5.000%, 12/01/2024, 144A		189,162
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		526,750
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		86,037
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022(e)		315,131
	160,000	GameStop Corp., 5.500%, 10/01/2019, 144A		153,600
	125,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		123,750
	535,000	Group 1 Automotive, Inc., 5.250%, 12/15/2023, 144A		528,312
	40,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		40,500
	225,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		32,625

				2,136,134

		Supermarkets – 0.7%
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		397,362
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,538

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Supermarkets – continued
$	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030	$	9,600
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		519,675

				931,175

		Technology – 7.8%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		112,888
	2,305,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,449,062
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		298,700
	251,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		202,055
	70,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		70,656
	50,000	CommScope, Inc., 4.375%, 6/15/2020, 144A		51,375
	140,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		141,050
	395,000	Equinix, Inc., 4.875%, 4/01/2020		408,627
	150,000	Equinix, Inc., 5.375%, 1/01/2022		156,188
	140,000	Equinix, Inc., 5.375%, 4/01/2023		144,900
	1,360,000	First Data Corp., 7.000%, 12/01/2023, 144A		1,373,600
	575,000	Micron Technology, Inc., 5.250%, 8/01/2023, 144A		470,062
	695,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		559,475
	215,000	Micron Technology, Inc., 5.500%, 2/01/2025		174,284
	190,000	Micron Technology, Inc., 5.625%, 1/15/2026, 144A		150,100
	175,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		192,063
	190,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		196,175
	675,000	NXP BV/NXP Funding LLC, 4.625%, 6/15/2022, 144A		692,719
	655,000	Open Text Corp., 5.625%, 1/15/2023, 144A		668,100
	335,000	Qorvo, Inc., 6.750%, 12/01/2023, 144A		345,888
	575,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		585,005
	235,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		241,169
	205,000	Western Digital Corp., 7.375%, 4/01/2023, 144A(i)		209,100
	660,000	Western Digital Corp., 10.500%, 4/01/2024, 144A(i)		661,650

				10,554,891

		Transportation Services – 0.3%
	185,000	APL Ltd., 8.000%, 1/15/2024(g)		123,950
	5,521	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(e)		5,617
	112,646	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(j)		115,181
	115,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A		108,891

				353,639

Principal Amount		Description	Value (†)

		Wireless – 4.1%
	220,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		210,650
	970,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		954,558
	500,000	Crown Castle International Corp., 5.250%, 1/15/2023		539,375
	1,185,000	Numericable-SFR SAS, 6.000%, 5/15/2022, 144A		1,155,375
	496,000	Sprint Capital Corp., 6.875%, 11/15/2028		362,080
	1,060,000	Sprint Corp., 7.250%, 9/15/2021		809,575
	585,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		604,012
	580,000	T-Mobile USA, Inc., 6.633%, 4/28/2021		606,100
	395,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		373,275

				5,615,000

		Wirelines – 3.7%
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		20,260
	270,000	CenturyLink, Inc., 6.450%, 6/15/2021		273,542
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		204,050
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		11,475
	235,000	Frontier Communications Corp., 7.450%, 7/01/2035		169,788
	480,000	Frontier Communications Corp., 10.500%, 9/15/2022, 144A		492,000
	640,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		660,800
	95,000	Level 3 Financing, Inc., 5.125%, 5/01/2023		96,069
	645,000	Level 3 Financing, Inc., 5.250%, 3/15/2026, 144A		649,837
	110,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		111,706
	35,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		35,438
	385,000	Level 3 Financing, Inc., 6.125%, 1/15/2021		403,287
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		398,400
	5,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,753
	375,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		382,500
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		303,952
	630,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		645,750
	75,000	Telefonica Emisiones SAU, 7.045%, 6/20/2036		94,939

				4,958,546


		Total Non-Convertible Bonds
		(Identified Cost $127,045,215)		120,361,738


	Convertible Bonds – 4.8%

		Building Materials – 1.2%
	835,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		738,975
	165,000	KB Home, 1.375%, 2/01/2019		152,213
	365,000	Lennar Corp., 3.250%, 11/15/2021		752,812

				1,644,000

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Consumer Cyclical Services – 0.0%
$	10,000	Macquarie Infrastructure Corp., 2.875%, 7/15/2019	$	11,044

		Consumer Products – 0.3%
	550,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		374,000

		Diversified Operations – 0.3%
	485,000	RWT Holdings, Inc., 5.625%, 11/15/2019		438,622

		Energy – 0.2%
	475,000	Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019		281,734

		Healthcare – 0.2%
	240,000	Brookdale Senior Living, Inc., 2.750%, 6/15/2018		228,900

		Leisure – 0.6%
	900,000	Rovi Corp., 0.500%, 3/01/2020		857,565

		Metals & Mining – 0.6%
	740,000	RTI International Metals, Inc., 1.625%, 10/15/2019		774,225

		Midstream – 0.2%
	185,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		117,012
	250,000	Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A		145,469

				262,481

		Pharmaceuticals – 0.5%
	27,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		31,269
	511,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		605,855

				637,124

		REITs – Mortgage – 0.0%
	20,000	Redwood Trust, Inc., 4.625%, 4/15/2018		18,725

		Technology – 0.7%
	410,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		406,157
	305,000	LinkedIn Corp., 0.500%, 11/01/2019		276,216
	90,000	MercadoLibre, Inc., 2.250%, 7/01/2019		101,081
	325,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		221,406

				1,004,860


		Total Convertible Bonds
		(Identified Cost $6,872,459)		6,533,280


		Total Bonds and Notes
		(Identified Cost $133,917,674)		126,895,018


	Senior Loans – 0.1%

		Chemicals – 0.1%
	153,838	Chemours Co. (The), Term Loan B, 3.750%, 5/12/2022(b) (Identified Cost $153,163)		146,530

Shares		Description	Value (†)

	Preferred Stocks – 1.3%

	Convertible Preferred Stocks – 0.9%

		Midstream – 0.1%
	641	Chesapeake Energy Corp., 5.750%(k)	$	114,335
	13	Chesapeake Energy Corp., 5.750%, 144A(k)		2,319
	90	Chesapeake Energy Corp., 5.750%(k)		15,581

				132,235

		Pharmaceuticals – 0.8%
	1,174	Allergan PLC, Series A, 5.500%		1,079,070

		REITs – Mortgage – 0.0%
	554	iStar, Inc., Series J, 4.500%		23,246


		Total Convertible Preferred Stocks
		(Identified Cost $1,692,486)		1,234,551


	Non-Convertible Preferred Stocks – 0.4%

		Banking – 0.4%
	4,733	Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500%		120,502
	13,577	SunTrust Banks, Inc., Series E, 5.875%		350,287

				470,789
			��

		Total Non-Convertible Preferred Stocks
		(Identified Cost $457,750)		470,789


		Total Preferred Stocks
		(Identified Cost $2,150,236)		1,705,340


	Common Stocks – 0.0%

		Energy Equipment & Services – 0.0%
	2,515	Hercules Offshore, Inc.(k)		6,036

		Oil, Gas & Consumable Fuels – 0.0%
	5,700	Rex Energy Corp.(k)		4,379


		Total Common Stocks
		(Identified Cost $500,891)		10,415


	Warrants – 0.0%
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(e)(k) (Identified Cost $0)		—

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – 3.6%
$	1,849	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2016 at 0.000% to be repurchased at $1,849 on 4/01/2016 collateralized by $1,900 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $1,935 including accrued interest (Note 2 of Notes to Financial Statements)	$	1,849
	4,879,911	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $4,879,915 on 4/01/2016 collateralized by $4,900,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $4,979,625 including accrued interest (Note 2 of Notes to Financial Statements)		4,879,911


		Total Short-Term Investments
		(Identified Cost $4,881,760)		4,881,760


		Total Investments – 98.7%
		(Identified Cost $141,603,724)(a)		133,639,063
		Other assets less liabilities—1.3%		1,718,342


		Net Assets – 100.0%	$	135,357,405


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2016, the net unrealized depreciation on investments based on a cost of $141,759,039 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	$	3,002,705
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(11,122,681	)

		Net unrealized depreciation	$	(8,119,976	)

	(b)	Variable rate security. Rate as of March 31, 2016 is disclosed.
	(c)	Illiquid security. At March 31, 2016, the value of these securities amounted to $4 or less than 0.0% of net assets.
	(d)	The issuer is making partial payments with respect to principal.
	(e)	Fair valued by the Fund’s adviser. At March 31, 2016, the value of these securities amounted to $435,933 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(g)	Illiquid security. At March 31, 2016, the value of these securities amounted to $1,159,013 or 0.9% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
	(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(i)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(j)	Maturity has been extended under the terms of a plan of reorganization.
	(k)	Non-income producing security.

	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, 2016, the value of Rule 144A holdings amounted to $48,393,041 or 35.8% of net assets.
	ABS	Asset-Backed Securities
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

Industry Summary at March 31, 2016 (Unaudited)


Technology	8.5	%
Cable Satellite	7.2
Independent Energy	6.5
Finance Companies	5.8
Healthcare	5.7
Banking	5.2
Midstream	4.8
Wireless	4.1
Wirelines	3.7
Metals & Mining	3.7
Pharmaceuticals	3.4
Building Materials	3.2
Aerospace & Defense	2.9
Home Construction	2.4
Automotive	2.4
ABS Home Equity	2.3
Electric	2.3
Airlines	2.2
Other Investments, less than 2% each	18.8
Short-Term Investments	3.6

Total Investments	98.7
Other assets less liabilities	1.3

Net Assets	100.0	%

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 122.9% of Net Assets

		ABS Car Loan – 12.6%
$	1,070,000	AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019	$	1,068,020
	3,700,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020(b)		3,714,085
	1,840,000	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021		1,841,560
	1,275,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		1,286,142
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		638,285
	2,630,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		2,630,048
	300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/2021, 144A		299,194
	4,395,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/2021, 144A(b)		4,373,689
	1,845,000	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		1,844,147
	128,904	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		128,787
	4,686,443	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A(b)		4,661,555
	870,000	CarMax Auto Owner Trust, Series 2013-4, Class B, 1.710%, 7/15/2019		872,338
	1,835,000	CarNow Auto Receivables Trust, Series 2015-1A, Class C, 3.880%, 4/15/2020, 144A		1,767,348
	3,376,229	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		3,340,177
	381,259	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		380,475
	4,000,000	CPS Auto Receivables Trust, Series 2014-C, Class B, 2.670%, 8/17/2020, 144A(b)		3,978,166
	2,225,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		2,149,261
	1,610,000	CPS Auto Receivables Trust, Series 2015-B, Class C, 4.200%, 5/17/2021, 144A		1,596,939
	1,745,000	CPS Auto Receivables Trust, Series 2016-A, Class D, 5.000%, 12/15/2021, 144A		1,755,389
	933,134	Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A		932,566
Principal Amount		Description	Value (†)

		ABS Car Loan – continued
	450,000	Credit Acceptance Auto Loan Trust, Series 2014-1A, Class B, 2.290%, 4/15/2022, 144A		447,354
	3,240,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A(b)		3,235,461
	4,000,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A(b)		4,001,981
	5,680,000	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A(b)		5,637,252
	1,900,000	Drive Auto Receivables Trust, Series 2015-DA, Class C, 3.380%, 11/15/2021, 144A		1,891,304
	2,010,000	Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.910%, 5/17/2021, 144A		2,014,417
	3,700,000	DT Auto Owner Trust, Series 2014-2A, Class C, 2.460%, 1/15/2020, 144A		3,699,308
	1,240,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		1,222,405
	2,340,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		2,314,875
	1,975,000	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		1,973,889
	2,294,280	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A(b)		2,287,868
	4,200,000	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A(b)		4,152,499
	1,048,739	First Investors Auto Owner Trust, Series 2012-2A, Class B, 2.470%, 5/15/2018, 144A		1,049,234
	15,417	First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A		15,412
	2,000,000	First Investors Auto Owner Trust, Series 2014-1A, Class B, 2.260%, 1/15/2020, 144A		1,996,782
	1,915,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		1,883,755
	3,500,000	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		3,501,352
	5,530,000	Flagship Credit Auto Trust, Series 2014-2, Class B, 2.840%, 11/16/2020, 144A(b)		5,427,009
	1,535,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		1,495,482
	1,390,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		1,408,222
	3,900,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A(b)		3,935,249

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Car Loan – continued
$	8,605,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A(b)	$	8,521,762
	4,415,000	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A(b)		4,410,215
	2,240,000	Santander Drive Auto Receivables Trust, Series 2014-3, Class B, 1.450%, 5/15/2019		2,237,779
	7,120,000	Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.460%, 6/15/2020(b)		7,163,485
	1,940,000	Santander Drive Auto Receivables Trust, Series 2015-2, Class C, 2.440%, 4/15/2021		1,937,073
	145,308	SMART Trust/Australia, Series 2012-4US, Class A3A, 0.970%, 3/14/2017		145,279
	859,039	Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A		858,489
	1,820,000	Westlake Automobile Receivables Trust, Series 2014-2A, Class C, 2.240%, 4/15/2020, 144A		1,813,023
	1,515,000	Westlake Automobile Receivables Trust, Series 2016-1A, Class C, 3.290%, 9/15/2021, 144A		1,514,697

				121,451,083

		ABS Credit Card – 1.8%
	2,000,000	Barclays Dryrock Issuance Trust, Series 2015-1, Class A, 2.200%, 12/15/2022		2,031,065
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020(b)		5,119,629
	9,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(b)		9,611,578
	1,000,000	World Financial Network Credit Card Master Trust, Series 2012-C, Class M, 3.320%, 8/15/2022		1,029,968

				17,792,240

		ABS Home Equity – 3.6%
	435,000	American Homes 4 Rent, 5.036%, 10/17/2045, 144A		421,070
	2,897,533	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A		2,858,762
	1,500,000	Colony American Homes, Series 2014-1A, Class B, 1.791%, 5/17/2031, 144A(c)		1,452,391
	141,676	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.468%, 7/25/2021(c)(d)		138,241
	158,895	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c)		161,446
	694,076	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035(c)(d)		670,290
Principal Amount		Description	Value (†)

		ABS Home Equity – continued
	2,855,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.633%, 2/25/2024(c)		2,850,438
	6,025,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.283%, 10/25/2027(b)(c)		5,959,054
	4,577,148	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.787%, 5/19/2034(b)(c)		4,508,230
	2,025,000	Home Partners of America Trust, Series 2016-1, Class D, 3.741%, 3/17/2033, 144A(c)		1,950,279
	1,746,058	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(c)		1,744,430
	181,507	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 2.461%, 7/25/2035(c)(d)		166,091
	1,417,000	Progress Residential Trust, Series 2015-SFR3, 4.673%, 11/12/2032, 144A		1,393,098
	24,792	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(d)		23,512
	116,961	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(d)		113,167
	563,427	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021(d)		522,006
	259,394	Sequoia Mortgage Trust, Series 2013-1, Class 2A1, 1.855%, 2/25/2043(c)		245,669
	3,201,045	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A(b)(c)		3,128,291
	2,485,177	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A		2,501,645
	4,967,928	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.542%, 11/25/2036(c)		4,398,712

				35,206,822

		ABS Other – 4.7%
	1,000,000	Ascentium Equipment Receivables LLC, Series 2014-1A, Class C, 2.460%, 11/13/2018, 144A		1,003,336
	69,837	CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A		69,819
	1,266,734	CLI Funding V LLC, Series 2014-1A, Class A, 3.290%, 6/18/2029, 144A		1,181,452
	2,133,450	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		2,100,488
	1,193,147	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		1,199,122

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Other – continued
$	551,867	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A	$	541,489
	920,637	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		919,274
	9,265,000	OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(b)		8,901,448
	4,160,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A		4,223,349
	3,266,745	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		3,302,003
	4,543,564	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)		4,500,855
	328,968	Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		332,911
	601,297	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		603,633
	246,907	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		243,228
	2,151,900	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		2,146,097
	1,147,223	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		1,132,424
	1,729,792	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		1,641,379
	666,108	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		634,893
	4,220,667	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A(b)		3,939,553
	4,085,667	Textainer Marine Containers Ltd., Series 2014-1A, Class A, 3.270%, 10/20/2039, 144A(b)		3,843,731
	2,505,765	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 2.936%, 7/15/2041, 144A(c)		2,527,605

				44,988,089

		ABS Student Loan – 2.3%
	3,066,279	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.575%, 7/01/2024(c)		3,038,057
	172,413	SoFi Professional Loan Program LLC, Series 2014-A, Class A2, 3.020%, 10/25/2027, 144A		174,141
	783,431	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.683%, 8/25/2032, 144A(c)		771,120
	8,085,000	SoFi Professional Loan Program LLC, Series 2015-C, Class B, 3.580%, 8/25/2036, 144A(b)		7,774,137
	10,615,506	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.619%, 7/25/2025(b)(c)		10,521,346

				22,278,801

Principal Amount		Description	Value (†)

		Agency Commercial Mortgage-Backed Securities – 3.8%
	1,992,341	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.377%, 11/25/2022(c)		1,992,495
	149,332,435	FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, 0.363%, 2/25/2023(c)(e)		2,876,292
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)(c)		6,635,296
	88,029,339	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.259%, 4/25/2023(b)(c)(e)		1,283,089
	35,206,708	FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, 0.794%, 10/25/2023(c)(e)		1,627,916
	12,316,609	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, 1.194%, 3/25/2024(c)(e)		912,930
	39,952,224	FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, 0.739%, 9/25/2024(c)(e)		2,022,002
	46,014,847	FHLMC Multifamily Structured Pass Through Certificates, Series K046, Class X1, 0.378%, 3/25/2025(c)(e)		1,341,356
	75,132,792	FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, 0.164%, 5/25/2025(c)(e)		1,096,112
	37,735,801	FHLMC Multifamily Structured Pass Through Certificates, Series K049, Class X1, 0.615%, 7/25/2025(c)(e)		1,707,451
	21,801,018	FHLMC Multifamily Structured Pass Through Certificates, Series K050, Class X1, 0.334%, 8/25/2025(c)(e)		583,262
	23,854,859	FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, 0.553%, 9/25/2025(c)(e)		1,019,235
	17,886,363	FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, 0.679%, 11/25/2025(c)(e)		896,593
	9,810,000	FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, 1.031%, 12/25/2025(c)(e)		674,723
	3,672,680	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.438%, 1/25/2023(c)(e)		241,868

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	52,843,579	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, 0.315%, 8/25/2025(c)(e)	$	1,011,120
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(b)(c)		4,974,949
	2,000,000	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(c)		2,338,741
	22,775,160	Government National Mortgage Association, Series 2014-86, Class IO, 0.884%, 4/16/2056(c)(e)		1,388,629
	15,303,094	Government National Mortgage Association, Series 2014-101, Class IO, 0.911%, 4/16/2056(c)(e)		1,053,704
	14,816,910	Government National Mortgage Association, Series 2015-68, Class IO, 0.853%, 7/16/2057(c)(e)		1,031,411

				36,709,174

		Collateralized Mortgage Obligations – 19.5%
	178,771	Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(c)(d)		202,994
	152,882	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(b)		173,323
	1,604,695	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 13.910%, 6/15/2023(c)		2,028,196
	531,287	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class MH, 5.000%, 7/15/2033		569,456
	264,080	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(b)(d)(e)		63,180
	328,631	Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 8.417%, 11/15/2033(c)		362,409
	5,868,994	Federal Home Loan Mortgage Corp., REMIC, Series 2882, Class TF, 0.686%, 10/15/2034(b)(c)		5,883,731
	7,444,567	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(b)		8,519,116
	10,450,319	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 6.764%, 5/15/2036(b)(c)(e)		2,453,911
	3,021,254	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class B1, 5.814%, 2/15/2038(c)(d)(e)		555,642
	2,071,412	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.549%, 6/15/2048(b)(c)(e)		2,062,282
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		520,201
	2,393,843	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.247%, 12/15/2036(b)(c)(e)		2,515,330
Principal Amount		Description	Value (†)

		Collateralized Mortgage Obligations – continued
	2,213,369	Federal Home Loan Mortgage Corp., REMIC, Series 3752, Class KF, 0.936%, 12/15/2037(c)		2,225,155
	386,055	Federal Home Loan Mortgage Corp., REMIC, Series 3785, Class LS, 9.028%, 1/15/2041(c)		449,554
	589,415	Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 8.323%, 2/15/2041(c)		631,182
	3,006,302	Federal Home Loan Mortgage Corp., REMIC, Series 3828, Class EF, 0.836%, 5/15/2037(c)		3,017,134
	1,626,861	Federal Home Loan Mortgage Corp., REMIC, Series 3866, Class DF, 1.886%, 5/15/2041(c)		1,634,267
	1,800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, 21.819%, 8/15/2040(b)(c)		3,715,927
	1,230,384	Federal Home Loan Mortgage Corp., REMIC, Series 4204, Class AF, 1.439%, 5/15/2043(c)		1,194,452
	800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4395, Class PE, 2.500%, 4/15/2037		746,004
	660,808	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class NT, 6.500%, 8/15/2043(c)		733,819
	785,365	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class TN, 5.000%, 8/15/2043(c)		857,150
	886,783	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(b)(d)(e)		184,831
	2,062,406	Federal Home Loan Mortgage Corp., Series 3792, Class DF, 0.836%, 11/15/2040(c)		2,062,496
	409,361	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 6.817%, 1/25/2024(c)(d)(e)		60,272
	255,875	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(b)(d)(e)		3,955
	215,407	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 6.867%, 8/25/2036(c)(d)(e)		44,184
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(b)		1,048,886
	2,998,798	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.556%, 8/25/2038(b)(c)		3,223,108
	746,861	Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, 4.791%, 11/25/2038(c)		792,926
	1,771,383	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 3.026%, 3/25/2039(b)(c)		1,748,057
	180,001	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		190,720

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	665,843	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 3.914%, 12/25/2039(c)	$	676,497
	458,025	Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, 7.274%, 11/25/2040(c)		535,134
	939,818	Federal National Mortgage Association, REMIC, Series 2013-23, Class TS, 5.492%, 3/25/2043(c)		945,632
	770,590	Federal National Mortgage Association, REMIC, Series 2013-26, Class SJ, 4.934%, 4/25/2033(c)		840,390
	6,597,865	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 5.717%, 8/25/2042(b)(c)(e)		1,219,566
	3,872,884	Federal National Mortgage Association, REMIC, Series 2013-57, Class QF, 1.439%, 6/25/2043(b)(c)		3,734,801
	2,783,707	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.433%, 7/25/2043(c)		2,667,393
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 11.091%, 7/25/2043(c)		2,057,207
	279,374	Federal National Mortgage Association, REMIC, Series 2014-67, Class PT, 6.000%, 10/25/2044(c)		287,961
	2,389,516	Federal National Mortgage Association, REMIC, Series 2015-1, Class SN, 6.000%, 7/25/2043(c)		2,583,791
	687,206	Federal National Mortgage Association, REMIC, Series 2015-55, Class KT, 5.500%, 5/25/2041(c)		755,212
	1,141,523	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(b)(d)(e)		208,749
	246,669	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(b)(c)(d)(e)		58,530
	236,054	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(b)(d)(e)		46,495
	1,270,067	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(b)(d)(e)		300,700
	2,665,436	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(b)(d)(e)		518,860
	1,066,583	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(b)(d)(e)		218,713
	705,824	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(b)(d)(e)		146,925
	1,403,830	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(b)(d)(e)		293,937
	633,655	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(b)(d)(e)		136,866
Principal Amount		Description	Value (†)

		Collateralized Mortgage Obligations – continued
	777,320	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(b)(d)(e)		177,783
	890,716	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(b)(d)(e)		206,541
	892,963	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(b)(d)(e)		170,353
	427,762	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(b)(c)(d)(e)		78,836
	622,507	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(b)(d)(e)		118,506
	388,641	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(b)(c)(d)(e)		73,892
	108,205	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(b)(d)(e)		20,557
	951,381	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(b)(c)(d)(e)		160,677
	3,218,991	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(b)(c)(d)(e)		589,054
	1,060,730	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(b)(d)(e)		210,816
	968,558	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(b)(c)(d)(e)		170,223
	509,496	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(b)(d)(e)		99,207
	88,652	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(b)(c)(d)(e)		16,700
	11,373,173	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class X1, 1.414%, 12/25/2021(c)(e)		723,689
	5,190,823	Government National Mortgage Association, Series 2006-46, Class IO, 0.421%, 4/16/2046(c)(d)(e)		81,875
	6,721,157	Government National Mortgage Association, Series 2006-51, Class IO, 0.457%, 8/16/2046(b)(c)(d)(e)		204,259
	238,232	Government National Mortgage Association, Series 2009-65, Class NZ, 5.500%, 8/20/2039(d)		294,070
	14,874,783	Government National Mortgage Association, Series 2009-114, Class IO, 0.159%, 10/16/2049(c)(d)(e)		217,847
	410,920	Government National Mortgage Association, Series 2010-49, Class IA, 1.511%, 10/16/2052(c)(d)(e)		26,710
	15,020,218	Government National Mortgage Association, Series 2010-124, Class X, 0.363%, 12/16/2052(b)(c)(d)(e)		313,924

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount			Description	Value (†)

	Bonds and Notes – continued

			Collateralized Mortgage Obligations – continued
$	812,789		Government National Mortgage Association, Series 2010-H20, Class AF, 0.755%, 10/20/2060(c)	$	801,489
	14,069,187		Government National Mortgage Association, Series 2011-119, Class IO, 0.899%, 8/16/2051(c)(e)		555,859
	50,594,911		Government National Mortgage Association, Series 2011-121, Class IO, 0.881%, 6/16/2043(b)(c)(e)		1,482,643
	29,223,911		Government National Mortgage Association, Series 2011-161, Class IO, 0.953%, 4/16/2045(c)(e)		1,120,459
	11,777,466		Government National Mortgage Association, Series 2011-38, Class IO, 0.108%, 4/16/2053(b)(c)(d)(e)		284,667
	4,356,173		Government National Mortgage Association, Series 2011-53, Class IO, 0.444%, 5/16/2051(b)(c)(d)(e)		149,057
	1,438,142		Government National Mortgage Association, Series 2011-H01, Class AF, 0.875%, 11/20/2060(c)		1,420,119
	693,439		Government National Mortgage Association, Series 2011-H21, Class FT, 1.170%, 10/20/2061(c)		694,383
	23,530,561		Government National Mortgage Association, Series 2012-23, Class IO, 1.104%, 6/16/2053(b)(c)(e)		1,005,666
	29,127,983		Government National Mortgage Association, Series 2012-55, Class IO, 0.970%, 4/16/2052(b)(c)(e)		1,165,446
	18,856,741		Government National Mortgage Association, Series 2012-70, Class IO, 0.591%, 8/16/2052(b)(c)(d)(e)		712,056
	21,500,130		Government National Mortgage Association, Series 2012-79, Class IO, 0.881%, 3/16/2053(c)(e)		1,196,839
	17,000,000		Government National Mortgage Association, Series 2012-100, Class IC, 1.369%, 9/16/2050(c)(e)		1,396,803
	12,925,139		Government National Mortgage Association, Series 2012-111, Class IC, 1.269%, 9/16/2050(c)(e)		1,013,323
	64,568,135		Government National Mortgage Association, Series 2012-142, Class IO, 1.082%, 4/16/2054(b)(c)(e)		3,480,151
	9,028,211		Government National Mortgage Association, Series 2012-H08, Class FA, 1.025%, 1/20/2062(b)(c)		8,971,660
	2,636,325		Government National Mortgage Association, Series 2012-H20, Class BA, 0.985%, 9/20/2062(c)		2,615,313
	362,554		Government National Mortgage Association, Series 2012-H24, Class FE, 1.025%, 10/20/2062(c)		360,923
	5,036,815		Government National Mortgage Association, Series 2012-H26, Class BA, 0.775%, 10/20/2062(b)(c)		4,972,928
	3,139,181		Government National Mortgage Association, Series 2012-H30, Class GA, 0.775%, 12/20/2062(c)		3,095,467
Principal Amount			Description	Value (†)

			Collateralized Mortgage Obligations – continued
	6,586,402	��	Government National Mortgage Association, Series 2013-175, Class IO, 0.841%, 5/16/2055(c)(d)(e)		308,951
	25,434,898		Government National Mortgage Association, Series 2013-H16, Class AI, 1.611%, 7/20/2063(c)(e)		1,635,385
	16,590,161		Government National Mortgage Association, Series 2013-H18, Class EI, 1.704%, 7/20/2063(c)(e)		1,343,637
	3,048,710		Government National Mortgage Association, Series 2013-H18, Class JI, 1.379%, 8/20/2063(c)(d)(e)		174,129
	340,691		Government National Mortgage Association, Series 2013-H22, Class FT, 1.120%, 4/20/2063(c)		344,095
	44,904,316		Government National Mortgage Association, Series 2014-24, Class IX, 0.816%, 1/16/2054(b)(c)(e)		2,349,151
	42,343,890		Government National Mortgage Association, Series 2014-70, Class IO, 1.212%, 3/16/2049(b)(c)(e)		2,697,031
	47,114,252		Government National Mortgage Association, Series 2014-130, Class IB, 0.949%, 8/16/2054(b)(c)(e)		2,904,071
	558,937		Government National Mortgage Association, Series 2014-160, Class ST, 6.500%, 10/20/2044(c)		608,074
	16,606,663		Government National Mortgage Association, Series 2014-H03, Class FS, 1.075%, 2/20/2064(b)(c)		16,508,795
	4,758,129		Government National Mortgage Association, Series 2014-H05, Class FB, 1.025%, 12/20/2063(b)(c)		4,722,670
	4,088,809		Government National Mortgage Association, Series 2014-H06, Class FA, 0.995%, 3/20/2064(b)(c)		4,056,686
	7,748,955		Government National Mortgage Association, Series 2014-H12, Class HZ, 4.605%, 6/20/2064(b)(c)		9,114,172
	3,799,417		Government National Mortgage Association, Series 2014-H14, Class FA, 0.925%, 7/20/2064(b)(c)		3,749,567
	2,790,974		Government National Mortgage Association, Series 2014-H15, Class FA, 0.925%, 7/20/2064(c)		2,750,353
	2,893,988		Government National Mortgage Association, Series 2015-39, Class SN, 3.691%, 3/20/2045(c)		3,051,796
	324,190		Government National Mortgage Association, Series 2015-63, Class TB, 5.000%, 5/20/2045(c)		326,436
	444,388		Government National Mortgage Association, Series 2015-159, Class TC, 6.500%, 9/20/2045(c)(d)		437,020
	1,959,557		Government National Mortgage Association, Series 2015-180, Class HT, 5.000%, 8/20/2045(c)		1,944,654
	1,506,807		Government National Mortgage Association, Series 2015-180, Class TB, 5.000%, 9/20/2045(c)		1,529,788
	6,764,778		Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(b)		6,815,908

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	2,479,521	Government National Mortgage Association, Series 2015-H29, Class FA, 1.125%, 10/20/2065(c)	$	2,480,052
	101,539	Government National Mortgage Association, Series 2015-H29, Class HZ, 4.591%, 9/20/2065(c)(d)		117,678
	1,777,309	Government National Mortgage Association, Series 2015-H30, Class FA, 1.105%, 11/20/2065(c)		1,775,820
	614,474	Government National Mortgage Association, Series 2016-9, Class SB, 8.816%, 10/20/2045(c)		623,057
	1,770,000	Government National Mortgage Association, Series 2016-17, Class GT, 5.000%, 8/20/2045(c)		1,804,568
	5,040,000	Government National Mortgage Association, Series 2016-H06, Class FC, 1.345%, 2/20/2066(c)		5,021,100

				188,352,623

		Hybrid ARMs – 1.9%
	112,706	FHLMC, 2.505%, 1/01/2035(b)(c)		118,717
	2,395,427	FHLMC, 2.507%, 6/01/2035(b)(c)		2,516,464
	324,403	FHLMC, 2.596%, 1/01/2036(b)(c)		342,443
	2,205,022	FHLMC, 3.069%, 2/01/2037(b)(c)		2,358,815
	643,807	FNMA, 2.244%, 2/01/2037(b)(c)		667,274
	242,371	FNMA, 2.295%, 10/01/2035(b)(c)		249,739
	2,141,217	FNMA, 2.495%, 8/01/2038(b)(c)		2,263,723
	1,055,083	FNMA, 2.545%, 9/01/2034(b)(c)		1,106,253
	4,888,730	FNMA, 2.547%, 9/01/2037(b)(c)		5,155,351
	2,844,386	FNMA, 2.613%, 6/01/2034(c)		2,993,106
	459,367	FNMA, 2.619%, 9/01/2036(b)(c)		483,745

				18,255,630

		Mortgage Related – 49.0%
	4,750,250	FHLMC, 3.500%, with various maturities from 2042 to 2046(f)		4,983,986
	94,095	FHLMC, 5.000%, 9/01/2035(b)		103,979
	3,554,095	FNMA, 4.000%, with various maturities from 2041 to 2052(f)		3,797,671
	1,416,420	FNMA, 4.500%, 2/01/2041		1,542,686
	649,222	FNMA, 5.500%, 8/01/2034(b)		744,338
	7,904	FNMA, 6.000%, 10/01/2034(b)		9,113
	17,200,000	FNMA (TBA), 3.000%, 5/01/2046(g)		17,607,155
	109,045,000	FNMA (TBA), 3.500%, 5/01/2046(g)		114,139,450
	121,695,000	FNMA (TBA), 4.000%, 5/01/2046(g)		129,833,353
	742,083	GNMA, 0.951%, 8/20/2063(c)		738,636
	2,161,461	GNMA, 2.110%, 2/20/2061(c)		2,246,925
	496,779	GNMA, 2.157%, 7/20/2060(c)		516,493
	420,643	GNMA, 2.160%, 9/20/2060(c)		437,871
	2,959,424	GNMA, 2.438%, 2/20/2063(b)(c)		3,106,664
	1,282,809	GNMA, 2.782%, 6/20/2065(c)		1,356,541
	1,680,978	GNMA, 4.479%, 2/20/2062		1,785,758
	2,167,757	GNMA, 4.487%, 4/20/2063		2,343,762
	2,194,041	GNMA, 4.491%, 4/20/2063		2,377,714
	1,854,080	GNMA, 4.506%, 1/20/2062		1,963,950
	511,172	GNMA, 4.519%, 1/20/2063		551,665
Principal Amount		Description	Value (†)

		Mortgage Related – continued
	3,248,433	GNMA, 4.521%, 12/20/2061(b)		3,432,205
	970,157	GNMA, 4.524%, 7/20/2062		1,035,902
	780,054	GNMA, 4.527%, 1/20/2064		836,865
	4,765,418	GNMA, 4.533%, 6/20/2064(b)		5,322,085
	1,219,064	GNMA, 4.534%, 6/20/2062		1,291,011
	2,052,940	GNMA, 4.556%, with various maturities from 2061 to 2066(f)		2,201,731
	4,500,902	GNMA, 4.565%, 3/20/2062(b)		4,765,289
	4,002,357	GNMA, 4.567%, 12/20/2064(b)		4,482,496
	6,245,823	GNMA, 4.568%, 7/20/2065(b)		7,052,244
	470,321	GNMA, 4.570%, 10/20/2061		494,629
	911,766	GNMA, 4.576%, 9/20/2063		999,906
	4,542,598	GNMA, 4.577%, 6/20/2063(b)		4,940,215
	474,262	GNMA, 4.578%, 11/20/2061		498,236
	977,618	GNMA, 4.600%, 10/20/2061		1,027,090
	959,317	GNMA, 4.616%, 7/20/2062		1,027,198
	967,996	GNMA, 4.626%, 6/20/2062		1,030,306
	1,329,237	GNMA, 4.627%, 6/20/2061		1,395,882
	648,493	GNMA, 4.630%, 3/20/2062		686,881
	902,034	GNMA, 4.649%, 11/20/2063		994,885
	2,774,771	GNMA, 4.654%, with various maturities from 2061 to 2062(f)		2,925,098
	9,691,889	GNMA, 4.659%, 2/20/2062(b)		10,265,220
	11,618,649	GNMA, 4.670%, 12/20/2061(b)		12,262,772
	5,322,181	GNMA, 4.671%, 10/20/2061(b)		5,606,431
	662,604	GNMA, 4.684%, 1/20/2062		699,373
	1,391,155	GNMA, 4.685%, 8/20/2061		1,456,168
	1,853,079	GNMA, 4.689%, 5/20/2064		2,094,793
	6,432,809	GNMA, 4.700%, with various maturities in 2061(b)(f)		6,754,817
	595,825	GNMA, 4.709%, 12/20/2063		663,261
	2,609,263	GNMA, 4.720%, 6/20/2061		2,731,911
	666,900	GNMA, 4.749%, 11/20/2063		705,154
	3,540,507	GNMA, 4.767%, 7/20/2063(b)		3,736,897
	911,523	GNMA, 4.798%, 5/20/2061		953,146
	1,241,483	GNMA, 4.808%, 8/20/2062		1,312,577
	4,135,562	GNMA, 4.810%, 5/20/2061(b)		4,324,941
	803,886	GNMA, 4.951%, 1/20/2062		860,691
	294,143	GNMA, 5.500%, with various maturities in 2059(f)		302,954
	1,334,676	GNMA, 6.514%, 5/20/2061		1,384,392
	31,100,000	GNMA (TBA), 3.500%, 5/01/2046(g)		32,800,781
	4,530,226	Government National Mortgage Association, Series 2012-H11, Class BA, 2.000%, 5/20/2062(b)		4,566,108
	2,571,671	Government National Mortgage Association, Series 2013-H13, Class SI, 1.288%, 6/20/2063(c)(d)(e)		151,214
	25,040,556	Government National Mortgage Association, Series 2014-H24, Class HI, 0.918%, 11/20/2064(c)(e)		1,087,699
	12,076,188	Government National Mortgage Association, Series 2015-H01, Class XZ, 4.635%, 10/20/2064(b)(c)		14,570,977
	18,110,043	Government National Mortgage Association, Series 2015-H04, Class FL, 0.895%, 2/20/2065(b)(c)		17,843,295
	6,450,918	Government National Mortgage Association, Series 2015-H05, Class FA, 0.725%, 4/20/2061(b)(c)		6,388,796

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	2,728,341	Government National Mortgage Association, Series 2015-H12, Class FL, 0.655%, 5/20/2065(c)	$	2,684,677
	711,832	Government National Mortgage Association, Series 2015-H28, Class JZ, 5.032%, 3/20/2065(c)		810,998

				473,647,907

		Non-Agency Commercial Mortgage-Backed Securities – 23.7%
	48,880	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		48,882
	1,124,849	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		1,113,138
	1,268,592	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,311,568
	901,028	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		919,508
	3,208,451	CD Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049(b)		3,271,027
	12,385,916	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.836%, 12/15/2027, 144A(b)(c)		12,292,638
	3,076,000	CGBAM Commercial Mortgage Trust, Series 2014-HD, Class B, 1.636%, 2/15/2031, 144A(c)		3,041,910
	4,221,257	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047(b)(c)		4,321,074
	48,180	Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, 5.845%, 6/10/2046(c)		48,128
	1,325,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,393,356
	3,010,000	Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A, 1.237%, 3/15/2029, 144A(c)		2,938,440
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		1,256,271
	2,670,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		2,811,067
	2,797,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.187%, 5/13/2031, 144A(c)(h)		2,750,604
	5,380,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class SV1, 2.286%, 10/15/2031, 144A(c)(h)		5,373,038
Principal Amount		Description	Value (†)

		Non-Agency Commercial Mortgage-Backed Securities – continued
	8,255,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(b)		8,841,829
	5,250,000	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049(b)(c)		5,344,307
	5,108,771	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.699%, 6/15/2039(b)(c)		5,224,062
	1,407,892	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.941%, 9/15/2039(c)		1,458,730
	8,231,550	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)(c)		8,491,279
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.067%, 2/15/2041(b)(c)		4,286,249
	3,400,000	Extended Stay America Trust, Series 2013-ESH7, Class D7, 4.036%, 12/05/2031, 144A(c)		3,440,995
	2,655,366	GP Portfolio Trust, Series 2014-GPP, Class A, 1.386%, 2/15/2027, 144A(c)		2,606,100
	7,366,007	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039(b)		7,517,142
	10,927,727	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049(b)		11,360,436
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.435%, 12/10/2027, 144A(b)(c)		5,243,722
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)(c)		5,921,515
	10,994,202	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.794%, 8/10/2045(b)(c)		11,324,178
	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046(b)		3,799,597
	3,205,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047(b)		3,434,021
	6,465,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.336%, 10/15/2029, 144A(b)(c)		6,397,291
	3,787,642	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043(b)(c)		3,785,051
	2,853,702	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047		2,903,735
	2,482,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.743%, 6/15/2049(c)		2,538,940

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	1,081,388	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049	$	1,103,544
	1,628,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		1,729,499
	3,445,097	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.416%, 7/15/2031, 144A(b)(c)		3,427,147
	4,640,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 4.936%, 7/15/2036, 144A(b)(c)		4,516,878
	4,018,947	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048(b)		4,094,018
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)(c)		7,678,145
	6,460,141	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049(b)		6,697,896
	3,390,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047(b)		3,604,191
	484,999	Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.715%, 4/12/2049(b)(c)		484,102
	6,531,950	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044(b)		6,785,014
	9,130,000	Morgan Stanley Capital I, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)(c)		9,348,516
	1,000,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.318%, 6/15/2044, 144A(c)		1,066,353
	21,636	PFP III Ltd., Series 2014-1, Class A, 1.606%, 6/14/2031, 144A(c)		21,605
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.584%, 3/11/2031, 144A(c)		3,421,116
	680,000	SCG Trust, Series 2013-SRP1, Class A, 1.836%, 11/15/2026, 144A(c)		675,816
	905,000	SCG Trust, Series 2013-SRP1, Class B, 2.936%, 11/15/2026, 144A(c)		882,319
	2,100,000	Starwood Retail Property Trust, Inc., 1.656%, 11/15/2027, 144A(c)		2,068,711
	6,500,000	Starwood Retail Property Trust, Inc., 2.086%, 11/15/2027, 144A(b)(c)		6,326,298
Principal Amount		Description	Value (†)

		Non-Agency Commercial Mortgage-Backed Securities – continued
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		2,471,151
	6,815,591	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046(b)		7,014,930
	4,000,000	Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.400%, 6/15/2048(b)		4,178,089
	4,632,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047(b)		4,942,631

				229,347,797


		Total Bonds and Notes
		(Identified Cost $1,191,158,980)		1,188,030,166


	Short-Term Investments – 7.6%
	31,000,000	Federal Home Loan Bank Discount Notes, 0.390%, 5/27/2016(b)(i)		30,987,476

	42,607,686	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $42,607,722 on 4/01/2016 collateralized by $42,765,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $43,459,931 including accrued interest (Notes 2 of Notes to Financial Statements)		42,607,686


		Total Short-Term Investments
		(Identified Cost $73,588,880)		73,595,162


		Total Investments – 130.5%
		(Identified Cost $1,264,747,860)(a)		1,261,625,328
		Other assets less liabilities—(30.5)%		(294,621,300	)


		Net Assets – 100.0%	$	967,004,028


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2016, the net unrealized depreciation on investments based on a cost of $1,264,747,860 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	$	18,587,023
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,709,555	)

		Net unrealized depreciation	$	(3,122,532	)

	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


	(c)			Variable rate security. Rate as of March 31, 2016 is disclosed.
	(d)			Fair valued by the Fund’s adviser. At March 31, 2016, the value of these securities amounted to $10,244,742 or 1.1% of net assets. See Note 2 of Notes to Financial Statements.
	(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 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)			When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)			Illiquid security. At March 31, 2016, the value of these securities amounted to $8,123,642 or 0.8% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
	(i)			Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, the value of Rule 144A holdings amounted to $242,073,144 or 25.0% 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

At March 31, 2016, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2016		385	$	50,200,391	$	(99,765	)
30 Year U.S. Treasury Bond		6/21/2016		61		10,030,687		(54,452	)
Ultra Long U.S. Treasury Bond		6/21/2016		56		9,661,750		(111,241	)

Total							$	(265,458	)

At March 31, 2016, open short futures contracts were as follows:



Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/30/2016		273	$	59,718,750	$	47,485
5 Year U.S. Treasury Note		6/30/2016		551		66,761,399		119,495

Total							$	166,980

Industry Summary at March 31, 2016 (Unaudited)


Mortgage Related	49.0	%
Non-Agency Commercial Mortgage-Backed Securities	23.7
Collateralized Mortgage Obligations	19.5
ABS Car Loan	12.6
ABS Other	4.7
Agency Commercial Mortgage-Backed Securities	3.8
ABS Home Equity	3.6
ABS Student Loan	2.3
Other Investments, less than 2% each	3.7
Short-Term Investments	7.6

Total Investments	130.5
Other assets less liabilities (including futures contracts)	(30.5	)

Net Assets	100.0	%

See accompanying notes to financial statements.

23 |

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	141,603,724		$	1,264,747,860
Net unrealized depreciation		(7,964,661	)		(3,122,532	)

Investments at value		133,639,063			1,261,625,328
Cash		678,363			42,880
Due from brokers (Note 2)		—			920,000
Receivable for Fund shares sold		204,153			1,578,459
Receivable for securities sold		102,477			—
Receivable for when-issued/delayed delivery securities sold (Note 2)		—			303,751,005
Collateral received for delayed delivery securities (Note 2)		—			75,000
Dividends and interest receivable		1,888,458			3,274,387
Receivable for variation margin on futures contracts (Note 2)		—			121,113

TOTAL ASSETS		136,512,514			1,571,388,172


LIABILITIES
Payable for securities purchased		215,318			6,092,184
Payable for when-issued/delayed delivery securities purchased (Note 2)		865,000			597,617,144
Payable for Fund shares redeemed		74,791			599,816
Due to brokers (Note 2)		—			75,000

TOTAL LIABILITIES		1,155,109			604,384,144

NET ASSETS	$	135,357,405		$	967,004,028

NET ASSETS CONSIST OF:
Paid-in capital	$	143,931,260		$	972,897,849
Undistributed net investment income		495,777			35,497
Accumulated net realized gain (loss) on investments, futures contracts and swap agreements		(1,104,971	)		(2,708,308	)
Net unrealized depreciation on investments, futures contracts and swap agreements		(7,964,661	)		(3,221,010	)

NET ASSETS	$	135,357,405		$	967,004,028


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	135,357,405		$	967,004,028

Shares of beneficial interest		13,732,197			91,903,103

Net asset value, offering and redemption price per share	$	9.86		$	10.52

See accompanying notes to financial statements.

| 24

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	3,703,009		$	17,193,576
Dividends		93,646			—

Investment income		3,796,655			17,193,576


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND SWAP AGREEMENTS
Net realized gain (loss) on:
Investments		(929,575	)		6,587,206
Futures contracts		(178,082	)		2,307,111
Swap agreements		(12,050	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		(1,981,497	)		(11,621,705	)
Futures contracts		94,209			(323,519	)
Swap agreements		155,510			—

Net realized and unrealized gain (loss) on investments, futures contracts and swap agreements		(2,851,485	)		(3,050,907	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	945,170		$	14,142,669

See accompanying notes to financial statements.

25 |

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Investment income	$	3,796,655		$	5,611,702		$	17,193,576		$	31,304,527
Net realized gain (loss) on investments, futures contracts and swap agreements		(1,119,707	)		1,281,433			8,894,317			12,737,624
Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap agreements		(1,731,778	)		(9,407,119	)		(11,945,224	)		(8,233,795	)

Net increase (decrease) in net assets resulting from operations		945,170			(2,513,984	)		14,142,669			35,808,356

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(3,988,729	)		(5,404,902	)		(22,356,676	)		(45,553,367	)
Net realized capital gains
Institutional Class		(452,100	)		—			—			—

Total distributions		(4,440,829	)		(5,404,902	)		(22,356,676	)		(45,553,367	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		18,684,771			58,743,789			30,009,862			130,545,963

Net increase in net assets		15,189,112			50,824,903			21,795,855			120,800,952
NET ASSETS
Beginning of the period		120,168,293			69,343,390			945,208,173			824,407,221

End of the period	$	135,357,405		$	120,168,293		$	967,004,028		$	945,208,173

UNDISTRIBUTED NET INVESTMENT INCOME	$	495,777		$	687,851		$	35,497		$	5,198,597

See accompanying notes to financial statements.

| 26

Financial Highlights

For a share outstanding throughout each period.


	High Income Opportunities Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.11		$	10.92		$	10.53		$	10.35		$	9.36		$	9.92

Income (loss) from Investment Operations:
Net investment income(a)		0.28			0.55			0.62			0.67			0.72			0.74
Net realized and unrealized gain (loss)		(0.20	)		(0.81	)		0.43			0.25			1.01			(0.52	)

Total from Investment Operations		0.08			(0.26	)		1.05			0.92			1.73			0.22

Less Distributions From:
Net investment income		(0.30	)		(0.55	)		(0.66	)		(0.74	)		(0.74	)		(0.78	)
Net realized capital gains		(0.03	)		—			—			—			—			—

Total Distributions		(0.33	)		(0.55	)		(0.66	)		(0.74	)		(0.74	)		(0.78	)

Net asset value, end of the period	$	9.86		$	10.11		$	10.92		$	10.53		$	10.35		$	9.36

Total return		1.02	%(b)		(2.61	)%		10.01	%		9.19	%		19.24	%		1.81	%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	135,357		$	120,168		$	69,343		$	78,102		$	74,121		$	61,645
Net expenses(c)		—			—			—			—			—			—
Gross expenses(c)		—			—			—			—			—			—
Net investment income		5.79	%(d)		5.12	%		5.70	%		6.33	%		7.28	%		7.22	%
Portfolio turnover rate		12	%		28	%		41	%		41	%		30	%		33	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(d)

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


	Securitized Asset Fund – Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	10.62		$	10.73		$	10.73		$	11.39		$	11.13		$	10.99

Income (loss) from Investment Operations:
Net investment income(a)		0.19			0.37			0.41			0.41			0.45			0.41
Net realized and unrealized gain (loss)		(0.04	)(b)		0.06			0.14			(0.33	)		0.55			0.19

Total from Investment Operations		0.15			0.43			0.55			0.08			1.00			0.60

Less Distributions From:
Net investment income		(0.25	)		(0.54	)		(0.55	)		(0.62	)		(0.54	)		(0.46	)
Net realized capital gains		—			—			—			(0.12	)		(0.20	)		—

Total Distributions		(0.25	)		(0.54	)		(0.55	)		(0.74	)		(0.74	)		(0.46	)

Net asset value, end of the period	$	10.52		$	10.62		$	10.73		$	10.73		$	11.39		$	11.13

Total return		1.46	%(c)		4.13	%		5.25	%		0.75	%		9.42	%		5.59	%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	967,004		$	945,208		$	824,407		$	689,196		$	713,366		$	685,692
Net expenses(d)		—			—			—			—			—			—
Gross expenses(d)		—			—			—			—			—			—
Net investment income		3.68	%(e)		3.47	%		3.80	%		3.67	%		4.08	%		3.72	%
Portfolio turnover rate		151	%		272	%		260	%		244	%		230	%		253	%

(a)

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

(b)

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.

(c)

Periods less than one year 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.

See accompanying notes to financial statements.

27 |

Notes to Financial Statements

March 31, 2016 (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, L.P. (“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.

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Centrally cleared credit default swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers. Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Funds may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

| 28

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

As of March 31, 2016, securities held by the funds were fair valued as follows:


Fund	Illiquid securities¹		Percentage of Net Assets		Other fair valued securities²		Percentage of Net Assets
High Income Opportunities Fund	$	1,159,013		0.9%	$	435,933		0.3%
Securitized Asset Fund		8,123,642		0.8%		10,244,742		1.1%

¹ Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

² Fair valued by the Fund’s adviser.

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates 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 or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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’ 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. Contracts are traded over-the-counter directly with a counterparty. 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.

No forward foreign currency contracts were held by the Funds during the six months ended March 31, 2016.

29 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value 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 Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. 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.

g. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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 value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

| 30

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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 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, 2016 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.

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 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 and/or non-income producing securities, contingent payment debt instruments, capital gain and return of capital distributions received, convertible bonds and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, premium amortization, return of capital distributions received, defaulted bonds and/or non-income producing securities, contingent payment debt instruments, swap net payable/receivable, convertible bonds and futures contracts mark-to-market. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2015 was as follows:


	2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	5,404,902	$	—	$	5,404,902
Securitized Asset Fund		45,553,367		—		45,553,367

As of September 30, 2015, the capital loss carryforwards were as follows:


Capital loss carryforward:	High Income Opportunities Fund		Securitized Asset Fund
Long-term:
No expiration date	$	—	$	(11,377,584	)

j. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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

31 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

k. Due to/from Brokers. Transactions and positions in certain futures contracts and delayed delivery commitments are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due to brokers balance in the Statement of Assets and Liabilities for Securitized Asset Fund represents cash received as collateral for delayed delivery securities. The due from brokers balance in the Statement of Assets and Liabilities for Securitized Asset Fund represents cash pledged as collateral for delayed delivery securities and as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

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, 2016, neither Fund 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.

•

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.

| 32

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2016, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	3,076,314	$	—		$	3,076,314
Home Construction		—		3,305,662		4	(b)		3,305,666
Independent Energy		—		8,750,744		49,400	(c)		8,800,144
Non-Agency Commercial Mortgage-Backed Securities		—		1,258,391		590,000	(c)		1,848,391
Retailers		—		1,821,003		315,131	(b)		2,136,134
Transportation Services		—		232,841		120,798	(b)		353,639
All Other Non-Convertible Bonds(a)		—		100,841,450		—			100,841,450

Total Non-Convertible Bonds		—		119,286,405		1,075,333			120,361,738

Convertible Bonds(a)		—		6,533,280		—			6,533,280

Total Bonds and Notes		—		125,819,685		1,075,333			126,895,018

Senior Loans(a)		—		146,530		—			146,530
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		15,581		116,654	(c)		132,235
REITs — Mortgage		—		23,246		—			23,246
All Other Convertible Preferred Stocks(a)		1,079,070		—		—			1,079,070

Total Convertible Preferred Stocks		1,079,070		38,827		116,654			1,234,551

Non-Convertible Preferred Stocks(a)		470,789		—		—			470,789

Total Preferred Stocks		1,549,859		38,827		116,654			1,705,340

Common Stocks(a)		10,415		—		—			10,415
Warrants(d)		—		—		—			—
Short-Term Investments		—		4,881,760		—			4,881,760

Total	$	1,560,274	$	130,886,802	$	1,191,987		$	133,639,063

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

(b) Fair valued by the Fund’s adviser.

(d) Fair valued at zero using level 3 inputs.

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Car Loan	$	—	$	119,791,107	$	1,659,976	(a)	$	121,451,083
ABS Credit Card		—		17,792,240		—			17,792,240
ABS Home Equity		—		33,573,515		1,633,307	(b)		35,206,822
ABS Other		—		44,988,089		—			44,988,089
ABS Student Loan		—		22,278,801		—			22,278,801
Agency Commercial Mortgage-Backed Securities		—		36,709,174		—			36,709,174
Collateralized Mortgage Obligations		—		171,892,280		16,460,343	(c)		188,352,623
Hybrid ARMs		—		18,255,630		—			18,255,630
Mortgage Related		—		472,408,994		1,238,913	(d)		473,647,907
Non-Agency Commercial Mortgage-Backed Securities		—		223,974,759		5,373,038	(a)		229,347,797

Total Bonds and Notes		—		1,161,664,589		26,365,577			1,188,030,166

Short-Term Investments		—		73,595,162		—			73,595,162

Total Investments		—		1,235,259,751		26,365,577			1,261,625,328

Futures Contracts (unrealized appreciation)		166,980		—		—			166,980

Total	$	166,980	$	1,235,259,751	$	26,365,577		$	1,261,792,308

33 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(265,458	)	$	—	$	—	$	(265,458	)

(a) Valued using broker-dealer bid prices.

(b) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices ($1,087,699) and fair valued by the Fund’s adviser ($151,214).

The significant unobservable inputs used for those securities fair valued by the adviser and categorized in Level 3 as of March 31, 2016, were as follows:

Description

Valuation Technique(s)

Unobservable Input

Unobservable
Input Value(s)

Value

Bonds and Notes

ABS Home Equity

Market Discount

Discount Rate¹

1.12 – 2.55%

1,633,307

Collateralized Mortgage Obligations

Market Discount

Discount Rate¹

2.00 – 3.00%

8,460,221

Mortgage Related

Market Discount

Discount Rate¹

2.00%

151,214

Total

10,244,742

¹ Securities are valued using a discount to the “round lot” price for the same security. The significant unobservable input used in the fair value measurement is the discount rate. A significant change in the discount rate could have a material effect on the fair value measurement. There is an inverse relationship between the discount rate and the fair value measurement, meaning a significant increase in the discount rate would result in a lower fair value measurement, and vice versa.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or March 31, 2016:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		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, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	241,176	$	—	$	—	$	—		$	—	$	—		$	—	$	(241,176	)	$	—		$	—
Home Construction		—		134		—		(12,150	)		—		—			12,020		—	��		4			(12,150	)
Independent Energy		—		—		—		—			49,400		—			—		—			49,400			—
Non-Agency Commercial Mortgage-Backed Securities		590,000		—		—		—			—		—			—		—			590,000			—
Retailers		307,361		644		—		7,126			—		—			—		—			315,131			7,126
Transportation Services		167,081		—		6,816		(9,824	)		—		(43,275	)		—		—			120,798			(1,493	)
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		—		—		(144,129	)		—		—			260,783		—			116,654			(144,129	)
Warrants		—		—		—		—			—		—			—		—			—	(a)		—

Total	$	1,305,618	$	778	$	6,816	$	(158,977	)	$	49,400	$	(43,275	)	$	272,803	$	(241,176	)	$	1,191,987		$	(150,646	)

(a) Fair valued at zero using level 3 inputs.

A debt security valued at $241,176 was transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At March 31, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $12,020 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the

| 34

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Fund’s valuation policies. At March 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

Preferred stocks valued at $260,783 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.

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, 2015		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, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
ABS Car Loan	$	1,902,944	$	—	$	38		$	414		$	1,514,736	$	(721,692	)	$	866,480	$	(1,902,944	)	$	1,659,976	$	414
ABS Home Equity		1,971,905		—		35,980			(58,852	)		—		(315,726	)		—		—			1,633,307		(8,629	)
ABS Other		10,620,593		—		—			—			—		—			—		(10,620,593	)		—		—
Collateralized Mortgage Obligations		3,673,400		—		(1,834,998	)		(195,102	)		5,653,456		(75,202	)		9,238,789		—			16,460,343		(195,102	)
Mortgage Related		1,477,722		—		(48,035	)		(190,774	)		—		—			—		—			1,238,913		(190,774	)
Non-Agency Commercial Mortgage-Backed Securities		5,376,412		—		—			(3,374	)		—		—			—		—			5,373,038		(3,374	)

Total	$	25,022,976	$	—	$	(1,847,015	)	$	(447,688	)	$	7,168,192	$	(1,112,620	)	$	10,105,269	$	(12,523,537	)	$	26,365,577	$	(397,465	)

A debt security valued at $866,480 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $12,523,537 were transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At March 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Debt securities valued at $9,238,789 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

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

4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include futures contracts and swap agreements.

The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest 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, 2016, High Income Opportunities Fund used futures contracts to manage duration and Securitized Asset Fund used futures contracts to manage duration and to hedge against changes in interest rates.

35 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

High Income Opportunities Fund seeks to achieve high current income. The Fund may use a number of derivative instruments for risk management or as part of their investment strategies. During the six months ended March 31, 2016, the Fund used credit default swap agreements (as a protection seller) to gain investment exposure in accordance with its objective.

Transactions in derivative instruments for High Income Opportunities Fund during the six months ended March 31, 2016 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Swap agreements
Interest rate contracts	$	(178,082	)	$	—
Credit contracts		—			(12,050	)

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Swap agreements
Interest rate contracts	$	94,209		$	—
Credit contracts		—			155,510

The following is a summary of derivative instruments for Securitized Asset Fund as of March 31, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded/cleared asset derivatives Interest rate contracts	$	166,980

Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives Interest rate contracts	$	(265,458	)

Transactions in derivative instruments for Securitized Asset Fund during the six months ended March 31, 2016 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	2,307,111

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts		$(323,519)

The volume of futures contract and swap agreement activity, as a percentage of net assets, 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, 2016:


High Income Opportunities Fund	Futures		Credit Default Swaps
Average Notional Amount Outstanding		3.67%		3.76%
Highest Notional Amount Outstanding		6.80%		5.17%
Lowest Notional Amount Outstanding		0.00%		0.00%
Notional Amount Outstanding as of March 31, 2016		0.00%		0.00%

Securitized Asset Fund	Futures
Average Notional Amount Outstanding		17.65%
Highest Notional Amount Outstanding		20.88%
Lowest Notional Amount Outstanding		15.91%
Notional Amount Outstanding as of March 31, 2016		20.31%

| 36

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Notional amounts outstanding at the end of the prior period, if applicable, are included in the averages above.

Unrealized gain and/or loss on open futures and swap contracts is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures and swap contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.


Fund	Maximum Amount of Loss - Gross
Securitized Asset Fund	$	1,031,113

5. Purchases and Sales of Securities. For the six months ended March 31, 2016, 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	$	—	$	—	$	40,256,262	$	13,834,200
Securitized Asset Fund		1,711,847,342		1,706,332,980		73,460,700		58,240,492

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 and all other expenses incurred.

Loomis Sayles serves as investment adviser to each Fund. Under the terms of each management agreement, Loomis Sayles does not charge the Funds an investment advisory fee, also known as a management fee, or any other fee for those services or for bearing those expenses. Although the Funds do not compensate Loomis Sayles directly for services under the advisory agreement, Loomis Sayles will typically receive an advisory fee from the sponsors of “wrap programs,” who in turn charge the programs’ participants.

b. Service and Distribution Fees. NGAM Distribution, L.P. (“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.

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. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to NGAM Advisors for services to the Funds.

37 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank and Trust. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% 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.

For the six months ended March 31, 2016, neither Fund had borrowings under this agreement.

8. Concentration of Risk. Securitized Asset Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such 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 were as follows:


Fund	Number of 5% Account Holders	Percentage of Ownership
High Income Opportunities Fund	2	17.05%

| 38

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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


	High Income Opportunities Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,714,063		$	27,188,035			6,505,450		$	69,135,896
Issued in connection with the reinvestment of distributions		233,092			2,280,682			289,937			3,110,225
Redeemed		(1,106,712	)		(10,783,946	)		(1,254,258	)		(13,502,332	)

Increase (decrease) from capital share transactions		1,840,443		$	18,684,771			5,541,129		$	58,743,789


	Securitized Asset Fund

	Six Months Ended March 31, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		13,276,335		$	139,218,996			29,900,131		$	320,342,338
Issued in connection with the reinvestment of distributions		305,711			3,204,455			527,702			5,634,046
Redeemed		(10,708,882	)		(112,413,589	)		(18,242,201	)		(195,430,421	)

Increase (decrease) from capital share transactions		2,873,164		$	30,009,862			12,185,632		$	130,545,963

39 |

LOGO

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Semiannual Report

March 31, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			7
Financial Statements			26
Notes to Financial Statements			38

LOOMIS SAYLES SMALL CAP GROWTH FUND


Managers	Symbols
Mark F. Burns, CFA^®	Institutional Class	LSSIX
John J. Slavik, CFA^®	Retail Class	LCGRX
	Class N	LSSNX

Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years			Life of Class N

Institutional Class (Inception 12/31/96)		-1.52	%		-9.47	%		7.83	%		7.56	%		—	%
Retail Class (Inception 12/31/96)		-1.67			-9.69			7.53			7.29			—
Class N (Inception 2/1/13)		-1.42			-9.32			—			—			9.81

Comparative Performance
Russell 2000^® Growth Index¹		-0.57			-11.84			7.70			6.00			9.24

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 forecasted growth values.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

1 |

LOOMIS SAYLES SMALL CAP VALUE FUND


Managers	Symbols
Joseph R. Gatz, CFA^®	Institutional Class	LSSCX
Jeffrey Schwartz, CFA^®	Retail Class	LSCRX
	Admin Class	LSVAX
	Class N	LSCNX

Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Average Annual Total Returns — March 31, 2016³



	6 months			1 year			5 years			10 years			Life of Class N

Institutional Class (Inception 5/13/91)		6.59	%		-4.95	%		8.60	%		6.88	%		—	%
Retail Class (Inception 12/31/96)		6.44			-5.19			8.32			6.61			—
Admin Class (Inception 1/2/98)		6.34			-5.42			8.06			6.34			—
Class N (Inception 2/1/13)		6.61			-4.90			—			—			9.67

Comparative Performance
Russell 2000^® Value Index¹		4.63			-7.72			6.67			4.42			6.85
Russell 2000^® Index²		2.02			-9.76			7.20			5.26			8.06

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.

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

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

| 2

LOOMIS SAYLES SMALL/MID CAP GROWTH FUND


Managers	Symbols
Mark F. Burns, CFA^®	Institutional Class	LSMIX
John J. Slavik, CFA^®

Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Total Returns — March 31, 2016²



	6 months			Life of Fund

Institutional Class (Inception 6/30/15)		0.22	%		-9.30	%

Comparative Performance
Russell 2500^TM Growth Index¹		1.05			-10.12

Russell 2500^TM Growth Index is an unmanaged index that measures the performance of the small-to-mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500^TM companies with higher price-to-book ratios and higher forecasted growth values.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

3 |

ADDITIONAL INFORMATION

Additional Index Information

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website, at www.loomissayles.com, and 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 months ended June 30, 2015 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

UNDERSTANDING YOUR FUND’S EXPENSES

As a mutual fund shareholder you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectus. The following examples 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, 2015 through March 31, 2016. 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.

| 4

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 to 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 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$984.80		$4.71
Hypothetical (5% return before expenses)		$1,000.00		$1,020.25		$4.80

Retail Class
Actual		$1,000.00		$983.30		$5.95
Hypothetical (5% return before expenses)		$1,000.00		$1,019.00		$6.06

Class N
Actual		$1,000.00		$985.80		$4.07
Hypothetical (5% return before expenses)		$1,000.00		$1,020.90		$4.14
* Expenses are equal to the Fund’s annualized expense ratio: 0.95%, 1.20% and 0.82% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

5 |

Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,065.90		$4.65
Hypothetical (5% return before expenses)		$1,000.00		$1,020.50		$4.55

Retail Class
Actual		$1,000.00		$1,064.40		$5.94
Hypothetical (5% return before expenses)		$1,000.00		$1,019.25		$5.81

Admin Class
Actual		$1,000.00		$1,063.40		$7.17
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$7.01

Class N
Actual		$1,000.00		$1,066.10		$4.29
Hypothetical (5% return before expenses)		$1,000.00		$1,020.85		$4.19
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.39% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 –3/31/2016
Actual		$1,000.00		$1,002.20		$4.25
Hypothetical (5% return before expenses)		$1,000.00		$1,020.75		$4.29
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

| 6

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 97.5% of Net Assets

		Aerospace & Defense – 1.1%
	278,204	Hexcel Corp.	$	12,160,297

		Auto Components – 1.0%
	254,863	Gentherm, Inc.(b)		10,599,752

		Banks – 4.6%
	249,969	Bank of the Ozarks, Inc.		10,491,199
	227,185	Pinnacle Financial Partners, Inc.		11,145,696
	308,461	PrivateBancorp, Inc.		11,906,595
	168,096	Renasant Corp.		5,532,039
	643,368	Talmer Bancorp, Inc., Class A		11,638,527

				50,714,056

		Biotechnology – 4.3%
	447,878	Emergent Biosolutions, Inc.(b)		16,280,365
	348,318	Genomic Health, Inc.(b)		8,627,837
	837,865	Ironwood Pharmaceuticals, Inc.(b)		9,166,243
	610,553	Lexicon Pharmaceuticals, Inc.(b)		7,296,108
	131,050	Ophthotech Corp.(b)		5,539,484

				46,910,037

		Building Products – 2.3%
	258,773	Apogee Enterprises, Inc.		11,357,547
	282,088	Trex Co., Inc.(b)		13,520,478

				24,878,025

		Capital Markets – 2.5%
	315,418	Artisan Partners Asset Management, Inc.		9,727,491
	272,628	Financial Engines, Inc.		8,568,698
	350,832	HFF, Inc., Class A		9,658,405

				27,954,594

		Commercial Services & Supplies – 1.5%
	459,731	Healthcare Services Group, Inc.		16,922,698

		Communications Equipment – 0.6%
	317,502	Ciena Corp.(b)		6,038,888

		Construction & Engineering – 2.4%
	321,339	Granite Construction, Inc.		15,360,004
	452,824	Primoris Services Corp.		11,003,623

				26,363,627

		Distributors – 1.5%
	185,248	Pool Corp.		16,253,660

		Diversified Consumer Services – 3.3%
	265,782	Bright Horizons Family Solutions, Inc.(b)		17,217,358
	188,442	Grand Canyon Education, Inc.(b)		8,054,011

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Consumer Services – continued
	522,467	Nord Anglia Education, Inc.(b)	$	10,914,336

				36,185,705

		Diversified Financial Services – 1.6%
	140,602	MarketAxess Holdings, Inc.		17,551,348

		Diversified Telecommunication Services – 1.2%
	335,495	Cogent Communications Holdings, Inc.		13,094,370

		Electrical Equipment – 0.5%
	144,395	Generac Holdings, Inc.(b)		5,377,270

		Electronic Equipment, Instruments & Components – 2.7%
	174,924	FEI Co.		15,569,985
	141,511	IPG Photonics Corp.(b)		13,596,377

				29,166,362

		Energy Equipment & Services – 0.8%
	153,443	Dril-Quip, Inc.(b)		9,292,508

		Food Products – 1.0%
	95,256	Amplify Snack Brands, Inc.(b)		1,364,066
	289,969	Snyder’s-Lance, Inc.		9,128,224

				10,492,290

		Health Care Equipment & Supplies – 7.8%
	384,091	Cynosure, Inc., Class A(b)		16,946,095
	382,187	Globus Medical, Inc.(b)		9,076,941
	239,586	Inogen, Inc.(b)		10,776,579
	358,080	Insulet Corp.(b)		11,873,933
	191,795	Integra LifeSciences Holdings Corp.(b)		12,919,311
	317,477	Natus Medical, Inc.(b)		12,200,641
	227,697	Neogen Corp.(b)		11,464,544

				85,258,044

		Health Care Providers & Services – 5.6%
	205,123	Acadia Healthcare Co., Inc.(b)		11,304,328
	382,753	Aceto Corp.		9,017,661
	380,490	AMN Healthcare Services, Inc.(b)		12,788,269
	149,920	Amsurg Corp.(b)		11,184,032
	530,112	Ensign Group, Inc. (The)		12,001,736
	392,682	Surgery Partners, Inc.(b)		5,206,963

				61,502,989

		Health Care Technology – 1.9%
	277,347	Medidata Solutions, Inc.(b)		10,736,102
	335,024	Press Ganey Holdings, Inc.(b)		10,077,522

				20,813,624

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – 6.3%
	374,616	Chuy’s Holdings, Inc.(b)	$	11,639,319
	251,079	Diamond Resorts International, Inc.(b)		6,101,220
	211,476	Popeyes Louisiana Kitchen, Inc.(b)		11,009,441
	364,132	Texas Roadhouse, Inc.		15,868,872
	99,383	Vail Resorts, Inc.		13,287,507
	280,795	Zoe’s Kitchen, Inc.(b)		10,948,197

				68,854,556

		Household Durables – 0.6%
	112,445	Universal Electronics, Inc.(b)		6,970,466

		Internet & Catalog Retail – 0.7%
	189,743	Wayfair, Inc., Class A(b)		8,200,692

		Internet Software & Services – 3.6%
	315,347	Criteo S.A., Sponsored ADR(b)		13,061,673
	129,724	LogMeIn, Inc.(b)		6,545,873
	429,633	Q2 Holdings, Inc.(b)		10,328,377
	467,920	Wix.com Ltd.(b)		9,484,738

				39,420,661

		IT Services – 5.7%
	307,184	Blackhawk Network Holdings, Inc.(b)		10,536,411
	165,801	EPAM Systems, Inc.(b)		12,380,361
	210,294	Euronet Worldwide, Inc.(b)		15,584,888
	389,785	InterXion Holding NV(b)		13,478,765
	669,406	Square, Inc.(b)		10,228,524

				62,208,949

		Leisure Products – 1.3%
	282,033	Vista Outdoor, Inc.(b)		14,640,333

		Life Sciences Tools & Services – 2.0%
	235,531	Cambrex Corp.(b)		10,363,364
	289,415	INC Research Holdings, Inc., Class A(b)		11,926,792

				22,290,156

		Machinery – 4.2%
	178,906	Astec Industries, Inc.		8,349,543
	103,877	Middleby Corp. (The)(b)		11,090,947
	227,862	Proto Labs, Inc.(b)		17,565,882
	125,269	RBC Bearings, Inc.(b)		9,177,207

				46,183,579

		Media – 0.8%
	293,581	IMAX Corp.(b)		9,127,433

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Oil, Gas & Consumable Fuels – 2.0%
	150,427	Diamondback Energy, Inc.(b)	$	11,609,956
	170,712	PDC Energy, Inc.(b)		10,148,828

				21,758,784

		Pharmaceuticals – 0.9%
	303,958	Impax Laboratories, Inc.(b)		9,732,735

		Professional Services – 1.0%
	221,308	WageWorks, Inc.(b)		11,200,398

		Semiconductors & Semiconductor Equipment – 6.7%
	178,070	Cavium, Inc.(b)		10,890,761
	442,419	Inphi Corp.(b)		14,750,249
	862,211	Intersil Corp.		11,527,761
	327,702	MKS Instruments, Inc.		12,337,980
	209,293	Monolithic Power Systems, Inc.		13,319,407
	246,961	Silicon Laboratories, Inc.(b)		11,103,367

				73,929,525

		Software – 6.6%
	181,116	Blackbaud, Inc.		11,390,385
	569,982	Callidus Software, Inc.(b)		9,507,300
	262,062	FleetMatics Group PLC(b)		10,668,544
	310,761	Guidewire Software, Inc.(b)		16,930,259
	332,449	RingCentral, Inc., Class A(b)		5,236,072
	96,615	Ultimate Software Group, Inc. (The)(b)		18,695,003

				72,427,563

		Specialty Retail – 3.0%
	162,134	Asbury Automotive Group, Inc.(b)		9,702,098
	243,154	Monro Muffler Brake, Inc.		17,378,216
	414,116	Tile Shop Holdings, Inc.(b)		6,174,470

				33,254,784

		Textiles, Apparel & Luxury Goods – 2.5%
	143,058	Columbia Sportswear Co.		8,596,355
	112,996	Oxford Industries, Inc.		7,596,721
	314,216	Steven Madden Ltd.(b)		11,638,561

				27,831,637

		Thrifts & Mortgage Finance – 0.9%
	460,487	Essent Group Ltd.(b)		9,578,130

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Trading Companies & Distributors – 0.5%
	130,953	Beacon Roofing Supply, Inc.(b)	$	5,370,383


		Total Common Stocks (Identified Cost $927,808,598)		1,070,510,908


	Principal Amount

	Short-Term Investments – 2.6%
$	28,249,289	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $28,249,313 on 4/01/2016 collateralized by $28,355,000 U.S. Treasury Note, 1.75% due 3/31/2022 valued at $28,815,769 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $28,249,289)		28,249,289

		Total Investments – 100.1% (Identified Cost $956,057,887)(a)		1,098,760,197
		Other assets less liabilities—(0.1)%		(892,944	)

		Net Assets – 100.0%	$	1,097,867,253


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2016, the net unrealized appreciation on investments based on a cost of $956,057,887 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	$	184,487,298
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(41,784,988	)

		Net unrealized appreciation	$	142,702,310

	(b)	Non-income producing security.

	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.

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

Industry Summary at March 31, 2016 (Unaudited)


Health Care Equipment & Supplies	7.8	%
Semiconductors & Semiconductor Equipment	6.7
Software	6.6
Hotels, Restaurants & Leisure	6.3
IT Services	5.7
Health Care Providers & Services	5.6
Banks	4.6
Biotechnology	4.3
Machinery	4.2
Internet Software & Services	3.6
Diversified Consumer Services	3.3
Specialty Retail	3.0
Electronic Equipment, Instruments & Components	2.7
Capital Markets	2.5
Textiles, Apparel & Luxury Goods	2.5
Construction & Engineering	2.4
Building Products	2.3
Life Sciences Tools & Services	2.0
Oil, Gas & Consumable Fuels	2.0
Other Investments, less than 2% each	19.4
Short-Term Investments	2.6

Total Investments	100.1
Other assets less liabilities	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)

	Common Stocks – 98.1% of Net Assets

		Aerospace & Defense – 1.8%
	153,262	Aerojet Rocketdyne Holdings, Inc.(b)	$	2,510,432
	287,222	BWX Technologies, Inc.		9,639,170
	375,876	DigitalGlobe, Inc.(b)		6,502,655

				18,652,257

		Auto Components – 1.3%
	401,308	Fox Factory Holding Corp.(b)		6,344,679
	195,841	Horizon Global Corp.(b)		2,463,680
	93,384	Tenneco, Inc.(b)		4,810,210

				13,618,569

		Banks – 15.6%
	442,810	BancorpSouth, Inc.		9,436,281
	271,748	Bryn Mawr Bank Corp.		6,992,076
	474,290	Cathay General Bancorp		13,436,636
	560,734	CVB Financial Corp.		9,784,808
	569,745	First Financial Bancorp		10,357,964
	265,484	First Financial Bankshares, Inc.		7,853,017
	216,203	Home BancShares, Inc.		8,853,513
	182,679	IBERIABANK Corp.		9,365,952
	176,840	LegacyTexas Financial Group, Inc.		3,474,906
	260,649	PacWest Bancorp		9,683,110
	186,760	Pinnacle Financial Partners, Inc.		9,162,445
	299,752	Popular, Inc.		8,575,905
	234,817	Prosperity Bancshares, Inc.		10,893,161
	104,933	Signature Bank(b)		14,283,480
	633,098	Talmer Bancorp, Inc., Class A		11,452,743
	129,831	Texas Capital Bancshares, Inc.(b)		4,982,914
	139,009	Triumph Bancorp, Inc.(b)		2,200,512
	238,400	Wintrust Financial Corp.		10,570,656

				161,360,079

		Beverages – 1.1%
	813,319	Cott Corp.		11,297,001

		Building Products – 2.0%
	161,754	Armstrong World Industries, Inc.(b)		7,824,041
	117,224	Masonite International Corp.(b)		7,678,172
	108,312	Patrick Industries, Inc.(b)		4,916,282

				20,418,495

		Capital Markets – 0.6%
	228,175	Stifel Financial Corp.(b)		6,753,980

		Chemicals – 1.4%
	126,292	Cabot Corp.		6,103,692

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Chemicals – continued
	143,561	Minerals Technologies, Inc.	$	8,161,443

				14,265,135

		Commercial Services & Supplies – 3.7%
	53,955	Clean Harbors, Inc.(b)		2,662,140
	315,742	KAR Auction Services, Inc.		12,042,400
	310,098	Kimball International, Inc.		3,519,612
	282,653	Knoll, Inc.		6,119,438
	235,590	Viad Corp.		6,869,804
	305,955	West Corp.		6,981,893

				38,195,287

		Communications Equipment – 1.2%
	255,856	Arris International PLC(b)		5,864,219
	400,785	Calix, Inc.(b)		2,841,566
	361,458	Digi International, Inc.(b)		3,408,549

				12,114,334

		Construction & Engineering – 1.0%
	111,579	Argan, Inc.		3,923,118
	275,303	MYR Group, Inc.(b)		6,912,858

				10,835,976

		Construction Materials – 0.7%
	233,274	Summit Materials, Inc., Class A(b)		4,537,179
	50,571	U.S. Concrete, Inc.(b)		3,013,020

				7,550,199

		Consumer Finance – 0.2%
	12,965	Credit Acceptance Corp.(b)		2,353,796

		Distributors – 0.8%
	106,431	Core-Mark Holding Co., Inc.		8,680,512

		Diversified Consumer Services – 0.6%
	292,089	Houghton Mifflin Harcourt Co.(b)		5,824,255

		Diversified Financial Services – 1.2%
	607,191	FNFV Group(b)		6,588,022
	46,071	MarketAxess Holdings, Inc.		5,751,043

				12,339,065

		Electric Utilities – 1.1%
	211,336	ALLETE, Inc.		11,849,610

		Electrical Equipment – 1.4%
	47,827	AZZ, Inc.		2,707,008
	371,337	Babcock & Wilcox Enterprises, Inc.(b)		7,946,612

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Electrical Equipment – continued
	64,749	EnerSys	$	3,607,814

				14,261,434

		Electronic Equipment, Instruments & Components – 5.1%
	149,198	Belden, Inc.		9,157,773
	130,307	Littelfuse, Inc.		16,042,095
	200,908	Methode Electronics, Inc.		5,874,550
	150,219	Rogers Corp.(b)		8,993,612
	153,848	VeriFone Systems, Inc.(b)		4,344,667
	328,817	Vishay Intertechnology, Inc.		4,014,856
	68,665	Zebra Technologies Corp., Class A(b)		4,737,885

				53,165,438

		Energy Equipment & Services – 1.6%
	158,279	Bristow Group, Inc.		2,994,639
	211,268	Natural Gas Services Group, Inc.(b)		4,569,727
	343,132	RPC, Inc.		4,865,612
	190,177	U.S. Silica Holdings, Inc.		4,320,821

				16,750,799

		Food & Staples Retailing – 0.8%
	290,761	SpartanNash Co.		8,812,966

		Food Products – 2.2%
	330,861	Darling Ingredients, Inc.(b)		4,357,439
	28,478	J&J Snack Foods Corp.		3,083,598
	218,763	Post Holdings, Inc.(b)		15,044,332

				22,485,369

		Health Care Equipment & Supplies – 2.3%
	133,448	Cynosure, Inc., Class A(b)		5,887,726
	221,646	Halyard Health, Inc.(b)		6,367,890
	170,898	SurModics, Inc.(b)		3,146,232
	50,910	Teleflex, Inc.		7,993,379

				23,395,227

		Health Care Providers & Services – 1.2%
	228,734	PharMerica Corp.(b)		5,057,308
	79,781	WellCare Health Plans, Inc.(b)		7,399,688

				12,456,996

		Hotels, Restaurants & Leisure – 5.3%
	309,088	Carrols Restaurant Group, Inc.(b)		4,463,231
	80,236	Churchill Downs, Inc.		11,865,300
	26,119	Cracker Barrel Old Country Store, Inc.		3,987,588
	171,951	Del Frisco’s Restaurant Group, Inc.(b)		2,850,948
	205,876	Diamond Resorts International, Inc.(b)		5,002,787

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	150,372	J. Alexander’s Holdings, Inc.(b)	$	1,587,928
	279,016	Krispy Kreme Doughnuts, Inc.(b)		4,349,859
	137,191	Marriott Vacations Worldwide Corp.		9,260,392
	206,806	Six Flags Entertainment Corp.		11,475,665

				54,843,698

		Household Durables – 1.4%
	69,113	Helen of Troy Ltd.(b)		7,166,327
	85,077	Jarden Corp.(b)		5,015,289
	98,381	Libbey, Inc.		1,829,887

				14,011,503

		Household Products – 0.4%
	267,854	HRG Group, Inc.(b)		3,731,206

		Industrial Conglomerates – 0.5%
	335,352	Raven Industries, Inc.		5,372,339

		Insurance – 3.2%
	131,575	Atlas Financial Holdings, Inc.(b)		2,386,770
	390,842	Employers Holdings, Inc.		10,998,294
	181,171	ProAssurance Corp.		9,167,253
	111,529	Reinsurance Group of America, Inc., Class A		10,734,666

				33,286,983

		Internet & Catalog Retail – 1.4%
	457,502	1-800-Flowers.com, Inc., Class A(b)		3,605,116
	123,622	HSN, Inc.		6,466,667
	111,426	Liberty Ventures, Series A(b)		4,358,985

				14,430,768

		IT Services – 5.6%
	321,390	Booz Allen Hamilton Holding Corp.		9,731,689
	185,898	Convergys Corp.		5,162,388
	137,365	CSG Systems International, Inc.		6,203,403
	95,086	DST Systems, Inc.		10,722,848
	144,019	Euronet Worldwide, Inc.(b)		10,673,248
	340,631	Perficient, Inc.(b)		7,398,505
	99,318	WEX, Inc.(b)		8,279,149

				58,171,230

		Life Sciences Tools & Services – 0.9%
	36,277	Albany Molecular Research, Inc.(b)		554,675
	324,561	VWR Corp.(b)		8,782,621

				9,337,296

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Machinery – 4.0%
	76,178	Alamo Group, Inc.	$	4,243,876
	179,753	Albany International Corp., Class A		6,756,915
	103,218	Altra Industrial Motion Corp.		2,867,396
	229,958	John Bean Technologies Corp.		12,971,931
	143,818	RBC Bearings, Inc.(b)		10,536,107
	233,633	TriMas Corp.(b)		4,093,250

				41,469,475

		Marine – 0.4%
	60,590	Kirby Corp.(b)		3,652,971

		Media – 3.2%
	74,384	Carmike Cinemas, Inc.(b)		2,234,495
	439,086	E.W. Scripps Co. (The), Class A		6,845,351
	140,806	John Wiley & Sons, Inc., Class A		6,884,005
	549,516	National CineMedia, Inc.		8,358,139
	559,058	New Media Investment Group, Inc.		9,302,725

				33,624,715

		Metals & Mining – 1.0%
	409,683	Ferroglobe PLC		3,609,307
	172,244	Haynes International, Inc.		6,286,906

				9,896,213

		Multi-Utilities – 1.1%
	190,397	NorthWestern Corp.		11,757,015

		Multiline Retail – 0.4%
	288,924	Fred’s, Inc., Class A		4,307,857

		Oil, Gas & Consumable Fuels – 1.3%
	245,516	Delek U.S. Holdings, Inc.		3,741,664
	295,474	QEP Resources, Inc.		4,169,138
	663,189	Synergy Resources Corp.(b)		5,152,979

				13,063,781

		Pharmaceuticals – 0.8%
	304,594	Catalent, Inc.(b)		8,123,522

		Professional Services – 1.2%
	145,553	FTI Consulting, Inc.(b)		5,168,587
	98,135	Insperity, Inc.		5,076,524
	183,727	RPX Corp.(b)		2,068,766

				12,313,877

		REITs – Apartments – 2.1%
	209,828	American Campus Communities, Inc.		9,880,800

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		REITs – Apartments – continued
	120,670	Mid-America Apartment Communities, Inc.	$	12,333,681

				22,214,481

		REITs – Health Care – 0.7%
	127,521	Omega Healthcare Investors, Inc.		4,501,491
	112,953	Sabra Healthcare REIT, Inc.		2,269,226

				6,770,717

		REITs – Hotels – 0.6%
	298,295	Hersha Hospitality Trust		6,365,615

		REITs – Shopping Centers – 1.4%
	724,312	Retail Opportunity Investments Corp.		14,573,157

		REITs – Single Tenant – 0.7%
	167,884	National Retail Properties, Inc.		7,756,241

		REITs – Storage – 2.2%
	369,795	CubeSmart		12,314,173
	93,267	Sovran Self Storage, Inc.		11,000,843

				23,315,016

		Road & Rail – 1.7%
	110,195	Avis Budget Group, Inc.(b)		3,014,935
	99,284	Genesee & Wyoming, Inc., Class A(b)		6,225,107
	114,466	Old Dominion Freight Line, Inc.(b)		7,969,123

				17,209,165

		Semiconductors & Semiconductor Equipment – 2.4%
	228,378	Advanced Energy Industries, Inc.(b)		7,945,270
	246,237	Diodes, Inc.(b)		4,949,364
	173,703	Semtech Corp.(b)		3,819,729
	386,510	Teradyne, Inc.		8,344,751

				25,059,114

		Software – 1.2%
	230,647	Synchronoss Technologies, Inc.(b)		7,459,124
	153,981	Verint Systems, Inc.(b)		5,139,886

				12,599,010

		Specialty Retail – 2.5%
	406,364	Barnes & Noble, Inc.		5,022,659
	152,955	Genesco, Inc.(b)		11,050,998
	178,606	MarineMax, Inc.(b)		3,477,459
	202,581	Sally Beauty Holdings, Inc.(b)		6,559,573

				26,110,689

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Thrifts & Mortgage Finance – 0.5%
	138,484	Federal Agricultural Mortgage Corp., Class C	$	5,225,001

		Trading Companies & Distributors – 0.5%
	276,178	H&E Equipment Services, Inc.		4,841,400

		Transportation Infrastructure – 0.6%
	87,631	Macquarie Infrastructure Corp.		5,909,835


		Total Common Stocks (Identified Cost $745,281,408)		1,016,780,669


	Closed-End Investment Companies – 0.6%
	486,012	Hercules Capital, Inc. (Identified Cost $6,305,501)		5,837,004


	Principal Amount

	Short-Term Investments – 0.8%
$	8,729,146	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $8,729,153 on 4/01/2016 collateralized by $8,765,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $8,907,431 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $8,729,146)		8,729,146


		Total Investments – 99.5% (Identified Cost $760,316,055)(a)		1,031,346,819
		Other assets less liabilities—0.5%		4,947,853

		Net Assets – 100.0%	$	1,036,294,672


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2016, the net unrealized appreciation on investments based on a cost of $760,316,055 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	$	313,277,205
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(42,246,441	)

		Net unrealized appreciation	$	271,030,764

	(b)	Non-income producing security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at March 31, 2016 (Unaudited)


Banks	15.6	%
IT Services	5.6
Hotels, Restaurants & Leisure	5.3
Electronic Equipment, Instruments & Components	5.1
Machinery	4.0
Commercial Services & Supplies	3.7
Media	3.2
Insurance	3.2
Specialty Retail	2.5
Semiconductors & Semiconductor Equipment	2.4
Health Care Equipment & Supplies	2.3
REITs—Storage	2.2
Food Products	2.2
REITs—Apartments	2.1
Building Products	2.0
Other Investments, less than 2% each	37.3
Short-Term Investments	0.8

Total Investments	99.5
Other assets less liabilities	0.5

Net Assets	100.0	%

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.3% of Net Assets

		Aerospace & Defense – 3.4%
	1,440	Astronics Corp.(b)	$	54,936
	3,243	Hexcel Corp.		141,751
	773	TransDigm Group, Inc.(b)		170,323

				367,010

		Airlines – 0.8%
	521	Allegiant Travel Co.		92,769

		Auto Components – 1.5%
	2,551	Drew Industries, Inc.		164,437

		Banks – 4.5%
	2,555	Columbia Banking System, Inc.		76,446
	2,202	First Republic Bank		146,741
	957	Signature Bank(b)		130,267
	4,042	Western Alliance Bancorp(b)		134,922

				488,376

		Biotechnology – 0.9%
	8,832	Ironwood Pharmaceuticals, Inc.(b)		96,622

		Capital Markets – 2.3%
	666	Affiliated Managers Group, Inc.(b)		108,158
	3,280	SEI Investments Co.		141,204

				249,362

		Commercial Services & Supplies – 3.4%
	5,847	Healthcare Services Group, Inc.		215,228
	5,711	Ritchie Bros. Auctioneers, Inc.		154,654

				369,882

		Diversified Consumer Services – 4.0%
	2,416	Bright Horizons Family Solutions, Inc.(b)		156,508
	2,523	Grand Canyon Education, Inc.(b)		107,833
	8,502	Nord Anglia Education, Inc.(b)		177,607

				441,948

		Diversified Financial Services – 4.0%
	2,210	CBOE Holdings, Inc.		144,379
	1,626	MarketAxess Holdings, Inc.		202,974
	1,144	MSCI, Inc.		84,747

				432,100

		Diversified Telecommunication Services – 1.6%
	4,518	Cogent Communications Holdings, Inc.		176,338

		Electrical Equipment – 3.5%
	760	Acuity Brands, Inc.		165,787

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Electrical Equipment – continued
	3,288	Generac Holdings, Inc.(b)	$	122,445
	2,404	Sensata Technologies Holding NV(b)		93,371

				381,603

		Electronic Equipment, Instruments & Components – 3.8%
	2,000	FEI Co.		178,020
	5,284	National Instruments Corp.		159,101
	3,237	Trimble Navigation Ltd.(b)		80,278

				417,399

		Energy Equipment & Services – 1.6%
	1,744	Dril-Quip, Inc.(b)		105,616
	2,170	Oceaneering International, Inc.		72,131

				177,747

		Food & Staples Retailing – 1.5%
	1,469	Casey’s General Stores, Inc.		166,467

		Health Care Equipment & Supplies – 6.9%
	2,409	Align Technology, Inc.(b)		175,110
	2,967	Cantel Medical Corp.		211,725
	1,670	DexCom, Inc.(b)		113,410
	1,180	STERIS PLC		83,839
	2,361	West Pharmaceutical Services, Inc.		163,665

				747,749

		Health Care Providers & Services – 6.2%
	1,434	Adeptus Health, Inc., Class A(b)		79,644
	1,960	MEDNAX, Inc.(b)		126,655
	2,462	Surgical Care Affiliates, Inc.(b)		113,941
	2,905	VCA, Inc.(b)		167,590
	1,974	WellCare Health Plans, Inc.(b)		183,089

				670,919

		Health Care Technology – 2.1%
	873	athenahealth, Inc.(b)		121,155
	5,048	HealthStream, Inc.(b)		111,510

				232,665

		Hotels, Restaurants & Leisure – 8.4%
	1,835	BJ’s Restaurants, Inc.(b)		76,281
	3,471	Dave & Buster’s Entertainment, Inc.(b)		134,605
	3,420	Dunkin’ Brands Group, Inc.		161,322
	797	Panera Bread Co., Class A(b)		163,250
	4,933	Texas Roadhouse, Inc.		214,980
	1,226	Vail Resorts, Inc.		163,916

				914,354

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Internet Software & Services – 3.5%
	849	CoStar Group, Inc.(b)	$	159,756
	1,340	j2 Global, Inc.		82,517
	1,312	Stamps.com, Inc.(b)		139,440

				381,713

		IT Services – 6.1%
	4,113	Booz Allen Hamilton Holding Corp.		124,542
	1,388	Broadridge Financial Solutions, Inc.		82,322
	2,837	ExlService Holdings, Inc.(b)		146,957
	2,057	Gartner, Inc.(b)		183,793
	8,484	Square, Inc.(b)		129,635

				667,249

		Leisure Products – 2.3%
	2,939	Brunswick Corp.		141,013
	2,069	Vista Outdoor, Inc.(b)		107,402

				248,415

		Life Sciences Tools & Services – 1.6%
	2,289	ICON PLC(b)		171,904

		Machinery – 3.4%
	1,298	Middleby Corp. (The)(b)		138,587
	3,665	Sun Hydraulics Corp.		121,641
	1,246	Toro Co. (The)		107,306

				367,534

		Media – 2.1%
	1,715	AMC Networks, Inc., Class A(b)		111,372
	3,924	IMAX Corp.(b)		121,997

				233,369

		Oil, Gas & Consumable Fuels – 2.3%
	1,485	Diamondback Energy, Inc.(b)		114,613
	5,997	Parsley Energy, Inc., Class A(b)		135,532

				250,145

		Pharmaceuticals – 1.1%
	892	Jazz Pharmaceuticals PLC(b)		116,451

		Semiconductors & Semiconductor Equipment – 3.7%
	3,606	Advanced Energy Industries, Inc.(b)		125,453
	3,465	M/A-COM Technology Solutions Holdings, Inc.(b)		151,732
	2,733	Silicon Laboratories, Inc.(b)		122,876

				400,061

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Software – 6.5%
	2,854	Blackbaud, Inc.	$	179,488
	4,224	Callidus Software, Inc.(b)		70,456
	3,204	Guidewire Software, Inc.(b)		174,554
	2,689	Paylocity Holding Corp.(b)		88,038
	989	Ultimate Software Group, Inc. (The)(b)		191,372

				703,908

		Specialty Retail – 0.9%
	2,721	Penske Automotive Group, Inc.		103,126

		Textiles, Apparel & Luxury Goods – 2.4%
	1,457	Carter’s, Inc.		153,539
	1,871	Columbia Sportswear Co.		112,428

				265,967


		Total Common Stocks (Identified Cost $10,329,712)		10,497,589


	Principal Amount

	Short-Term Investments – 3.0%
$	330,955	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $330,955 on 4/01/2016 collateralized by $335,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $340,444 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $330,955)		330,955

		Total Investments – 99.3% (Identified Cost $10,660,667)(a)		10,828,544
		Other assets less liabilities—0.7%		73,773

		Net Assets – 100.0%	$	10,902,317


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2016, the net unrealized appreciation on investments based on a cost of $10,660,667 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	$	695,092
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(527,215	)

		Net unrealized appreciation	$	167,877

	(b)	Non-income producing security.

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

Industry Summary at March 31, 2016 (Unaudited)


Hotels, Restaurants & Leisure	8.4	%
Health Care Equipment & Supplies	6.9
Software	6.5
Health Care Providers & Services	6.2
IT Services	6.1
Banks	4.5
Diversified Consumer Services	4.0
Diversified Financial Services	4.0
Electronic Equipment, Instruments & Components	3.8
Semiconductors & Semiconductor Equipment	3.7
Internet Software & Services	3.5
Electrical Equipment	3.5
Commercial Services & Supplies	3.4
Machinery	3.4
Aerospace & Defense	3.4
Textiles, Apparel & Luxury Goods	2.4
Oil, Gas & Consumable Fuels	2.3
Capital Markets	2.3
Leisure Products	2.3
Media	2.1
Health Care Technology	2.1
Other Investments, less than 2% each	11.5
Short-Term Investments	3.0

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Statements of Assets and Liabilities

March 31, 2016 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
ASSETS
Investments at cost	$	956,057,887		$	760,316,055	$	10,660,667
Net unrealized appreciation		142,702,310			271,030,764		167,877

Investments at value		1,098,760,197			1,031,346,819		10,828,544
Receivable for Fund shares sold		1,110,004			524,388		53,062
Receivable from investment adviser (Note 5)		—			—		941
Receivable for securities sold		6,669,454			6,118,124		61,528
Dividends and interest receivable		289,770			788,932		3,384

TOTAL ASSETS		1,106,829,425			1,038,778,263		10,947,459

LIABILITIES
Payable for securities purchased		7,627,583			546,012		12,029
Payable for Fund shares redeemed		437,527			1,047,811		1,645
Management fees payable (Note 5)		675,539			616,692		—
Deferred Trustees’ fees (Note 5)		115,600			171,307		5,891
Administrative fees payable (Note 5)		39,744			37,857		375
Payable to distributor (Note 5d)		13,447			12,182		2
Other accounts payable and accrued expenses		52,732			51,730		25,200

TOTAL LIABILITIES		8,962,172			2,483,591		45,142

NET ASSETS	$	1,097,867,253		$	1,036,294,672	$	10,902,317

NET ASSETS CONSIST OF:
Paid-in capital	$	995,649,962		$	739,833,424	$	11,799,689
Accumulated net investment (loss)/Undistributed net		(7,205,789	)		1,461,656		(14,707	)
investment income
Accumulated net realized gain (loss) on investments		(33,279,230	)		23,968,828		(1,050,542	)
Net unrealized appreciation on investments		142,702,310			271,030,764		167,877

NET ASSETS	$	1,097,867,253		$	1,036,294,672	$	10,902,317


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	773,914,119		$	670,548,301	$	10,902,317

Shares of beneficial interest		38,134,482			21,744,464		1,202,665

Net asset value, offering and redemption price per share	$	20.29		$	30.84	$	9.07

Retail Class:
Net assets	$	137,780,917		$	270,991,641	$	—

Shares of beneficial interest		7,250,235			8,895,311		—

Net asset value, offering and redemption price per share	$	19.00		$	30.46	$	—

Admin Class shares:
Net assets	$	—		$	44,924,889	$	—

Shares of beneficial interest		—			1,519,258		—

Net asset value, offering and redemption price per share	$	—		$	29.57	$	—

Class N shares:
Net assets	$	186,172,217		$	49,829,841	$	—

Shares of beneficial interest		9,145,958			1,615,103		—

Net asset value, offering and redemption price per share	$	20.36		$	30.85	$	—

See accompanying notes to financial statements.

| 26

Statements of Operations

For the Six Months Ended March 31, 2016 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
INVESTMENT INCOME
Dividends	$	3,406,871		$	8,335,175		$	29,085
Interest		4,104			1,527			53
Less net foreign taxes withheld		—			(23,633	)		(156	)

		3,410,975			8,313,069			28,982

Expenses
Management fees (Note 5)		4,159,394			3,852,115			36,854
Service and distribution fees (Note 5)		185,190			459,547			—
Administrative fees (Note 5)		243,326			225,340			2,157
Trustees’ fees and expenses (Note 5)		17,075			17,131			6,936
Transfer agent fees and expenses (Notes 5 and 6)		609,113			526,882			535
Audit and tax services fees		19,855			20,297			18,695
Custodian fees and expenses		20,597			16,615			4,270
Legal fees		7,231			7,233			63
Registration fees		50,522			43,974			8,931
Shareholder reporting expenses		26,042			33,121			481
Miscellaneous expenses		15,599			16,634			6,439

Total expenses		5,353,944			5,218,889			85,361
Less waiver and/or expense reimbursement (Note 5)		—			(151,367	)		(43,594	)

Net expenses		5,353,944			5,067,522			41,767

Net investment income (loss)		(1,942,969	)		3,245,547			(12,785	)


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		(32,945,494	)		30,098,653			(881,289	)
Net change in unrealized appreciation (depreciation) on:
Investments		18,502,188			32,678,738			942,324

Net realized and unrealized gain (loss) on investments		(14,443,306	)		62,777,391			61,035


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(16,386,275	)	$	66,022,938		$	48,250

See accompanying notes to financial statements.

27 |

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income (loss)	$	(1,942,969	)	$	(6,768,383	)	$	3,245,547		$	7,744,624
Net realized gain (loss) on investments		(32,945,494	)		96,389,671			30,098,653			106,149,654
Net change in unrealized appreciation (depreciation) on investments		18,502,188			(39,045,091	)		32,678,738			(93,246,609	)

Net increase (decrease) in net assets resulting from operations		(16,386,275	)		50,576,197			66,022,938			20,647,669

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		—			—			(4,437,216	)		(4,236,276	)
Retail Class		—			—			(1,004,613	)		(1,054,845	)
Admin Class		—			—			(29,797	)		(1,677	)
Class N		—			—			(305,470	)		(44,634	)
Net realized capital gains
Institutional Class		(60,491,317	)		(121,284,863	)		(64,722,293	)		(93,076,570	)
Retail Class		(11,886,045	)		(25,100,168	)		(27,186,960	)		(45,284,938	)
Admin Class		—			—			(4,490,438	)		(7,970,136	)
Class N		(13,284,984	)		(2,724,416	)		(3,940,507	)		(870,050	)

Total distributions		(85,662,346	)		(149,109,447	)		(106,117,294	)		(152,539,126	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		73,537,091			182,307,468			19,604,230			34,718,995

Net increase (decrease) in net assets		(28,511,530	)		83,774,218			(20,490,126	)		(97,172,462	)
NET ASSETS
Beginning of the period		1,126,378,783			1,042,604,565			1,056,784,798			1,153,957,260

End of the period	$	1,097,867,253		$	1,126,378,783		$	1,036,294,672		$	1,056,784,798

ACCUMULATED NET INVESTMENT (LOSS)/UNDISTRIBUTED NET INVESTMENT INCOME	$	(7,205,789	)	$	(5,262,820	)	$	1,461,656		$	3,993,205

See accompanying notes to financial statements.

| 28

Statements of Changes in Net Assets – continued


	Small/Mid Cap Growth Fund
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015(a)
FROM OPERATIONS:
Net investment loss	$	(12,785	)	$	(13,202	)
Net realized loss on investments		(881,289	)		(169,253	)
Net change in unrealized appreciation (depreciation) on investments		942,324			(774,447	)

Net increase (decrease) in net assets resulting from operations		48,250			(956,902	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,611,897			10,199,072

Net increase in net assets		1,660,147			9,242,170

NET ASSETS
Beginning of the period		9,242,170			—

End of the period	$	10,902,317		$	9,242,170

ACCUMULATED NET INVESTMENT (LOSS)	$	(14,707	)	$	(1,922	)

(a)	From commencement of operations on June 30, 2015 through September 30, 2015.

See accompanying notes to financial statements.

29 |

Financial Highlights

For a share outstanding throughout each period.


	Small Cap Growth Fund—Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	22.22		$	24.27		$	26.35		$	19.17		$	15.06		$	14.03

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.04	)		(0.14	)		(0.16	)(b)		(0.15	)(c)		(0.14	)		(0.13	)
Net realized and unrealized gain (loss)		(0.20	)		1.63			(0.09	)		7.33			4.25			1.16	(d)

Total from Investment Operations		(0.24	)		1.49			(0.25	)		7.18			4.11			1.03

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			—
Net realized capital gains		(1.69	)		(3.54	)		(1.83	)		—			—			—

Total Distributions		(1.69	)		(3.54	)		(1.83	)		—			—			—

Net asset value, end of the period	$	20.29		$	22.22		$	24.27		$	26.35		$	19.17		$	15.06

Total return		(1.52	)%(e)		5.78	%		(1.31	)%(b)		37.45	%(c)		27.29	%		7.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	773,914		$	800,883		$	852,131		$	914,000		$	599,469		$	154,313
Net expenses		0.95	%(f)		0.94	%		0.94	%		0.94	%		0.95	%		0.98	%(g)
Gross expenses		0.95	%(f)		0.94	%		0.94	%		0.94	%		0.95	%		0.98	%(g)
Net investment loss		(0.34	)%(f)		(0.57	)%		(0.63	)%(b)		(0.70	)%(c)		(0.79	)%		(0.78	)%
Portfolio turnover rate		29	%		78	%		63	%		56	%		77	%		76	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.17), total return would have been (1.35)% and the ratio of net investment loss to average net assets would have been (0.66)%.

(c)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.16), total return would have been 37.40% and the ratio of net investment loss to average net assets would have been (0.75)%.

(d)	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.

(e)	Periods less than one year are not annualized.

(f)	Computed on an annualized basis for periods less than one year.

(g)	Includes fee/expense recovery of 0.03%.

See accompanying notes to financial statements.

| 30

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	20.93		$	23.10		$	25.23		$	18.41		$	14.52		$	13.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.19	)		(0.22	)(b)		(0.20	)(c)		(0.19	)		(0.18	)
Net realized and unrealized gain (loss)		(0.18	)		1.56			(0.08	)		7.02			4.08			1.15	(d)

Total from Investment Operations		(0.24	)		1.37			(0.30	)		6.82			3.89			0.97

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—			—			—
Net realized capital gains		(1.69	)		(3.54	)		(1.83	)		—			—			—

Total Distributions		(1.69	)		(3.54	)		(1.83	)		—			—			—

Net asset value, end of the period	$	19.00		$	20.93		$	23.10		$	25.23		$	18.41		$	14.52

Total return		(1.67	)%(e)		5.58	%		(1.58	)%(b)		37.05	%(c)		26.79	%(f)		7.16	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	137,781		$	162,906		$	175,393		$	211,724		$	229,822		$	113,110
Net expenses		1.20	%(g)		1.19	%		1.21	%		1.25	%(h)		1.25	%(i)		1.25	%(i)
Gross expenses		1.20	%(g)		1.19	%		1.21	%		1.25	%(h)		1.28	%		1.27	%
Net investment loss		(0.59	)%(g)		(0.82	)%		(0.90	)%(b)		(0.99	)%(c)		(1.09	)%		(1.07	)%
Portfolio turnover rate		29	%		78	%		63	%		56	%		77	%		76	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.23), total return would have been (1.58)% and the ratio of net investment loss to average net assets would have been (0.93)%.

(c)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.21), total return would have been 36.99% and the ratio of net investment loss to average net assets would have been (1.05)%.

(d)	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.

(e)	Periods less than one year are not annualized.

(f)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(g)	Computed on an annualized basis for periods less than one year.

(h)	Includes fee/expense recovery of 0.01%.

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

See accompanying notes to financial statements.

31 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Class N
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013*
Net asset value, beginning of the period	$	22.27		$	24.29		$	26.36		$	20.22

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.02	)		(0.12	)		(0.14	)(b)		(0.11	)
Net realized and unrealized gain (loss)		(0.20	)		1.64			(0.10	)		6.25

Total from Investment Operations		(0.22	)		1.52			(0.24	)		6.14

LESS DISTRIBUTIONS FROM:
Net investment income		—			—			—			—
Net realized capital gains		(1.69	)		(3.54	)		(1.83	)		—

Total Distributions		(1.69	)		(3.54	)		(1.83	)		—

Net asset value, end of the period	$	20.36		$	22.27		$	24.29		$	26.36

Total return		(1.42	)%(c)		5.92	%		(1.27	)%(b)		30.37	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	186,172		$	162,591		$	15,080		$	7,580
Net expenses		0.82	%(d)		0.83	%		0.83	%		0.83	%(d)
Gross expenses		0.82	%(d)		0.83	%		0.83	%		0.83	%(d)
Net investment loss		(0.20	)%(d)		(0.51	)%		(0.53	)%(b)		(0.63	)%(d)
Portfolio turnover rate		29	%		78	%		63	%		56	%

*	From commencement of Class operations on February 1, 2013 through September 30, 2013.

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.14), total return would have been (1.31)% and the ratio of net investment loss to average net assets would have been (0.56)%.

(c)	Periods less than one year are not annualized.

(d)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 32

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	32.19		$	36.40		$	37.42		$	29.14		$	22.36		$	22.93

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.27			0.20			0.20			0.21			0.09	(b)
Net realized and unrealized gain (loss)		1.94			0.49			2.18			8.41			6.62			(0.50	)

Total from Investment Operations		2.05			0.76			2.38			8.61			6.83			(0.41	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.22	)		(0.10	)		(0.30	)		(0.05	)		(0.16	)
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—			—

Total Distributions		(3.40	)		(4.97	)		(3.40	)		(0.33	)		(0.05	)		(0.16	)

Net asset value, end of the period	$	30.84		$	32.19		$	36.40		$	37.42		$	29.14		$	22.36

Total return		6.59	%(c)(d)		1.20	%(c)		6.17	%(c)		29.82	%(c)		30.59	%		(1.88	)%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	670,548		$	666,107		$	730,901		$	733,512		$	572,776		$	431,761
Net expenses		0.90	%(e)(f)		0.90	%(f)		0.90	%(f)		0.90	%(f)		0.90	%(g)		0.90	%(f)
Gross expenses		0.93	%(e)		0.92	%		0.91	%		0.91	%		0.90	%(g)		0.93	%
Net investment income		0.72	%(e)		0.75	%		0.53	%		0.61	%		0.76	%		0.33	%(b)
Portfolio turnover rate		9	%		22	%		23	%		22	%		19	%		42	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.07, total return would have been (1.93)% and the ratio of net investment income to average net assets would have been 0.28%.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

(e)	Computed on an annualized basis for periods less than one year.

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

(g)	Includes fee/expense recovery of less than 0.01%.

See accompanying notes to financial statements.

33 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	31.78		$	35.98		$	37.03		$	28.84		$	22.14		$	22.71

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.07			0.18			0.10			0.12			0.13			0.02	(b)
Net realized and unrealized gain (loss)		1.91			0.48			2.16			8.32			6.57			(0.48	)

Total from Investment Operations		1.98			0.66			2.26			8.44			6.70			(0.46	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.11	)		(0.01	)		(0.22	)		—			(0.11	)
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—			—

Total Distributions		(3.30	)		(4.86	)		(3.31	)		(0.25	)		—			(0.11	)

Net asset value, end of the period	$	30.46		$	31.78		$	35.98		$	37.03		$	28.84		$	22.14

Total return(c)		6.44	%(d)		0.94	%		5.90	%		29.48	%		30.26	%		(2.12	)%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	270,992		$	306,360		$	358,698		$	403,475		$	343,480		$	347,759
Net expenses(e)		1.15	%(f)		1.15	%		1.15	%		1.15	%		1.15	%		1.15	%
Gross expenses		1.18	%(f)		1.17	%		1.20	%		1.22	%		1.22	%		1.22	%
Net investment income		0.46	%(f)		0.50	%		0.28	%		0.37	%		0.49	%		0.08	%(b)
Portfolio turnover rate		9	%		22	%		23	%		22	%		19	%		42	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.01, total return would have been (2.16)% and the ratio of net investment income to average net assets would have been 0.03%.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Periods less than one year are not annualized.

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

(f)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 34

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Admin Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	30.88		$	35.06		$	36.24		$	28.22		$	21.72		$	22.30

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.03			0.09			0.01			0.04			0.06			(0.04	)(b)
Net realized and unrealized gain (loss)		1.86			0.48			2.11			8.15			6.44			(0.49	)

Total from Investment Operations		1.89			0.57			2.12			8.19			6.50			(0.53	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		(0.00	)(c)		—			(0.14	)		—			(0.05	)
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—			—

Total Distributions		(3.20	)		(4.75	)		(3.30	)		(0.17	)		—			(0.05	)

Net asset value, end of the period	$	29.57		$	30.88		$	35.06		$	36.24		$	28.22		$	21.72

Total return(d)		6.34	%(e)		0.71	%		5.63	%		29.17	%		29.93	%		(2.40	)%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	44,925		$	45,762		$	61,791		$	74,892		$	67,853		$	65,500
Net expenses(f)		1.39	%(g)(h)		1.38	%(i)		1.40	%		1.40	%		1.40	%		1.40	%
Gross expenses		1.42	%(g)(h)		1.40	%(i)		1.51	%		1.52	%		1.52	%		1.52	%
Net investment income (loss)		0.23	%(h)		0.28	%		0.02	%		0.11	%		0.24	%		(0.17	)%(b)
Portfolio turnover rate		9	%		22	%		23	%		22	%		19	%		42	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.06), total return would have been (2.44)% and the ratio of net investment loss to average net assets would have been (0.22)%.

(c)	Amount rounds to less than $0.01 per share.

(d)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(e)	Periods less than one year are not annualized.

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

(g)	Includes refund of prior year service fee of 0.01%. See Note 5b of Notes to Financial Statements.

(h)	Computed on an annualized basis for periods less than one year.

(i)	Includes refund of prior year service fee of 0.02%.

See accompanying notes to financial statements.

35 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Class N
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013*
Net asset value, beginning of the period	$	32.22		$	36.44		$	37.44		$	32.08

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.27			0.23			0.06
Net realized and unrealized gain (loss)		1.93			0.50			2.18			5.30

Total from Investment Operations		2.06			0.77			2.41			5.36

LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.24	)		(0.11	)		—
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		—

Total Distributions		(3.43	)		(4.99	)		(3.41	)		—

Net asset value, end of the period	$	30.85		$	32.22		$	36.44		$	37.44

Total return		6.61	%(b)		1.25	%		6.25	%(c)		16.71	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	49,830		$	38,555		$	2,568		$	1
Net expenses		0.83	%(d)		0.83	%(e)		0.85	%(f)		0.85	%(d)(f)
Gross expenses		0.83	%(d)		0.83	%(e)		0.89	%		14.45	%(d)
Net investment income		0.82	%(d)		0.76	%		0.60	%		0.27	%(d)
Portfolio turnover rate		9	%		22	%		23	%		22	%

*	From commencement of Class operations on February 1, 2013 through September 30, 2013.

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

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes fee/expense recovery of less than 0.01%.

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

See accompanying notes to financial statements.

| 36

Financial Highlights – continued

For a share outstanding throughout each period.


	Small/Mid Cap Growth Fund— Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Period Ended September 30, 2015*
Net asset value, beginning of the period	$	9.05		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)		(0.01	)
Net realized and unrealized gain (loss)		0.03			(0.94	)

Total from Investment Operations		0.02			(0.95	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		—			—

Total Distributions		—			—

Net asset value, end of the period	$	9.07		$	9.05

Total return(b)		0.22	%		(9.50	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10,902		$	9,242
Net expenses(c)(d)		0.85	%		0.85	%
Gross expenses(d)		1.74	%		2.65	%
Net investment loss(d)		(0.26	)%		(0.53	)%
Portfolio turnover rate		29	%		14	%

*	From commencement of operations on June 30, 2015 through September 30, 2015.

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

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

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

(d)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

37 |

Notes to Financial Statements

March 31, 2016 (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”)

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

Each Fund is a diversified investment company.

Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fund and Small Cap Value Fund continue to offer Institutional Class, Retail Class and Class N shares to existing investors and Small Cap Value Fund continues to offer Admin Class shares to existing investors.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Effective November 2, 2015, Class N shares are offered to investors with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus. Admin Class shares are offered exclusively through intermediaries.

Most expenses 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds 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 for Institutional Class, Retail Class and Admin Class (for Small Cap Value Fund), collectively, and Class N, individually, 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.

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Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted 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.

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declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Funds may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by a Fund.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV 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. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of 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. 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.

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period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations.

d. Federal and Foreign Income Taxes. The Trusts treat 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, 2016 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, 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.

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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 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 return of capital distributions received, deferred Trustees’ fees, net operating losses and non-deductible expenses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to return of capital distributions received, deferred Trustees’ fees and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. 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, 2015 was as follows:


	2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	149,109,447	$	149,109,447
Small Cap Value Fund		10,451,269		142,087,857		152,539,126
Small/Mid Cap Growth Fund		—		—		—

As of September 30, 2015, capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
Capital loss carryforward:
Short-term:
No expiration date	$	—		$	—	$	(168,511	)

Late-year ordinary and post-October capital loss deferrals*	$	(5,146,367	)	$	—	$	—

f. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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

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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. As of March 31, 2016, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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, 2016, none of the Funds 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.

•

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

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•

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, 2016, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,070,510,908	$	—	$	—	$	1,070,510,908
Short-Term Investments		—		28,249,289		—		28,249,289

Total	$	1,070,510,908	$	28,249,289	$	—	$	1,098,760,197

(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, 2016, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,016,780,669	$	—	$	—	$	1,016,780,669
Closed-End Investment Companies		5,837,004		—		—		5,837,004
Short-Term Investments		—		8,729,146		—		8,729,146

Total	$	1,022,617,673	$	8,729,146	$	—	$	1,031,346,819

(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, 2016, there were no transfers among Levels 1, 2 and 3.

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Small/Mid Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	10,497,589	$	—	$	—	$	10,497,589
Short-Term Investments		—		330,955		—		330,955

Total	$	10,497,589	$	330,955	$	—	$	10,828,544

(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, 2016, there were no transfers among Levels 1, 2 and 3.

4. Purchases and Sales of Securities. For the six months ended March 31, 2016, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	314,816,422	$	314,640,249
Small Cap Value Fund		95,874,382		175,458,499
Small/Mid Cap Growth Fund		4,346,967		2,748,039

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%
Small/Mid Cap Growth 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, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 2017, may be terminated before then only with the consent of the Funds’ Board of Trustees 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 Statement of Assets and Liabilities as receivable from investment adviser.

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For the six months ended March 31, 2016, 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	Class N
Small Cap Growth Fund	1.00%	1.25%	—	0.95%
Small Cap Value Fund	0.90%	1.15%	1.40%	0.85%
Small/Mid Cap Growth Fund	0.85%	—	—	—

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 annual operating 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, 2016, the management fees for each Fund were as follows:


	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
Small Cap Growth Fund	$	4,159,394	$	—	$	4,159,394	0.75%	0.75%
Small Cap Value Fund		3,852,115		—		3,852,115	0.75%	0.75%
Small/Mid Cap Growth Fund		36,854		36,854		—	0.75%	—

For the six months ended March 31, 2016, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class		Retail Class		Admin Class		Class N		Total
Small Cap Value Fund	$	102,411	$	42,106	$	6,850	$	—	$	151,367

In addition, the investment adviser reimbursed expenses of Small/Mid Cap Growth Fund in the amount of $6,740 for the six months ended March 31, 2016¹.

¹ Waivers/expense reimbursements are subject to possible recovery until September 30, 2017.

Certain officers and employees of Loomis Sayles are also officers or Trustees of the Trusts. 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.

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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, 2016, the service and distribution fees for each Fund were as follows:


	Service Fees		Distribution Fees
Fund	Admin Class		Retail Class		Admin Class
Small Cap Growth Fund	$	—	$	185,190	$	—
Small Cap Value Fund		53,213		350,732		55,602

For the six months ended March 31, 2016, NGAM Distribution refunded Small Cap Value Fund $2,389 of prior year Admin Class service fees paid to NGAM Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by this amount.

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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 and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2016, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Small Cap Growth Fund	$	243,326
Small Cap Value Fund		225,340
Small/Mid Cap Growth Fund		2,157

For the six months ended March 31, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for each Fund were as follows:


Fund	Sub-Transfer Agent Fees
Small Cap Growth Fund	$	597,235
Small Cap Value Fund		506,376
Small/Mid Cap Growth Fund		38

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Fund	Reimbursements of Sub-Transfer Agent Fees
Small Cap Growth Fund	$	13,447
Small Cap Value Fund		12,182
Small/Mid Cap Growth Fund		2

Sub-transfer agent fees attributable to Institutional Class, Retail Class and Admin Class 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 those classes.

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. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. 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 $155,000. 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, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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.

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investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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. As of March 31, 2016, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”), Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”), and Natixis US held shares of the Funds representing the following percentages of the Fund’s net assets:


Fund	Pension Plan	Retirement Plan	Natixis US	Total Affiliated Ownership
Small Cap Growth Fund	0.92%	1.32%	—	2.24%
Small Cap Value Fund	1.67%	2.51%	—	4.18%
Small/Mid Cap Growth Fund	—	7.27%	83.19%	90.46%

Investment activities of affiliated shareholders could have material impacts on the Funds.

6. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2016, the Funds incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


	Transfer Agent Fees and Expenses
Fund	Institutional Class		Retail Class		Admin Class		Class N
Small Cap Growth Fund	$	512,513	$	96,365	$	—	$	235
Small Cap Value Fund		353,164		149,729		23,802		187
Small/Mid Cap Growth Fund		535		—		—		—

Transfer agent fees and expenses attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

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For the six months ended March 31, 2016, none of the Funds had borrowings under this agreement.

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, 2016, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	35,939
Small Cap Value Fund		23,336
Small/Mid Cap Growth Fund		310

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts (including accounts owned by affiliates) representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such 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 were as follows:


Fund	Number of 5% Non-Affiliated Account Holders	Percentage of Non-Affiliated Ownership	Percentage of Affiliated Ownership (Note 5)	Total Percentage of Ownership
Small Cap Growth Fund	2	32.47%	—	32.47%
Small Cap Value Fund	3	24.43%	—	24.43%
Small/Mid Cap Growth Fund	—	—	90.46%	90.46%

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts, or investment models

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where a shareholder account may be invested for a non-discretionary customer, are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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


	Small Cap Growth Fund
	Six Months Ended March 31, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,770,485		$	78,589,791			7,265,268		$	175,813,770
Issued in connection with the reinvestment of distributions		2,716,857			58,412,420			5,134,319			117,062,465
Redeemed		(4,395,797	)		(90,927,768	)		(11,470,816	)		(274,541,353	)

Net change		2,091,545		$	46,074,443			928,771		$	18,334,882

Retail Class
Issued from the sale of shares		605,428		$	11,807,513			1,423,680		$	32,677,891
Issued in connection with the reinvestment of distributions		588,964			11,867,620			1,163,810			25,045,197
Redeemed		(1,725,815	)		(35,281,633	)		(2,397,388	)		(53,969,398	)

Net change		(531,423	)	$	(11,606,500	)		190,102		$	3,753,690

Class N
Issued from the sale of shares		2,385,136		$	50,866,357			6,907,906		$	165,784,056
Issued in connection with the reinvestment of distributions		616,186			13,284,984			119,335			2,724,416
Redeemed		(1,156,980	)		(25,082,193	)		(346,462	)		(8,289,576	)

Net change		1,844,342		$	39,069,148			6,680,779		$	160,218,896

Increase (decrease) from capital share transactions		3,404,464		$	73,537,091			7,799,652		$	182,307,468


	Small Cap Value Fund
	Six Months Ended March 31, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,602,144		$	49,325,792			3,379,231		$	118,476,722
Issued in connection with the reinvestment of distributions		2,210,358			66,708,596			2,730,775			93,993,275
Redeemed		(2,762,839	)		(84,063,085	)		(5,495,573	)		(195,820,490	)

Net change		1,049,663		$	31,971,303			614,433		$	16,649,507

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10. Capital Shares – continued.


	Small Cap Value Fund – continued
	Six Months Ended March 31, 2016						Year Ended September 30, 2015
Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		341,355		$	10,373,323			931,124		$	32,655,794
Issued in connection with the reinvestment of distributions		943,438			28,142,755			1,357,910			46,236,825
Redeemed		(2,029,739	)		(64,085,620	)		(2,618,373	)		(91,431,051	)

Net change		(744,946	)	$	(25,569,542	)		(329,339	)	$	(12,538,432	)

Admin Class
Issued from the sale of shares		193,841		$	5,530,834			314,600		$	10,633,628
Issued in connection with the reinvestment of distributions		111,998			3,244,570			179,802			5,960,432
Redeemed		(268,448	)		(7,832,973	)		(774,906	)		(26,217,314	)

Net change		37,391		$	942,431			(280,504	)	$	(9,623,254	)

Class N
Issued from the sale of shares		421,229		$	12,354,781			1,179,383		$	42,095,614
Issued in connection with the reinvestment of distributions		140,642			4,245,978			26,566			914,684
Redeemed		(143,518	)		(4,340,721	)		(79,684	)		(2,779,124	)

Net change		418,353		$	12,260,038			1,126,265		$	40,231,174

Increase (decrease) from capital share transactions		760,461		$	19,604,230			1,130,855		$	34,718,995


	Small/Mid Cap Growth Fund
	Six Months Ended March 31, 2016						Period Ended September 30, 2015(a)
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		182,042		$	1,613,542			1,020,804		$	10,199,072
Redeemed		(181	)		(1,645	)		—			—

Increase (decrease) from capital share transactions		181,861		$	1,611,897			1,020,804		$	10,199,072

(a) From commencement of operations on June 30, 2015 through September 30, 2015.

53 |

LOGO

Loomis Sayles Bond Fund

Semiannual Report

March 31, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			4
Financial Statements			28
Notes to Financial Statements			35

LOOMIS SAYLES BOND FUND


Managers	Symbols
Matthew J. Eagan, CFA^®	Institutional Class	LSBDX
Daniel J. Fuss, CFA^®, CIC	Retail Class	LSBRX
Elaine M. Stokes	Admin Class	LBFAX
	Class N	LSBNX

Objective

The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.

Average Annual Total Returns — March 31, 2016²



	6 months			1 year			5 years			10 years			Life of Class N

Institutional Class (Inception 5/16/91)		1.95	%		-3.25	%		4.16	%		6.17	%		—	%
Retail Class (Inception 12/31/96)		1.75			-3.58			3.86			5.86			—
Admin Class (Inception 1/2/98)		1.70			-3.77			3.60			5.60			—
Class N (Inception 2/1/13)		1.92			-3.25			—			—			1.38

Comparative Performance
Barclays U.S. Government/ Credit Bond Index¹		2.70			1.75			4.04			4.93			2.55

Barclays 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.

Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower.

1 |

ADDITIONAL INFORMATION

Additional Index Information

Proxy Voting Information

A description of the Fund’s proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles Funds at 800-633-3330; on the Fund’s website at www.loomissayles.com, and 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 months ended June 30, 2015 is available on the Fund’s website and 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 Form N-Q is 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. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples 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.

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, 2015 through March 31, 2016. 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.

| 2

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 10/1/2015		Ending Account Value 3/31/2016		Expenses Paid During Period* 10/1/2015 – 3/31/2016
Actual		$1,000.00		$1,019.50		$3.33
Hypothetical (5% return before expenses)		$1,000.00		$1,021.70		$3.34

Retail Class
Actual		$1,000.00		$1,017.50		$4.59
Hypothetical (5% return before expenses)		$1,000.00		$1,020.45		$4.60

Admin Class
Actual		$1,000.00		$1,017.00		$5.85
Hypothetical (5% return before expenses)		$1,000.00		$1,019.20		$5.86

Class N
Actual		$1,000.00		$1,019.20		$2.93
Hypothetical (5% return before expenses)		$1,000.00		$1,022.10		$2.93
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.66%, 0.91%, 1.16% and 0.58% for Institutional, Retail, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

3 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 84.2% of Net Assets

	Non-Convertible Bonds – 76.5%

		ABS Other – 0.5%
$	30,419,118	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)	$	30,130,745
	17,995,833	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d)		15,832,734
	6,635,119	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d)		5,434,162
	32,585,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(c)(d)(e)		6,728,803
	15,447,182	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A		14,751,696

				72,878,140

		Aerospace & Defense – 1.2%
	36,735,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		27,551,250
	100,000	Bombardier, Inc., 6.125%, 1/15/2023, 144A		75,750
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		837,113
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		9,564,800
	275,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019		298,375
	24,903,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		23,657,850
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		26,499,200
	770,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		800,800
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		5,036,400
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		38,201,293
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		25,738,660
	25,085,000	TransDigm, Inc., 6.500%, 5/15/2025		24,520,587
	1,550,000	TransDigm, Inc., 7.500%, 7/15/2021		1,623,625

				184,405,703

		Airlines – 2.2%
	24,305,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		19,626,463
	197,989,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		201,453,807
	4,033,900	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		4,094,651
	32,465,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		34,128,831
	112,294	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		113,978
	120,297	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		120,899
	1,427,701	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,495,946

See accompanying notes to financial statements.

| 4

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Airlines – continued
$	4,416,247	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021	$	4,614,978
	1,171,185	Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023		1,248,776
	445,424	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018		462,706
	6,709,483	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		6,927,541
	315,087	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		352,898
	56,320,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		55,756,800
	6,219,146	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		6,281,337
	9,680,841	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		9,680,841

				346,360,452

		Automotive – 0.4%
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,986,519
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,845,854
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,815,200
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,972,836
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		39,144,835
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,635,070
	9,660,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		8,983,800

				65,384,114

		Banking – 7.5%
	56,206,000	AgriBank FCB, 9.125%, 7/15/2019, 144A		68,087,667
	59,285,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		59,783,113
	35,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(f)		34,256
	54,910,000	Bank of Nova Scotia, 2.130%, 6/15/2020, (CAD)		42,900,617
	16,525,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		13,048,611
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)		40,489,990
	35,950,000	BNP Paribas S.A., (fixed rate to 4/19/2016, variable rate thereafter), 5.945%, (GBP)(f)		51,656,704
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(f)		23,976,000
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		8,035,553
	52,380,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		37,755,979
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		28,614,266
	16,780,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		17,898,018

See accompanying notes to financial statements.

5 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022	$	4,143,569
	27,405,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		22,224,690
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,510,658
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		24,764,235
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		48,938,429
	266,000,000,000	JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR)		19,929,940
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.321%, 9/14/2018, (EUR)(g)		1,782,406
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		4,244,760
	42,630,000	Morgan Stanley, 2.500%, 1/24/2019		43,374,533
	6,600,000	Morgan Stanley, 3.750%, 2/25/2023		6,876,969
	47,205,000	Morgan Stanley, 4.350%, 9/08/2026		48,577,769
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		42,286,505
	75,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		60,642,361
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		110,686,549
	150,195,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		120,621,962
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		2,083,908
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		144,106,037
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		17,860,245
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		54,607,732
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,911,549
	2,269,000	Santander Issuances SAU, 5.911%, 6/20/2016, 144A		2,284,418
	6,000,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)		9,175,254
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		3,172,058

				1,191,087,310

		Brokerage – 1.1%
	5,996,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		5,081,610
	29,995,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		25,795,700
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,517,714
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		51,457,341
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		28,451,399
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		23,638,596
	12,806,000	Jefferies Group LLC, 6.875%, 4/15/2021		14,459,242

				169,401,602

		Building Materials – 0.9%
	15,670,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		11,595,800
	3,285,000	Masco Corp., 5.850%, 3/15/2017		3,436,931
	19,873,000	Masco Corp., 6.125%, 10/03/2016		20,354,920
	15,272,000	Masco Corp., 6.500%, 8/15/2032		15,577,440
	16,870,000	Masco Corp., 7.125%, 3/15/2020		19,421,587
	9,733,000	Masco Corp., 7.750%, 8/01/2029		10,998,290

See accompanying notes to financial statements.

| 6

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Building Materials – continued
	9,900,000	Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(b)	$	1,263,089
	214,000	Owens Corning, 6.500%, 12/01/2016		218,597
	51,420,000	Owens Corning, 7.000%, 12/01/2036		56,806,194
	2,395,000	Titan Global Finance PLC, EMTN, 4.250%, 7/10/2019, (EUR)		2,711,644

				142,384,492

		Cable Satellite – 0.5%
	1,090,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		1,109,075
	1,250,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		1,271,875
	4,325,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		4,503,406
	5,585,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		5,696,700
	965,000	DISH DBS Corp., 5.000%, 3/15/2023		851,613
	1,105,000	DISH DBS Corp., 5.875%, 11/15/2024		1,013,837
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		31,954,557
	6,190,000	Time Warner Cable, Inc., 4.500%, 9/15/2042		5,494,906
	535,000	Time Warner Cable, Inc., 5.875%, 11/15/2040		553,681
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		12,211,165
	9,660,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		9,925,650

				74,586,465

		Chemicals – 2.2%
	123,840,000	Chemours Co. (The), 6.625%, 5/15/2023, 144A		100,929,600
	23,615,000	Chemours Co. (The), 7.000%, 5/15/2025, 144A		18,892,000
	56,305,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		53,630,512
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		18,400,000
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		18,165,420
	33,969,000	Hexion, Inc., 7.875%, 2/15/2023(c)(d)		8,492,250
	4,955,000	Hexion, Inc., 8.875%, 2/01/2018		3,394,175
	11,305,000	Hexion, Inc., 9.200%, 3/15/2021(c)(d)		3,165,400
	3,390,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		1,364,475
	405,000	INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A		408,038
	119,535,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		114,753,600
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		6,424,958
	2,305,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		1,613,500

				349,633,928

		Construction Machinery – 0.3%
	1,975,000	Joy Global, Inc., 6.625%, 11/15/2036		1,441,750
	27,030,000	Toro Co., 6.625%, 5/01/2037(b)		31,433,538
	1,095,000	United Rentals North America, Inc., 6.125%, 6/15/2023		1,130,588
	5,825,000	United Rentals North America, Inc., 7.625%, 4/15/2022		6,203,625

				40,209,501

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Consumer Cyclical Services – 0.1%
$	1,000,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018	$	1,020,000
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		8,785,215

				9,805,215

		Consumer Products – 0.1%
	15,036,000	Avon Products, Inc., 8.700%, 3/15/2043		9,923,760

		Diversified Manufacturing – 0.0%
	225,000	Amsted Industries, Inc., 5.000%, 3/15/2022, 144A		223,312

		Electric – 2.0%
	3,075,000	AES Corp. (The), 4.875%, 5/15/2023		2,959,688
	8,395,000	AES Corp. (The), 5.500%, 3/15/2024		8,206,112
	3,575,000	AES Corp. (The), 5.500%, 4/15/2025		3,445,406
	57,488,008	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		63,761,962
	71,488,388	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034		67,423,558
	2,126,139	CE Generation LLC, 7.416%, 12/15/2018		1,966,679
	23,376,000	DPL, Inc., 6.750%, 10/01/2019		23,726,640
	12,250,000	Dynegy, Inc., 7.375%, 11/01/2022		11,331,250
	69,835,000	Dynegy, Inc., 7.625%, 11/01/2024		63,375,262
	60,715,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		60,800,001
	5,675,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		5,917,890
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		10,830,491
	680,335	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		680,335
	81,911	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		79,936

				324,505,210

		Finance Companies – 5.2%
	3,100,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		1,240,000
	1,150,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		1,293,750
	64,245,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		45,197,603
	89,985,000	General Electric Co., Series A, EMTN, 6.750%, 9/26/2016, (NZD)		63,236,966
	45,800,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		32,289,725
	11,695,000	General Electric Co., Series A, MTN, 0.922%, 5/13/2024(g)		10,842,435
	6,070,000	iStar, Inc., 3.875%, 7/01/2016		6,064,798
	19,330,000	iStar, Inc., 4.875%, 7/01/2018		18,677,612
	20,395,000	iStar, Inc., 5.000%, 7/01/2019		19,579,200
	34,525,000	iStar, Inc., 5.850%, 3/15/2017		35,215,500
	20,920,000	iStar, Inc., 7.125%, 2/15/2018		21,181,500
	1,890,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,653,750
	30,220,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		30,031,125
	2,830,000	Navient Corp., 5.875%, 10/25/2024		2,398,425

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	68,000,000	Navient Corp., MTN, 6.125%, 3/25/2024	$	58,480,000
	34,415,000	Navient LLC, 4.875%, 6/17/2019		33,210,475
	27,420,000	Navient LLC, 5.500%, 1/25/2023		23,307,000
	150,996(††)	Navient LLC, 6.000%, 12/15/2043		2,927,309
	7,865,000	Navient LLC, MTN, 4.625%, 9/25/2017		7,953,481
	11,663,000	Navient LLC, MTN, 5.500%, 1/15/2019		11,458,897
	8,000,000	Navient LLC, MTN, 7.250%, 1/25/2022		7,480,000
	3,355,000	Navient LLC, MTN, 8.000%, 3/25/2020		3,338,225
	23,623,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		23,268,655
	51,024,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)		35,971,920
	400,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		396,000
	74,340,000	Springleaf Finance Corp., 5.250%, 12/15/2019		70,994,700
	190,536,000	Springleaf Finance Corp., 7.750%, 10/01/2021		186,934,870
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		75,120,425

				829,744,346

		Food & Beverage – 0.0%
	3,420,000	Constellation Brands, Inc., 4.750%, 11/15/2024		3,565,350
	1,500,000	Fonterra Co-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)		1,190,014

				4,755,364

		Government Owned – No Guarantee – 0.4%
	28,720,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		27,906,075
	31,880,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		23,262,836
	24,335,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		15,817,750

				66,986,661

		Healthcare – 2.4%
	3,240,000	BioScrip, Inc., 8.875%, 2/15/2021		2,737,800
	1,820,000	HCA, Inc., 5.875%, 3/15/2022		1,970,150
	47,935,000	HCA, Inc., 5.875%, 5/01/2023		50,271,831
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		27,884,100
	27,148,000	HCA, Inc., 7.500%, 12/15/2023		28,776,880
	27,545,000	HCA, Inc., 7.500%, 11/06/2033		29,473,150
	65,936,000	HCA, Inc., 7.690%, 6/15/2025		70,881,200
	45,324,000	HCA, Inc., 8.360%, 4/15/2024		50,536,260
	21,924,000	HCA, Inc., MTN, 7.580%, 9/15/2025		23,677,920
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		13,317,220
	335,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		332,488
	915,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		876,112
	1,430,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,433,575
	2,250,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,261,250
	13,068,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		12,920,985
	37,850,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		36,241,375

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – continued
$	34,198,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	27,572,137
	355,000	Universal Health Services, Inc., 3.750%, 8/01/2019, 144A		364,319
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		702,075

				382,230,827

		Home Construction – 0.9%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		5,760,300
	160,000	DR Horton, Inc., 4.375%, 9/15/2022		160,400
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)		11,459,365
	45,718,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		28,345,160
	2,835,000	KB Home, 8.000%, 3/15/2020		2,969,663
	65,355,000	PulteGroup, Inc., 6.000%, 2/15/2035		63,557,737
	18,575,000	PulteGroup, Inc., 6.375%, 5/15/2033		18,946,500
	13,360,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		13,259,800
	245,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		243,469

				144,702,394

		Independent Energy – 0.9%
	1,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		1,059,724
	2,770,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		2,172,893
	7,440,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		5,245,200
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		4,375,958
	15,760,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		8,017,900
	345,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		91,425
	140,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		39,200
	6,516,000	California Resources Corp., 5.000%, 1/15/2020		1,498,680
	107,676,000	California Resources Corp., 5.500%, 9/15/2021		23,688,720
	16,169,000	California Resources Corp., 6.000%, 11/15/2024		3,638,025
	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		642,250
	15,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		5,850
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		761,450
	8,471,000	Continental Resources, Inc., 3.800%, 6/01/2024		6,692,090
	1,597,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,335,491
	1,775,000	EQT Corp., 8.125%, 6/01/2019		1,912,731
	710,000	Halcon Resources Corp., 8.875%, 5/15/2021		124,250
	7,470,000	Halcon Resources Corp., 9.250%, 2/15/2022		1,307,250
	3,375,000	Halcon Resources Corp., 9.750%, 7/15/2020		599,063
	145,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		85,550
	95,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		57,356
	235,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		138,650
	370,000	Noble Energy, Inc., 5.625%, 5/01/2021		371,850
	4,855,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		3,580,563
	3,860,000	Oasis Petroleum, Inc., 7.250%, 2/01/2019		2,943,250
	280,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		277,760
	6,235,000	QEP Resources, Inc., 5.250%, 5/01/2023		5,424,450

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	9,825,000	QEP Resources, Inc., 6.875%, 3/01/2021	$	9,014,437
	15,445,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020, 144A(i)		2,007,850
	9,500,000	Rice Energy, Inc., 6.250%, 5/01/2022		8,265,000
	13,579,000	RSP Permian, Inc., 6.625%, 10/01/2022		13,375,315
	23,125,000	Sanchez Energy Corp., 6.125%, 1/15/2023		12,487,500
	12,420,000	Sanchez Energy Corp., 7.750%, 6/15/2021		7,296,750
	90,000	SM Energy Co., 5.000%, 1/15/2024		62,297
	20,982,000	SM Energy Co., 6.125%, 11/15/2022		15,295,878
	3,205,000	Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A		224,350
	58,750,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A		4,553,125

				148,670,081

		Industrial Other – 0.1%
	8,380,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		8,568,550
	160,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		151,200

				8,719,750

		Integrated Energy – 0.0%
	2,155,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(b)(h)		366,350
	1,250,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(b)(h)		212,500

				578,850

		Leisure – 0.0%
	1,270,000	Six Flags Entertainment Corp., 5.250%, 1/15/2021, 144A		1,304,925
	210,000	WMG Acquisition Corp., 6.000%, 1/15/2021		214,725

				1,519,650

		Life Insurance – 2.0%
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,830,957
	97,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)		100,133,425
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)		1,787,053
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A		16,333,920
	5,760,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		4,219,200
	31,605,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		23,466,713
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,753,188
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		15,466,000
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		72,761,318
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)		58,483,135
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)		14,704,621
	4,200,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		4,855,103

				321,794,633

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Local Authorities – 1.5%
	38,490,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)	$	30,708,921
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		82,544,486
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		117,308,565
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,077,277
	1,397,530	Province of Alberta, 5.930%, 9/16/2016, (CAD)		1,100,732
	1,490,000	Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)		1,178,061

				233,918,042

		Media Entertainment – 0.8%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		7,836,371
	1,595,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		1,110,519
	66,650,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		46,321,750
	9,335,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		9,568,375
	34,725,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		28,474,500
	3,610,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		3,086,550
	26,090,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		24,133,250
	8,890,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		8,956,675

				129,487,990

		Metals & Mining – 1.8%
	8,456,540	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(h)(j)		846
	155,000	AK Steel Corp., 7.625%, 5/15/2020		96,875
	3,000,000	AK Steel Corp., 7.625%, 10/01/2021		1,710,000
	13,492,000	Alcoa, Inc., 5.870%, 2/23/2022		13,487,817
	11,795,000	Alcoa, Inc., 5.900%, 2/01/2027		11,205,250
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		1,742,500
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		6,325,829
	35,180,000	ArcelorMittal, 7.750%, 3/01/2041		30,078,900
	3,635,000	ArcelorMittal, 8.000%, 10/15/2039		3,162,450
	3,950,000	Barrick Gold Corp., 5.800%, 11/15/2034		3,648,678
	23,735,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		21,456,369
	28,838,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		12,111,960
	34,330,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(h)		1,029,900
	100,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		67,000
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		11,155,500
	975,000	Hecla Mining Co., 6.875%, 5/01/2021		784,875
	19,310,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		18,441,050
	66,920,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		63,574,000
	6,500,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		4,615,000
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		8,717,522
	15,555,000	United States Steel Corp., 6.650%, 6/01/2037		8,710,800
	8,015,000	United States Steel Corp., 6.875%, 4/01/2021		5,850,950
	23,520,000	United States Steel Corp., 7.000%, 2/01/2018		21,168,000

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – continued
$	38,460,000	United States Steel Corp., 7.500%, 3/15/2022	$	27,421,980
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,529,010

				288,093,061

		Midstream – 1.0%
	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		628,538
	9,050,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		5,796,534
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		8,394,720
	310,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		207,661
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		34,100,746
	33,023,000	NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A		31,908,474
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		168,100
	26,020,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		26,875,277
	7,325,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		6,463,119
	1,455,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,367,381
	5,556,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		5,246,975
	15,654,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018		15,614,865
	4,258,532	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		4,364,995
	18,753,000	Williams Partners LP, 3.350%, 8/15/2022		15,304,473

				156,441,858

		Mortgage Related – 0.0%
	58,151	FHLMC, 5.000%, 12/01/2031		64,506

		Natural Gas – 0.2%
	4,130,000	NiSource Finance Corp., 6.125%, 3/01/2022		4,845,803
	21,041,000	NiSource Finance Corp., 6.400%, 3/15/2018		22,817,092
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,380,728

				29,043,623

		Non-Agency Commercial Mortgage-Backed Securities – 0.4%
	12,805,000	Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD)		9,926,130
	11,160,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.794%, 8/10/2045(g)		10,632,488
	18,498,614	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		14,226,164
	38,534,458	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)		36,114,494

				70,899,276

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Oil Field Services – 0.6%
$	485,000	Basic Energy Services, Inc., 7.750%, 10/15/2022	$	140,650
	14,585,000	FTS International, Inc., 6.250%, 5/01/2022		1,604,350
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		4,273,575
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		11,637,495
	29,512,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(b)(h)		7,746,900
	47,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(b)(h)		12,591,760
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		7,075
	10,000	Precision Drilling Corp., 6.500%, 12/15/2021		7,600
	20,000	Precision Drilling Corp., 6.625%, 11/15/2020		16,000
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		21,513,625
	10,432,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		756,320
	1,180,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019		85,550
	51,710,000	Transocean, Inc., 4.300%, 10/15/2022		28,569,775
	1,900,000	Transocean, Inc., 6.500%, 11/15/2020		1,330,000
	1,670,000	Transocean, Inc., 6.800%, 3/15/2038		835,000
	6,530,000	Transocean, Inc., 7.125%, 12/15/2021		4,407,750

				95,523,425

		Packaging – 0.1%
	1,180,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A		1,170,412
	10,351,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		10,609,775
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,549,419

				13,329,606

		Paper – 1.3%
	22,783,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		30,008,219
	51,190,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		69,986,456
	12,590,000	Georgia-Pacific LLC, 8.875%, 5/15/2031		18,580,599
	9,625,000	International Paper Co., 8.700%, 6/15/2038		13,426,615
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		10,239,712
	29,028,000	WestRock MWV LLC, 8.200%, 1/15/2030		37,392,360
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		4,824,046
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		17,143,163

				201,601,170

		Property & Casualty Insurance – 0.3%
	7,023,000	Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021		8,022,829
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,760,000
	5,232,000	Loews Corp., 2.625%, 5/15/2023		5,160,735
	13,985,000	MBIA Insurance Corp., 11.882%, 1/15/2033, 144A(e)(g)		4,824,825
	80,000	MBIA Insurance Corp., 11.882%, 1/15/2033(e)(g)		27,600

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Property & Casualty Insurance – continued
$	5,625,000	Old Republic International Corp., 4.875%, 10/01/2024	$	5,851,153
	12,080,000	Sirius International Group, 6.375%, 3/20/2017, 144A		12,391,084
	1,140,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f)		1,125,750
	6,575,000	XLIT Ltd., 6.250%, 5/15/2027		7,708,918
	1,505,000	XLIT Ltd., 6.375%, 11/15/2024		1,752,958

				48,625,852

		Railroads – 0.9%
	128,700,000	Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(b)(g)		142,603,452
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)		7,596,323
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)		63,308

				150,263,083

		Real Estate Operations/Development – 0.1%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		8,069,424

		Restaurants – 0.0%
	1,325,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		2,010,076

		Retailers – 0.8%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		5,135,813
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,234,278
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,600,951
	14,269,000	Foot Locker, Inc., 8.500%, 1/15/2022(d)		16,059,312
	7,675,000	GameStop Corp., 5.500%, 10/01/2019, 144A		7,368,000
	2,501,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		2,532,263
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		30,407,825
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,601,100
	5,697,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		5,853,667
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		15,754,903
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		10,919,870
	815,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		118,175
	26,415,000	Toys “R” Us, Inc., 7.375%, 10/15/2018		20,999,925

				128,586,082

		Sovereigns – 0.6%
	97,435,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		98,035,200

		Supermarkets – 1.6%
	53,271,000	Albertson’s Holdings LLC/Safeway, Inc., 7.750%, 10/15/2022, 144A		57,665,857
	107,435,000	New Albertson’s, Inc., 7.450%, 8/01/2029		97,497,262
	27,027,000	New Albertson’s, Inc., 7.750%, 6/15/2026		25,202,678
	23,152,000	New Albertson’s, Inc., 8.000%, 5/01/2031		21,733,940
	6,955,000	New Albertson’s, Inc., 8.700%, 5/01/2030		6,676,800

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Supermarkets – continued
$	21,208,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	17,920,760
	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021		3,056,213
	35,540,000	SUPERVALU, Inc., 7.750%, 11/15/2022		30,120,150

				259,873,660

		Supranational – 1.3%
	348,600,000,000	European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR)		26,193,820
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		16,099,369
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		135,546,299
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		34,605,602

				212,445,090

		Technology – 1.9%
	255,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		167,025
	119,135,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		126,580,937
	57,898,000	Amkor Technology, Inc., 6.375%, 10/01/2022		55,292,590
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,851,983
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,383,772
	73,905,000	KLA-Tencor Corp., 4.650%, 11/01/2024		74,493,801
	12,970,000	KLA-Tencor Corp., 5.650%, 11/01/2034		12,920,779
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,390,306
	3,036,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		3,872,980
	8,080,000	Western Digital Corp., 7.375%, 4/01/2023, 144A(k)		8,241,600
	40,000	Xerox Corp., 6.350%, 5/15/2018		42,680
	615,000	Xerox Corp., MTN, 7.200%, 4/01/2016		615,000

				295,853,453

		Transportation Services – 0.2%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(b)		14,065,980
	6,427,401	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(d)		6,539,880
	2,125,822	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(l)		2,173,653
	1,959,577	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(d)		1,959,577
	8,293,338	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(l)		8,542,138
	3,242,878	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 1/02/2018(d)		3,291,522
	14,132	Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(d)(l)		14,698

				36,587,448

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – 24.1%
	597,515,000	Canadian Government, 0.250%, 5/01/2017, (CAD)	$	458,638,482
	545,500,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		422,232,751
	913,810,000	Canadian Government, 1.000%, 8/01/2016, (CAD)		704,683,834
	254,495,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		199,269,340
	157,595,000	Canadian Government, 2.750%, 9/01/2016, (CAD)		122,433,265
	6,575,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		6,957,554
	980,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(i)		786,710
	2,040,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i)		1,326,567
	1,290,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i)		826,687
	310,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(i)		195,225
	3,710,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(i)		2,361,483
	4,825,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(i)		3,066,150
	465,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(i)		296,362
	6,200,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i)		3,934,138
	8,357,200(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		48,904,021
	8,554,600(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		51,998,316
	4,579,595(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		29,887,290
	10,160,320(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		65,260,009
	39,547,655(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		260,385,067
	3,288,446(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		22,773,257
	34,470,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		256,125,418
	113,749(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		845,199
	137,580,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		103,059,260
	128,565,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		104,662,767
	83,000,000	New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)		59,163,730
	764,599,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		106,631,932
	1,317,525,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		166,006,208
	1,096,778,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		149,286,507
	253,010,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		53,829,669
	97,345,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		21,252,298
	8,742,110,000	Republic of Iceland, 6.000%, 10/13/2016, (ISK)		48,555,136

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	2,331,740,000	Republic of Iceland, 7.250%, 10/26/2022, (ISK)	$	13,964,532
	5,523,835,000	Republic of Iceland, 8.750%, 2/26/2019, (ISK)		33,054,015
	150,000,000	U.S. Treasury Note, 0.500%, 3/31/2017		149,824,200
	150,000,000	U.S. Treasury Note, 0.750%, 1/31/2018		150,052,800

				3,822,530,179

		Wireless – 0.6%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		15,514,382
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		8,056,549
	44,104,000	Sprint Capital Corp., 6.875%, 11/15/2028		32,195,920
	8,400,000	Sprint Capital Corp., 8.750%, 3/15/2032		6,573,000
	27,683,000	Sprint Communications, Inc., 6.000%, 11/15/2022		20,243,194
	10,853,000	Sprint Corp., 7.125%, 6/15/2024		8,058,353
	11,346,000	Sprint Corp., 7.250%, 9/15/2021		8,665,507

				99,306,905

		Wirelines – 5.5%
	75,360,000	AT&T, Inc., 2.625%, 12/01/2022		74,628,104
	59,951,000	AT&T, Inc., 3.000%, 2/15/2022		61,170,823
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,615,776
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,758,843
	10,946,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		10,181,571
	107,425,000	CenturyLink, Inc., 6.450%, 6/15/2021		108,834,416
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		9,312,981
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		5,967,238
	1,440,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		1,335,600
	11,991,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		10,462,147
	27,505,000	Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)		32,948,900
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,433,118
	11,505,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		10,900,987
	21,745,000	Frontier Communications Corp., 6.250%, 9/15/2021		20,100,861
	24,305,000	Frontier Communications Corp., 6.875%, 1/15/2025		20,522,534
	60,000	Frontier Communications Corp., 7.000%, 11/01/2025		45,900
	4,035,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,207,825
	1,240,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,066,400
	39,795,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		41,088,337
	1,235,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		1,254,155
	305,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A		81,557
	24,165,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)		6,393,134
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)		12,298,137
	64,382,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		53,437,060
	16,040,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,521,200
	41,590,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		34,727,650
	32,321,000	Qwest Corp., 6.875%, 9/15/2033		31,514,268

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	10,785,000	Qwest Corp., 7.250%, 9/15/2025	$	11,794,573
	785,000	Qwest Corp., 7.250%, 10/15/2035		774,787
	63,364,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		60,229,383
	32,356,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		31,870,660
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,794,632
	1,850,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		2,047,169
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,385,716
	4,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		7,682,044
	18,145,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		30,039,175
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		36,089,320
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		23,015,527
	73,892,000	Verizon Communications, Inc., 2.450%, 11/01/2022		73,439,485
	2,905,000	Verizon New England, Inc., 7.875%, 11/15/2029		3,558,567
	3,130,000	Verizon Pennsylvania, Inc., 6.000%, 12/01/2028		3,479,089

				879,009,649


		Total Non-Convertible Bonds (Identified Cost $13,409,360,398)		12,150,090,418


	Convertible Bonds – 5.6%

		Building Materials – 0.1%
	1,015,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		898,275
	415,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		437,047
	14,067,000	KB Home, 1.375%, 2/01/2019		12,976,807

				14,312,129

		Chemicals – 0.0%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		6,768,469

		Consumer Cyclical Services – 0.1%
	13,720,000	Jarden Corp., 1.125%, 3/15/2034		17,355,800

		Consumer Products – 0.0%
	675,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		459,000

		Diversified Manufacturing – 0.2%
	25,202,000	Trinity Industries, Inc., 3.875%, 6/01/2036		26,745,623

		Healthcare – 0.2%
	27,720,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i)		35,828,100

		Leisure – 0.2%
	35,626,000	Rovi Corp., 0.500%, 3/01/2020		33,946,234

		Midstream – 0.4%
	33,110,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		13,244,000
	86,709,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		54,843,442

				68,087,442

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Pharmaceuticals – 0.0%
$	2,107,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018	$	2,440,169
	2,929,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		3,472,696

				5,912,865

		Property & Casualty Insurance – 0.5%
	59,405,000	Old Republic International Corp., 3.750%, 3/15/2018		73,587,944

		Technology – 3.9%
	9,685,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		9,594,203
	28,239,000	Ciena Corp., 0.875%, 6/15/2017		27,709,519
	14,865,000	Ciena Corp., 3.750%, 10/15/2018, 144A		17,577,862
	4,989,000	Intel Corp., 2.950%, 12/15/2035		6,339,148
	316,175,000	Intel Corp., 3.250%, 8/01/2039		502,915,859
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		2,364,366
	7,055,386	Liberty Media LLC, 3.500%, 1/15/2031		6,561,403
	11,900,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		10,955,438
	1,231,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,267,930
	13,345,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		13,428,406
	15,405,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		14,990,991

				613,705,125


		Total Convertible Bonds (Identified Cost $713,740,043)		896,708,731


	Municipals – 2.1%

		District of Columbia – 0.0%
	5,610,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		7,124,083

		Illinois – 0.6%
	69,245,000	State of Illinois, 5.100%, 6/01/2033		64,754,461
	38,330,000	State of Illinois, Series B, 5.520%, 4/01/2038		35,609,720

				100,364,181

		Michigan – 0.1%
	19,820,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		18,129,156

		Ohio – 0.1%
	8,200,000	Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047		7,726,122

		Virginia – 0.9%
	171,050,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		137,548,147

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Puerto Rico – 0.4%
$	85,210,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035	$	58,581,875

		Total Municipals (Identified Cost $367,261,991)		329,473,564


		Total Bonds and Notes (Identified Cost $14,490,362,432)		13,376,272,713


	Senior Loans – 1.9%

		Automotive – 0.1%
	9,399,713	IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(g)		8,671,236
	7,744,876	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)(g)		6,583,144

				15,254,380

		Chemicals – 0.4%
	7,116,105	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(g)		6,973,783
	7,953,832	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(g)		7,237,987
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(g)		45,582,075

				59,793,845

		Consumer Cyclical Services – 0.5%
	53,263,125	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(g)		33,023,138
	55,750,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(b)(g)		37,631,250

				70,654,388

		Diversified Manufacturing – 0.0%
	12,709,313	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(g)		5,750,964

		Finance Companies – 0.3%
	51,708,529	iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(g)		51,320,715

		Financial Other – 0.1%
	16,815,038	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(g)		16,667,906

		Industrial Other – 0.0%
	2,865,926	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(g)		2,727,416

		Media Entertainment – 0.0%
	11,917,684	SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(g)		3,836,064

		Natural Gas – 0.0%
	13,463,559	Southcross Holdings Borrower LP, Term Loan B, 7.500%, 8/04/2021(g)(h)		1,380,015

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Oil Field Services – 0.1%
$	3,109,527	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(g)	$	365,370
	8,124,988	Paragon Offshore Finance Co., Term Loan B, 5.250%, 7/18/2021(b)(g)(h)		1,746,872
	3,821,372	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(g)		2,155,903
	3,558,623	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(b)(g)		1,524,265

				5,792,410

		Other Utility – 0.0%
	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)		4,185,625

		Property & Casualty Insurance – 0.0%
	2,550,800	CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(g)		2,514,655

		Retailers – 0.0%
	4,716,349	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(g)		4,138,596

		Supermarkets – 0.1%
	15,474,215	Albertson’s LLC, Term Loan B4, 5.500%, 8/25/2021(g)		15,481,952

		Technology – 0.1%
	5,596,800	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(g)		5,363,581
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(g)		4,969,494

				10,333,075

		Transportation Services – 0.0%
	5,133,721	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(g)		4,620,349

		Wireless – 0.0%
	4,615,385	Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(g)		4,311,554

		Wirelines – 0.2%
	1,896,314	Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(g)		1,878,299
	19,347,093	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(g)		18,343,559
	2,548,975	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(g)		2,436,387

				22,658,245


		Total Senior Loans (Identified Cost $381,468,992)		301,422,154


	Shares

	Common Stocks – 8.1%

		Airlines – 0.1%
	213,831	United Continental Holdings, Inc.(e)		12,799,924

		Automobiles – 1.8%
	21,480,222	Ford Motor Co.		289,982,997

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(e)	$	10,302,308

		Diversified Telecommunication Services – 0.4%
	403,884	Hawaiian Telcom Holdco, Inc.(e)		9,511,468
	421,481	Level 3 Communications, Inc.(e)		22,275,271
	2,657,843	Telefonica S.A., Sponsored ADR		29,581,792

				61,368,531

		Energy Equipment & Services – 0.0%
	486,727	Hercules Offshore, Inc.(e)		1,168,145

		Metals & Mining – 0.2%
	6,559,672	ArcelorMittal, (Registered)		30,043,298
	324,383	Cliffs Natural Resources, Inc.(e)		973,149

				31,016,447

		Multi-Utilities – 0.0%
	63,091	CMS Energy Corp.		2,677,582

		Oil, Gas & Consumable Fuels – 0.3%
	1,033,462	Chesapeake Energy Corp.		4,257,863
	868,395	Repsol YPF S.A., Sponsored ADR		9,821,547
	231,675	Rex Energy Corp.(e)		177,996
	758,315	Royal Dutch Shell PLC, Sponsored ADR		36,740,362

				50,997,768

		Pharmaceuticals – 1.4%
	3,414,069	Bristol-Myers Squibb Co.		218,090,728

		REITs – Diversified – 0.0%
	226,669	NexPoint Residential Trust, Inc.		2,967,097

		Semiconductors & Semiconductor Equipment – 3.7%
	18,520,348	Intel Corp.		599,133,258

		Trading Companies & Distributors – 0.1%
	208,780	United Rentals, Inc.(e)		12,984,028


		Total Common Stocks (Identified Cost $969,285,305)		1,293,488,813


	Preferred Stocks – 1.4%

	Convertible Preferred Stocks – 1.2%

		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		29,386,574
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		15,042,140

				44,428,714

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Communications – 0.0%
	14,923	Cincinnati Bell, Inc., 6.750%	$	723,766

		Electric – 0.1%
	430,351	AES Trust III, 6.750%		21,737,029

		Energy – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		13,937,131

		Metals & Mining – 0.3%
	1,182,307	Alcoa, Inc., Series 1, 5.375%		39,004,308

		Midstream – 0.1%
	257,387	Chesapeake Energy Corp., 4.500%(e)		4,596,932
	476,844	Chesapeake Energy Corp., 5.000%(e)		6,542,300
	39,322	Chesapeake Energy Corp., 5.750%, 144A(e)		7,013,865
	19,498	Chesapeake Energy Corp., Series A, 5.750%, 144A(e)		3,375,591

				21,528,688

		REITs – Diversified – 0.2%
	37,815	Crown Castle International Corp., Series A, 4.500%		4,053,768
	536,944	Weyerhaeuser Co., Series A, 6.375%		27,448,577

				31,502,345

		REITs – Health Care – 0.1%
	172,150	Welltower, Inc., 6.500%		10,690,515

		REITs – Hotels – 0.0%
	231,450	FelCor Lodging Trust, Inc., Series A, 1.950%		5,834,854

		REITs – Mortgage – 0.0%
	58,431	iStar, Inc., Series J, 4.500%		2,451,765


		Total Convertible Preferred Stocks (Identified Cost $287,433,849)		191,839,115


	Non-Convertible Preferred Stocks – 0.2%

		Banking – 0.0%
	6,420	Countrywide Capital IV, 6.750%		163,004

		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		124,861
	100	Entergy Arkansas, Inc., 4.320%		9,656
	5,000	Entergy Mississippi, Inc., 4.360%		468,282
	665	Entergy New Orleans, Inc., 4.360%		65,960
	200	Entergy New Orleans, Inc., 4.750%		20,156
	50,100	Southern California Edison Co., 4.780%		1,262,520

				1,951,435

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Finance Companies – 0.1%
	67,611	iStar, Inc., Series E, 7.875%	$	1,480,681
	64,123	iStar, Inc., Series F, 7.800%		1,445,973
	16,004	iStar, Inc., Series G, 7.650%		360,890
	149,767	SLM Corp., Series A, 6.970%		6,949,189

				10,236,733

		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(e)		121,594

		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,917,058

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		10,869,263

		Total Non-Convertible Preferred Stocks (Identified Cost $21,490,615)		26,259,087


		Total Preferred Stocks (Identified Cost $308,924,464)		218,098,202


	Closed-End Investment Companies – 0.0%

	170,002	NexPoint Credit Strategies Fund (Identified Cost $9,807,937)		3,068,536


	Principal Amount (‡)

	Short-Term Investments – 3.7%

$	3,213,495	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2016 at 0.000% to be repurchased at $3,213,495 on 4/01/2016 collateralized by $3,219,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,277,819 including accrued interest (Note 2 of Notes to Financial Statements)		3,213,495

	588,050,284	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2016 at 0.030% to be repurchased at $588,050,774 on 4/01/2016 collateralized by $589,505,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $599,084,456; $535,000 U.S. Treasury Bond, 7.250% due 8/15/2022 valued at $728,269 (Note 2 of Notes to Financial Statements)		588,050,284

		Total Short-Term Investments (Identified Cost $591,263,779)		591,263,779


		Total Investments – 99.3% (Identified Cost $16,751,112,909)(a)		15,783,614,197
		Other Assets Less Liabilities—0.7%		104,084,681

		Net Assets – 100.0%	$	15,887,698,878

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2016 (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 that will be 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, 2016, the net unrealized depreciation on investments based on a cost of $16,804,818,409 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	$	1,197,257,896
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(2,218,462,108	)

	Net unrealized depreciation	$	(1,021,204,212	)

(b)	Illiquid security. At March 31, 2016, the value of these securities amounted to $476,636,810 or 3.0% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures. See Note 2 of Notes to Financial Statements.
(c)	Illiquid security. At March 31, 2016, the value of these securities amounted to $39,653,349 or 0.2% of net assets.
(d)	Fair valued by the Fund’s adviser. At March 31, 2016, the value of these securities amounted to $78,234,129 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
(e)	Non-income producing security.
(f)	Perpetual bond with no specified maturity date.
(g)	Variable rate security. Rate as of March 31, 2016 is disclosed.
(h)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(i)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(j)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities.
(k)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
(l)	Maturity has been extended under the terms of a plan of reorganization.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016, the value of Rule 144A holdings amounted to $2,495,896,599 or 15.7% of net assets.
ABS	Asset-Backed Securities
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
FHLMC	Federal Home Loan Mortgage Corp.
GMTN	Global Medium Term Note
GO	General Obligation
MBIA	Municipal Bond Investors Assurance Corp.
MTN	Medium Term Note
PIK	Payment-in-Kind
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
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2016 (Unaudited)

Loomis Sayles Bond Fund – continued

Industry Summary at March 31, 2016 (Unaudited)


Treasuries	24.1	%
Banking	7.8
Technology	5.9
Wirelines	5.7
Finance Companies	5.6
Semiconductors & Semiconductor Equipment	3.7
Healthcare	2.6
Chemicals	2.6
Airlines	2.3
Metals & Mining	2.3
Electric	2.1
Municipals	2.1
Life Insurance	2.0
Other Investments, less than 2% each	26.8
Short-Term Investments	3.7

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2016 (Unaudited)


United States Dollar	65.9	%
Canadian Dollar	14.0
New Zealand Dollar	4.9
Mexican Peso	4.7
Australian Dollar	3.3
Norwegian Krone	2.7
Other, less than 2% each	3.8

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Statement of Assets and Liabilities

March 31, 2016 (Unaudited)


ASSETS
Investments at cost	$	16,751,112,909
Net unrealized depreciation		(967,498,712	)

Investments at value		15,783,614,197
Cash		212,635
Foreign currency at value (identified cost $6,064,882)		6,102,878
Receivable for Fund shares sold		42,749,049
Receivable for securities sold		53,309,428
Dividends and interest receivable		216,018,116
Tax reclaims receivable		211,142

TOTAL ASSETS		16,102,217,445

LIABILITIES
Payable for securities purchased		150,270,561
Payable for when-issued/delayed delivery securities purchased (Note 2)		8,080,000
Payable for Fund shares redeemed		46,456,569
Management fees payable (Note 5)		6,927,501
Deferred Trustees’ fees (Note 5)		1,285,631
Administrative fees payable (Note 5)		590,818
Payable to distributor (Note 5d)		86,835
Other accounts payable and accrued expenses		820,652

TOTAL LIABILITIES		214,518,567

NET ASSETS	$	15,887,698,878

NET ASSETS CONSIST OF:
Paid-in capital	$	16,989,898,536
Undistributed net investment income		84,458,218
Accumulated net realized loss on investments and foreign currency transactions		(220,886,783	)
Net unrealized depreciation on investments and foreign currency translations		(965,771,093	)

NET ASSETS	$	15,887,698,878


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	10,612,720,501

Shares of beneficial interest		804,843,898

Net asset value, offering and redemption price per share	$	13.19

Retail Class:
Net assets	$	4,953,956,722

Shares of beneficial interest		377,534,961

Net asset value, offering and redemption price per share	$	13.12

Admin Class shares:
Net assets	$	220,248,043

Shares of beneficial interest		16,843,141

Net asset value, offering and redemption price per share	$	13.08

Class N shares:
Net assets	$	100,773,612

Shares of beneficial interest		7,650,898

Net asset value, offering and redemption price per share	$	13.17

See accompanying notes to financial statements.

| 28

Statement of Operations

For the Six Months Ended March 31, 2016 (Unaudited)


INVESTMENT INCOME
Interest	$	409,360,771
Dividends		37,144,902
Less net foreign taxes withheld		(421,625	)

		446,084,048

Expenses
Management fees (Note 5)		44,857,444
Service and distribution fees (Note 5)		7,421,228
Administrative fees (Note 5)		3,814,080
Trustees’ fees and expenses (Note 5)		174,307
Transfer agent fees and expenses (Notes 5 and 6)		6,863,922
Audit and tax services fees		31,344
Custodian fees and expenses		549,053
Legal fees		139,133
Registration fees		163,127
Shareholder reporting expenses		460,162
Miscellaneous expenses		208,295

Total expenses		64,682,095
Less waiver and/or expense reimbursement (Note 5)		(896	)

Net expenses		64,681,199

Net investment income		381,402,849


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(120,108,274	)
Foreign currency transactions		(1,918,749	)
Net change in unrealized appreciation (depreciation) on:
Investments		(11,156,646	)
Foreign currency translations		3,903,203

Net realized and unrealized loss on investments and foreign currency transactions		(129,280,466	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	252,122,383

See accompanying notes to financial statements.

29 |

Statement of Changes in Net Assets


	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	381,402,849		$	956,689,736
Net realized gain (loss) on investments and foreign currency transactions		(122,027,023	)		481,989,097
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(7,253,443	)		(2,911,372,919	)

Net increase (decrease) in net assets resulting from operations		252,122,383			(1,472,694,086	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(183,467,420	)		(512,255,001	)
Retail Class		(79,788,076	)		(252,624,470	)
Admin Class		(3,013,687	)		(8,089,242	)
Class N		(1,466,924	)		(1,912,703	)
Net realized capital gains
Institutional Class		(431,902,062	)		(410,991,876	)
Retail Class		(204,088,780	)		(225,446,461	)
Admin Class		(8,388,507	)		(7,713,407	)
Class N		(3,281,035	)		(1,037,226	)

Total distributions		(915,396,491	)		(1,420,070,386	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(3,009,025,940	)		(1,987,306,136	)

Net decrease in net assets		(3,672,300,048	)		(4,880,070,608	)
NET ASSETS
Beginning of the period		19,559,998,926			24,440,069,534

End of the period	$	15,887,698,878		$	19,559,998,926

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	84,458,218		$	(29,208,524	)

See accompanying notes to financial statements.

| 30

Financial Highlights

For a share outstanding throughout each period.


	Institutional Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	13.65		$	15.49		$	15.09		$	14.99		$	13.88		$	14.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.61			0.60			0.69			0.72			0.73
Net realized and unrealized gain (loss)		(0.05	)		(1.55	)		0.54			0.27			1.24			(0.25	)

Total from Investment Operations		0.25			(0.94	)		1.14			0.96			1.96			0.48

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.50	)		(0.67	)		(0.86	)		(0.85	)		(0.80	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—			—

Total Distributions		(0.71	)		(0.90	)		(0.74	)		(0.86	)		(0.85	)		(0.80	)

Net asset value, end of the period	$	13.19		$	13.65		$	15.49		$	15.09		$	14.99		$	13.88

Total return		1.95	%(b)		(6.37	)%		7.66	%		6.51	%		14.52	%		3.34	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10,612,721		$	12,966,991		$	15,488,726		$	12,997,813		$	12,971,639		$	10,897,694
Net expenses		0.66	%(c)		0.64	%		0.63	%		0.63	%		0.63	%		0.63	%
Gross expenses		0.66	%(c)		0.64	%		0.63	%		0.63	%		0.63	%		0.63	%
Net investment income		4.47	%(c)		4.17	%		3.85	%		4.57	%		4.99	%		5.04	%
Portfolio turnover rate		4	%		22	%		26	%		28	%		20	%		22	%

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

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

31 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Retail Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	13.59		$	15.43		$	15.02		$	14.93		$	13.83		$	14.15

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.28			0.57			0.55			0.65			0.68			0.69
Net realized and unrealized gain (loss)		(0.06	)		(1.55	)		0.56			0.25			1.23			(0.25	)

Total from Investment Operations		0.22			(0.98	)		1.11			0.90			1.91			0.44

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.46	)		(0.63	)		(0.81	)		(0.81	)		(0.76	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—			—

Total Distributions		(0.69	)		(0.86	)		(0.70	)		(0.81	)		(0.81	)		(0.76	)

Net asset value, end of the period	$	13.12		$	13.59		$	15.43		$	15.02		$	14.93		$	13.83

Total return		1.75	%(b)		(6.58	)%		7.40	%		6.15	%		14.25	%		2.97	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,953,957		$	6,268,878		$	8,627,288		$	8,282,010		$	8,651,794		$	7,907,178
Net expenses		0.91	%(c)		0.89	%		0.91	%		0.92	%		0.92	%		0.92	%
Gross expenses		0.91	%(c)		0.89	%		0.91	%		0.92	%		0.92	%		0.92	%
Net investment income		4.22	%(c)		3.91	%		3.58	%		4.28	%		4.69	%		4.75	%
Portfolio turnover rate		4	%		22	%		26	%		28	%		20	%		22	%

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

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

See accompanying notes to financial statements.

| 32

Financial Highlights – continued

For a share outstanding throughout each period.


	Admin Class
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012			Year Ended September 30, 2011
Net asset value, beginning of the period	$	13.54		$	15.38		$	14.98		$	14.89		$	13.80		$	14.11

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.53			0.51			0.61			0.63			0.65
Net realized and unrealized gain (loss)		(0.04	)		(1.55	)		0.55			0.25			1.23			(0.25	)

Total from Investment Operations		0.22			(1.02	)		1.06			0.86			1.86			0.40

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.42	)		(0.59	)		(0.77	)		(0.77	)		(0.71	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—			—

Total Distributions		(0.68	)		(0.82	)		(0.66	)		(0.77	)		(0.77	)		(0.71	)

Net asset value, end of the period	$	13.08		$	13.54		$	15.38		$	14.98		$	14.89		$	13.80

Total return		1.70	%(b)		(6.89	)%		7.15	%		5.88	%		13.91	%		2.77	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	220,248		$	239,088		$	292,668		$	272,181		$	302,018		$	262,567
Net expenses		1.16	%(c)		1.14	%		1.17	%		1.18	%		1.20	%		1.20	%(d)
Gross expenses		1.16	%(c)		1.14	%		1.17	%		1.18	%		1.20	%		1.20	%(d)
Net investment income		3.99	%(c)		3.67	%		3.32	%		4.02	%		4.42	%		4.47	%
Portfolio turnover rate		4	%		22	%		26	%		28	%		20	%		22	%

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

(b)	Periods less than one year are not annualized.

(c)	Computed on an annualized basis for periods less than one year.

(d)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

33 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Class N
	Six Months Ended March 31, 2016 (Unaudited)			Year Ended September 30, 2015			Year Ended September 30, 2014			Period Ended September 30, 2013*
Net asset value, beginning of the period	$	13.64		$	15.48		$	15.07		$	15.33

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.63			0.59			0.47
Net realized and unrealized gain (loss)		(0.05	)		(1.56	)		0.57			(0.25	)

Total from Investment Operations		0.25			(0.93	)		1.16			0.22

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.51	)		(0.68	)		(0.48	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.72	)		(0.91	)		(0.75	)		(0.48	)

Net asset value, end of the period	$	13.17		$	13.64		$	15.48		$	15.07

Total return		1.92	%(b)		(6.31	)%		7.79	%		1.45	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	100,774		$	85,042		$	31,387		$	241
Net expenses		0.58	%(d)		0.57	%		0.58	%(e)		0.65	%(d)(f)
Gross expenses		0.58	%(d)		0.57	%		0.58	%(e)		2.14	%(d)
Net investment income		4.60	%(d)		4.33	%		3.80	%		4.73	%(d)
Portfolio turnover rate		4	%		22	%		26	%		28	%

*	From commencement of Class operations on February 1, 2013 through September 30, 2013.

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

(b)	Periods less than one year are not annualized.

(c)	Had certain expenses not been waived/reimbursed during the period, total returns would have been lower.

(d)	Computed on an annualized basis for periods less than one year.

(e)	Includes fee/expense recovery of 0.01%.

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

See accompanying notes to financial statements.

| 34

Notes to Financial Statements

March 31, 2016 (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.

The Fund offers Institutional Class, Retail Class, Admin Class and Class N shares.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Admin Class shares are primarily intended for employer-sponsored retirement plans and are offered exclusively through intermediaries. Effective November 2, 2015, Class N shares are offered to investors with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000, though some categories of investors are exempted from the minimum investment amount as outlined in the Fund’s prospectus.

Most expenses 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 Natixis Funds Trust I, Natixis Funds Trust II, Natixis Funds Trust IV, Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”). 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, for Institutional Class, Retail Class, and Admin Class collectively, and Class N individually, 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 follow the accounting and reporting guidelines provided for investment companies and 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.

35 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of March 31, 2016, securities held by the Fund were fair valued as follows:


Illiquid securities¹	Percentage of Net Assets	Other fair valued securities²	Percentage of Net Assets
$476,636,810	3.0%	$78,234,129	0.5%

¹Illiquid securities are deemed to be fair valued pursuant to the Fund’s pricing policies and procedures.

²Fair valued by the Fund’s adviser.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates 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 or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statement of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Fund has net losses, reduce the amount of income available to be distributed by the Fund.

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statement of Operations, may be characterized as ordinary income and may, if the Fund has net losses, reduce the amount of income available to be distributed by the Fund.

During the six months ended March 31, 2016, the amount of income available to be distributed by the Fund was reduced by $260,243,840 as a result of losses arising 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. When-Issued and Delayed Delivery Transactions. The Fund may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities 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 Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. No interest accrues to the Fund until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Fund or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Fund cover its net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

Purchases of when-issued or delayed delivery securities may have a similar effect on the Fund’s NAV as if the Fund’s 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.

e. Federal and Foreign Income Taxes. 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

| 38

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

analysis of the Fund’s tax positions for the open tax years as of March 31, 2016 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 withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statement of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement of Assets and Liabilities and are recorded as a realized gain when received.

f. 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 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 foreign currency transactions, contingent payment debt instruments, premium amortization, convertible bonds, paydown gains and losses, return of capital and capital gain distributions received and trust preferred securities. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statement of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, convertible bonds, defaulted and/or non-income producing securities, return of capital distributions received, trust preferred securities, and contingent payment debt instruments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital

39 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

distribution. 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, 2015 was as follows:


2015 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total
$776,328,389	$643,741,997	$1,420,070,386

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 March 31, 2016, unrealized depreciation on a tax basis was approximately as follows:


Unrealized depreciation
Investments	$	(56,519,266	)
Foreign currency translations		(962,957,327	)

Total unrealized depreciation	$	(1,019,476,593	)

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

g. Repurchase Agreements. The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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. 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. As of March 31, 2016, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes.

h. 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

| 40

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

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, 2016, the Fund did not loan securities under this agreement.

i. 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;

•

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 Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	14,751,696	$	58,126,444	(b)	$	72,878,140
Airlines		—		346,007,554		352,898	(c)		346,360,452
Chemicals		—		337,976,278		11,657,650	(d)		349,633,928
Finance Companies		2,927,309		825,577,037		1,240,000	(c)		829,744,346
Independent Energy		—		146,662,231		2,007,850	(c)		148,670,081
Non-Agency Commercial Mortgage-Backed Securities		—		34,784,782		36,114,494	(c)		70,899,276
Retailers		—		112,526,770		16,059,312	(d)		128,586,082
Transportation Services		—		14,065,980		22,521,468	(d)		36,587,448
All Other Non-Convertible Bonds(a)		—		10,166,730,665		—			10,166,730,665

Total Non-Convertible Bonds		2,927,309		11,999,082,993		148,080,116			12,150,090,418

Convertible Bonds(a)		—		896,708,731		—			896,708,731
Municipals(a)		—		329,473,564		—			329,473,564

Total Bonds and Notes		2,927,309		13,225,265,288		148,080,116			13,376,272,713

Senior Loans(a)		—		301,422,154		—			301,422,154
Common Stocks(a)		1,293,488,813		—		—			1,293,488,813

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	4,596,932	$	3,375,591	$	13,556,165	(c)	$	21,528,688
REITs—Mortgage		—		2,451,765		—			2,451,765
All Other Convertible Preferred Stocks(a)		167,858,662		—		—			167,858,662

Total Convertible Preferred Stocks		172,455,594		5,827,356		13,556,165			191,839,115

Non-Convertible Preferred Stocks
Electric		1,262,520		688,915		—			1,951,435
REITs—Office Property		—		2,917,058		—			2,917,058
REITs—Warehouse/Industrials		—		10,869,263		—			10,869,263
All Other Non-Convertible Preferred Stocks(a)		10,521,331		—		—			10,521,331

Total Non-Convertible Preferred Stocks		11,783,851		14,475,236		—			26,259,087

Total Preferred Stocks		184,239,445		20,302,592		13,556,165			218,098,202

Closed-End Investment Companies		3,068,536		—		—			3,068,536
Short-Term Investments		—		591,263,779		—			591,263,779

Total	$	1,483,724,103	$	14,138,253,813	$	161,636,281		$	15,783,614,197

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

(b) Valued using broker-dealer bid prices ($30,130,745) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($27,995,699).

(d) Fair valued by the Fund’s adviser.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2015 and/or March 31, 2016:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2015		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	75,947,254	$	—	$	6,112		$	(14,175,644	)	$	—
Airlines		376,513		—		(2,621	)		(4,352	)		—

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Asset Valuation Inputs – continued


Investments in Securities – continued	Balance as of September 30, 2015			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes – continued
Chemicals	$	—		$	203,707	$	—		$	(13,869,615	)	$	—
Finance Companies		—			533		—			(1,116,533	)		—
Independent Energy		—			—		—			—			2,007,850
Metals & Mining		2,706,093			—		—			—			—
Non-Agency Commercial Mortgage-Backed Securities		39,002,217			—		—			(2,737,181	)		—
Oil Field Services		4,760,920			—		—			—			—
Retailers		15,663,313			41,335		—			354,664			—
Transportation Services		24,921,569			—		495,779			(674,939	)		—
Preferred Stocks
Convertible Preferred Stocks
Midstream		—			—		—			(26,144,499	)		—

Total	$	163,377,879		$	245,575	$	499,270		$	(58,368,099	)	$	2,007,850


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(3,651,278	)	$	—	$	—		$	58,126,444		$	(15,395,220	)
Airlines		(16,642	)		—		—			352,898			(4,725	)
Chemicals		—			25,323,558		—			11,657,650			(13,869,615	)
Finance Companies		—			2,356,000		—			1,240,000			(1,116,533	)
Independent Energy		—			—		—			2,007,850			—
Metals & Mining		—			—		(2,706,093	)		—			—
Non-Agency Commercial Mortgage-Backed Securities		(150,542	)		—		—			36,114,494			(2,735,947	)
Oil Field Services		—			—		(4,760,920	)		—			—
Retailers		—			—		—			16,059,312			354,664
Transportation Services		(2,220,941	)		—		—			22,521,468			(126,128	)

| 44

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Asset Valuation Inputs – continued



Investments in Securities – continued	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2016
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	—		$	39,700,664	$	—		$	13,556,165	$	(26,144,499	)

Total	$	(6,039,403	)	$	67,380,222	$	(7,467,013	)	$	161,636,281	$	(59,038,003	)

Debt securities valued at $25,323,558 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued at fair value as determined in good faith by the Fund’s adviser as an independent pricing service did not provide a reliable price for the securities.

A debt security valued at $2,356,000 was transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.

Debt securities valued at $7,467,013 were transferred from Level 3 to Level 2 during the period ended March 31, 2016. At September 30, 2015, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2016, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.

Preferred stocks valued at $39,700,664 were transferred from Level 2 to Level 3 during the period ended March 31, 2016. At September 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At March 31, 2016, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the securities.

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

4. Purchases and Sales of Securities. For the six months ended March 31, 2016, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $515,588,980 and $2,757,919,768, respectively.

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Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $150,082,031 and $1,460,689,030, 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	Next $10 billion	Over $25 billion
0.60%	0.50%	0.49%	0.48%

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, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until January 31, 2017, may be terminated before then only with the consent of the Fund’s Board of Trustees 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, 2016, 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	Class N
0.70%	0.95%	1.20%	0.65%

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 annual operating 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, 2016, the management fees for the Fund were $44,857,444 (effective rate of 0.52% of average daily net assets).

No expenses were recovered during the six months ended March 31, 2016 under the terms of the expense limitation agreement.

| 46

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted Distribution Plans relating to the Fund’s Retail Class shares (the “Retail Class Plan”) and 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, 2016, the service and distribution fees for the Fund were as follows:


Service Fees	Distribution Fees
Admin Class	Retail Class	Admin Class
$282,140	$6,856,948	$282,140

c. Administrative Fees. NGAM Advisors, L.P. (“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 Trusts, Loomis Sayles Funds Trusts 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

47 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

and Loomis Sayles Funds Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0350% of the next $30 billion and 0.0325% of such assets in excess of $90 billion, subject to an annual aggregate minimum fee for the Natixis Funds Trusts and Loomis Sayles Funds Trusts of $10 million, which is reevaluated on an annual basis.

For the six months ended March 31, 2016, the administrative fees for the Fund were $3,814,080.

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended March 31, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $6,616,339.

As of March 31, 2016, the Fund owes NGAM Distribution $86,835 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

| 48

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

receives an additional retainer fee at the annual rate of $10,000. Each Contract Review 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 $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. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts 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 and Loomis Sayles Funds Trusts, 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. As of March 31, 2016, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Fund representing 0.07% and 0.21% of the Fund’s net assets, respectively.

Investment activities of affiliated shareholders could have material impacts on the Fund.

g. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors had given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for the Fund’s Class N shares. This undertaking was in effect through January 31, 2016 and is not subject to recovery under the expense limitation agreement described above.

For the period October 1, 2015 through January 31, 2016, NGAM Advisors reimbursed the Fund $896 for transfer agency expenses related to Class N shares.

49 |

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

6. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2016, the Fund incurred the following class-specific transfer agent fees and expenses (including sub-transfer agent fees, where applicable):


Transfer Agent Fees and Expenses
Institutional Class	Retail Class	Admin Class	Class N
$4,597,613	$2,175,184	$89,790	$1,335

7. Line of Credit. The Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participates in a $150,000,000 committed unsecured line of credit provided by State Street Bank and Trust. Any one Fund may borrow up to the full $150,000,000 under the line of credit (as long as all borrowings by all Funds in the aggregate do not exceed the $150,000,000 limit at any time). 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 0.15% 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.

For the six months ended March 31, 2016, the Fund had no borrowings under this agreement.

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.

| 50

Notes to Financial Statements – continued

March 31, 2016 (Unaudited)

9. 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, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		104,783,804		$	1,373,117,798			246,690,367		$	3,644,602,280
Issued in connection with the reinvestment of distributions		43,478,975			561,386,366			56,771,737			833,303,917
Redeemed		(293,282,800	)		(3,842,517,915	)		(353,219,966	)		(5,125,809,847	)

Net change		(145,020,021	)	$	(1,908,013,751	)		(49,757,862	)	$	(647,903,650	)

Retail Class
Issued from the sale of shares		27,141,287		$	353,764,996			104,527,961		$	1,544,181,465
Issued in connection with the reinvestment of distributions		21,727,791			279,114,382			31,828,665			465,533,479
Redeemed		(132,704,169	)		(1,741,479,585	)		(234,276,979	)		(3,391,871,683	)

Net change		(83,835,091	)	$	(1,108,600,207	)		(97,920,353	)	$	(1,382,156,739	)

Admin Class
Issued from the sale of shares		1,177,072		$	15,265,977			4,705,090		$	69,390,142
Issued in connection with the reinvestment of distributions		850,199			10,880,505			1,038,776			15,140,337
Redeemed		(2,838,481	)		(36,951,152	)		(7,121,582	)		(103,449,460	)

Net change		(811,210	)	$	(10,804,670	)		(1,377,716	)	$	(18,918,981	)

Class N
Issued from the sale of shares		1,914,081		$	25,042,007			5,127,053		$	74,872,446
Issued in connection with the reinvestment of distributions		365,006			4,706,671			199,677			2,908,708
Redeemed		(864,242	)		(11,355,990	)		(1,118,321	)		(16,107,920	)

Net change		1,414,845		$	18,392,688			4,208,409		$	61,673,234

Increase (decrease) from capital share transactions		(228,251,477	)	$	(3,009,025,940	)		(144,847,522	)	$	(1,987,306,136	)

51 |

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/ Kevin Charleston

Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		May 23, 2016

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/ Kevin Charleston

Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		May 23, 2016

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 23, 2016

Loomis Sayles Funds I N-CSRSCertified semi-annual shareholder report (management investment company)