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

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)

Russell L. Kane, 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) 449-2822

Date of fiscal year end: September 30

Date of reporting period: September 30, 2016

Item 1.

Reports to Stockholders.

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

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Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Annual Report

September 30, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			22
Financial Statements			41
Notes to Financial Statements			53

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

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Market Conditions

Overall, U.S. equity markets were generally strong for the 12-month period, benefiting from the robust performance off the market bottom in February 2016 and following the two-day Brexit vote-inspired selloff in June. Within the small-cap segment of the market, the smallest companies and the lowest-quality companies (as measured by return on equity) were the strongest performers in the February market rebound. The third quarter of 2016 was a particularly challenging market environment for the fund, as the highest beta (high risk/high reward potential) names significantly outperformed the lowest beta names. Among small-cap stocks, value stocks significantly outperformed growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 6.92%. The fund underperformed its benchmark, the Russell 2000^® Growth Index, which returned 12.12%.

Explanation of Fund Performance

Stock selection in the information technology, industrials and healthcare sectors primarily accounted for the fund’s underperformance. Given the fund’s strategy, the market environment during the third quarter of 2016 created a significant headwind.

In terms of individual holdings, the top contributor to fund performance was financials company MarketAxess Holdings. The company continued to steadily gain market share in electronic bond trading, and its earnings grew. In addition, the company remains significantly underpenetrated in the fixed-income market, its biggest market opportunity. In 2016, MarketAxess launched electronic trading for municipal bonds, a market no other firm has been able to penetrate electronically. Following two years of increased investments, MarketAxess is now leveraging those efforts and generating robust incremental margins.

Wix.com, a website development company for small and medium businesses, also was a top-performing holding. The company demonstrated consistently strong revenue growth by converting free users to paid subscribers and retaining their business. The mid-year release of its Artificial Design Intelligence (ADI) platform generated a lot of excitement as an even easier and more intuitive way to create a website, and it’s positioned to aid

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conversion in the future. Another top contributor was technology company Intersil, which announced it was being acquired by Rensas, a Japanese semiconductor company.

A position in Demandware, a software service provider that powers e-commerce for large brands and retailers, was a main detractor. The company was a multi-year holding for the fund, but in late 2015 it experienced slowing revenue due to lower same-store sales growth among existing customers. A sharp selloff in software-as-a-service companies in February 2016 triggered our stop loss, and we sold the position.

In addition, a position in Advisory Board Company, a research and software tools company serving the healthcare and education markets, was a primary detractor. A deceleration of growth in the healthcare segment and a delay in the integration of an education acquisition caused the stock to decline, triggering our stop-loss, and we sold the position.

A position in Restoration Hardware Holdings, a rapidly growing home furnishings retail chain, also weighed on fund performance. The company reported disappointing fourth-quarter 2015 earnings due to elevated promotions and supply chain issues. Furthermore, the company changed its pricing strategy, which created uncertainty about future demand trends. The stock price downturn triggered our stop-loss, and we exited the position.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure revenue and earnings growth trends can remain intact, if not improve.

Slow growth continues to be the name of the game for the U.S. economy. U.S. stocks, particularly small-caps, have had quite a strong run since the market bottom in February, and they may need to take a pause in the near term. Volatility remains subdued; however, macro events that lie ahead, including the U.S. election and the Federal Reserve’s actions, may lead to increasing levels of volatility. Earnings growth may continue to be elusive, with potential for positive trends not all that far off. While the outlook may not be terribly clear, we will not attempt to alter our process.

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LOOMIS SAYLES SMALL CAP GROWTH FUND

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016²

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Top Ten Holdings as of September 30, 2016


	Security Name	% of Net Assets
1	Ultimate Software Group, Inc. (The)		1.63%
2	Guidewire Software, Inc.		1.56%
3	MarketAxess Holdings, Inc.		1.53%
4	Bright Horizons Family Solutions, Inc.		1.47%
5	Euronet Worldwide, Inc.		1.44%
6	MKS Instruments, Inc.		1.42%
7	Monolithic Power Systems, Inc.		1.40%
8	WageWorks, Inc.		1.39%
9	Granite Construction, Inc.		1.34%
10	Cynosure, Inc., Class A		1.32%

The portfolio is actively managed and holdings are subject to change. There is no guarantee the Fund continues to invest in the securities referenced. The holdings listed exclude any temporary cash investments.

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Average Annual Total Returns — September 30, 2016²



													Expense Ratios³
	1 year			5 years			10 years			Life of Class N			Gross			Net

Institutional Class (Inception 12/31/96)		6.92	%		14.33	%		9.38	%		—	%		0.94	%		0.94	%

Retail Class (Inception 12/31/96)		6.61			13.99			9.09			—			1.19			1.19

Class N (Inception 2/1/13)		7.05			—			—			10.88			0.83			0.83

Comparative Performance
Russell 2000^® Growth Index¹		12.12			16.15			8.29			11.53

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit loomissayles.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might owe on any fund distributions or when they redeem their shares.

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.

As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/17. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

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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

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Market Conditions

Stocks generally experienced a sharp downturn from early December through mid-February due to weaker global economic trends, a sharp downturn in oil prices and fears of a premature rate hike from the Federal Reserve (the Fed). Markets recovered steadily off their mid-February lows as global economic fears abated, the Fed delayed further interest rate increases and commodity prices rebounded. Overall, there were significant changes in market leadership during the 12-month period. Growth stock and price momentum leadership in late 2015 gave way to outperformance from higher dividend-yielding utilities and REITs in early 2016. In the final three months of the period, investors showed greater risk tolerance, and small-cap stocks advanced well ahead of large-caps. Technology, healthcare and commodity-sensitive materials stocks outperformed during the final three months, while utilities and REITs lagged. Overall, small-cap stocks generally outperformed large-cap stocks for the entire 12-month period, and small-cap value stocks outperformed small-cap growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned 16.75%. The fund underperformed its benchmark, the Russell 2000^® Value Index, which returned 18.81%.

Explanation of Fund Performance

Portfolio strategy was consistent with our long-standing approach, employing our broad resources and rigorous research to identify individual companies and securities we believe are inefficiently priced. The fund’s relative performance was strong during the first half of the 12-month period, largely due to stock selection in the consumer discretionary, real estate investment trust (REIT), healthcare and consumer staples sectors. As markets accelerated higher during the second half of the period, fund returns were strong but lagged the index. Stock selection metrics deteriorated as markets strengthened and investors favored higher risk positions. Selection was weakest in market-leading sectors such as technology and materials, and among REITs.

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The fund’s industrials and information technology sectors made the largest positive absolute contributions to performance for the 12-month period. The industrials sector outperformed the benchmark, and our overweight allocation and security selection within the sector led to outperformance relative to the benchmark’s industrial holdings. Information technology was among the strongest-performing sectors in the benchmark for the year, contributing to our favorable absolute return.

The top individual stock contributor was John Bean Technologies, a leading provider of food processing equipment and airport-related equipment. The company reported strong earnings and raised guidance throughout the year, as global demand for food processing equipment remained strong, profit margins steadily improved, and strategic acquisitions expanded the company’s addressable market.

U.S. Silica Holdings also was a main contributor. Our initial investment in the company, which is a leading provider of silica used in energy, industrial and specialty markets, was well timed, near the bottom point of the energy sector selloff in early 2016. We believe the company is well positioned for further recovery in the oilfield services industry. We also believe two recent acquisitions further strengthen the company’s market position and reach.

Littelfuse, a manufacturer of components and circuit protection devices for use in the automotive, electronics and general industrial markets, was a leading contributor. The company reported improving revenue, margin expansion and solid earnings growth throughout the period. The company announced two larger product line acquisitions, which we believe should contribute positively to future results.

All portfolio sectors generated a positive return during the period, but the contributions from materials and utilities were small, and had smaller weightings within the portfolio.

Although technology sector performance was strong in the benchmark, our technology holdings lagged the sector, contributing to the fund’s relative underperformance. In particular, VeriFone Systems and Zebra Technologies generated disappointing performance, offsetting a strong contribution from Advanced Energy Industries.

The materials sector was the strongest-performing sector in the benchmark, rebounding substantially off the February market bottom. Many of the most commodity-sensitive, highly levered materials companies led the rebound, and our stock selection in the sector lagged.

Sector allocation detracted from relative performance. While modest overweights in the outperforming technology and industrials sectors aided fund performance, underweights in utilities and REITs, both of which outperformed the benchmark, detracted from fund performance. Given the highly regulated nature of utilities and the tax-advantaged mandate for REITs to return nearly all free cash flow to shareholders via dividends, we typically find fewer opportunities within these sectors that meet our specific strategy and investment criteria. An overweight allocation in the consumer discretionary sector also detracted from fund performance.

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LOOMIS SAYLES SMALL CAP VALUE FUND

In terms of individual holdings, Libbey Inc. and Metaldyne Performance Group were the primary detractors for the period. Libbey, a manufacturer of glass tableware for the restaurant and retail industries, generates about 40% of revenues outside the U.S. and was hurt by the translation effect of a stronger U.S. dollar relative to other local currencies where its products are sold. The company also experienced increased competition in certain markets during the third quarter of 2015. The company lowered financial guidance as a result of these two factors. During the second quarter of 2016, we eliminated the holding on a thesis break; Libbey’s new CEO, hired in January, announced his intention to redefine Libbey as a consumer products company rather than an industrial manufacturer.

Metaldyne Performance Group is an automotive supplier focused on casting and forging complex metal parts primarily used for power-train and safety-critical components of the vehicle. We reduced our position in the stock near its all-time high during the quarter ending December 31, 2015. In January, we were surprised when management issued a cautious outlook for 2016 despite broader strength in the automotive markets, and we eliminated the position.

Outlook

With major U.S. equity indices at or very close to record highs, the bull market remains intact. However, it is now the second-longest bull market since the 1930s. Bull markets do not die of old age; typically, they struggle when intervening macroeconomic events such as rising inflation cause central banks to tighten monetary policy for an extended period. Currently, we believe the Fed may raise interest rates by 25 basis points by year-end, but all signs point to a very slow, deliberate tightening cycle. These measured expectations have helped prolong the business cycle and hence the rally in stock prices. If we are right that equity earnings are poised to move back to a growth mode later this year and in 2017, we think balanced equity performance across the market cap spectrum and across growth and value styles could result.

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016³

LOGO

See notes to chart on page 9.

Top Ten Holdings as of September 30, 2016


	Security Name	% of Net Assets
1	Littelfuse, Inc.		1.54%
2	Retail Opportunity Investments Corp.		1.35%
3	Cathay General Bancorp		1.34%
4	Post Holdings, Inc.		1.30%
5	KAR Auction Services, Inc.		1.25%
6	Wintrust Financial Corp.		1.22%
7	ALLETE, Inc.		1.16%
8	First Financial Bancorp		1.14%
9	Signature Bank		1.14%
10	IBERIABANK Corp.		1.13%

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LOOMIS SAYLES SMALL CAP VALUE FUND

Average Annual Total Returns — September 30, 2016³



													Expense Ratios⁴
	1 year			5 years			10 years			Life of Class N			Gross			Net

Institutional Class (Inception 5/13/91)		16.75	%		16.29	%		8.14	%		—	%		0.99	%		0.97	%
Retail Class (Inception 12/31/96)		16.47			15.99			7.87			—			1.24			1.22
Admin Class (Inception 1/2/98)		16.19			15.71			7.59			—			1.47			1.45
Class N (Inception 2/1/13)		16.84			—			—			11.04			0.90			0.90

Comparative Performance
Russell 2000^® Value Index¹		18.81			15.45			5.78			9.63
Russell 2000^® Index²		15.47			15.82			7.07			10.60

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.

⁴

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND


Managers	Symbols
Mark F. Burns, CFA^®	Institutional Class	LSMIX
John J. Slavik, CFA^®

Investment Objective

The Fund’s investment objective is long-term capital growth from investments in common stocks or other equity securities.

Market Conditions

U.S. equity markets were generally strong for the 12-month period, benefitting from the robust performance off the market bottom in February 2016 and following the two-day Brexit vote-inspired selloff in June. Within the small/mid-cap segment of the market, the smallest companies and the lowest-quality companies (as measured by return on equity) were the strongest performers in the February market rebound. The third quarter of 2016 was a particularly challenging market environment for the fund, as the highest beta (high risk/high reward potential) names significantly outperformed the lowest beta names. Among small/mid-cap stocks, value stocks significantly outperformed growth stocks.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Small/Mid Cap Growth Fund returned 7.51%. The Fund underperformed its benchmark, the Russell 2500^™ Growth Index, which returned 11.02%.

Explanation of Fund Performance

Stock selection in the information technology and consumer discretionary sectors and an underweight position in the materials sector primarily accounted for the fund’s underperformance. Given the fund’s strategy, the market environment during the third quarter of 2016 created a significant headwind.

In terms of individual holdings, the top contributor to fund performance was financials company MarketAxess Holdings. The company continued to steadily gain market share in electronic bond trading, and its earnings grew. In addition, the company remains significantly underpenetrated in the fixed-income trading market, its biggest market opportunity. In 2016, MarketAxess launched electronic trading for municipal bonds, a market no other firm has been able to penetrate electronically. Following two years of increased investments, MarketAxess is now leveraging those efforts and generating robust incremental margins.

In addition, a position in Parsley Energy, an energy exploration company with a compelling acreage position in the Permian Basin, was a top contributor. The company’s prudent management team has kept leverage low and effectively managed the business through the commodity price downturn in 2015. We believe valuation remains reasonable

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

relative to current production. The business continues to generate positive cash, and we believe it is well positioned to continue to expand its asset base and production levels for the foreseeable future, all while generating positive cash flow and maintaining low leverage.

Drew Industries, a leading provider of components to the RV industry, also was a main contributor. The stock advanced due to several factors, including favorable industry trends, growing revenues, diversification of the business and strong incremental margin performance given the high fixed-cost nature of the business.

A position in Virtusa, an information technology services and consulting company, was a main detractor. After several years of demonstrating above-industry growth and improving margins, the company acquired another technology services company with low growth and poor profitability. Despite the potential value of the combined entity, results have been disappointing, and we exited the position.

SPS Commerce, a provider of cloud-based supply chain management software, was a primary detractor. The stock declined after SPS reported its sales force contracted in the fourth quarter of 2015 due to a competitive hiring environment and a poorly structured compensation plan. The selloff was brief, and the stock recovered quickly, but the decline triggered our stop-loss and we did not benefit during the recovery. We repurchased the stock.

Palo Alto Networks, a networking security company, also detracted from performance. After a strong upward move in the stock during 2014 and the first half of 2015, elevated expectations and difficult comparisons created concerns about slowing revenue growth. These concerns were exacerbated by industry data showing a firewall spending surge in 2015 that was unlikely to repeat in 2016. The elevated valuation and high share turnover led us to sell the stock, especially given the volatile market conditions at the time of the sale in late January 2016.

Outlook

As we look forward, we continue to be focused on the underlying business trends of our existing holdings and potential new additions to ensure that revenue and earnings growth trends can remain intact, if not improve.

Slow growth continues to be the name of the game for the U.S. economy. U.S. stocks, particularly small-caps, have had quite a strong run since the market bottom in February, and they may need to take a pause in the near term. Volatility remains subdued; however, macro events that lie ahead, including the U.S. election and the Fed’s actions, may lead to increasing levels of volatility. Earnings growth may continue to be elusive, with potential for positive trends not all that far off. While the outlook may not be terribly clear, we will not attempt to alter our process.

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Hypothetical Growth of $100,000 Investment in Institutional Class Shares

June 30, 2015 (inception) through September 30, 2016²

LOGO

See notes to chart on page 13.

Top Ten Holdings as of September 30, 2016


	Security Name	% of Net Assets
1	WellCare Health Plans, Inc.		1.98%
2	TransDigm Group, Inc.		1.91%
3	Ultimate Software Group, Inc. (The)		1.73%
4	Acuity Brands, Inc.		1.72%
5	Guidewire Software, Inc.		1.65%
6	Nord Anglia Education, Inc.		1.59%
7	B/E Aerospace, Inc.		1.57%
8	Vail Resorts, Inc.		1.53%
9	Blackbaud, Inc.		1.51%
10	Cantel Medical Corp.		1.51%

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

Average Annual Total Returns — September 30, 2016²



							Expense Ratios³
	1 year			Life of Fund			Gross			Net

Institutional Class (Inception 6/30/15)		7.51	%		-2.16	%		2.84	%		0.85	%

Comparative Performance
Russell 2500^TM Growth Index¹		11.02			-0.99

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^TMcompanies 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.

1623917.2.1

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ADDITIONAL INFORMATION

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

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

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 most recent 12-month period ended June 30 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 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.

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The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 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.

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.

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

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,085.80		$4.90
Hypothetical (5% return before expenses)		$1,000.00		$1,020.30		$4.75

Retail Class
Actual		$1,000.00		$1,084.20		$6.20
Hypothetical (5% return before expenses)		$1,000.00		$1,019.05		$6.01

Class N
Actual		$1,000.00		$1,086.00		$4.33
Hypothetical (5% return before expenses)		$1,000.00		$1,020.85		$4.19
* Expenses are equal to the Fund’s annualized expense ratio: 0.94%, 1.19% and 0.83% 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).

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Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,095.30		$4.71
Hypothetical (5% return before expenses)		$1,000.00		$1,020.50		$4.55

Retail Class
Actual		$1,000.00		$1,094.20		$6.02
Hypothetical (5% return before expenses)		$1,000.00		$1,019.25		$5.81

Admin Class
Actual		$1,000.00		$1,092.70		$7.32
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$7.06

Class N
Actual		$1,000.00		$1,095.90		$4.35
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%, 1.40% 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 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,072.80		$4.40
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).

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trusts (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. The Loomis Sayles Small/Mid Cap Growth Fund was not included in the most recent annual review as the Fund’s initial board-approved advisory agreement is in effect until July 1, 2017.

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

17 |

and other services. This information generally includes, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and fee differentials against each Fund’s peer group/category, performance ratings provided by a third-party, total return information for various periods, and third-party performance rankings for various periods comparing a Fund against similarly categorized funds. The portfolio management team for each Fund or other representatives of the Adviser make periodic presentations to the Contract Review Committee and/or the full Board, and Funds identified as presenting possible performance concerns may be subject to more frequent board presentations and reviews. In addition, each quarter the Trustees are provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings.

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds. For each Fund, the Trustees also considered the benefits to shareholders of investing in a mutual fund that is part of a family of funds that offers shareholders the right to exchange shares of one type of fund for shares of another type of fund, and provides a variety of fund and shareholder services.

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

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

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case

| 18

of the Loomis Sayles Small Cap Value Fund, the performance of which lagged that of a relevant peer group median and/or category median of funds for certain (although not necessarily all) periods , the Board concluded that other factors relevant to performance supported renewal of the relevant Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies ; (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks or peer groups; and (3) that the Fund’s long-term performance was competitive when compared to relevant performance benchmarks or peer groups.

The Trustees also considered the Adviser’s performance and reputation generally, the performance of the fund family generally, and the historical responsiveness of the Adviser to Trustee concerns about performance and the willingness of the Adviser to take steps intended to improve performance.

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

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

19 |

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although neither Fund’s management fee was subject to breakpoints, each Fund’s management fee and overall net expense ratio was at or below the median fee for a peer group of funds and that each Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

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

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

•

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

•

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

| 20

•

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

•

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

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2017.

21 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.8% of Net Assets

		Aerospace & Defense – 1.0%
	262,976	Hexcel Corp.	$	11,649,837

		Auto Components – 1.7%
	176,397	Dorman Products, Inc.(b)		11,271,768
	82,866	Drew Industries, Inc.		8,122,526

				19,394,294

		Banks – 4.2%
	238,013	Chemical Financial Corp.		10,503,514
	234,695	Pinnacle Financial Partners, Inc.		12,692,305
	291,177	PrivateBancorp, Inc.		13,370,848
	314,876	Renasant Corp.		10,589,280

				47,155,947

		Biotechnology – 2.5%
	311,716	Genomic Health, Inc.(b)		9,014,827
	632,176	Ironwood Pharmaceuticals, Inc.(b)		10,038,955
	492,458	Lexicon Pharmaceuticals, Inc.(b)		8,898,716

				27,952,498

		Building Products – 2.2%
	278,380	Apogee Enterprises, Inc.		12,440,802
	216,763	Trex Co., Inc.(b)		12,728,324

				25,169,126

		Capital Markets – 2.5%
	362,036	Financial Engines, Inc.		10,756,090
	104,116	MarketAxess Holdings, Inc.		17,240,568

				27,996,658

		Commercial Services & Supplies – 1.5%
	372,069	Healthcare Services Group, Inc.		14,726,491
	47,349	Team, Inc.(b)		1,548,786

				16,275,277

		Construction & Engineering – 2.2%
	303,105	Granite Construction, Inc.		15,076,443
	475,474	Primoris Services Corp.		9,794,764

				24,871,207

		Distributors – 1.3%
	149,143	Pool Corp.		14,096,996

		Diversified Consumer Services – 3.7%
	247,256	Bright Horizons Family Solutions, Inc.(b)		16,538,954
	292,362	Grand Canyon Education, Inc.(b)		11,808,501
	602,657	Nord Anglia Education, Inc.(b)		13,125,869

				41,473,324

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Telecommunication Services – 2.3%
	342,998	Cogent Communications Holdings, Inc.	$	12,625,756
	1,245,759	ORBCOMM, Inc.(b)		12,769,030

				25,394,786

		Electrical Equipment – 1.0%
	307,766	Generac Holdings, Inc.(b)		11,171,906

		Electronic Equipment, Instruments & Components – 1.8%
	131,843	IPG Photonics Corp.(b)		10,857,271
	316,456	Orbotech Ltd.(b)		9,370,262

				20,227,533

		Energy Equipment & Services – 0.7%
	145,035	Dril-Quip, Inc.(b)		8,084,251

		Food Products – 2.0%
	713,013	Amplify Snack Brands, Inc.(b)		11,550,810
	327,515	Snyder’s-Lance, Inc.		10,997,954

				22,548,764

		Health Care Equipment & Supplies – 8.2%
	292,046	Cynosure, Inc., Class A(b)		14,876,823
	225,532	Inogen, Inc.(b)		13,509,367
	338,574	Insulet Corp.(b)		13,861,220
	168,892	Integra LifeSciences Holdings Corp.(b)		13,942,035
	83,557	Merit Medical Systems, Inc.(b)		2,029,599
	215,262	Neogen Corp.(b)		12,041,756
	91,601	Nevro Corp.(b)		9,562,228
	512,681	Wright Medical Group NV(b)		12,576,065

				92,399,093

		Health Care Providers & Services – 4.6%
	193,934	Acadia Healthcare Co., Inc.(b)		9,609,430
	358,086	AMN Healthcare Services, Inc.(b)		11,412,201
	151,750	Amsurg Corp.(b)		10,174,837
	413,304	Ensign Group, Inc. (The)		8,319,810
	317,404	HealthEquity, Inc.(b)		12,013,741

				51,530,019

		Health Care Technology – 3.0%
	320,168	Evolent Health, Inc., Class A(b)		7,882,536
	257,841	Medidata Solutions, Inc.(b)		14,377,214
	280,118	Press Ganey Holdings, Inc.(b)		11,316,767

				33,576,517

		Hotels, Restaurants & Leisure – 3.6%
	348,528	Chuy’s Holdings, Inc.(b)		9,737,872

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	157,359	Popeyes Louisiana Kitchen, Inc.(b)	$	8,362,057
	206,889	Texas Roadhouse, Inc.		8,074,878
	93,451	Vail Resorts, Inc.		14,660,593

				40,835,400

		Household Durables – 2.4%
	209,575	Installed Building Products, Inc.(b)		7,517,455
	221,898	iRobot Corp.(b)		9,759,074
	131,843	Universal Electronics, Inc.(b)		9,817,030

				27,093,559

		Internet & Direct Marketing Retail – 0.6%
	178,292	Wayfair, Inc., Class A(b)		7,019,356

		Internet Software & Services – 7.1%
	287,859	2U, Inc.(b)		11,022,121
	210,523	Benefitfocus, Inc.(b)		8,404,078
	293,468	Criteo S.A., Sponsored ADR(b)		10,303,661
	146,773	Envestnet, Inc.(b)		5,349,876
	147,563	LogMeIn, Inc.		13,338,220
	448,852	Q2 Holdings, Inc.(b)		12,864,098
	426,752	Quotient Technology, Inc.(b)		5,680,069
	309,346	Wix.com Ltd.(b)		13,434,897

				80,397,020

		IT Services – 4.3%
	128,762	EPAM Systems, Inc.(b)		8,924,494
	198,831	Euronet Worldwide, Inc.(b)		16,270,341
	208,785	ExlService Holdings, Inc.(b)		10,405,844
	368,514	InterXion Holding NV(b)		13,347,577

				48,948,256

		Life Sciences Tools & Services – 2.8%
	318,668	Accelerate Diagnostics, Inc.(b)		8,686,890
	234,221	INC Research Holdings, Inc., Class A(b)		10,441,572
	227,823	PRA Health Sciences, Inc.(b)		12,874,278

				32,002,740

		Machinery – 3.0%
	177,266	Astec Industries, Inc.		10,612,915
	98,191	Middleby Corp. (The)(b)		12,138,372
	146,536	RBC Bearings, Inc.(b)		11,207,073

				33,958,360

		Oil, Gas & Consumable Fuels – 2.1%
	132,870	Diamondback Energy, Inc.(b)		12,827,270

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Oil, Gas & Consumable Fuels – continued
	160,676	PDC Energy, Inc.(b)	$	10,774,932

				23,602,202

		Pharmaceuticals – 2.8%
	199,147	Dermira, Inc.(b)		6,735,152
	193,697	Medicines Co. (The)(b)		7,310,125
	424,996	Nektar Therapeutics(b)		7,301,431
	414,963	Supernus Pharmaceuticals, Inc.(b)		10,262,035

				31,608,743

		Professional Services – 1.4%
	257,525	WageWorks, Inc.(b)		15,685,848

		Real Estate Management & Development – 0.5%
	212,814	HFF, Inc., Class A		5,892,820

		Semiconductors & Semiconductor Equipment – 6.3%
	324,987	Inphi Corp.(b)		14,140,184
	511,733	Intersil Corp.		11,222,305
	322,459	MKS Instruments, Inc.		16,035,886
	196,698	Monolithic Power Systems, Inc.		15,834,189
	230,667	Silicon Laboratories, Inc.(b)		13,563,220

				70,795,784

		Software – 7.5%
	207,679	Blackbaud, Inc.		13,777,425
	604,947	Callidus Software, Inc.(b)		11,100,778
	190,695	FleetMatics Group PLC(b)		11,437,886
	293,784	Guidewire Software, Inc.(b)		17,621,164
	508,731	RingCentral, Inc., Class A(b)		12,036,576
	89,896	Ultimate Software Group, Inc. (The)(b)		18,373,843

				84,347,672

		Specialty Retail – 1.7%
	149,775	Monro Muffler Brake, Inc.		9,161,737
	624,854	Tile Shop Holdings, Inc.(b)		10,341,333

				19,503,070

		Textiles, Apparel & Luxury Goods – 1.7%
	163,678	Columbia Sportswear Co.		9,287,090
	297,339	Steven Madden Ltd.(b)		10,276,036

				19,563,126

		Thrifts & Mortgage Finance – 1.0%
	435,344	Essent Group Ltd.(b)		11,584,504

		Trading Companies & Distributors – 1.6%
	230,983	Beacon Roofing Supply, Inc.(b)		9,717,455

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Trading Companies & Distributors – continued
	227,823	SiteOne Landscape Supply, Inc.(b)	$	8,185,680

				17,903,135


		Total Common Stocks (Identified Cost $879,197,130)		1,091,709,628


	Principal Amount

	Short-Term Investments – 3.0%
$	34,249,644	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $34,249,730 on 10/03/2016 collateralized by $34,550,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $34,938,688 including accrued interest (Note 2 of Notes to Financial Statements)(Identified Cost $34,249,644)		34,249,644


		Total Investments – 99.8% (Identified Cost $913,446,774)(a)		1,125,959,272
		Other assets less liabilities—0.2%		1,826,692

		Net Assets – 100.0%	$	1,127,785,964


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $913,910,875 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	$	225,493,195
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,444,798	)

		Net unrealized appreciation	$	212,048,397

	(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.

| 26

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Growth Fund – continued

Industry Summary at September 30, 2016


Health Care Equipment & Supplies	8.2	%
Software	7.5
Internet Software & Services	7.1
Semiconductors & Semiconductor Equipment	6.3
Health Care Providers & Services	4.6
IT Services	4.3
Banks	4.2
Diversified Consumer Services	3.7
Hotels, Restaurants & Leisure	3.6
Machinery	3.0
Health Care Technology	3.0
Life Sciences Tools & Services	2.8
Pharmaceuticals	2.8
Capital Markets	2.5
Biotechnology	2.5
Household Durables	2.4
Diversified Telecommunication Services	2.3
Building Products	2.2
Construction & Engineering	2.2
Oil, Gas & Consumable Fuels	2.1
Food Products	2.0
Other Investments, less than 2% each	17.5
Short-Term Investments	3.0

Total Investments	99.8
Other assets less liabilities	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)

	Common Stocks – 98.2% of Net Assets

		Aerospace & Defense – 2.1%
	258,206	Aerojet Rocketdyne Holdings, Inc.(b)	$	4,539,261
	257,814	BWX Technologies, Inc.		9,892,323
	272,965	DigitalGlobe, Inc.(b)		7,506,538

				21,938,122

		Auto Components – 1.9%
	136,200	Cooper Tire & Rubber Co.		5,178,324
	183,745	Fox Factory Holding Corp.(b)		4,220,623
	311,349	Horizon Global Corp.(b)		6,205,185
	63,951	Tenneco, Inc.(b)		3,726,425

				19,330,557

		Banks – 17.1%
	420,939	BancorpSouth, Inc.		9,765,785
	160,341	Bank of the Ozarks, Inc.		6,157,094
	258,326	Bryn Mawr Bank Corp.		8,263,849
	450,864	Cathay General Bancorp		13,877,594
	217,763	Chemical Financial Corp.		9,609,881
	533,038	CVB Financial Corp.		9,386,799
	541,604	First Financial Bancorp		11,828,631
	193,155	First Financial Bankshares, Inc.		7,038,568
	411,049	Home BancShares, Inc.		8,553,930
	173,656	IBERIABANK Corp.		11,655,791
	168,106	LegacyTexas Financial Group, Inc.		5,317,193
	247,775	PacWest Bancorp		10,632,025
	177,536	Pinnacle Financial Partners, Inc.		9,601,147
	284,947	Popular, Inc.		10,890,674
	156,062	Prosperity Bancshares, Inc.		8,566,243
	99,750	Signature Bank(b)		11,815,387
	123,418	Texas Capital Bancshares, Inc.(b)		6,778,117
	255,353	Triumph Bancorp, Inc.(b)		5,066,204
	226,625	Wintrust Financial Corp.		12,593,551

				177,398,463

		Beverages – 0.9%
	664,437	Cott Corp.		9,468,227

		Building Products – 2.4%
	87,946	Apogee Enterprises, Inc.		3,930,307
	153,765	Armstrong World Industries, Inc.(b)		6,353,570
	70,344	Gibraltar Industries, Inc.(b)		2,613,279
	111,434	Masonite International Corp.(b)		6,927,852
	74,254	Patrick Industries, Inc.(b)		4,597,808

				24,422,816

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Capital Markets – 1.0%
	20,114	MarketAxess Holdings, Inc.	$	3,330,677
	191,907	Stifel Financial Corp.(b)		7,378,824

				10,709,501

		Chemicals – 1.4%
	120,054	Cabot Corp.		6,292,030
	118,130	Minerals Technologies, Inc.		8,350,610

				14,642,640

		Commercial Services & Supplies – 4.3%
	94,019	Clean Harbors, Inc.(b)		4,511,032
	300,147	KAR Auction Services, Inc.		12,954,345
	294,782	Kimball International, Inc.		3,814,479
	102,095	Knoll, Inc.		2,332,871
	327,274	R.R. Donnelley & Sons Co.		5,144,747
	238,745	Viad Corp.		8,802,528
	290,843	West Corp.		6,421,813

				43,981,815

		Communications Equipment – 1.8%
	243,219	ARRIS International PLC(b)		6,890,394
	337,076	Calix, Inc.(b)		2,477,509
	343,605	Digi International, Inc.(b)		3,917,097
	709,626	Viavi Solutions, Inc.(b)		5,244,136

				18,529,136

		Construction & Engineering – 1.6%
	110,895	Argan, Inc.		6,563,875
	170,800	MYR Group, Inc.(b)		5,141,080
	183,611	Quanta Services, Inc.(b)		5,139,272

				16,844,227

		Construction Materials – 0.8%
	221,752	Summit Materials, Inc., Class A(b)		4,113,500
	94,184	U.S. Concrete, Inc.(b)		4,338,586

				8,452,086

		Consumer Finance – 0.5%
	145,279	PRA Group, Inc.(b)		5,017,937

		Distributors – 0.8%
	219,700	Core-Mark Holding Co., Inc.		7,865,260

		Diversified Consumer Services – 0.4%
	277,662	Houghton Mifflin Harcourt Co.(b)		3,723,447

		Diversified Financial Services – 0.7%
	577,201	FNFV Group(b)		7,203,468

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Electric Utilities – 1.2%
	200,898	ALLETE, Inc.	$	11,977,539

		Electrical Equipment – 1.1%
	45,465	AZZ, Inc.		2,967,501
	341,965	Babcock & Wilcox Enterprises, Inc.(b)		5,642,422
	34,846	EnerSys		2,410,995

				11,020,918

		Electronic Equipment, Instruments & Components – 5.0%
	107,123	Belden, Inc.		7,390,416
	260,384	II-VI, Inc.(b)		6,335,143
	83,204	Kimball Electronics, Inc.(b)		1,153,207
	123,871	Littelfuse, Inc.		15,955,823
	213,702	Methode Electronics, Inc.		7,473,159
	110,650	Rogers Corp.(b)		6,758,502
	146,249	VeriFone Systems, Inc.(b)		2,301,959
	312,576	Vishay Intertechnology, Inc.		4,404,196

				51,772,405

		Energy Equipment & Services – 2.4%
	150,461	Bristow Group, Inc.		2,109,463
	240,094	Natural Gas Services Group, Inc.(b)		5,903,912
	326,184	RPC, Inc.(b)		5,479,891
	240,166	U.S. Silica Holdings, Inc.		11,182,129

				24,675,395

		Food & Staples Retailing – 0.8%
	276,400	SpartanNash Co.		7,993,488

		Food Products – 2.0%
	311,985	Darling Ingredients, Inc.(b)		4,214,917
	27,071	J&J Snack Foods Corp.		3,224,697
	173,768	Post Holdings, Inc.(b)		13,409,677

				20,849,291

		Health Care Equipment & Supplies – 1.8%
	71,870	Cynosure, Inc., Class A(b)		3,661,058
	210,698	Halyard Health, Inc.(b)		7,302,793
	162,457	SurModics, Inc.(b)		4,888,331
	14,621	Teleflex, Inc.		2,457,059

				18,309,241

		Health Care Providers & Services – 1.2%
	263,440	PharMerica Corp.(b)		7,394,761
	44,442	WellCare Health Plans, Inc.(b)		5,203,714

				12,598,475

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – 3.9%
	328,250	Carrols Restaurant Group, Inc.(b)	$	4,336,182
	76,273	Churchill Downs, Inc.		11,162,554
	24,829	Cracker Barrel Old Country Store, Inc.		3,282,890
	84,048	Del Frisco’s Restaurant Group, Inc.(b)		1,132,127
	142,945	J. Alexander’s Holdings, Inc.(b)		1,448,033
	130,415	Marriott Vacations Worldwide Corp.		9,562,028
	175,805	Six Flags Entertainment Corp.		9,424,906

				40,348,720

		Household Durables – 0.7%
	88,268	Helen of Troy Ltd.(b)		7,606,054

		Household Products – 0.4%
	295,958	HRG Group, Inc.(b)		4,646,541

		Industrial Conglomerates – 0.7%
	318,788	Raven Industries, Inc.		7,341,688

		Insurance – 3.6%
	125,076	Atlas Financial Holdings, Inc.(b)		1,972,448
	371,538	Employers Holdings, Inc.		11,082,979
	123,428	First American Financial Corp.		4,848,252
	172,223	ProAssurance Corp.		9,038,263
	96,732	Reinsurance Group of America, Inc., Class A		10,441,252

				37,383,194

		Internet & Direct Marketing Retail – 1.5%
	519,741	1-800-Flowers.com, Inc., Class A(b)		4,766,025
	81,135	HSN, Inc.		3,229,173
	201,375	Liberty Ventures, Series A(b)		8,028,821

				16,024,019

		Internet Software & Services – 0.9%
	20,137	CommerceHub, Inc., Series A(b)		318,164
	176,033	CommerceHub, Inc., Series C(b)		2,800,685
	92,993	IAC/InterActiveCorp		5,809,273

				8,928,122

		IT Services – 5.1%
	305,516	Booz Allen Hamilton Holding Corp.		9,657,361
	118,302	CSG Systems International, Inc.		4,889,421
	90,390	DST Systems, Inc.		10,658,789
	136,906	Euronet Worldwide, Inc.(b)		11,203,018
	323,807	Perficient, Inc.(b)		6,524,711
	94,412	WEX, Inc.(b)		10,204,993

				53,138,293

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Life Sciences Tools & Services – 1.4%
	336,621	Albany Molecular Research, Inc.(b)	$	5,557,612
	308,530	VWR Corp.(b)		8,749,911

				14,307,523

		Machinery – 3.7%
	72,415	Alamo Group, Inc.		4,771,424
	170,875	Albany International Corp., Class A		7,241,683
	90,233	Altra Industrial Motion Corp.		2,614,050
	143,397	John Bean Technologies Corp.		10,116,658
	136,715	RBC Bearings, Inc.(b)		10,455,963
	30,804	Standex International Corp.		2,860,768

				38,060,546

		Marine – 0.5%
	78,077	Kirby Corp.(b)		4,853,266

		Media – 2.7%
	482,936	E.W. Scripps Co. (The), Class A(b)		7,678,683
	133,851	John Wiley & Sons, Inc., Class A		6,908,050
	522,374	National CineMedia, Inc.		7,689,345
	348,210	New Media Investment Group, Inc.		5,397,255

				27,673,333

		Metals & Mining – 0.9%
	507,316	Ferroglobe PLC		4,581,063
	135,487	Haynes International, Inc.		5,027,923

				9,608,986

		Multi-Utilities – 1.0%
	180,993	NorthWestern Corp.		10,412,527

		Oil, Gas & Consumable Fuels – 1.3%
	340,418	QEP Resources, Inc.		6,648,364
	997,011	Synergy Resources Corp.(b)		6,909,286

				13,557,650

		Pharmaceuticals – 0.9%
	139,559	Akorn, Inc.(b)		3,804,378
	208,513	Catalent, Inc.(b)		5,387,976

				9,192,354

		Professional Services – 1.3%
	112,479	FTI Consulting, Inc.(b)		5,012,064
	57,421	Insperity, Inc.		4,171,062
	204,386	Korn/Ferry International		4,292,106

				13,475,232

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		REITs – Apartments – 1.9%
	179,360	American Campus Communities, Inc.	$	9,124,043
	114,710	Mid-America Apartment Communities, Inc.		10,781,593

				19,905,636

		REITs – Health Care – 0.4%
	171,646	Sabra Healthcare REIT, Inc.		4,322,046

		REITs – Hotels – 0.5%
	283,562	Hersha Hospitality Trust		5,109,787

		REITs – Shopping Centers – 1.3%
	634,041	Retail Opportunity Investments Corp.		13,923,540

		REITs – Single Tenant – 0.8%
	159,592	National Retail Properties, Inc.		8,115,253

		REITs – Storage – 1.5%
	351,530	CubeSmart		9,582,708
	72,288	Life Storage, Inc.		6,429,295

				16,012,003

		Road & Rail – 1.7%
	104,752	Avis Budget Group, Inc.(b)		3,583,566
	94,380	Genesee & Wyoming, Inc., Class A(b)		6,507,501
	108,812	Old Dominion Freight Line, Inc.(b)		7,465,591

				17,556,658

		Semiconductors & Semiconductor Equipment – 2.0%
	192,205	Advanced Energy Industries, Inc.(b)		9,095,141
	132,532	Semtech Corp.(b)		3,675,112
	367,420	Teradyne, Inc.		7,928,924

				20,699,177

		Software – 1.4%
	219,255	Synchronoss Technologies, Inc.(b)		9,028,921
	146,376	Verint Systems, Inc.(b)		5,508,129

				14,537,050

		Specialty Retail – 1.8%
	270,309	Barnes & Noble, Inc.		3,054,492
	145,400	Genesco, Inc.(b)		7,918,484
	857,886	Office Depot, Inc.		3,062,653
	161,351	Sally Beauty Holdings, Inc.(b)		4,143,493

				18,179,122

		Thrifts & Mortgage Finance – 0.5%
	131,644	Federal Agricultural Mortgage Corp., Class C		5,199,938

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Transportation Infrastructure – 0.7%
	83,303	Macquarie Infrastructure Corp.	$	6,934,142


		Total Common Stocks (Identified Cost $716,953,373)		1,015,776,854


	Closed-End Investment Companies – 0.6%
	462,007	Hercules Capital, Inc. (Identified Cost $6,009,463)		6,264,815


	Principal Amount

	Short-Term Investments – 1.5%
$	16,131,843	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $16,131,883 on 10/03/2016 collateralized by $15,255,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $16,456,331 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $16,131,843)		16,131,843


		Total Investments – 100.3% (Identified Cost $739,094,679)(a)		1,038,173,512
		Other assets less liabilities—(0.3)%		(3,431,431	)

		Net Assets – 100.0%	$	1,034,742,081


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $736,517,809 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	$	329,934,005
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(28,278,302	)

		Net unrealized appreciation	$	301,655,703

	(b)	Non-income producing security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at September 30, 2016


Banks	17.1	%
IT Services	5.1
Electronic Equipment, Instruments & Components	5.0
Commercial Services & Supplies	4.3
Hotels, Restaurants & Leisure	3.9
Machinery	3.7
Insurance	3.6
Media	2.7
Energy Equipment & Services	2.4
Building Products	2.4
Aerospace & Defense	2.1
Food Products	2.0
Semiconductors & Semiconductor Equipment	2.0
Other Investments, less than 2% each	42.5
Short-Term Investments	1.5

Total Investments	100.3
Other assets less liabilities	(0.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 97.2% of Net Assets

		Aerospace & Defense – 4.7%
	3,649	B/E Aerospace, Inc.	$	188,508
	3,327	Hexcel Corp.		147,386
	793	TransDigm Group, Inc.(b)		229,272

				565,166

		Air Freight & Logistics – 1.0%
	3,282	XPO Logistics, Inc.(b)		120,351

		Auto Components – 1.0%
	1,189	Drew Industries, Inc.		116,546

		Banks – 4.5%
	3,807	Columbia Banking System, Inc.		124,565
	2,259	First Republic Bank		174,192
	4,149	Home BancShares, Inc.		86,341
	4,147	Western Alliance Bancorp(b)		155,678

				540,776

		Biotechnology – 2.2%
	10,554	Ironwood Pharmaceuticals, Inc.(b)		167,597
	1,845	Neurocrine Biosciences, Inc.(b)		93,431

				261,028

		Capital Markets – 4.9%
	2,267	CBOE Holdings, Inc.		147,015
	1,074	MarketAxess Holdings, Inc.		177,844
	1,565	MSCI, Inc.		131,366
	2,815	SEI Investments Co.		128,392

				584,617

		Commercial Services & Supplies – 4.2%
	4,363	Healthcare Services Group, Inc.		172,688
	3,797	KAR Auction Services, Inc.		163,878
	4,878	Ritchie Bros. Auctioneers, Inc.		171,071

				507,637

		Construction Materials – 0.8%
	5,686	Headwaters, Inc.(b)		96,207

		Diversified Consumer Services – 4.4%
	2,692	Bright Horizons Family Solutions, Inc.(b)		180,068
	3,718	Grand Canyon Education, Inc.(b)		150,170
	8,723	Nord Anglia Education, Inc.(b)		189,987

				520,225

		Diversified Telecommunication Services – 1.4%
	4,636	Cogent Communications Holdings, Inc.		170,651

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Electrical Equipment – 3.8%
	780	Acuity Brands, Inc.	$	206,388
	4,141	Generac Holdings, Inc.(b)		150,319
	2,467	Sensata Technologies Holding NV(b)		95,670

				452,377

		Electronic Equipment, Instruments & Components – 4.1%
	1,463	Coherent, Inc.(b)		161,720
	5,421	National Instruments Corp.		153,956
	6,069	Trimble Navigation Ltd.(b)		173,331

				489,007

		Energy Equipment & Services – 0.8%
	1,789	Dril-Quip, Inc.(b)		99,719

		Food & Staples Retailing – 1.2%
	1,158	Casey’s General Stores, Inc.		139,134

		Health Care Equipment & Supplies – 7.6%
	1,878	Align Technology, Inc.(b)		176,062
	2,314	Cantel Medical Corp.		180,446
	1,713	DexCom, Inc.(b)		150,162
	1,789	STERIS PLC		130,776
	1,747	West Pharmaceutical Services, Inc.		130,151
	5,907	Wright Medical Group NV(b)		144,899

				912,496

		Health Care Providers & Services – 6.9%
	2,329	Acadia Healthcare Co., Inc.(b)		115,402
	2,203	MEDNAX, Inc.(b)		145,949
	3,263	Surgical Care Affiliates, Inc.(b)		159,104
	2,423	VCA, Inc.(b)		169,561
	2,025	WellCare Health Plans, Inc.(b)		237,107

				827,123

		Health Care Technology – 2.4%
	1,151	athenahealth, Inc.(b)		145,164
	5,179	HealthStream, Inc.(b)		142,940

				288,104

		Hotels, Restaurants & Leisure – 4.7%
	1,875	Dunkin’ Brands Group, Inc.		97,650
	469	Panera Bread Co., Class A(b)		91,324
	2,050	Six Flags Entertainment Corp.		109,901
	2,001	Texas Roadhouse, Inc.		78,099
	1,164	Vail Resorts, Inc.		182,608

				559,582

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Internet Software & Services – 4.4%
	812	CoStar Group, Inc.(b)	$	175,822
	4,449	GTT Communications, Inc.(b)		104,685
	1,375	j2 Global, Inc.		91,589
	2,173	SPS Commerce, Inc.(b)		159,520

				531,616

		IT Services – 5.8%
	2,360	Black Knight Financial Services, Inc., Class A(b)		96,524
	5,230	Booz Allen Hamilton Holding Corp.		165,320
	1,972	Broadridge Financial Solutions, Inc.		133,682
	2,911	ExlService Holdings, Inc.(b)		145,084
	1,748	Gartner, Inc.(b)		154,611

				695,221

		Leisure Products – 1.0%
	2,553	Brunswick Corp.		124,535

		Life Sciences Tools & Services – 1.4%
	2,189	ICON PLC(b)		169,363

		Machinery – 3.4%
	1,331	Middleby Corp. (The)(b)		164,538
	3,190	Sun Hydraulics Corp.		102,941
	2,902	Toro Co. (The)		135,930

				403,409

		Oil, Gas & Consumable Fuels – 2.4%
	1,524	Diamondback Energy, Inc.(b)		147,127
	4,121	Parsley Energy, Inc., Class A(b)		138,095

				285,222

		Pharmaceuticals – 1.7%
	915	Jazz Pharmaceuticals PLC(b)		111,154
	5,572	Nektar Therapeutics(b)		95,727

				206,881

		Professional Services – 1.3%
	4,389	TransUnion(b)		151,420

		Real Estate Management & Development – 1.1%
	2,792	First Service Corp.		130,331

		Semiconductors & Semiconductor Equipment – 3.8%
	2,957	Advanced Energy Industries, Inc.(b)		139,925
	3,555	MACOM Technology Solutions Holdings, Inc.(b)		150,519
	2,804	Silicon Laboratories, Inc.(b)		164,875

				455,319

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Software – 8.5%
	2,733	Blackbaud, Inc.	$	181,307
	8,299	Callidus Software, Inc.(b)		152,287
	3,288	Guidewire Software, Inc.(b)		197,214
	2,163	HubSpot, Inc.(b)		124,632
	3,573	Paylocity Holding Corp.(b)		158,856
	1,014	Ultimate Software Group, Inc. (The)(b)		207,251

				1,021,547

		Textiles, Apparel & Luxury Goods – 1.8%
	1,023	Carter’s, Inc.		88,705
	2,245	Columbia Sportswear Co.		127,381

				216,086


		Total Common Stocks (Identified Cost $10,581,090)		11,641,696


	Principal Amount

	Short-Term Investments – 3.2%
$	377,396	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $377,397 on 10/03/2016 collateralized by $360,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $388,350 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $377,396)		377,396


		Total Investments – 100.4% (Identified Cost $10,958,486)(a)		12,019,092
		Other assets less liabilities—(0.4)%		(44,669	)

		Net Assets – 100.0%	$	11,974,423


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $10,969,667 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	$	1,342,238
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(292,813	)

		Net unrealized appreciation	$	1,049,425

	(b)	Non-income producing security.

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Small/Mid Cap Growth Fund – continued

Industry Summary at September 30, 2016


Software	8.5	%
Health Care Equipment & Supplies	7.6
Health Care Providers & Services	6.9
IT Services	5.8
Capital Markets	4.9
Aerospace & Defense	4.7
Hotels, Restaurants & Leisure	4.7
Banks	4.5
Internet Software & Services	4.4
Diversified Consumer Services	4.4
Commercial Services & Supplies	4.2
Electronic Equipment, Instruments & Components	4.1
Semiconductors & Semiconductor Equipment	3.8
Electrical Equipment	3.8
Machinery	3.4
Health Care Technology	2.4
Oil, Gas & Consumable Fuels	2.4
Biotechnology	2.2
Other Investments, less than 2% each	14.5
Short-Term Investments	3.2

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 40

Statements of Assets and Liabilities

September 30, 2016


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
ASSETS
Investments at cost	$	913,446,774		$	739,094,679	$	10,958,486
Net unrealized appreciation		212,512,498			299,078,833		1,060,606

Investments at value		1,125,959,272			1,038,173,512		12,019,092
Receivable for Fund shares sold		724,010			797,729		—
Receivable for securities sold		11,619,181			1,604,528		165,957
Dividends and interest receivable		147,145			867,040		2,710
Prepaid expenses (Note 7)		4,579			4,305		46

TOTAL ASSETS		1,138,454,187			1,041,447,114		12,187,805

LIABILITIES
Payable for securities purchased		9,298,708			5,151,716		156,270
Payable for Fund shares redeemed		377,481			587,391		—
Management fees payable (Note 5)		715,707			627,098		2,077
Deferred Trustees’ fees (Note 5)		130,620			188,569		10,813
Administrative fees payable (Note 5)		41,030			38,375		420
Payable to distributor (Note 5d)		12,612			9,121		2
Other accounts payable and accrued expenses		92,065			102,763		43,800

TOTAL LIABILITIES		10,668,223			6,705,033		213,382

NET ASSETS	$	1,127,785,964		$	1,034,742,081	$	11,974,423

NET ASSETS CONSIST OF:
Paid-in capital	$	926,304,494		$	660,464,310	$	12,045,001
Accumulated net investment loss/Undistributed net investment income		(3,237,689	)		1,498,395		(18,730	)
Accumulated net realized gain (loss) on investments		(7,793,339	)		73,700,543		(1,112,454	)
Net unrealized appreciation on investments		212,512,498			299,078,833		1,060,606

NET ASSETS	$	1,127,785,964		$	1,034,742,081	$	11,974,423


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	812,383,250		$	654,501,090	$	11,974,423

Shares of beneficial interest		36,871,468			19,376,303		1,230,336

Net asset value, offering and redemption price per share	$	22.03		$	33.78	$	9.73

Retail Class:
Net assets	$	118,669,524		$	267,935,621	$	—

Shares of beneficial interest		5,758,957			8,039,271		—

Net asset value, offering and redemption price per share	$	20.61		$	33.33	$	—

Admin Class shares:
Net assets	$	—		$	43,973,326	$	—

Shares of beneficial interest		—			1,360,994		—

Net asset value, offering and redemption price per share	$	—		$	32.31	$	—

Class N shares:
Net assets	$	196,733,190		$	68,332,044	$	—

Shares of beneficial interest		8,897,292			2,021,274		—

Net asset value, offering and redemption price per share	$	22.11		$	33.81	$	—

See accompanying notes to financial statements.

41 |

Statements of Operations

For the Year Ended September 30, 2016


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
INVESTMENT INCOME
Dividends	$	5,917,987		$	14,895,029		$	67,845
Interest		13,581			3,844			116
Less net foreign taxes withheld		—			(45,206	)		(462	)

		5,931,568			14,853,667			67,499

Expenses
Management fees (Note 5)		8,333,969			7,820,966			80,170
Service and distribution fees (Note 5)		345,619			911,866			—
Administrative fees (Note 5)		489,740			459,609			4,714
Trustees’ fees and expenses (Note 5)		47,185			49,153			18,656
Transfer agent fees and expenses (Notes 5 and 6)		1,133,186			1,019,882			1,559
Audit and tax services fees		41,061			41,937			42,280
Custodian fees and expenses		40,491			29,392			6,353
Legal fees		18,635			17,055			183
Registration fees		97,416			84,402			18,777
Shareholder reporting expenses		71,115			76,323			1,215
Miscellaneous expenses (Note 7)		36,182			35,811			12,910

Total expenses		10,654,599			10,546,396			186,817
Less waiver and/or expense reimbursement (Note 5)		—			(283,441	)		(95,958	)

Net expenses		10,654,599			10,262,955			90,859

Net investment income (loss)		(4,723,031	)		4,590,712			(23,360	)


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on:
Investments		(7,969,145	)		95,614,322			(943,201	)
Net change in unrealized appreciation (depreciation) on:
Investments		88,312,376			60,726,807			1,835,053

Net realized and unrealized gain on investments		80,343,231			156,341,129			891,852


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	75,620,200		$	160,931,841		$	868,492

See accompanying notes to financial statements.

| 42

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income (loss)	$	(4,723,031	)	$	(6,768,383	)	$	4,590,712		$	7,744,624
Net realized gain (loss) on investments		(7,969,145	)		96,389,671			95,614,322			106,149,654
Net change in unrealized appreciation (depreciation) on investments		88,312,376			(39,045,091	)		60,726,807			(93,246,609	)

Net increase in net assets resulting from operations		75,620,200			50,576,197			160,931,841			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		—			—			(29,796	)		(1,677	)
Class N		—			—			(305,471	)		(44,634	)
Net realized capital gains
Institutional Class		(60,491,317	)		(121,284,863	)		(64,722,294	)		(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	)		(106,117,295	)		(152,539,126	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		11,449,327			182,307,468			(76,857,263	)		34,718,995

Net increase (decrease) in net assets		1,407,181			83,774,218			(22,042,717	)		(97,172,462	)
NET ASSETS
Beginning of the year		1,126,378,783			1,042,604,565			1,056,784,798			1,153,957,260

End of the year	$	1,127,785,964		$	1,126,378,783		$	1,034,742,081		$	1,056,784,798

ACCUMULATED NET INVESTMENT LOSS/UNDISTRIBUTED NET INVESTMENT INCOME	$	(3,237,689	)	$	(5,262,820	)	$	1,498,395		$	3,993,205

See accompanying notes to financial statements.

43 |

Statements of Changes in Net Assets – continued


	Small/Mid Cap Growth Fund
	Year Ended September 30, 2016			Period Ended September 30, 2015(a)
FROM OPERATIONS:
Net investment loss	$	(23,360	)	$	(13,202	)
Net realized loss on investments		(943,201	)		(169,253	)
Net change in unrealized appreciation (depreciation) on investments		1,835,053			(774,447	)

Net increase (decrease) in net assets resulting from operations		868,492			(956,902	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		1,863,761			10,199,072

Net increase in net assets		2,732,253			9,242,170

NET ASSETS
Beginning of the year		9,242,170			—

End of the year	$	11,974,423		$	9,242,170

ACCUMULATED NET INVESTMENT LOSS	$	(18,730	)	$	(1,922	)

(a)	From commencement of operations on June 30, 2015 through September 30, 2015.

See accompanying notes to financial statements.

| 44

Financial Highlights

For a share outstanding throughout each period.


	Small Cap Growth Fund—Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	22.22		$	24.27		$	26.35		$	19.17		$	15.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.09	)		(0.14	)		(0.16	)(b)		(0.15	)(c)		(0.14	)
Net realized and unrealized gain (loss)		1.59			1.63			(0.09	)		7.33			4.25

Total from Investment Operations		1.50			1.49			(0.25	)		7.18			4.11

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	$	22.03		$	22.22		$	24.27		$	26.35		$	19.17

Total return		6.92	%		5.78	%		(1.31	)%(b)		37.45	%(c)		27.29	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	812,383		$	800,883		$	852,131		$	914,000		$	599,469
Net expenses		0.95	%		0.94	%		0.94	%		0.94	%		0.95	%
Gross expenses		0.95	%		0.94	%		0.94	%		0.94	%		0.95	%
Net investment loss		(0.41	)%		(0.57	)%		(0.63	)%(b)		(0.70	)%(c)		(0.79	)%
Portfolio turnover rate		56	%		78	%		63	%		56	%		77	%

(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)%.

See accompanying notes to financial statements.

45 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Retail Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	20.93		$	23.10		$	25.23		$	18.41		$	14.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.13	)		(0.19	)		(0.22	)(b)		(0.20	)(c)		(0.19	)
Net realized and unrealized gain (loss)		1.50			1.56			(0.08	)		7.02			4.08

Total from Investment Operations		1.37			1.37			(0.30	)		6.82			3.89

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	$	20.61		$	20.93		$	23.10		$	25.23		$	18.41

Total return		6.61	%		5.58	%		(1.58	)%(b)		37.05	%(c)		26.79	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	118,670		$	162,906		$	175,393		$	211,724		$	229,822
Net expenses		1.20	%		1.19	%		1.21	%		1.25	%(e)		1.25	%(f)
Gross expenses		1.20	%		1.19	%		1.21	%		1.25	%(e)		1.28	%
Net investment loss		(0.66	)%		(0.82	)%		(0.90	)%(b)		(0.99	)%(c)		(1.09	)%
Portfolio turnover rate		56	%		78	%		63	%		56	%		77	%

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

(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.

| 46

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Class N
	Year Ended September 30, 2016			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)		(0.06	)		(0.12	)		(0.14	)(b)		(0.11	)
Net realized and unrealized gain (loss)		1.59			1.64			(0.10	)		6.25

Total from Investment Operations		1.53			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	$	22.11		$	22.27		$	24.29		$	26.36

Total return		7.05	%		5.92	%		(1.27	)%(b)		30.37	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	196,733		$	162,591		$	15,080		$	7,580
Net expenses		0.83	%		0.83	%		0.83	%		0.83	%(d)
Gross expenses		0.83	%		0.83	%		0.83	%		0.83	%(d)
Net investment loss		(0.29	)%		(0.51	)%		(0.53	)%(b)		(0.63	)%(d)
Portfolio turnover rate		56	%		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.

47 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	32.19		$	36.40		$	37.42		$	29.14		$	22.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.27			0.20			0.20			0.21
Net realized and unrealized gain (loss)		4.82			0.49			2.18			8.41			6.62

Total from Investment Operations		4.99			0.76			2.38			8.61			6.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.22	)		(0.10	)		(0.30	)		(0.05	)
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(3.40	)		(4.97	)		(3.40	)		(0.33	)		(0.05	)

Net asset value, end of the period	$	33.78		$	32.19		$	36.40		$	37.42		$	29.14

Total return		16.75	%(b)		1.20	%(b)		6.17	%(b)		29.82	%(b)		30.59	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	654,501		$	666,107		$	730,901		$	733,512		$	572,776
Net expenses		0.90	%(c)		0.90	%(c)		0.90	%(c)		0.90	%(c)		0.90	%(d)
Gross expenses		0.93	%		0.92	%		0.91	%		0.91	%		0.90	%(d)
Net investment income		0.52	%		0.75	%		0.53	%		0.61	%		0.76	%
Portfolio turnover rate		22	%		22	%		23	%		22	%		19	%

(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)	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)	Includes fee/expense recovery of less than 0.01%.

See accompanying notes to financial statements.

| 48

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Retail Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	31.78		$	35.98		$	37.03		$	28.84		$	22.14

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.18			0.10			0.12			0.13
Net realized and unrealized gain (loss)		4.77			0.48			2.16			8.32			6.57

Total from Investment Operations		4.85			0.66			2.26			8.44			6.70

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.11	)		(0.01	)		(0.22	)		—
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(3.30	)		(4.86	)		(3.31	)		(0.25	)		—

Net asset value, end of the period	$	33.33		$	31.78		$	35.98		$	37.03		$	28.84

Total return(b)		16.47	%		0.94	%		5.90	%		29.48	%		30.26	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	267,936		$	306,360		$	358,698		$	403,475		$	343,480
Net expenses(c)		1.15	%		1.15	%		1.15	%		1.15	%		1.15	%
Gross expenses		1.18	%		1.17	%		1.20	%		1.22	%		1.22	%
Net investment income		0.27	%		0.50	%		0.28	%		0.37	%		0.49	%
Portfolio turnover rate		22	%		22	%		23	%		22	%		19	%

(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)	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.

49 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Admin Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	30.88		$	35.06		$	36.24		$	28.22		$	21.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.09			0.01			0.04			0.06
Net realized and unrealized gain (loss)		4.62			0.48			2.11			8.15			6.44

Total from Investment Operations		4.63			0.57			2.12			8.19			6.50

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		(0.00	)(b)		—			(0.14	)		—
Net realized capital gains		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(3.20	)		(4.75	)		(3.30	)		(0.17	)		—

Net asset value, end of the period	$	32.31		$	30.88		$	35.06		$	36.24		$	28.22

Total return(c)		16.19	%		0.71	%		5.63	%		29.17	%		29.93	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	43,973		$	45,762		$	61,791		$	74,892		$	67,853
Net expenses(d)		1.39	%(e)		1.38	%(f)		1.40	%		1.40	%		1.40	%
Gross expenses		1.42	%(e)		1.40	%(f)		1.51	%		1.52	%		1.52	%
Net investment income		0.03	%		0.28	%		0.02	%		0.11	%		0.24	%
Portfolio turnover rate		22	%		22	%		23	%		22	%		19	%

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

(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)	Includes refund of prior year service fee of 0.01%. See Note 5b of Notes to Financial Statements.

(f)	Includes refund of prior year service fee of 0.02%.

See accompanying notes to financial statements.

| 50

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Class N
	Year Ended September 30, 2016			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)		0.19			0.27			0.23			0.06
Net realized and unrealized gain (loss)		4.83			0.50			2.18			5.30

Total from Investment Operations		5.02			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	$	33.81		$	32.22		$	36.44		$	37.44

Total return		16.84	%		1.25	%		6.25	%(b)		16.71	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	68,332		$	38,555		$	2,568		$	1
Net expenses		0.83	%		0.83	%(d)		0.85	%(e)		0.85	%(e)(f)
Gross expenses		0.83	%		0.83	%(d)		0.89	%		14.45	%(f)
Net investment income		0.61	%		0.76	%		0.60	%		0.27	%(f)
Portfolio turnover rate		22	%		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)	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)	Includes fee/expense recovery of less than 0.01%.

(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.

51 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small/Mid Cap Growth Fund— Institutional Class
	Year Ended September 30, 2016			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)		(0.02	)		(0.01	)
Net realized and unrealized gain (loss)		0.70			(0.94	)

Total from Investment Operations		0.68			(0.95	)

LESS DISTRIBUTIONS FROM:
Net investment income		—			—
Net realized capital gains		—			—

Total Distributions		—			—

Net asset value, end of the period	$	9.73		$	9.05

Total return(b)		7.51	%		(9.50	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	11,974		$	9,242
Net expenses(d)		0.85	%		0.85	%(e)
Gross expenses		1.75	%		2.65	%(e)
Net investment loss		(0.22	)%		(0.53	)%(e)
Portfolio turnover rate		53	%		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.

(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.

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Notes to Financial Statements

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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. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. 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 (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees for Small Cap Value Fund and Small Cap Growth Fund are borne collectively for Institutional Class, Retail Class and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of

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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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

a. Valuation. 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:

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.

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

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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.

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, if applicable. 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.

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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. 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 September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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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.

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 capital gain and return of capital distributions received, distribution re-designations, redemptions-in-kind and net operating 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 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 years ended September 30, 2016 and 2015 were as follows:


	2016 Distributions Paid From:						2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	85,662,346	$	85,662,346	$	—	$	149,109,447	$	149,109,447
Small Cap Value Fund		7,118,205		98,999,090		106,117,295		10,451,269		142,087,857		152,539,126
Small/Mid Cap Growth Fund		—		—		—		—		—		—

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, 2016, the components of distributable earnings on a tax basis were as follows:


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
Undistributed ordinary income	$	—		$	1,686,964	$	—
Undistributed long-term capital gains		—			71,123,673		—

Total undistributed earnings		—			72,810,637		—

Capital loss carryforward:
Short-term:
No expiration date		(7,329,238	)		—		(1,072,253	)
Long-term:
No expiration date		—			—		(29,020	)

Total capital loss carryforward		(7,329,238	)		—		(1,101,273	)

Late-year ordinary and post-October capital loss deferrals*		(3,107,069	)		—		(7,917	)

Unrealized appreciation		212,048,397			301,655,703		1,049,425

Total accumulated earnings (losses)	$	201,612,090		$	374,466,340	$	(59,765	)

* 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.

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 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 September 30, 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;

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at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 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.

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.

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The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,091,709,628	$	—	$	—	$	1,091,709,628
Short-Term Investments		—		34,249,644		—		34,249,644

Total	$	1,091,709,628	$	34,249,644	$	—	$	1,125,959,272

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

For the year ended September 30, 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)	$	1,015,776,854	$	—	$	—	$	1,015,776,854
Closed-End Investment Companies		6,264,815		—		—		6,264,815
Short-Term Investments		—		16,131,843		—		16,131,843

Total	$	1,022,041,669	$	16,131,843	$	—	$	1,038,173,512

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3

Small/Mid Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	11,641,696	$	—	$	—	$	11,641,696
Short-Term Investments		—		377,396		—		377,396

Total	$	11,641,696	$	377,396	$	—	$	12,019,092

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

For the year ended September 30, 2016, there were no transfers among Levels 1, 2 and 3

4. Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	610,941,721	$	689,757,477
Small Cap Value Fund		223,175,132		344,150,766
Small/Mid Cap Growth Fund		7,418,989		5,506,452

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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 Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 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.

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For the year ended September 30, 2016, the management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross	Net
Small Cap Growth Fund	$	8,333,969	$	—	$	8,333,969	0.75%	0.75%
Small Cap Value Fund		7,820,966		—		7,820,966	0.75%	0.75%
Small/Mid Cap Growth Fund		80,170		80,170		—	0.75%	—

For the year ended September 30, 2016, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class		Retail Class		Admin Class		Class N		Total
Small Cap Value Fund	$	192,869	$	77,883	$	12,689	$	—	$	283,441

In addition, the investment adviser reimbursed expenses of Small/Mid Cap Growth Fund in the amount of $15,788 for the year ended September 30, 2016¹.

¹Waivers/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.

b. Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.

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

Under the Retail Class Plans, each Fund pays 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.

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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 year ended September 30, 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	$	—	$	345,619	$	—
Small Cap Value Fund		109,390		690,696		111,780

For the year ended September 30, 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.

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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For the year ended September 30, 2016, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Small Cap Growth Fund	$	489,740
Small Cap Value Fund		459,609
Small/Mid Cap Growth Fund		4,714

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 year ended September 30, 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	$	1,109,571
Small Cap Value Fund		982,142
Small/Mid Cap Growth Fund		143

As of September 30, 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
Small Cap Growth Fund	$	12,612
Small Cap Value Fund		9,121
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.

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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.

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.

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.

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Notes to Financial Statements – continued

September 30, 2016

f. Affiliated Ownership. As of September 30, 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	0.94%	1.32%	—	2.26%
Small Cap Value Fund	1.72%	2.59%	—	4.31%
Small/Mid Cap Growth	—	8.91%	81.26%	90.17%

Investment activities of affiliated shareholders could have material impacts on the Funds.

6. Class-Specific Transfer Agent Fees and Expenses. For the year ended September 30, 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	$	963,724	$	168,639	$	—	$	823
Small Cap Value Fund		690,093		283,417		45,896		476
Small/Mid Cap Growth Fund		1,559		—		—		—

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.

7. Line of Credit. Effective April 14, 2016, the Fund, 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 at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed

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Notes to Financial Statements – continued

September 30, 2016

unsecured line of credit provided by State Street Bank. Any one Fund was able to 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 was 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, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

8. Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the year ended September 30, 2016, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	75,395
Small Cap Value Fund		49,751
Small/Mid Cap Growth Fund		629

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 September 30, 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% Non-Affiliated Account Holders	Percentage of Non-Affiliated Ownership	Percentage of Affiliated Ownership (Note 5)	Total Percentage of Ownership
Small Cap Growth Fund	2	31.74%	—	31.74%
Small Cap Value Fund	2	19.29%	—	19.29%
Small/Mid Cap Growth	—	—	90.17%	90.17%

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.

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Notes to Financial Statements – continued

September 30, 2016

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


	Small Cap Growth Fund
	Year Ended September 30, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		7,447,055		$	155,701,856			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		(9,612,542	)		(201,629,117	)		(11,470,816	)		(274,541,353	)
Subscription in-kind (Note 11)		277,161			5,698,438			—			—

Net change		828,531		$	18,183,597			928,771		$	18,334,882

Retail Class
Issued from the sale of shares		935,456		$	18,282,313			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		(3,547,121	)		(71,211,754	)		(2,397,388	)		(53,969,398	)

Net change		(2,022,701	)	$	(41,061,821	)		190,102		$	3,753,690

Class N
Issued from the sale of shares		3,494,879		$	74,656,476			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		(2,515,389	)		(53,613,909	)		(346,462	)		(8,289,576	)

Net change		1,595,676		$	34,327,551			6,680,779		$	160,218,896

Increase (decrease) from capital share transactions		401,506		$	11,449,327			7,799,652		$	182,307,468


	Small Cap Value Fund
	Year Ended September 30, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,109,829		$	98,123,134			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		(5,042,901	)		(158,011,519	)		(5,495,573	)		(195,820,490	)
Redeemed in-kind (Note 11)		(1,595,784	)		(52,325,759	)		—			—

Net change		(1,318,498	)	$	(45,505,548	)		614,433		$	16,649,507

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Notes to Financial Statements – continued

September 30, 2016

10. Capital Shares – continued.


	Small Cap Value Fund – continued
	Year Ended September 30, 2016						Year Ended September 30, 2015
Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		609,197		$	18,890,158			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		(3,153,621	)		(100,205,101	)		(2,618,373	)		(91,431,051	)

Net change		(1,600,986	)	$	(53,172,188	)		(329,339	)	$	(12,538,432	)

Admin Class
Issued from the sale of shares		341,303		$	10,091,067			314,600		$	10,633,628
Issued in connection with the reinvestment of distributions		111,997			3,244,570			179,802			5,960,432
Redeemed		(574,173	)		(17,370,719	)		(774,906	)		(26,217,314	)

Net change		(120,873	)	$	(4,035,082	)		(280,504	)	$	(9,623,254	)

Class N
Issued from the sale of shares		945,571		$	29,754,154			1,179,383		$	42,095,614
Issued in connection with the reinvestment of distributions		140,642			4,245,978			26,566			914,684
Redeemed		(261,689	)		(8,144,577	)		(79,684	)		(2,779,124	)

Net change		824,524		$	25,855,555			1,126,265		$	40,231,174

Increase (decrease) from capital share transactions		(2,215,833	)	$	(76,857,263	)		1,130,855		$	34,718,995


	Small/Mid Cap Growth Fund
	Year Ended September 30, 2016						Period Ended September 30, 2015(a)
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		214,933		$	1,914,485			1,020,804		$	10,199,072
Redeemed		(5,401	)		(50,724	)		—			—

Net change		209,532		$	1,863,761			1,020,804		$	10,199,072

Increase (decrease) from capital share transactions		209,532		$	1,863,761			1,020,804		$	10,199,072

(a) From commencement of operations on June 30, 2015 through September 30, 2015.

11. Redemption/Subscription In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of

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Notes to Financial Statements – continued

September 30, 2016

redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. Small Cap Value Fund realized a gain of $16,627,849 on redemptions in-kind during the the year ended September 30, 2016. This amount is included in realized gain (loss) on the Statements of Operations. A Fund may also receive securities in lieu of cash as payment for Fund shares. During the year ended September 30, 2016, Small Cap Growth Fund received equity securities valued at $5,698,438 as payment for Fund shares.

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Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Loomis Sayles Funds Trust II and Shareholders of Loomis Sayles Small Cap Growth Fund, Loomis Sayles Small Cap Value Fund and Loomis Sayles Small/Mid Cap Growth Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Small Cap Growth Fund, a series of Loomis Sayles Funds Trust II, Loomis Sayles Small Cap Value Fund, a series of Loomis Sayles Funds Trust I, and Loomis Sayles Small/Mid Cap Growth Fund, a series of Loomis Sayles Funds Trust II (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

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2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:


Fund	Qualifying Percentage
Small Cap Value		100.00%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.


Fund	Amount
Small Cap Growth	$	85,662,346
Small Cap Value		98,999,090

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

Fund

Small Cap Value

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trusts and are available by calling 800-633-3330.


Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	44 Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	44 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	44 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	44 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	44 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	44 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	44 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta⁴ (1965)	Trustee since 2011 President since 2008 and Chief Executive Officer since 2015 of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust(s), Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES – continued

John T. Hailer⁵ (1960)	Trustee since 2003	President and Chief Executive Officer –U.S. and Asia, Natixis Global Asset Management, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term. Ms. Moose was appointed to serve an additional three-year term as the Chairperson of the Board on December 13, 2013.

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

³	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴	Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵	Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust(s)	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUST

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

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Mutual Funds Chief Compliance Officer, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts or the Natixis ETF Trust. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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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 Investment Grade Fixed Income Fund

Annual Report

September 30, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			18
Financial Statements			57
Notes to Financial Statements			68

LOOMIS SAYLES FIXED INCOME FUND


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

Investment Objective

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

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union (EU), but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

After declining through mid-February, U.S. high yield became a sought-after asset. The sector rewarded investors by producing strong and steady gains with minimal volatility. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) are trading inside the long-term average, but remain above the lows of 2014. Lower-quality credits and cyclical sectors outperformed during the period as the search for yield presses onward.

Investment-grade corporate bonds also performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (price sensitivity to interest rate changes) was a positive tailwind as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies – particularly those in the emerging markets – that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Fixed Income Fund returned 9.72%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

Explanation of Fund Performance

In general, our out-of-benchmark allocation to high yield credit drove the fund’s outperformance. In particular, a significant allocation to high yield industrials contributed to results. The stabilization and recovery of oil prices in the second half of the period led to strong returns for the sector, and our selected basic industry and capital goods names drove fund performance. We also held an out-of-benchmark position in common stocks, where name-specific exposure to the technology sector aided absolute and relative performance. Elsewhere, convertible securities were notable contributors to relative performance, particularly our selections within the technology sector. In addition, an allocation to non-U.S.-dollar-denominated securities added value. New Zealand dollar-denominated holdings were the largest contributors in the space. Though non-USD positions contributed positively to performance overall, U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-USD holdings during the period. During the period the amount of income available to be distributed by the fund was reduced to reflect the realization of currency losses from certain bond sales and maturities.

Meanwhile, our shorter-than-benchmark duration detracted from results as interest rates declined over the period. Our cash and reserve positions lagged other sectors and hindered relative performance. Within the investment-grade corporate sector, strong results in financials largely offset weak performance from utility and industrial names. Among high yield corporate securities, a small position in utilities detracted from performance as investors favored riskier high yield sectors.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Inflation expectations remain low. However, U.S. inflation is showing signs of acceleration and recent economic data have been favorable. We think the Fed is likely to raise rates in December if market conditions remain stable.

1 |

Oil prices are likely to be range-bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks – including slowing profit growth, rising leverage and free cash flow approaching peak levels – are increasing as we move further into the late stage of the credit cycle.¹ Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

Within credit, we favor the investment-grade financials, technology and energy sectors. We are also biased to higher-quality high yield. Convertible bonds continue to look attractive, and our focus has shifted from equity-sensitive convertibles to more balanced and credit-sensitive issues. We believe these securities offer yield and upside potential with more limited downside risk.

The Fed’s slow and cautious approach has helped keep the U.S. dollar range-bound against major currencies. Over the long term, improving global growth and further stability in commodities could support non-U.S.-dollar-denominated bonds. We are beginning to see more divergence in emerging market country fundamentals and political backdrops, which could expand potential relative value opportunities. We intend to maintain our current positions, which we believe represent long-term value, but are cautious on further exposure until we get better clarity on some of these evolving macro trends.

Risks include growing geopolitical risks, a prolonged period of low economic growth, declining corporate profit expectations and a shift to downturn in the U.S. credit cycle. Looking ahead, we remain focused on careful security selection using fundamental credit analysis. We intend to build on our key investment themes of yield and diversification, using our reserve allocation during periods of extreme short-term market dislocation to potentially add long-term value.

Since early 2015, ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been reduced, primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016²

LOGO

See notes to chart on page 3.

| 2

LOOMIS SAYLES FIXED INCOME FUND

Average Annual Total Returns — September 30, 2016²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 1/17/95)		9.72	%		6.71	%		7.08	%		0.57	%		0.57	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		5.86			3.24			4.86

Bloomberg 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.

3 |

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^®

Investment Objective

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

Market Conditions

Commodity prices and investor sentiment bottomed in February 2016, after falling since the middle of 2015. Central bank policy generally helped fuel a global fixed-income and credit market rally from there, subject only to temporary bouts of volatility. After widening briefly after the late-June Brexit vote in the U.K., credit spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) tightened through the rest of the summer. As investors sought higher-yielding assets, credit generally outperformed government bonds, and high yield bonds outperformed their investment-grade counterparts. The Bank of England’s (BoE’s) announcement that it was expanding its quantitative easing (QE) program to include corporate bond purchases beginning in September provided additional support to credit markets.

Major central banks remained accommodative, which supported market sentiment. The BoE, European Central Bank (ECB) and Bank of Japan (BoJ) announced continued QE. The Federal Reserve (the Fed) cautiously looked for another opportunity to hike rates after a 25 basis point move in December 2015, all while maintaining support for the U.S. market.

Government bond yields ended the period lower due to central bank policies and muted inflation outlooks. A flight to quality in early 2016 sent yields lower, and another bout of risk aversion emerged in the weeks surrounding the Brexit referendum. Major government benchmark yields bottomed in July – August 2016 and traded higher or flat through the end of September.

The U.S. dollar bull market that persisted in 2014 and 2015 subsided over the reporting period. Certain idiosyncratic events put pressure on the British pound and the euro during the second half of the period. Meanwhile, the Japanese yen was a beneficiary of periodic risk aversion and global yield convergence and was among the stronger currencies versus the U.S. dollar. The yen also strengthened on mounting evidence that the BoJ may be increasingly limited in its ability to expand monetary policy further.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Global Bond Fund returned 9.80%. The fund outperformed its benchmark, the Bloomberg Barclays Global Aggregate Bond Index, which returned 8.83%.

Explanation of Fund Performance

An overweight position in corporate credit drove the fund’s positive relative performance for the period. We used market weakness in late 2015 and early 2016 to selectively add to beaten-down yet reasonably sound credits. This strategy helped provide an additional boost to returns when market sentiment improved in February 2016, leading to solid outperformance from corporate bonds compared with government issues.

Within the corporate credit sector, holdings from the energy, communications, capital goods and consumer sectors performed well. Our credit exposure included modest positions in high yield issuers that posted strong relative returns versus their higher-quality peers. In addition, select hard currency quasi-government issues from emerging markets, particularly in Latin America, rebounded during the second half of the period to add value. Meanwhile, our exposure to the banking sector aided performance. Global banks have been forced to navigate a challenging business environment stemming from low interest rates, regulatory and Brexit uncertainty and an upcoming referendum in Italy. For the most part, we believe these are factors for equity investors to consider, because weak growth and soft earnings in the near term are not expected to reverse past improvements in capitalization and liquidity at the largest and strongest banks we favor. Our banking sector performance benefited from issuer and capital structure selection, including among recovering U.K. banks.

U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-U.S.-dollar-denominated holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities. An underweight allocation to the Japanese yen weighed on fund performance, as the yen appreciated versus the U.S. dollar for most of the year. The yen was the strongest developed market currency by a wide margin, but overall we found little value in Japanese yields and maintained an underweight to the local bond market. An overweight position in the Mexican peso also hindered relative performance. Despite the currency’s attractive valuation and the recovery in oil prices, geopolitical and trade balance concerns persisted. Elsewhere, modest positions in car loans and other asset-backed securities weighed on results, as these positions did not keep pace with longer duration (greater price sensitivity to interest rate changes) securities or higher-risk segments of the market.

Outlook

We expect central banks in the Eurozone, England and Japan to continue their expansionary monetary policies to spur growth, even though the benefits may be waning. Fiscal policy responses may be the next step. We believe the U.S. economy remains on sure footing, and we expect the Fed to raise rates in December 2016. The Fed is likely to take a moderate approach to rate hikes heading into 2017, as growth and inflation forecasts remain benign.

| 4

LOOMIS SAYLES GLOBAL BOND FUND

Since early 2015, monthly or quarterly ordinary income distributions for certain Loomis Sayles-managed fixed-income funds have been below historic averages. This is primarily due to the impact of foreign currency losses. Fund officers have analyzed the fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2017. Based on this analysis, fund officers believe that realized currency losses may have a less significant impact on this fund’s distributions in the 2017 fiscal year. As a result, the distribution amount may improve going forward. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates and the net asset level of the fund. Changes to these assumptions could impact the analysis and the amounts of future fund distributions.

The U.S. presidential election in November may add to global uncertainty and trigger volatility heading into year-end. Europe is also facing challenges, with the migrant crisis fraying EU cohesion and the risk of political instability and EU referendum contagion spreading across the Eurozone. The upcoming Italy reform referendum could lead to risk aversion and broad selloffs in peripheral government debt and bank corporate bonds.

As investors search for yield in an extremely low-yielding environment, we believe corporate bonds – including lower-quality bonds – can continue to attract significant inflows.

OPEC has indicated it may cut oil production at its November meeting, which may cause oil prices to appreciate modestly. However, we believe there is a ceiling to oil price appreciation, because rising prices may attract additional production to the market. Ultimately, we anticipate prices will remain fairly range bound at approximately $45 to $50 per barrel into 2017.

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016²

LOGO

Average Annual Total Returns — September 30, 2016²



										Life of Class N			Expense Ratios³
	1 year			5 years			10 years			Life of Class N			Gross			Net
Institutional Class (Inception 5/10/91)		9.80	%		2.49	%		4.52	%		—	%		0.78	%		0.75	%

Retail Class (Inception 12/31/96)		9.51			2.24			4.23			—			1.03			1.00

Class N (Inception 2/1/13)		9.93			—			—			1.04			0.63			0.63

Comparative Performance
Bloomberg Barclays Global Aggregate Bond Index¹		8.83			1.74			4.26			1.42

Bloomberg 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.

5 |

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND


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

Investment Objective

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

Market Conditions

Growth in headline inflation remained low, largely due to the continued strength of the U.S. dollar, which translated to lower import prices. Also, the energy component of the Consumer Price Index (CPI) continued to significantly drag down 12-month inflation.

In December 2015, the Federal Reserve (the Fed) raised interest rates for the first time since June 2006. This led to modest short-term losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets, and riskier assets rebounded strongly. Volatility spiked temporarily in June, following the UK referendum vote to leave the European Union (Brexit), but conditions were generally calm for the remainder of the period. Fixed-income markets ended September with gains for the 12-month period.

In early 2016, the Federal Reserve projected it would implement four rate hikes during the year. Yet, as of September 30, the Fed made no rate hikes, and financial markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered its economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned 6.00%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index, which returned 6.58%.

Explanation of Fund Performance

We used swaptions (options on interest rate swaps) to neutralize the duration (price sensitivity to interest rate changes) effect from our longer-maturity TIPS positions, which detracted from performance. In addition, we used futures to manage the portfolio’s duration, which had a negative impact on relative performance.

Overall, breakeven inflation rates (the yield difference between nominal Treasuries and TIPS of the same maturity) advanced during the period, which benefited TIPS. The fund’s TIPS allocation was the largest contributor to absolute and relative performance. Specifically, within the TIPS allocation, our exposure to longer-dated securities contributed to performance on an absolute basis. Overall, the portfolio’s yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning within the sector aided results. A flattening yield curve and a slightly longer duration versus the benchmark had a positive effect on fund performance.

Outlook

We believe the U.S. economy will continue to grow in 2016. In particular, we expect low interest rates and energy prices, solid payroll growth, falling unemployment, rising home prices, improving mortgage delinquency rates and declining housing vacancy rates to support growth. Given this constructive view on the U.S. economy, we expect the U.S. dollar to remain relatively strong versus other currencies. However, we expect the pace of the dollar’s appreciation to slow. We also expect the Fed to gradually tighten monetary policy. Geopolitical risks and slowing global growth may counterbalance any positive U.S. economic developments, resulting in a flight-to-quality rally for U.S. Treasuries.

We believe inflation in the U.S. will gradually normalize in 2017. Factors such as wages, medical costs and housing are already beginning to rise. Relatively low energy prices have kept inflation tame, but recent upward moves in oil prices have started to change investor outlooks. Globally, we still expect deflation fears to persist due to broader growth challenges.

| 6

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016³

LOGO

Average Annual Total Returns — September 30, 2016³



										Expense Ratios⁴
	1 year			5 years			10 years			Gross			Net
Institutional Class (Inception 5/20/91)		6.00	%		1.54	%		4.11	%		0.80	%		0.40	%

Retail Class (Inception 5/28/10)¹		5.47			1.23			3.81			1.03			0.65
Comparative Performance
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index²		6.58			1.93			4.48

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.

Bloomberg 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.

⁴

7 |

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND


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

Investment Objective

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

Market Conditions

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Institutional High Income Fund returned 12.53%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

Industrial securities in the high yield and investment-grade corporate sectors were top contributors to the fund’s relative return, largely due to security selection among energy holdings. High yield utilities and financials also aided relative return. Elsewhere, out-of-benchmark positions in common stocks and convertibles contributed to the fund’s performance. Common stocks benefited from positioning in the technology sector, while technology and communication names in the convertible space aided performance. In addition, Yankee (U.S.-dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted results.

Outlook

| 8

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016²

LOGO

9 |

Average Annual Total Returns — September 30, 2016²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 6/5/96)		12.53	%		9.14	%		7.87	%		0.68	%		0.68	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		12.73			8.34			7.71

Bloomberg 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.

| 10

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

Investment Objective

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

Market Conditions

Performance Results

For the 12 months ended September 30, 2016, the Loomis Sayles Investment Grade Fixed Income Fund returned 8.27%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

Explanation of Fund Performance

The fund’s outperformance was primarily due to out-of-benchmark allocations. In particular, convertible and equity holdings generated positive absolute and relative returns, driven by name-specific exposure in the technology sector. In addition, exposure to high yield industrials and financials helped buoy performance. Within the high yield industrials allocation, securities in the metals and mining and energy industries were among the largest contributors, appreciating in value along with commodity prices. Selected high yield finance companies also benefited results. The financial and industrial sectors were also top contributors in the investment-grade corporate allocation, as banking, energy, automotive and communications issues bolstered relative return.

The fund’s shorter-than-benchmark duration weighed on results as rates declined during the period. Overall, non-U.S.-dollar-denominated securities detracted from performance, as uneven economic outlooks and divergent monetary policies across the globe pressured most developed and emerging market currencies versus the U.S. dollar. In particular, fund holdings denominated in the Mexican peso lagged. In the wake of the U.K. Brexit vote in late June, growth expectations slowed in the U.K. and Europe, causing holdings denominated in the British pound and euro to depreciate in value and detract from performance. Our positioning in Canadian-dollar-denominated securities also weighed on results. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities.

Outlook

11 |

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

Hypothetical Growth of $3,000,000 Investment in Institutional Class Shares

September 30, 2016 through September 30, 2016²

LOGO

Average Annual Total Returns — September 30, 2016²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 7/1/94)		8.27	%		4.81	%		6.41	%		0.48	%		0.48	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		5.86			3.24			4.86

Bloomberg 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.

1637689.1.1

| 12

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

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 most recent 12-month period ended June 30 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 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 April 1, 2016 through September 30, 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.

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,073.00		$2.95
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).

13 |

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,053.70		$3.85
Hypothetical (5% return before expenses)		$1,000.00		$1,021.25		$3.79

Retail Class
Actual		$1,000.00		$1,052.50		$5.13
Hypothetical (5% return before expenses)		$1,000.00		$1,020.00		$5.05

Class N
Actual		$1,000.00		$1,054.30		$3.44
Hypothetical (5% return before expenses)		$1,000.00		$1,021.65		$3.39
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.00% and 0.67% 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 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,024.00		$2.02
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02

Retail Class
Actual		$1,000.00		$1,021.30		$3.28
Hypothetical (5% return before expenses)		$1,000.00		$1,021.75		$3.29
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65% for Institutional and Retail Class, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 366 (to reflect the half-year period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,135.00		$3.63
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 Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,043.30		$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).

| 14

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

The nature, extent and quality of the services provided to the Funds under the Agreements. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Funds and the resources dedicated to the Funds by the Adviser and its affiliates.

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

15 |

With respect to each Fund, the Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement relating to that Fund. In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks and/or peer groups; (3) that the Fund’s performance, although lagging in certain periods, was stronger over the long term; or (4) that the Fund’s performance, although lagging the performance of its category for certain periods, was competitive when compared to relevant benchmarks or peer groups.

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. The Trustees considered the fees charged to the Funds for advisory services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and also by an independent third party) of the Funds’ advisory fees and total expense levels to those of their peer groups and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating each Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of such Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Funds grow in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. They noted that all of the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser under these caps. The Trustees also considered that some Funds’ current expenses are below the cap. The Trustees noted that the Loomis Sayles Institutional High Income Fund’s advisory fee was above the median of a peer group of funds. The Trustees considered the factors which management believed justified such relatively higher fees. These factors included: (1) that the Fund’s net expense ratio was below the median for its peer group; and (2) that the Fund’s investment discipline was capacity constrained.

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

| 16

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

•

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

•

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

17 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 85.7% of Net Assets

	Non-Convertible Bonds – 77.7%

		ABS Other – 0.1%
$	1,038,440	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	651,102
	404,747	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		116,648
	1,855,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		25,970
	855,918	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(c)(e)		837,035

				1,630,755

		Aerospace & Defense – 2.3%
	11,120,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		10,063,600
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		149,844
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		654,000
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,862,000
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,861,500
	245,000	Textron, Inc., 5.600%, 12/01/2017		256,035
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,852,114
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,477,998
	1,468,000	TransDigm, Inc., 6.500%, 7/15/2024		1,545,070
	1,375,000	TransDigm, Inc., 6.500%, 5/15/2025		1,431,719

				27,153,880

		Airlines – 3.7%
	5,550,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		4,391,647
	634,230	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		653,257
	13,360,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		13,911,100
	11,478,132	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		12,037,691
	1,020,586	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		1,085,465
	332,066	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		346,547
	779,483	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		786,685
	196,515	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		205,450
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,823,525

		Airlines – continued
$	8,020	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019	$	8,339
	191,384	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		205,259
	185,375	Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018		189,931
	733,111	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		780,764
	1,593,212	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		1,708,720
	1,196,840	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,427,232
	807,439	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		928,555
	429,060	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		475,185
	1,974,733	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		2,152,459
	299,129	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		303,616
	448,044	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		453,644

				43,875,071

		Automotive – 3.4%
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,899,592
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,121,628
	165,000	Ford Motor Co., 6.625%, 2/15/2028		197,708
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		5,313,950
	690,000	Ford Motor Co., 7.125%, 11/15/2025		860,639
	2,245,000	Ford Motor Co., 7.400%, 11/01/2046		3,241,773
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,553,959
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		2,102,799
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		629,792
	9,685,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		10,332,413
	495,000	General Motors Co., 5.200%, 4/01/2045		514,889
	830,000	General Motors Co., 6.750%, 4/01/2046		1,040,551
	2,175,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,323,009
	2,865,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		3,146,584
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		409,687
	515,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		524,012

				40,212,985

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – 11.4%
$	6,735,000	Ally Financial, Inc., 5.125%, 9/30/2024	$	7,139,100
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,412,445
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		2,052,842
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,124,413
	5,600,000	Bank of America Corp., 6.110%, 1/29/2037		6,844,303
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,217,729
	1,700,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		1,759,786
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,578,677
	14,790,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		11,576,547
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)		1,781,881
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(f)		2,463,505
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(f)		1,125,000
	3,340,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		2,550,447
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		10,548,421
	200,000	Citigroup, Inc., EMTN, 0.972%, 11/30/2017, (EUR)(g)		224,686
	6,560,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,291,502
	4,145,000	Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037		5,277,870
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,164,846
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,519,637
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,680,946
	8,450,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045, 144A		9,096,341
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.247%, 9/14/2018, (EUR)(g)		55,972
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		353,625
	5,125,000	Morgan Stanley, 2.125%, 4/25/2018		5,168,076
	1,360,000	Morgan Stanley, 2.500%, 1/24/2019		1,385,784
	2,120,000	Morgan Stanley, 3.750%, 2/25/2023		2,251,635
	300,000	Morgan Stanley, 4.350%, 9/08/2026		320,281
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,211,531
	3,115,000	Morgan Stanley, 5.750%, 1/25/2021		3,550,898
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		3,866,943

		Banking – continued
	50,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		65,930
	13,040,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		13,786,683
	900,000	Morgan Stanley, Series F, MTN, 1.129%, 10/18/2016(g)		900,123
	3,950,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		3,144,434
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(f)		196,597
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(f)		2,665,848
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		2,001,059
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(f)		2,231,000
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		56,773
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		792,368
	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(f)		1,235,964
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,695,035

				137,367,483

		Brokerage – 1.4%
	549,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		510,570
	2,890,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		2,810,525
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,299,798
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,435,889
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		3,184,156
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		2,043,441
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,951,700

				16,236,079

		Building Materials – 0.8%
	4,135,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,716,331
	800,000	Masco Corp., 6.500%, 8/15/2032		880,000
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,621,500
	815,000	Masco Corp., 7.750%, 8/01/2029		973,925
	2,050,000	Owens Corning, 7.000%, 12/01/2036		2,587,883

				9,779,639

		Cable Satellite – 1.0%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		706,563
	3,035,000	DISH DBS Corp., 5.000%, 3/15/2023		2,951,537
	715,000	DISH DBS Corp., 5.875%, 11/15/2024		706,063

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Cable Satellite – continued
$	375,000	Time Warner Cable LLC, 4.500%, 9/15/2042	$	357,847
	1,500,000	Time Warner Cable LLC, 6.550%, 5/01/2037		1,778,446
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		4,048,551
	800,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		828,008

				11,377,015

		Chemicals – 2.4%
	3,845,000	Chemours Co. (The), 6.625%, 5/15/2023		3,748,875
	710,000	Chemours Co. (The), 7.000%, 5/15/2025		697,575
	9,550,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		9,430,625
	5,240,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)		1,886,400
	275,000	Hexion, Inc., 8.875%, 2/01/2018		261,938
	905,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		352,950
	7,395,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		5,352,131
	6,830,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		6,796,396
	620,000	Methanex Corp., 5.250%, 3/01/2022		640,387

				29,167,277

		Construction Machinery – 0.2%
	965,000	Toro Co., 6.625%, 5/01/2037(c)(e)		1,156,511
	1,155,000	United Rentals North America, Inc., 7.625%, 4/15/2022		1,230,075

				2,386,586

		Consumer Products – 0.1%
	880,000	Avon Products, Inc., 8.950%, 3/15/2043		719,400

		Diversified Manufacturing – 0.2%
	45,000	General Electric Co., GMTN, 3.100%, 1/09/2023		47,806
	2,390,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		1,753,850

				1,801,656

		Electric – 3.6%
	2,385,000	AES Corp. (The), 4.875%, 5/15/2023		2,420,775
	180,000	AES Corp. (The), 5.500%, 4/15/2025		185,175
	2,240,831	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,292,626
	2,957,287	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(c)(e)		1,505,791
	2,850,000	DPL, Inc., 6.750%, 10/01/2019		2,956,875
	4,120,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		4,270,380
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,763,827
	5,455,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		5,702,439

		Electric – continued
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)	$	2,123,055
	1,589,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		1,974,549	��
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,595,386
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		132,094
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,357,947
	4,000,000	Enersis Americas S.A., 7.400%, 12/01/2016		4,028,832
	1,730,712	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c)(e)		1,920,866

				43,230,617

		Finance Companies – 4.6%
	300,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		150,000
	1,680,000	International Lease Finance Corp., 4.625%, 4/15/2021		1,759,800
	3,045,000	International Lease Finance Corp., 5.875%, 8/15/2022		3,376,144
	4,695,000	International Lease Finance Corp., 6.250%, 5/15/2019		5,088,206
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,352,581
	945,000	iStar, Inc., 4.875%, 7/01/2018		949,725
	225,000	iStar, Inc., 5.850%, 3/15/2017		227,687
	935,000	iStar, Inc., 7.125%, 2/15/2018		974,738
	1,525,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,536,437
	3,903,000	Navient Corp., 5.875%, 10/25/2024		3,551,730
	5,900,000	Navient Corp., MTN, 6.125%, 3/25/2024		5,494,375
	2,167,000	Navient LLC, 4.875%, 6/17/2019		2,158,874
	4,668,000	Navient LLC, 5.500%, 1/25/2023		4,282,890
	31,725(††)	Navient LLC, 6.000%, 12/15/2043		728,882
	726,000	Navient LLC, MTN, 5.500%, 1/15/2019		736,890
	145,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		145,000
	5,185,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(c)(e)		4,122,075
	2,681,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		2,882,075
	1,950,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,935,375
	1,225,000	Springleaf Finance Corp., 5.250%, 12/15/2019		1,251,031
	3,770,000	Springleaf Finance Corp., 6.000%, 6/01/2020		3,859,537
	1,805,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,892,994
	725,000	Springleaf Finance Corp., 8.250%, 10/01/2023		761,250
	2,100,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		2,173,500

				55,391,796

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Food & Beverage – 0.4%
$	2,445,000	Constellation Brands, Inc., 4.750%, 11/15/2024	$	2,646,712
	1,995,000	DS Services of America, Inc., 10.000%, 9/01/2021, 144A		2,224,425

				4,871,137

		Government Owned – No Guarantee – 0.3%
	1,715,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		1,986,654
	1,605,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,435,673
	965,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		728,575

				4,150,902

		Healthcare – 2.7%
	650,000	BioScrip, Inc., 8.875%, 2/15/2021		607,750
	425,000	Boston Scientific Corp., 5.125%, 1/12/2017		429,444
	610,000	HCA, Inc., 5.875%, 3/15/2022		672,525
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		5,282,400
	2,932,000	HCA, Inc., 7.050%, 12/01/2027		3,118,915
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,635,406
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,560,600
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		2,989,601
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,577,598
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,303,575
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		466,013
	1,425,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,417,875
	2,245,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,259,031
	3,685,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		3,602,087
	1,285,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,195,050
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,459,937

				32,577,807

		Home Construction – 0.9%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		547,250
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(e)		189,000
	4,276,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		2,586,980
	835,000	KB Home, 8.000%, 3/15/2020		929,981
	3,920,000	PulteGroup, Inc., 6.000%, 2/15/2035		3,959,200
	3,020,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,145,835
	15,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		15,600

				11,373,846

		Independent Energy – 1.5%
	242,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		252,295
	644,000	California Resources Corp., 5.500%, 9/15/2021		341,320

		Independent Energy – continued
	86,000	California Resources Corp., 6.000%, 11/15/2024		41,065
	3,105,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,615,962
	335,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		284,750
	1,135,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		1,041,363
	720,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		677,700
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		930,325
	550,000	Chesapeake Energy Corp., 7.250%, 12/15/2018		558,250
	980,000	Continental Resources, Inc., 3.800%, 6/01/2024		896,700
	185,000	Continental Resources, Inc., 4.500%, 4/15/2023		177,600
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		6,103,875
	345,000	QEP Resources, Inc., 5.250%, 5/01/2023		339,825
	690,000	Rice Energy, Inc., 6.250%, 5/01/2022		712,425
	1,600,000	RSP Permian, Inc., 6.625%, 10/01/2022		1,676,000
	1,221,000	SM Energy Co., 6.125%, 11/15/2022		1,221,000
	155,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		141,438

				18,011,893

		Industrial Other – 0.2%
	385,000	AECOM, 5.750%, 10/15/2022		404,369
	405,000	AECOM, 5.875%, 10/15/2024		432,338
	660,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		702,900
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,204,625

				2,744,232

		Life Insurance – 1.6%
	160,000	American International Group, Inc., 4.125%, 2/15/2024		172,403
	130,000	American International Group, Inc., 4.875%, 6/01/2022		146,269
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)		4,031,446
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		250,727
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(c)(e)		4,995,707
	790,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		649,775
	1,940,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		1,615,050
	840,000	Genworth Holdings, Inc., 6.500%, 6/15/2034		684,600
	2,270,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		3,265,849
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,786,899

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Life Insurance – continued
$	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A	$	1,400,623

				18,999,348


		Local Authorities – 2.3%
	830,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		662,790
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		7,793,803
	4,280,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		3,325,848
	19,825,000	Province of Ontario Canada, 4.200%, 3/08/2018, (CAD)		15,858,640

				27,641,081

		Media Entertainment – 0.7%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,073,025
	3,805,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		2,768,137
	500,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		520,000
	1,250,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		1,312,500
	2,475,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		2,456,438
	120,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		120,900
	306,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		317,475
	295,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		322,288

				8,890,763

		Metals & Mining – 1.7%
	2,602,232	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(h)(i)		1,041
	1,400,000	Alcoa, Inc., 5.870%, 2/23/2022		1,505,000
	400,000	Alcoa, Inc., 5.900%, 2/01/2027		428,000
	6,630,000	ArcelorMittal, 7.750%, 3/01/2041		6,911,775
	3,300,000	ArcelorMittal, 8.000%, 10/15/2039		3,564,000
	1,659,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		1,625,820
	2,015,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(c)(e)(h)		272,025
	2,525,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		2,234,625
	1,400,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		1,365,000
	1,580,000	United States Steel Corp., 6.650%, 6/01/2037		1,264,000
	1,760,000	United States Steel Corp., 7.500%, 3/15/2022		1,733,600

				20,904,886


		Midstream – 2.0%
	575,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		559,188
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		304,670
	3,000,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025		3,448,938	��
	2,860,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		3,616,441
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,473,351
	300,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		340,301
	1,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,467,680
	95,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		103,075
	375,000	ONEOK Partners LP, 4.900%, 3/15/2025		403,398
	115,000	ONEOK Partners LP, 6.200%, 9/15/2043		127,049
	1,785,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		1,806,349
	7,195,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026, 144A		9,314,942
	1,280,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		1,312,000

				24,277,382

		Non-Agency Commercial Mortgage-Backed Securities – 0.4%
	530,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(g)		510,139
	926,171	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		700,373
	1,000,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(g)		1,010,042
	2,151,191	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(c)(e)		2,165,308

				4,385,862

		Oil Field Services – 0.3%
	6,230,000	FTS International, Inc., 6.250%, 5/01/2022		2,382,975
	3,050,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(h)		846,375
	1,317,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(h)		365,467
	775,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		50,375
	400,000	Transocean, Inc., 5.050%, 10/15/2022		313,500

				3,958,692

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Packaging – 1.5%
$	3,550,000	Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 5.625%, 12/15/2016, 144A	$	3,541,480
	11,450,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		11,908,000
	1,910,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		2,048,475

				17,497,955

		Paper – 1.1%
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,857,340
	5,492,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,859,299
	350,000	WestRock MWV LLC, 7.950%, 2/15/2031		471,903
	1,035,000	WestRock MWV LLC, 8.200%, 1/15/2030		1,411,281

				13,599,823

		Property & Casualty Insurance – 0.8%
	1,630,000	MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(d)(g)		652,000
	3,275,000	Old Republic International Corp., 4.875%, 10/01/2024		3,541,218
	2,140,000	Sirius International Group, 6.375%, 3/20/2017, 144A		2,173,904
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,727,008
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,352,429

				9,446,559

		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)(e)		488,897

		REITs – Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,533,022

		REITs – Office Property – 0.3%
	475,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		513,586
	3,485,000	Highwoods Realty LP, 5.850%, 3/15/2017		3,547,629

				4,061,215

		REITs – Single Tenant – 0.1%
	275,000	Realty Income Corp., 5.750%, 1/15/2021		313,500
	725,000	Realty Income Corp., 6.750%, 8/15/2019		824,249

				1,137,749

		Restaurants – 0.1%
	450,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		613,160

		Retailers – 0.6%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,180,083
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,298,000

		Retailers – continued
	440,000	GameStop Corp., 5.500%, 10/01/2019, 144A		449,350
	155,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		155,369
	793,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		681,980
	1,525,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,662,250
	2,121,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		2,136,907

				7,563,939

		Sovereigns – 0.4%
	4,485,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		4,467,383

		Supermarkets – 1.4%
	760,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		790,400
	7,670,000	New Albertson’s, Inc., 7.450%, 8/01/2029		7,516,600
	2,445,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,435,831
	3,780,000	New Albertson’s, Inc., 8.000%, 5/01/2031		3,728,025
	560,000	New Albertson’s, Inc., 8.700%, 5/01/2030		568,400
	2,105,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,936,600

				16,975,856

		Supranational – 1.2%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		14,971,905

		Technology – 1.5%
	860,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		844,950
	2,415,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,671,594
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		87,200
	2,950,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,045,875
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,456,464
	2,095,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045, 144A		2,161,920
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		171,958
	694,800	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		886,455
	5,585,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		6,143,500

				17,469,916

		Transportation Services – 0.2%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(c)(e)		1,650,000
	241,523	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(b)		245,749

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Transportation Services – continued
$	143,070	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(b)	$	143,070
	134,589	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 1/02/2018(b)		136,608

				2,175,427

		Treasuries – 14.9%
	29,780,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		22,663,171
	13,195,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		10,127,850
	10,950,000	Canadian Government, 1.250%, 9/01/2018, (CAD)		8,464,122
	8,305,000	Canadian Government, 1.750%, 9/01/2019, (CAD)		6,554,110
	264,630,000	Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)		1,574,942
	107,395,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		706,378
	271,710,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		1,743,473
	414,800(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		2,140,582
	424,300(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		2,254,478
	200,000(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,166,764
	595,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		3,394,502
	847,500(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,913,833
	150,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		924,443
	1,455,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		9,479,691
	21,085,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		16,480,759
	10,220,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,443,425
	63,235,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		8,091,084
	14,660,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		2,013,242
	10,150,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,883,035
	14,635,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		4,567,601
	12,000,000	U.S. Treasury Note, 0.750%, 4/30/2018		12,001,404

		Treasuries – continued
	37,000,000	U.S. Treasury Note, 0.750%, 8/31/2018		36,992,785
	18,500,000	U.S. Treasury Note, 0.875%, 5/31/2018		18,538,295

				179,119,969

		Wireless – 0.7%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		3,636,849
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,466,096
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		306,000
	898,000	Sprint Communications, Inc., 6.000%, 12/01/2016		902,490
	735,000	Sprint Communications, Inc., 6.000%, 11/15/2022		681,713
	285,000	Sprint Corp., 7.125%, 6/15/2024		277,875

				8,271,023

		Wirelines – 2.6%
	195,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		191,807
	690,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		732,858
	210,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		203,911
	2,085,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,137,125
	990,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		960,300
	200,000	Embarq Corp., 7.995%, 6/01/2036		202,396
	3,585,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		3,746,325
	55,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		57,475
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(d)		232,533
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(d)		439,230
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,808,725
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		360,500
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		751,750
	4,484,000	Qwest Corp., 6.875%, 9/15/2033		4,470,091
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,335,080
	2,290,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,267,673
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,419,413
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		693,533
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		500,463
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		473,304
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,660,380

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)	$	1,397,799

				31,042,671


		Total Non-Convertible Bonds
		(Identified Cost $935,716,466)		933,554,539


	Convertible Bonds – 7.4%

		Building Materials – 0.4%
	5,140,000	KB Home, 1.375%, 2/01/2019		4,998,650

		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		397,777

		Consumer Products – 0.0%
	270,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		232,875

		Diversified Manufacturing – 0.1%
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		609,450

		Finance Companies – 0.3%
	2,840,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		3,574,850

		Healthcare – 0.0%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		286,125

		Leisure – 0.2%
	2,800,000	Rovi Corp., 0.500%, 3/01/2020		2,790,284

		Midstream – 0.2%
	1,565,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		1,457,406
	463,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		460,106

				1,917,512

		Pharmaceuticals – 0.1%
	205,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		245,872
	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		355,359

				601,231

		Property & Casualty Insurance – 1.9%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		557,563
	18,045,000	Old Republic International Corp., 3.750%, 3/15/2018		21,665,278

				22,222,841

		Technology – 4.2%
	535,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		527,978
	9,090,000	Ciena Corp., 0.875%, 6/15/2017		9,038,869
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,370,575

		Technology – continued
	7,000,000	Intel Corp., 3.250%, 8/01/2039		12,801,250
	309,313	Liberty Interactive LLC, 3.500%, 1/15/2031		287,719
	9,900,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		8,798,625
	9,404,000	Nuance Communications, Inc., 1.500%, 11/01/2035		8,822,128
	4,095,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		4,397,006
	2,020,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		2,009,900

				51,054,050


		Total Convertible Bonds
		(Identified Cost $75,049,209)		88,685,645


	Municipals – 0.6%

		Michigan – 0.2%
	2,135,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		2,095,140

		Virginia – 0.4%
	5,825,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		5,002,976

		Total Municipals
		(Identified Cost $7,941,923)		7,098,116


		Total Bonds and Notes
		(Identified Cost $1,018,707,598)		1,029,338,300


	Senior Loans – 0.6%

		Chemicals – 0.1%
	1,042,689	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(g)		1,048,559
	463,910	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(g)		462,750

				1,511,309

		Media Entertainment – 0.0%
	43,685	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(g)		41,610

		Other Utility – 0.2%
	1,188,151	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(g)		1,183,695
	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)		786,050

				1,969,745

		Supermarkets – 0.2%
	2,511,735	Supervalu, Inc., Refi Term Loan B, 5.500%, 3/21/2019(g)		2,514,297

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Wirelines – 0.1%
$	1,163,162	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(c)(e)(g)	$	1,099,188


		Total Senior Loans
		(Identified Cost $7,242,223)		7,136,149


	Shares

	Common Stocks – 7.3%

		Automobiles – 0.3%
	341,305	Ford Motor Co.		4,119,551

		Chemicals – 0.1%
	8,917	PPG Industries, Inc.		921,661

		Containers & Packaging – 0.1%
	35,353	Owens-Illinois, Inc.(d)		650,142

		Diversified Telecommunication Services – 0.2%
	7,475	Hawaiian Telcom Holdco, Inc.(d)		167,365
	17,222	Level 3 Communications, Inc.(d)		798,757
	159,649	Telefonica S.A., Sponsored ADR		1,609,262

				2,575,384

		Electronic Equipment, Instruments & Components – 0.4%
	205,167	Corning, Inc.		4,852,200

		Energy Equipment & Services – 0.0%
	170,674	Hercules Offshore, Inc.(d)		295,266

		Household Durables – 0.1%
	29,797	Newell Brands, Inc.		1,569,110

		Internet Software & Services – 0.0%
	6,787	Dex Media, Inc.(b)(d)		13,493

		Metals & Mining – 0.2%
	359,067	ArcelorMittal, (Registered)(d)		2,168,765

		Multi-Utilities – 0.1%
	20,449	CMS Energy Corp.		859,062

		Oil, Gas & Consumable Fuels – 0.6%
	54,259	Chesapeake Energy Corp.(d)		340,204
	43,209	Halcon Resources Corp.(d)		405,300
	172,008	Repsol YPF S.A., Sponsored ADR		2,347,909
	70,051	Royal Dutch Shell PLC, Sponsored ADR		3,507,454

				6,600,867

		Pharmaceuticals – 0.7%
	160,000	Bristol-Myers Squibb Co.		8,627,200

		REITs – Diversified – 0.2%
	88,343	Weyerhaeuser Co.		2,821,675

		Semiconductors & Semiconductor Equipment – 4.1%
	1,317,153	Intel Corp.		49,722,526


		Trading Companies & Distributors – 0.2%
	23,272	United Rentals, Inc.(d)	$	1,826,619


		Total Common Stocks
		(Identified Cost $77,208,594)		87,623,521


	Preferred Stocks – 1.4%

	Convertible Preferred Stocks – 1.3%

		Banking – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%		3,472,069

		Communications – 0.0%
	2,083	Cincinnati Bell, Inc., 6.750%		104,483

		Electric – 0.2%
	50,764	AES Trust III, 6.750%		2,588,964

		Energy – 0.4%
	96,065	El Paso Energy Capital Trust I, 4.750%		4,803,250

		Metals & Mining – 0.2%
	68,395	Alcoa, Inc., Series 1, 5.375%		2,235,833

		Midstream – 0.1%
	10,213	Chesapeake Energy Corp., 4.500%(d)		464,487
	12,055	Chesapeake Energy Corp., 5.000%(d)		516,858
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A(d)		343,613

				1,324,958

		REITs – Diversified – 0.0%
	1,667	Crown Castle International Corp., Series A, 4.500%		188,404

		REITs – Health Care – 0.1%
	7,400	Welltower, Inc., 6.500%		492,470

		REITs – Mortgage – 0.0%
	3,106	iStar, Inc., Series J, 4.500%		151,977


		Total Convertible Preferred Stocks
		(Identified Cost $15,000,441)		15,362,408


	Non-Convertible Preferred Stocks – 0.1%

		Electric – 0.0%
	90	Entergy New Orleans, Inc., 4.360%		9,354
	2,876	Entergy New Orleans, Inc., 4.750%		294,161
	4,670	Union Electric Co., 4.500%		472,137

				775,652

		Finance Companies – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,290,391


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,514,082)		2,066,043


		Total Preferred Stocks
		(Identified Cost $16,514,523)		17,428,451

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Fixed Income Fund – continued


Shares		Description	Value (†)

	Warrants – 0.0%
	11,737	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(b)(d) (Identified Cost $0)	$	17,909


	Principal Amount (‡)

	Short-Term Investments – 3.5%
$	41,480,034	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $41,480,138 on 10/03/2016 collateralized by $41,840,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $42,310,700 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $41,480,034)		41,480,034


		Total Investments – 98.5%
		(Identified Cost $1,161,152,972)(a)		1,183,024,364
		Other assets less liabilities—1.5%		18,484,341


		Net Assets – 100.0%	$	1,201,508,705


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 25.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $1,170,412,238 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	$	107,780,339
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(95,168,213	)

		Net unrealized appreciation	$	12,612,126

	(b)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $3,590,940 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(c)	Illiquid security. (Unaudited)
	(d)	Non-income producing security.
	(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $20,402,403 or 1.7% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	Perpetual bond with no specified maturity date.
	(g)	Variable rate security. Rate as of September 30, 2016 is disclosed.
	(h)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(i)	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.
	(j)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $223,894,332 or 18.6% 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
	ISK	Icelandic Krona
	MXN	Mexican Peso
	NOK	Norwegian Krone
	NZD	New Zealand Dollar

Industry Summary at September 30, 2016


Treasuries	14.9	%
Banking	11.7
Technology	5.7
Finance Companies	5.0
Semiconductors & Semiconductor Equipment	4.1
Electric	3.8
Airlines	3.7
Automotive	3.4
Healthcare	2.7
Wirelines	2.7
Property & Casualty Insurance	2.7
Chemicals	2.6
Local Authorities	2.3
Midstream	2.3
Aerospace & Defense	2.3
Metals & Mining	2.1
Other Investments, less than 2% each	23.0
Short-Term Investments	3.5

Total Investments	98.5
Other assets less liabilities	1.5

Net Assets	100.0	%

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 95.3% of Net Assets

		Australia – 3.5%
$	4,695,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A(b)	$	4,934,623
	17,780,000	Australia Government International Bond, Series 142, 4.250%, 4/21/2026, (AUD)(b)		16,372,152
	25,475,000	Queensland Treasury Corp., Series 23, 4.250%, 7/21/2023, 144A, (AUD)(b)		22,049,249

				43,356,024

		Barbados – 0.3%
	987,500	Global SC Finance II S.r.l., Series 2013-1A, Class A, 2.980%, 4/17/2028, 144A(b)		955,562
	2,859,167	Global SC Finance II S.r.l., Series 2014-1A, Class A1, 3.190%, 7/17/2029, 144A(b)		2,774,458

				3,730,020

		Belgium – 0.9%
	2,530,000	Anheuser-Busch InBev Finance, Inc., 3.650%, 2/01/2026(b)		2,717,220
	470,000	Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036(b)		540,393
	3,720,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046(b)		4,425,986
	2,150,000	Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A(b)		2,250,147
	1,120,000	Solvay Finance (America) LLC, 4.450%, 12/03/2025, 144A(b)		1,220,894

				11,154,640

		Bermuda – 0.6%
	1,720,000	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b)		1,672,502
	5,285,000	Global Container Assets Ltd., Series 2013-1A, Class A2, 3.300%, 11/05/2028, 144A		5,237,654

				6,910,156

		Brazil – 0.8%
	4,775,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025(b)		4,798,875
	1,275,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,140,487
	1,910,000	Petrobras Global Finance BV, EMTN, 6.250%, 12/14/2026, (GBP)		2,298,018
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,988,300

				10,225,680

		Canada – 2.3%
	1,985,000	Alimentation Couche-Tard, Inc., 1.875%, 5/06/2026, (EUR)(b)		2,389,053
	7,610,000	Canadian Government, 1.250%, 9/01/2018, (CAD)(b)		5,882,371
	4,399,000	Canadian Government, 4.000%, 6/01/2041, (CAD)(b)		4,937,563
		Canada – continued
	3,379,103	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)(b)	$	2,555,286
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)(b)		7,463,793
	3,210,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		2,941,397
	2,610,000	Province of Ontario Canada, 1.950%, 1/27/2023, (CAD)(b)		2,047,894

				28,217,357

		Cayman Islands – 0.1%
	1,418,961	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.580%, 4/15/2032, 144A(b)(c)		1,403,621

		Chile – 0.6%
	5,420,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(b)		5,715,558
	1,375,000	Itau CorpBanca, 3.875%, 9/22/2019, 144A(b)		1,435,156

				7,150,714

		Colombia – 0.3%
	3,910,000	Colombia Government International Bond, 5.000%, 6/15/2045(b)		4,232,575

		Denmark – 1.0%
	71,250,000	Denmark Government Bond, 1.750%, 11/15/2025, (DKK)(b)		12,465,896

		Finland – 0.3%
	3,010,000	Finland Government Bond, 1.500%, 4/15/2023, 144A, (EUR)(b)		3,793,014

		France – 2.2%
	1,490,000	AXA S.A., 7.125%, 12/15/2020, (GBP)(b)		2,368,191
	2,600,000	AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)(b)		3,741,112
	635,000	BNP Paribas S.A., 4.375%, 9/28/2025, 144A(b)		650,267
	4,585,000	BNP Paribas S.A., 4.375%, 5/12/2026, 144A(b)		4,739,331
	885,000	BNP Paribas S.A., (fixed rate to 10/14/2022, variable rate thereafter), 2.625%, 10/14/2027, (EUR)(b)		1,030,580
	2,860,000	BNP Paribas S.A., EMTN, 5.750%, 1/24/2022, (GBP)(b)		4,366,846
	4,125,000	France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b)		5,521,211
	3,324,000	Pernod Ricard S.A., 4.450%, 1/15/2022, 144A(b)		3,666,352
	200,000	Veolia Environnement S.A., (fixed rate to 4/16/2018, variable rate thereafter), 4.850% , (GBP)(d)		267,346

				26,351,236

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Germany – 3.4%
	6,500,000	Allianz Finance II BV, EMTN, (fixed rate to 7/08/2021, variable rate thereafter), 5.750%, 7/08/2041, (EUR)(b)	$	8,485,067
	13,425,000	Bundesrepublik Deutschland, 1.000%, 8/15/2025, (EUR)(b)		16,800,542
	1,215,000	Bundesrepublik Deutschland, 4.250%, 7/04/2039, (EUR)(b)		2,547,515
	800,000	Muenchener Rueckversicherungs AG, EMTN, (fixed rate to 5/26/2021, variable rate thereafter), 6.000%, 5/26/2041, (EUR)(b)		1,071,079
	1,110,000	Schaeffler Finance BV, 2.500%, 5/15/2020, 144A, (EUR)		1,271,856
	1,770,000	Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)		2,148,389
	4,797,000	Unitymedia GmbH, 3.750%, 1/15/2027, (EUR)		5,152,951
	800,000	Vonovia Finance BV, EMTN, 1.500%, 6/10/2026, (EUR)		946,072
	2,400,000	ZF North America Capital, Inc., 2.750%, 4/27/2023, (EUR)		2,868,585

				41,292,056

		Hong Kong – 0.6%
	3,450,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(b)		3,520,777
	3,285,000	CK Hutchison International 16 Ltd., 1.875%, 10/03/2021, 144A		3,256,190

				6,776,967

		Indonesia – 1.0%
	160,921,000,000	Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(b)		12,724,732

		Ireland – 1.9%
	3,625,000	AIB Mortgage Bank, EMTN, 4.875%, 6/29/2017, (EUR)(b)		4,223,063
	6,285,000	Bank of Ireland Mortgage Bank, 1.875%, 5/13/2017, (EUR)(b)		7,147,841
	8,995,000	Ireland Government Bond, 2.000%, 2/18/2045, (EUR)(b)		12,156,353

				23,527,257

		Israel – 0.3%
	3,215,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023(b)		3,223,250

		Italy – 5.1%
	3,018,775	Asti RMBS S.r.l., Series 1, Class A, 0.948%, 12/27/2060, (EUR)(b)(c)		3,439,449

		Italy – continued
	1,058,330	Berica ABS S.r.l., Series 3, Class A, 0.748%, 6/30/2061, (EUR)(b)(c)	$	1,205,275
	1,100,886	Berica Residential S.r.l., Series 8, Class A, 0.066%, 3/31/2048, (EUR)(b)(c)		1,225,359
	1,210,000	Buzzi Unicem SpA, 2.125%, 4/28/2023, (EUR)		1,378,704
	1,424,039	Claris Finance S.r.l., Series 2014-1, Class A1, 0.847%, 12/28/2061, (EUR)(b)(c)		1,615,986
	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A(b)		3,869,798
	1,660,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)(b)		2,999,815
	650,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		593,168
	1,645,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A(b)		1,550,036
	870,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		985,144
	4,800,000	Italy Buoni Poliennali Del Tesoro, 1.250%, 12/01/2026, (EUR)(b)		5,387,036
	6,910,000	Italy Buoni Poliennali Del Tesoro, 3.750%, 5/01/2021, (EUR)(b)		8,998,148
	6,585,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)		9,209,287
	2,000,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,190,000
	4,751,000	Republic of Italy, 6.875%, 9/27/2023(b)		5,941,145
	5,486,862	Siviglia SPV S.r.l., Series 2012-1, Class A, 0.203%, 10/25/2055, (EUR)(b)(c)		6,087,986
	1,280,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,267,520
	1,532,352	Vela Home S.r.l., Series 4, Class A2, 0.044%, 10/25/2042, (EUR)(b)(c)		1,707,171
	1,838,496	Voba N 3 S.r.l., Series 2011-3, Class A2, 0.702%, 11/23/2047, (EUR)(b)(c)		2,083,720

				61,734,747

		Japan – 12.6%
	423,074,000	Japan Government CPI Linked Bond, Series 19, 0.100%, 9/10/2024, (JPY)(b)		4,378,465
	2,246,839,200	Japan Government CPI Linked Bond, Series 20, 0.100%, 3/10/2025, (JPY)(b)		23,286,171
	448,992,693	Japan Government CPI Linked Bond, Series 21, 0.100%, 3/10/2026, (JPY)(b)		4,669,703
	917,500,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)(b)		9,606,946
	2,549,800,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)(b)		26,126,367

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Japan – continued
	163,600,000	Japan Government Ten Year Bond, 1.300%, 12/20/2019, (JPY)(b)	$	1,695,145
	575,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2021, (JPY)(b)		6,064,590
	572,450,000	Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)		7,471,628
	1,688,950,000	Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)(b)		21,661,298
	1,083,100,000	Japan Government Thirty Year Bond, Series 26, 2.400%, 3/20/2037, (JPY)(b)		14,929,167
	715,100,000	Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)(b)		8,568,507
	489,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)(b)		5,975,584
	1,545,300,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)(b)		19,566,739

				154,000,310

		Korea – 0.6%
	56,100,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(b)		7,157,188

		Malaysia – 0.3%
	16,625,000	Malaysia Government Bond, 3.795%, 9/30/2022, (MYR)(b)		4,092,391

		Mexico – 3.5%
	1,835,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		2,035,932
	5,518,821(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		29,323,733
	933,492(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(b)		5,412,417
	2,080,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A(b)		1,989,000
	4,430,000	Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026, 144A(b)		4,441,075

				43,202,157

		Morocco – 0.3%
	2,475,000	OCP S.A., 4.500%, 10/22/2025, 144A		2,508,214
	1,015,000	OCP S.A., 6.875%, 4/25/2044, 144A		1,149,912

				3,658,126

		Netherlands – 1.4%
	5,960,000	ABN Amro Bank NV, 4.750%, 7/28/2025, 144A(b)		6,266,404

		Netherlands – continued
$	3,275,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.950%, 2/01/2022	$	3,356,875
	3,717,000	ING Bank NV, EMTN, (fixed rate to 2/25/2021, variable rate thereafter), 3.625%, 2/25/2026, (EUR)(b)		4,543,517
	3,295,000	Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A		3,278,525

				17,445,321

		Norway – 1.4%
	130,265,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(b)		17,307,944

		Poland – 1.2%
	47,950,000	Poland Government Bond, 3.250%, 7/25/2019, (PLN)(b)		13,007,279
	5,195,000	Poland Government International Bond, Series 0421, 2.000%, 4/25/2021, (PLN)(b)		1,345,447

				14,352,726

		Portugal – 0.7%
	3,625,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		3,757,312
	550,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		584,546
	3,885,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)(b)		4,413,310

				8,755,168

		Romania – 0.1%
	1,010,000	Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)		1,228,231

		Singapore – 0.2%
	3,630,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)(b)		2,774,633

		South Africa – 1.3%
	2,515,000	Myriad International Holdings BV, 5.500%, 7/21/2025		2,702,368
	214,610,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(b)		13,063,614

				15,765,982

		Spain – 2.1%
	1,000,000	Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)(b)		1,172,215
	2,600,000	Santander Issuances SAU, 5.179%, 11/19/2025(b)		2,649,007
	5,165,000	Spain Government Bond, 4.200%, 1/31/2037, 144A, (EUR)(b)		8,363,100
	9,300,000	Spain Government Bond, 5.850%, 1/31/2022, 144A, (EUR)(b)		13,621,213

				25,805,535

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Supranationals – 1.2%
$	5,370,000	Banque Quest Africaine de Developpement, 5.500%, 5/06/2021, 144A(b)	$	5,711,962
	67,150,000	Nordic Investment Bank, GMTN, 1.375%, 7/15/2020, (NOK)(b)		8,480,810

				14,192,772

		Switzerland – 0.4%
	4,150,000	Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A(b)		4,689,164

		United Arab Emirates – 0.1%
	1,560,000	DP World Ltd., 3.250%, 5/18/2020, 144A		1,608,750

		United Kingdom – 8.4%
	569,179	Auburn Securities PLC, Series 4, Class A2, 0.673%, 10/01/2041, (GBP)(b)(c)		723,596
	5,440,000	Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)(b)		7,102,986
	900,000	Barclays PLC, 4.375%, 9/11/2024(b)		910,182
	400,000	Barclays PLC, 5.200%, 5/12/2026(b)		411,979
	675,000	Barclays PLC, EMTN, (fixed rate to 11/11/2020, variable rate thereafter), 2.625%, 11/11/2025, (EUR)(b)		735,083
	730,891	Clavis Securities PLC, Series 2006-1, Class A3B, 0.052%, 12/15/2031, (EUR)(b)(c)		755,355
	953,000	Co-Operative Bank PLC, 4.750%, 11/11/2021, (GBP)(b)		1,411,693
	2,500,000	Delphi Automotive PLC, 1.500%, 3/10/2025, (EUR)(b)		2,907,649
	399,183	Eurosail PLC, Series 2007-1X, Class A3C, 0.539%, 3/13/2045, (GBP)(c)		498,287
	193,327	Eurosail PLC, Series 2007-2X, Class A3C, 0.529%, 3/13/2045, (GBP)(c)		238,311
	2,240,000	FCE Bank PLC, EMTN, 1.528%, 11/09/2020, (EUR)(b)		2,629,033
	184,827	Great Hall Mortgages PLC, Series 2006-1, Class A2A, 0.529%, 6/18/2038, (GBP)(c)		228,610
	460,000	HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)(b)		573,372
	4,750,000	HSBC Holdings PLC, 4.250%, 3/14/2024(b)		4,899,592
	855,000	HSBC Holdings PLC, 4.250%, 8/18/2025(b)		877,761
	3,190,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(b)		4,910,431
	1,810,000	Imperial Brands Finance PLC, 4.250%, 7/21/2025, 144A(b)		1,980,142
	4,105,000	Lloyds Banking Group PLC, 4.650%, 3/24/2026(b)		4,223,983

		United Kingdom – continued
$	420,000	Noble Holding International Ltd., 5.250%, 3/15/2042	$	237,300
	200,000	Noble Holding International Ltd., 6.050%, 3/01/2041		118,000
	305,000	Noble Holding International Ltd., 6.200%, 8/01/2040		179,950
	1,004,027	Precise Mortgage Funding, Series 2014-1, Class A, 1.180%, 9/12/2047, (GBP)(b)(c)		1,292,092
	479,506	Precise Mortgage Funding PLC, Series 2015-1, Class A, 1.330%, 3/12/2048, (GBP)(b)(c)		617,523
	680,281	Residential Mortgage Securities PLC, Series 20X, Class A2A, 0.641%, 8/10/2038, (GBP)(b)(c)		814,553
	577,071	Residential Mortgage Securities PLC, Series 21X, Class A3A, 0.789%, 11/12/2038, (GBP)(b)(c)		699,158
	576,460	Residential Mortgage Securities PLC, Series 22X, Class A3A, 0.746%, 11/14/2039, (GBP)(b)(c)		695,467
	486,327	Residential Mortgage Securities PLC, Series 28, Class A, 1.532%, 6/15/2046, (GBP)(c)		629,546
	730,327	RMAC PLC, Series 2005-NS3X, Class A2C, 0.056%, 6/12/2043, (EUR)(b)(c)		761,259
	2,271,810	RMAC PLC, Series 2005-NS4X, Class A3A, 0.721%, 12/12/2043, (GBP)(b)(c)		2,715,476
	217,865	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, 0.530%, 6/12/2044, (GBP)(c)		259,597
	5,830,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024(b)		5,836,180
	425,000	Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter), 3.625%, 3/25/2024, (EUR)		473,214
	5,458,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(b)		5,464,135
	6,490,000	Sky PLC, 3.750%, 9/16/2024, 144A(b)		6,861,812
	630,000	Sky PLC, EMTN, 2.500%, 9/15/2026, (EUR)		788,098
	1,505,000	Standard Chartered PLC, EMTN, 3.125%, 11/19/2024, (EUR)(b)		1,768,158
	3,090,000	Standard Chartered PLC, EMTN, 5.125%, 6/06/2034, (GBP)(b)		3,943,027
	4,410,000	Tesco PLC, EMTN, 5.000%, 3/24/2023, (GBP)		6,256,617
	1,290,000	Towd Point Mortgage Funding PLC, Series 16-GR1A, Class B, 1.923%, 7/20/2046, 144A, (GBP)(b)(c)		1,663,771
	975,000	United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)		1,410,075
	3,385,000	United Kingdom Gilt, 3.500%, 1/22/2045, (GBP)(b)		6,402,453
	1,435,000	United Kingdom Gilt, 4.250%, 6/07/2032, (GBP)(b)		2,676,075

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United Kingdom – continued
	4,030,000	United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(b)	$	7,899,629
	1,875,000	Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR)		2,080,731
	1,530,000	Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, 144A, (GBP)		1,990,545
	1,245,000	WPP Finance 2010, 5.625%, 11/15/2043(b)		1,477,153

				102,029,639

		United States – 34.3%
	67,620	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		67,607
	1,333,258	A10 Securitization LLC, Series 2013-2, Class A, 2.620%, 11/15/2027, 144A(b)		1,330,263
	3,510,000	Aetna, Inc., 3.200%, 6/15/2026(b)		3,568,705
	1,100,000	Aetna, Inc., 4.375%, 6/15/2046(b)		1,151,862
	572,000	Ally Financial, Inc., 4.125%, 3/30/2020		582,010
	4,745,000	Ally Financial, Inc., 4.125%, 2/13/2022		4,798,381
	1,260,000	Ally Financial, Inc., 4.250%, 4/15/2021		1,283,625
	2,757,668	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,821,409
	2,285,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024(b)		2,253,929
	2,745,000	Anadarko Petroleum Corp., 5.550%, 3/15/2026(b)		3,101,957
	2,130,000	AT&T, Inc., 4.300%, 12/15/2042(b)		2,100,915
	2,350,000	AT&T, Inc., 4.350%, 6/15/2045(b)		2,314,875
	2,120,000	AT&T, Inc., 4.750%, 5/15/2046(b)		2,218,485
	295,000	AT&T, Inc., 4.800%, 6/15/2044(b)		309,668
	3,140,000	Aviation Capital Group Corp., 4.875%, 10/01/2025, 144A(b)		3,406,900
	4,510,000	Bank of America Corp., 4.100%, 7/24/2023(b)		4,875,675
	3,860,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 3.024%, 8/15/2029, 144A(c)		3,797,021
	2,310,000	BorgWarner, Inc., 1.800%, 11/07/2022, (EUR)(b)		2,773,832
	1,785,000	Brixmor Operating Partnership LP, 3.850%, 2/01/2025		1,815,140
	1,660,000	Brixmor Operating Partnership LP, 3.875%, 8/15/2022		1,740,090
	1,455,000	Celgene Corp., 5.000%, 8/15/2045(b)		1,638,209
	4,196,176	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A(b)		4,163,477
	1,520,000	Citigroup, Inc., 4.000%, 8/05/2024(b)		1,593,702
	2,930,000	Citigroup, Inc., 4.090%, 6/09/2025, (CAD)(b)		2,315,123
	3,172,338	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.225%, 5/13/2031, 144A(c)(e)(f)		3,151,065

		United States – continued
$	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A(b)	$	2,680,775
	2,800,000	Commercial Mortgage Trust, Series 2014-PAT, Class D, 2.677%, 8/13/2027, 144A(c)		2,756,065
	4,000,000	Commercial Mortgage Trust, Series 2014-SAVA, Class B, 2.275%, 6/15/2034, 144A(b)(c)		3,966,084
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,538,500
	98,531	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		102,439
	2,560,000	Continental Resources, Inc., 3.800%, 6/01/2024		2,342,400
	1,702,127	Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 2.608%, 11/26/2036, 144A(c)		1,670,619
	1,885,000	Credit Suisse Mortgage Trust, Series 2010-RR1, Class 2B, 5.695%, 9/15/2040, 144A(b)(c)		1,905,656
	3,052,615	Delta Air Lines Pass Through Trust, Series 2015-1, Class B, 4.250%, 1/30/2025(b)		3,157,076
	2,105,000	Devon Energy Corp., 5.850%, 12/15/2025(b)		2,368,923
	680,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043(b)		471,876
	2,690,000	Discovery Communications LLC, 1.900%, 3/19/2027, (EUR)		2,973,249
	2,755,000	Energy Transfer Partners LP, 5.150%, 3/15/2045		2,551,907
	1,710,000	Energy Transfer Partners LP, 6.125%, 12/15/2045		1,785,979
	5,480,000	FedEx Corp., 1.000%, 1/11/2023, (EUR)(b)		6,341,372
	1,103,355	FNMA, 4.500%, 11/01/2043(b)		1,219,591
	21,440,000	FNMA (TBA), 3.000%, 11/01/2046(g)		22,232,540
	16,230,000	FNMA (TBA), 3.500%, 11/01/2046(g)		17,105,215
	9,185,000	FNMA (TBA), 4.000%, 11/01/2046(g)		9,853,065
	3,450,000	Ford Motor Credit Co. LLC, 3.664%, 9/08/2024(b)		3,555,525
	6,270,000	Ford Motor Credit Co. LLC, 4.050%, 12/10/2018, (AUD)(b)		4,918,698
	5,508,000	Ford Motor Credit Co. LLC, 4.375%, 8/06/2023(b)		5,921,265
	185,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		153,550
	915,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		734,288
	50,000,000	General Electric Co., EMTN, 4.208%, 12/06/2021, (SEK)(b)		6,777,230
	3,925,000	General Motors Co., 5.200%, 4/01/2045		4,082,706

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	3,100,000	General Motors Financial Co., Inc., 3.150%, 1/15/2020(b)	$	3,158,785
	3,900,000	General Motors Financial Co., Inc., 4.000%, 1/15/2025		3,936,839
	2,330,000	Gilead Sciences, Inc., 4.150%, 3/01/2047		2,381,470
	625,000	Gilead Sciences, Inc., 4.750%, 3/01/2046(b)		698,470
	1,234,167	GNMA, 2.243%, 5/20/2064(b)(c)		1,285,255
	1,572,335	GNMA, 2.534%, 11/20/2064(b)(c)		1,675,414
	1,652,334	GNMA, 2.615%, 11/20/2064(b)(c)		1,764,369
	2,787,527	GNMA, 2.779%, 10/20/2063(b)(c)		2,994,566
	528,003	GNMA, 4.447%, 4/20/2065(b)		594,342
	1,800,815	GNMA, 4.527%, 1/20/2063(b)		1,936,750
	716,975	GNMA, 4.548%, 6/20/2062(b)		756,447
	3,901,629	GNMA, 4.550%, 12/20/2061(b)		4,113,917
	1,704,771	GNMA, 4.564%, 2/20/2065(b)		1,917,414
	1,892,949	GNMA, 4.613%, 7/20/2064(b)		2,121,134
	3,210,316	GNMA, 4.669%, 5/20/2064(b)		3,594,201
	1,883,489	GNMA, 4.673%, 7/20/2064(b)		2,115,806
	3,610,000	GNMA (TBA), 3.000%, 11/01/2046(g)		3,774,354
	3,610,000	GNMA (TBA), 3.500%, 11/01/2046(g)		3,829,984
	2,030,000	Goldman Sachs Group, Inc. (The), MTN, 3.850%, 7/08/2024(b)		2,155,334
	2,560,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,777,600
	1,795,000	HCA, Inc., 5.375%, 2/01/2025		1,853,338
	1,350,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045, 144A(b)		1,393,123
	1,705,419	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A(b)		1,698,949
	3,810,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A(b)		3,791,255
	3,174,000	JPMorgan Chase & Co., 3.875%, 2/01/2024(b)		3,422,527
	3,800,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A, 1.724%, 8/15/2027, 144A(b)(c)		3,796,873
	810,706	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.409%, 9/26/2035, 144A(b)(c)		801,466
	4,270,000	Kraft Heinz Foods Co., 3.000%, 6/01/2026(b)		4,304,066
	1,180,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		1,248,471
	1,020,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		1,027,650
	5,210,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A(b)		5,427,028
	4,562,746	Longtrain Leasing III LLC, Series 2015-1A, Class A1, 2.980%, 1/15/2045, 144A(b)		4,499,496

		United States – continued
$	1,402,744	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A(b)	$	1,427,622
	1,900,000	Morgan Stanley, 3.950%, 4/23/2027(b)		1,973,433
	1,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.988%, 8/12/2045, 144A(b)(c)		1,416,979
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.988%, 8/15/2045, 144A(b)(c)		1,520,706
	1,370,000	MPLX LP, 4.500%, 7/15/2023		1,396,612
	960,000	MPLX LP, 4.875%, 12/01/2024		992,953
	1,030,000	MPLX LP, 4.875%, 6/01/2025		1,064,280
	1,220,000	MPLX LP, 5.500%, 2/15/2023		1,260,378
	815,000	Newfield Exploration Co., 5.625%, 7/01/2024		835,375
	1,800,000	Noble Energy, Inc., 5.250%, 11/15/2043		1,832,224
	3,540,000	OneMain Financial Issuance Trust, Series 2016-2A, Class A, 4.100%, 3/20/2028, 144A(b)		3,643,570
	518,479	Orange Lake Timeshare Trust, Series 2012-AA, Class B, 4.870%, 3/10/2027, 144A		530,896
	850,000,000	Procter & Gamble Co. (The), 0.275%, 5/08/2020, (JPY)(b)		8,467,896
	2,015,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,999,887
	2,670,000	RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A(b)(c)		2,695,947
	404,503	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A(b)		407,698
	6,272,000	Sirius International Group, 6.375%, 3/20/2017, 144A(b)		6,371,367
	925,000	Spectrum Brands, Inc., 4.000%, 10/01/2026, 144A, (EUR)		1,056,420
	3,890,000	Spirit Airlines Pass Through Certificates, Series 2015-1, Class B, 4.450%, 10/01/2025(b)		3,914,079
	1,591,479	SpringCastle America Funding LLC, Series 2014-AA, Class A, 2.700%, 5/25/2023, 144A(b)		1,596,644
	1,865,000	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(b)		1,874,325
	1,648,333	TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b)		1,631,968
	2,955,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018		3,058,425
	1,760,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,751,200
	4,415,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		4,442,594
	2,050,000	Time Warner Cable LLC, 4.500%, 9/15/2042(b)		1,956,231

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	575,000	Time Warner Cable LLC, 5.500%, 9/01/2041	$	613,758
	7,822,761	Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(b)		7,712,920
	8,825,000	U.S. Treasury Bond, 2.875%, 5/15/2043(b)(h)		9,826,090
	1,045,000	U.S. Treasury Bond, 3.125%, 2/15/2042		1,217,057
	36,455,000	U.S. Treasury Note, 0.750%, 4/30/2018		36,459,265
	3,640,000	U.S. Treasury Note, 0.875%, 9/15/2019		3,639,858
	3,675,000	U.S. Treasury Note, 1.125%, 2/28/2021		3,677,297
	12,300,000	U.S. Treasury Note, 1.125%, 6/30/2021		12,285,584
	1,110,000	U.S. Treasury Note, 1.375%, 6/30/2023		1,108,049
	5,740,000	U.S. Treasury Note, 1.625%, 5/15/2026		5,747,623
	1,377,417	United Airlines Pass Through Trust, Series 2013-1, Class B, 5.375%, 2/15/2023		1,437,431
	2,600,000	Verizon Communications, Inc., 2.625%, 8/15/2026		2,551,822
	1,145,000	Verizon Communications, Inc., 3.850%, 11/01/2042(b)		1,089,830
	725,000	Verizon Communications, Inc., 4.272%, 1/15/2036(b)		755,381
	2,150,000	Verizon Communications, Inc., 4.400%, 11/01/2034(b)		2,274,997
	655,000	Virginia Electric & Power Co., 4.450%, 2/15/2044(b)		749,634
	3,150,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043(b)		3,170,100
	1,255,000	Westlake Chemical Corp., 3.600%, 8/15/2026, 144A(b)		1,258,559
	1,160,000	Westlake Chemical Corp., 5.000%, 8/15/2046, 144A		1,164,726
	4,520,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		4,373,100
	1,030,000	Zimmer Biomet Holdings, Inc., 3.550%, 4/01/2025(b)		1,061,566

				418,481,567


		Total Bonds and Notes
		(Identified Cost $1,163,405,071)		1,164,817,546


	Short-Term Investments – 5.5%
$	14,179,276	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $14,179,311 on 10/03/2016 collateralized by $13,410,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $14,466,038 including accrued interest (Note 2 of Notes to Financial Statements)	$	14,179,276
	53,000,000	U.S. Treasury Bills, 0.436%, 03/30/2017(i)		52,885,732


		Total Short-Term Investments
		(Identified Cost $67,063,736)		67,065,008


		Total Investments – 100.8%
		(Identified Cost $1,230,468,807)(a)		1,231,882,554
		Other assets less liabilities—(0.8)%		(10,079,507	)


		Net Assets – 100.0%	$	1,221,803,047


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized depreciation on investments based on a cost of $1,237,267,284 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	48,884,252
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(54,268,982	)

		Net unrealized depreciation	$	(5,384,730	)

	(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 September 30, 2016 is disclosed.
	(d)	Perpetual bond with no specified maturity date.
	(e)	Illiquid security. (Unaudited)
	(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $3,151,065 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(i)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $276,480,472 or 22.6% 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

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued


	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
	IDR			Indonesian Rupiah
	JPY			Japanese Yen
	MXN			Mexican Peso
	MYR			Malaysian Ringgit
	NOK			Norwegian Krone
	PLN			Polish Zloty
	SEK			Swedish Krona
	SGD			Singapore Dollar
	ZAR			South African Rand

At September 30, 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	12/21/2016	Brazilian Real		6,025,000	$	1,811,062	$	(64,027	)
Sell²	12/21/2016	Euro		17,250,000		19,447,799		29,935
Buy³	12/21/2016	Japanese Yen		7,908,000,000		78,254,452		734,160
Sell⁴	12/21/2016	Mexican Peso		422,590,000		21,607,317		1,195,819
Sell²	12/21/2016	South African Rand		168,000,000		12,059,078		(588,761	)
Buy³	12/21/2016	South Korean Won		17,143,469,000		15,559,146		170,727
Buy³	12/21/2016	Swiss Franc		8,430,000		8,718,657		(47,161	)

Total							$	1,430,692

At September 30, 2016, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
12/21/2016	Australian Dollar	37,215,000	Euro³	24,769,626		(507,374	)
12/21/2016	British Pound	2,390,000	Euro⁵	2,804,736		59,281
12/21/2016	British Pound	1,215,000	Euro⁵	1,412,117		14,667
12/21/2016	Japanese Yen	3,015,000,000	Euro⁵	26,355,877		(121,408	)
12/21/2016	Norwegian Krone	56,420,000	Euro³	6,074,940		(209,839	)

Total					$	(764,673	)

¹ Counterparty is Deutsche Bank AG

² Counterparty is Citibank N.A.

³ Counterparty is Credit Suisse International

⁴ Counterparty is UBS AG

⁵ Counterparty is Morgan Stanley & Co.

At September 30, 2016, open long futures contracts were as follows:



Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/30/2016		922	$	112,037,406	$	243,697
German Euro Bund		12/08/2016		179		33,318,880		115,744
Ultra Long U.S. Treasury Bond		12/20/2016		131		24,087,625		(526,458	)

Total							$	(167,017	)

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Global Bond Fund – continued

At September 30, 2016, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/20/2016		888	$	116,439,000	$	(119,501	)
30 Year U.S. Treasury Bond		12/20/2016		264		44,393,250		634,714

Total							$	515,213

Industry Summary at September 30, 2016


Treasuries	38.4	%
Banking	8.3
Mortgage Related	6.7
Automotive	3.2
Non-Agency Commercial Mortgage-Backed Securities	2.9
ABS Other	2.8
Local Authorities	2.8
ABS Home Equity	2.7
Life Insurance	2.1
Cable Satellite	2.0
Other Investments, less than 2% each	23.4
Short-Term Investments	5.5

Total Investments	100.8
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(0.8	)

Net Assets	100.0	%

Currency Exposure Summary at September 30, 2016


United States Dollar	50.1	%
Euro	15.3
Japanese Yen	13.3
British Pound	5.3
Australian Dollar	3.5
Mexican Peso	2.8
Norwegian Krone	2.7
Canadian Dollar	2.3
Other, less than 2% each	5.5

Total Investments	100.8
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	(0.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Inflation Protected Securities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 98.6% of Net Assets

		Treasuries – 98.6%
$	1,720,009	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(b)	$	1,772,877
	695,741	U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(b)		769,094
	2,908,255	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)		4,267,629
	6,673,689	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(b)(c)		6,803,879
	6,483,393	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2021(b)		6,618,760
	1,541,140	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(b)		1,557,986
	3,911,870	U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(b)		3,984,364
	3,394,606	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2025(b)(c)		3,505,746
	1,380,487	U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(b)		1,451,872


		Total Bonds and Notes
		(Identified Cost $29,814,195)		30,732,207


	Short-Term Investments – 1.3%
	390,424	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $390,425 on 10/03/2016 collateralized by $370,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $399,138 including accrued interest (Note 2 of Notes to Financial Statements)		390,424
	20,000	U.S. Treasury Bills, 0.345%, 01/12/2017(d)(e)		19,985


		Total Short-Term Investments
		(Identified Cost $410,403)		410,409


		Total Investments – 99.9%
		(Identified Cost $30,224,598)(a)		31,142,616
		Other assets less liabilities—0.1%		34,518


		Net Assets – 100.0%	$	31,177,134

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $30,386,840 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	$	755,776
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		—

		Net unrealized appreciation	$	755,776

	(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)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(e)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

At September 30, 2016, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
Eurodollar		6/19/2017		60	$	14,852,250	$	2,097

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Inflation Protected Securities Fund – continued

At September 30, 2016, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/30/2016		35	$	7,646,406	$	(3,158	)
Eurodollar		12/17/2018		60		14,820,750		(4,654	)

Total							$	(7,812	)

Industry Summary at September 30, 2016


Treasuries	98.6	%
Short-Term Investments	1.3

Total Investments	99.9
Other assets less liabilities (including futures contracts)	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 83.5% of Net Assets

	Non-Convertible Bonds – 69.7%

		Aerospace & Defense – 1.9%
$	345,000	Bombardier, Inc., 6.125%, 1/15/2023, 144A	$	306,188
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		93,382
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,862,344
	1,165,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		1,231,987
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,862,000
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		5,694,000
	2,610,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		1,856,362
	625,000	TransDigm, Inc., 6.500%, 5/15/2025		650,781

				13,557,044

		Airlines – 2.5%
	4,890,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		3,869,397
	4,080,000	Air Canada, 7.750%, 4/15/2021, 144A		4,406,400
	351,452	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		361,996
	810,000	Allegiant Travel Co., 5.500%, 7/15/2019		838,350
	423,844	American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A		427,760
	191,754	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		209,012
	21,655	Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019		22,514
	348,974	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		356,589
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,207,500
	232,203	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		239,603
	1,184,774	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,312,221
	246,313	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		272,791
	2,039,981	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,121,581
	1,750,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		1,802,500
	166,800	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		169,302

		Airlines – continued
$	249,909	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A	$	253,033

				17,870,549

		Automotive – 1.0%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,057,500
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,283,325
	3,505,000	Lear Corp., 5.375%, 3/15/2024		3,763,494

				7,104,319

		Banking – 1.4%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)		933,300
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,364,775
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(b)		170,800
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,641,123
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(b)		111,582
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(b)		1,647,494
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(b)		82,450

				9,951,524

		Brokerage – 0.3%
	350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		325,500
	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,683,277

				2,008,777

		Building Materials – 1.1%
	4,325,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,887,094
	670,000	Masco Corp., 6.500%, 8/15/2032		737,000
	3,245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		3,528,937

				8,153,031

		Cable Satellite – 1.7%
	125,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		130,313
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		62,625
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		73,413
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,353,437
	300,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		319,500

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Cable Satellite – continued
$	3,215,000	CSC Holdings LLC, 5.250%, 6/01/2024	$	3,054,250
	1,390,000	DISH DBS Corp., 5.000%, 3/15/2023		1,351,775
	2,686,000	DISH DBS Corp., 5.875%, 11/15/2024		2,652,425
	1,720,000	DISH DBS Corp., 7.750%, 7/01/2026, 144A		1,827,500
	170,000	Time Warner Cable LLC, 4.500%, 9/15/2042		162,224

				11,987,462

		Chemicals – 3.2%
	1,025,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		1,045,500
	1,060,000	GCP Applied Technologies, Inc., 9.500%, 2/01/2023, 144A		1,210,997
	4,043,000	Hercules, Inc., 6.500%, 6/30/2029		3,638,700
	2,564,000	Hexion, Inc., 7.875%, 2/15/2023(c)(d)		923,040
	3,687,000	Hexion, Inc., 8.875%, 2/01/2018		3,511,867
	2,641,000	Hexion, Inc., 9.200%, 3/15/2021(c)(d)		1,029,990
	3,190,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,308,763
	1,405,000	INEOS Group Holdings S.A., 5.875%, 2/15/2019, 144A		1,433,100
	4,680,000	Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A		5,311,800
	2,971,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,304,159

				22,717,916

		Construction Machinery – 0.7%
	1,370,000	United Rentals North America, Inc., 5.500%, 7/15/2025		1,397,400
	2,320,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,407,000
	1,140,000	United Rentals North America, Inc., 5.875%, 9/15/2026		1,174,200

				4,978,600

		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		139,219
	1,902,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		2,021,826

				2,161,045

		Diversified Manufacturing – 0.1%
	970,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		711,813

		Electric – 1.1%
	455,000	AES Corp. (The), 4.875%, 5/15/2023		461,825
	200,000	AES Corp. (The), 5.500%, 4/15/2025		205,750
	1,423,000	DPL, Inc., 6.750%, 10/01/2019		1,476,363
	340,000	Dynegy, Inc., 5.875%, 6/01/2023		308,550
	665,000	Dynegy, Inc., 7.625%, 11/01/2024		653,030

		Electric – continued
$	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A	$	1,169,091
	1,000,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		1,045,360
	2,430,000	NRG Energy, Inc., 7.250%, 5/15/2026, 144A		2,472,525

				7,792,494

		Environmental – 0.1%
	536,000	Advanced Disposal Services, Inc., 8.250%, 10/01/2020		562,800

		Finance Companies – 3.3%
	1,000,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		500,000
	240,000	International Lease Finance Corp., 4.625%, 4/15/2021		251,400
	60,000	International Lease Finance Corp., 6.250%, 5/15/2019		65,025
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		356,250
	3,980,000	iStar, Inc., 4.875%, 7/01/2018		3,999,900
	1,190,000	iStar, Inc., 5.000%, 7/01/2019		1,186,882
	840,000	iStar, Inc., 5.850%, 3/15/2017		850,030
	1,900,000	iStar, Inc., 6.500%, 7/01/2021		1,928,500
	1,984,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,884,800
	885,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		891,638
	815,000	Navient Corp., MTN, 6.125%, 3/25/2024		758,969
	875,000	Navient LLC, MTN, 7.250%, 1/25/2022		892,500
	115,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		115,000
	5,550,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(c)(e)		4,412,250
	1,040,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		1,038,700
	3,205,000	Springleaf Finance Corp., 5.250%, 12/15/2019		3,273,106
	805,000	Springleaf Finance Corp., 8.250%, 10/01/2023		845,250

				23,250,200

		Food & Beverage – 0.2%
	1,081,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,116,133

		Government Guaranteed – 0.5%
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		3,589,621

		Government Owned – No Guarantee – 0.1%
	900,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		679,500
	75,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		376,359

				1,055,859

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – 5.2%
$	1,080,000	BioScrip, Inc., 8.875%, 2/15/2021	$	1,009,800
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		3,008,625
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,132,894
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		5,050,275
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		2,039,897
	375,000	HCA, Inc., 8.360%, 4/15/2024		435,405
	2,945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,320,487
	3,875,000	HCA, Inc., MTN, 7.750%, 7/15/2036		4,199,531
	2,475,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		2,626,594
	1,465,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		1,490,638
	540,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		527,850
	1,555,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,446,150
	9,829,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		8,084,352
	2,554,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		2,637,005

				37,009,503

		Home Construction – 1.5%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		298,500
	2,205,000	Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A		2,326,275
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(e)		617,400
	595,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		359,975
	3,060,000	Lennar Corp., 4.500%, 6/15/2019		3,205,350
	400,000	PulteGroup, Inc., 6.000%, 2/15/2035		404,000
	2,425,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021		2,485,625
	1,000,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 5.875%, 6/15/2024		1,040,000

				10,737,125

		Independent Energy – 7.6%
	530,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		522,793
	480,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		440,399
	4,910,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		4,566,300
	1,050,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		477,750
	220,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		100,100
	647,000	California Resources Corp., 5.500%, 9/15/2021		342,910
	106,000	California Resources Corp., 6.000%, 11/15/2024		50,615
	140,000	California Resources Corp., 8.000%, 12/15/2022, 144A		93,100
	1,000,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		842,500
	150,000	Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR)		166,817

		Independent Energy – continued
$	630,000	Continental Resources, Inc., 3.800%, 6/01/2024	$	576,450
	325,000	Continental Resources, Inc., 4.500%, 4/15/2023		312,000
	2,040,000	Continental Resources, Inc., 5.000%, 9/15/2022		2,034,900
	6,850,000	Eclipse Resources Corp., 8.875%, 7/15/2023		6,674,469
	405,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022		344,250
	1,115,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		882,244
	7,815,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		6,173,850
	1,680,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		1,608,600
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(c)(d)(f)		—
	400,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)(d)(f)		—
	565,000	QEP Resources, Inc., 5.250%, 5/01/2023		556,525
	340,000	Range Resources Corp., 5.000%, 8/15/2022, 144A		338,300
	5,250,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		2,861,250
	2,241,000	RSP Permian, Inc., 6.625%, 10/01/2022		2,347,447
	1,140,000	Sanchez Energy Corp., 6.125%, 1/15/2023		914,850
	1,270,000	SM Energy Co., 5.000%, 1/15/2024		1,193,800
	545,000	SM Energy Co., 5.625%, 6/01/2025		512,300
	572,000	SM Energy Co., 6.125%, 11/15/2022		572,000
	145,000	SM Energy Co., 6.500%, 11/15/2021		148,263
	1,000,000	SM Energy Co., 6.500%, 1/01/2023		1,010,000
	2,495,000	Southwestern Energy Co., 4.100%, 3/15/2022		2,264,212
	660,000	Southwestern Energy Co., 5.800%, 1/23/2020		658,350
	5,390,000	Southwestern Energy Co., 6.700%, 1/23/2025		5,390,000
	690,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A(f)		545,100
	4,526,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		4,378,905
	2,005,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		1,874,675
	1,690,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		1,542,125
	950,000	WPX Energy, Inc., 5.250%, 1/15/2017		957,125

				54,275,274

		Industrial Other – 0.3%
	1,340,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		1,427,100
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		665,163

				2,092,263

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Integrated Energy – 0.0%
$	1,075,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(f)	$	198,875
	625,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(f)		115,625

				314,500

		Life Insurance – 0.4%
	280,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		402,836
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,451,978

				2,854,814

		Local Authorities – 0.2%
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		1,693,778

		Media Entertainment – 0.4%
	1,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		745,000
	1,890,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		1,374,975
	739,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		799,968

				2,919,943

		Metals & Mining – 6.6%
	4,146,853	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(c)(d)(f)(h)		1,659
	500,000	AK Steel Corp., 7.625%, 10/01/2021		480,000
	2,210,000	Alcoa, Inc., 5.125%, 10/01/2024		2,350,888
	650,000	Alcoa, Inc., 5.400%, 4/15/2021		695,500
	3,155,000	Alcoa, Inc., 5.950%, 2/01/2037		3,172,352
	3,000,000	ArcelorMittal, 6.250%, 8/05/2020		3,262,500
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,500,237
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042		2,061,627
	210,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		205,800
	945,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(c)(e)(f)		127,575
	290,000	First Quantum Minerals Ltd., 7.250%, 10/15/2019, 144A		275,500
	4,530,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		4,009,050
	785,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		805,606
	12,000,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		9,630,000
	3,960,000	Hecla Mining Co., 6.875%, 5/01/2021		3,974,850
	535,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		568,438
	1,860,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		1,980,900
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		780,000
	4,000,000	United States Steel Corp., 6.650%, 6/01/2037		3,200,000

		Metals & Mining – continued
	750,000	United States Steel Corp., 7.375%, 4/01/2020		746,250
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,624,800

				47,453,532

		Midstream – 1.3%
	800,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		782,000
	2,545,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		1,886,514
	5,415,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		5,715,246
	764,273	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		827,326

				9,211,086

		Non-Agency Commercial Mortgage-Backed Securities – 0.2%
	320,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(i)		308,009
	1,434,127	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(c)(e)		1,443,538

				1,751,547

		Oil Field Services – 1.5%
	1,790,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		662,300
	3,255,000	FTS International, Inc., 6.250%, 5/01/2022		1,245,037
	1,330,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(f)		369,075
	3,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(f)		852,480
	6,050,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		3,993,000
	3,006,000	Precision Drilling Corp., 6.625%, 11/15/2020		2,788,065
	4,675,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		303,875
	530,000	Transocean, Inc., 6.800%, 3/15/2038		347,150

				10,560,982

		Packaging – 0.9%
	335,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.000%, 6/30/2021, 144A		344,213
	4,050,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		4,222,125
	1,830,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,962,675

				6,529,013

		Property & Casualty Insurance – 0.6%
	1,920,000	MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(i)(j)		768,000

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Property & Casualty Insurance – continued
$	3,245,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(b)	$	3,265,768

				4,033,768

		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)(e)		307,027
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)(e)		29,924

				336,951

		REITs – Office Property – 0.1%
	470,000	Highwoods Realty LP, 5.850%, 3/15/2017		478,446


		Restaurants – 0.1%
	405,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		551,844


		Retailers – 1.6%
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,981,220
	500,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		501,560
	1,925,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		1,929,582
	675,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		698,625
	165,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		141,900
	1,265,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,378,850
	3,005,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		390,650
	4,499,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		4,532,742

				11,555,129

		Supermarkets – 3.9%
	6,060,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,938,800
	2,865,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,854,256
	10,375,000	New Albertson’s, Inc., 8.000%, 5/01/2031		10,232,344
	5,625,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,709,375
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,012,000
	825,000	Safeway, Inc., 3.950%, 8/15/2020		787,875
	1,570,000	SUPERVALU, Inc., 7.750%, 11/15/2022		1,499,350

				28,034,000

		Technology – 2.0%
	874,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		858,705
	1,499,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,658,269

		Technology – continued
	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		4,588,900
	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022		3,531,150
	1,000,000	Micron Technology, Inc., 5.500%, 2/01/2025		980,000
	2,210,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		2,519,400
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		12,430

				14,148,854

		Transportation Services – 0.4%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)(e)		2,168,100
	355,384	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(d)		361,603
	87,732	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(k)		89,706
	42,921	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(d)		42,921
	191,503	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(k)		197,248

				2,859,578

		Treasuries – 7.9%
	2,385,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		2,619,416
	350,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(g)		287,482
	270,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(g)		178,651
	170,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(g)		112,855
	40,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(g)		26,364
	490,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(g)		319,698
	635,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(g)		414,820
	60,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(g)		39,087
	1,540,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(g)		1,005,023

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	48,865,000	Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)	$	290,819
	24,750,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		162,790
	50,205,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		322,149
	110,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		641,720
	310,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,768,564
	1,595,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		9,247,862
	75,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		462,221
	490,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		3,192,473
	15,955,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		12,470,975
	1,575,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		222,446
	1,590,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		203,445
	2,260,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		310,363
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,301,462
	20,850,000	U.S. Treasury Note, 0.750%, 1/31/2018		20,857,339

				56,458,024

		Wireless – 1.4%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,505,475
	7,280,000	Sprint Capital Corp., 6.875%, 11/15/2028		6,834,100
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		219,300
	605,000	Sprint Communications, Inc., 6.000%, 11/15/2022		561,137
	760,000	Sprint Corp., 7.125%, 6/15/2024		741,000

				9,861,012

		Wirelines – 6.1%
	1,350,000	CenturyLink, Inc., 7.650%, 3/15/2042		1,164,375
	1,495,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,300,650
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		366,231
	2,460,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,521,500

		Wirelines – continued
	2,595,000	Communications Sales & Leasing, Inc./CSL Capital LLC, 8.250%, 10/15/2023		2,723,427
	1,539,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		1,492,830
	1,620,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		1,652,400
	1,945,000	Frontier Communications Corp., 6.875%, 1/15/2025		1,721,325
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		409,200
	4,851,000	Frontier Communications Corp., 7.875%, 1/15/2027		4,341,645
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		920,040
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,392,000
	940,000	Frontier Communications Corp., 11.000%, 9/15/2025		981,125
	1,160,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		1,212,200
	200,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(f)		50,250
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(j)		232,533
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(j)		542,578
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		756,000
	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		5,172,040
	645,000	Qwest Corp., 7.250%, 9/15/2025		705,842
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,392,053
	2,827,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,799,437
	2,140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		2,177,450
	610,000	Windstream Services LLC, 7.500%, 6/01/2022		585,600
	4,155,000	Windstream Services LLC, 7.500%, 4/01/2023		3,968,025
	260,000	Windstream Services LLC, 7.750%, 10/15/2020		264,550
	375,000	Windstream Services LLC, 7.750%, 10/01/2021		374,062

				43,645,918


		Total Non-Convertible Bonds
		(Identified Cost $501,236,562)		497,936,071


	Convertible Bonds – 13.3%

		Automotive – 0.3%
	2,331,000	Navistar International Corp., 4.500%, 10/15/2018		2,205,709

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Automotive – continued
$	195,000	Navistar International Corp., 4.750%, 4/15/2019	$	180,984

				2,386,693

		Building Materials – 1.4%
	3,510,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		3,251,137
	2,050,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		2,135,844
	770,000	KB Home, 1.375%, 2/01/2019		748,825
	2,295,000	Lennar Corp., 3.250%, 11/15/2021		4,133,869

				10,269,675

		Cable Satellite – 1.6%
	10,465,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		11,459,175

		Consumer Products – 0.4%
	3,622,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		3,123,975

		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,766,425

		Finance Companies – 0.1%
	390,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		490,912

		Healthcare – 0.3%
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(g)		1,805,312

		Leisure – 0.4%
	3,000,000	Rovi Corp., 0.500%, 3/01/2020		2,989,590

		Metals & Mining – 0.4%
	1,895,000	RTI International Metals, Inc., 1.625%, 10/15/2019		2,020,544
	460,000	TimkenSteel Corp., 6.000%, 6/01/2021		505,425

				2,525,969

		Midstream – 1.0%
	6,200,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		5,773,750
	572,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		568,425
	928,000	Whiting Petroleum Corp., Series 2, 1.250%, 6/05/2020		890,880

				7,233,055

		Pharmaceuticals – 0.3%
	225,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		269,860
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		386,531
	750,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		838,594
	255,000	Ironwood Pharmaceuticals, Inc., 2.250%, 6/15/2022		303,928

				1,798,913


		Property & Casualty Insurance – 1.1%
	6,533,000	Old Republic International Corp., 3.750%, 3/15/2018		7,843,683

		Technology – 5.6%
	1,490,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		1,470,444
	7,895,000	Ciena Corp., 0.875%, 6/15/2017		7,850,591
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,237,100
	3,595,000	Intel Corp., 3.250%, 8/01/2039		6,574,356
	42,179	Liberty Interactive LLC, 3.500%, 1/15/2031		39,234
	9,900,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		8,798,625
	9,525,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		8,286,750
	989,000	Nuance Communications, Inc., 1.500%, 11/01/2035		927,806
	830,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		825,850

				40,010,756


		Total Convertible Bonds
		(Identified Cost $81,887,720)		94,704,133


	Municipals – 0.5%

		District of Columbia – 0.1%
	540,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		745,572

		Puerto Rico – 0.4%
	4,260,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(f)		2,784,975


		Total Municipals
		(Identified Cost $4,105,940)		3,530,547


		Total Bonds and Notes
		(Identified Cost $587,230,222)		596,170,751


	Loan Participations – 0.1%

		ABS Other – 0.1%
	649,869	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(c)(e)(i) (Identified Cost $654,743)		642,558


	Senior Loans – 1.1%

		Chemicals – 0.3%
	529,423	Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(i)		532,404
	235,214	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(i)		234,626
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(i)		1,585,850

				2,352,880

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Diversified Manufacturing – 0.1%
$	509,842	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(i)	$	285,511

		Financial Other – 0.1%
	728,900	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(i)		714,781

		Media Entertainment – 0.0%
	13,864	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(i)		13,206

		Oil Field Services – 0.1%
	436,364	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(i)		171,491
	156,778	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(i)		103,082
	95,596	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(i)		45,408

				319,981

		Other Utility – 0.1%
	408,038	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(i)		406,508
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(i)		323,375

				729,883

		Retailers – 0.0%
	301,886	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(i)		284,150

		Supermarkets – 0.1%
	837,246	Supervalu, Inc., Refi Term Loan B, 5.500%, 3/21/2019(i)		838,100

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

		Transportation Services – 0.0%
	145,675	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(i)		145,129

		Wirelines – 0.3%
	723,750	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(i)		723,359
	718,192	Hawaiian Telcom Communications, Inc., Term Loan B, 5.250%, 6/06/2019(i)		721,603
	532,532	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(c)(e)(i)		503,243

				1,948,205


		Total Senior Loans
		(Identified Cost $8,340,652)		7,722,347


	Shares

	Common Stocks – 10.8%

		Airlines – 0.4%
	52,244	United Continental Holdings, Inc.(j)		2,741,243

		Automobiles – 1.5%
	876,900	Ford Motor Co.		10,584,183

		Chemicals – 0.1%
	4,302	PPG Industries, Inc.		444,655

		Containers & Packaging – 0.1%
	40,621	Owens-Illinois, Inc.(j)		747,020

		Diversified Telecommunication Services – 0.1%
	78,091	Telefonica S.A., Sponsored ADR		787,157

		Electronic Equipment, Instruments & Components – 3.7%
	1,119,766	Corning, Inc.		26,482,466

		Energy Equipment & Services – 0.0%
	142,224	Hercules Offshore, Inc.(j)		246,048

		Household Durables – 0.1%
	6,775	KB Home		109,213
	8,126	Newell Brands, Inc.		427,915

				537,128

		Internet Software & Services – 0.0%
	2,154	Dex Media, Inc.(d)(j)		4,282

		Metals & Mining – 0.2%
	202,147	ArcelorMittal, (Registered)(j)		1,220,968
	6,543	Cliffs Natural Resources, Inc.(j)		38,277

				1,259,245

		Multi-Utilities – 0.1%
	10,224	CMS Energy Corp.		429,510

		Oil, Gas & Consumable Fuels – 0.4%
	2,846	Chesapeake Energy Corp.(j)		17,844
	10,741	Halcon Resources Corp.(j)		100,751
	23,429	OGX Petroleo e Gas S.A., Sponsored ADR		15,698
	82,985	Repsol YPF S.A., Sponsored ADR		1,132,745
	78,750	Rex Energy Corp.(j)		45,982
	33,796	Royal Dutch Shell PLC, Sponsored ADR		1,692,166
	42,858	Whiting Petroleum Corp.(j)		374,579

				3,379,765

		Pharmaceuticals – 0.5%
	64,900	Bristol-Myers Squibb Co.		3,499,408

		REITs – Apartments – 0.0%
	6,185	Apartment Investment & Management Co., Class A		283,953

		REITs – Diversified – 0.2%
	41,117	Weyerhaeuser Co.		1,313,277

		REITs – Shopping Centers – 0.0%
	7,868	DDR Corp.		137,139

		Semiconductors & Semiconductor Equipment – 3.2%
	603,280	Intel Corp.		22,773,820

		Trading Companies & Distributors – 0.2%
	20,913	United Rentals, Inc.(j)		1,641,461


		Total Common Stocks
		(Identified Cost $68,342,256)		77,291,760

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – 1.8%

	Convertible Preferred Stocks – 1.5%

		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%	$	180,587

		Communications – 0.0%
	191	Cincinnati Bell, Inc., 6.750%		9,581

		Electric – 0.1%
	17,119	AES Trust III, 6.750%		873,069

		Energy – 0.7%
	94,364	El Paso Energy Capital Trust I, 4.750%		4,718,200

		Midstream – 0.3%
	12,537	Chesapeake Energy Corp., 5.000%(j)		537,524
	160	Chesapeake Energy Corp., Series A, 5.750%, 144A(j)		83,300
	3,000	Chesapeake Energy Corp., 5.750%, 144A(j)		1,586,250
	30	Chesapeake Energy Corp., 5.750%(j)		15,862

				2,222,936

		REITs – Diversified – 0.0%
	15	Crown Castle International Corp., Series A, 4.500%		1,695

		REITs – Mortgage – 0.3%
	37,475	iStar, Inc., Series J, 4.500%		1,833,652

		Technology – 0.1%
	10,979	Belden, Inc., 6.750%		1,102,621


		Total Convertible Preferred Stocks
		(Identified Cost $11,424,334)		10,942,341


	Non-Convertible Preferred Stocks – 0.3%

		Banking – 0.1%
	18,000	Bank of America Corp., 6.375%		460,620

		Finance Companies – 0.1%
	5,300	iStar, Inc., Series F, 7.800%		129,373
	2,575	iStar, Inc., Series G, 7.650%		61,954
	12,475	SLM Corp., Series A, 6.970%		641,340

				832,667

		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(j)		445,680

		REITs – Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		218,175


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,818,099)		1,957,142


		Total Preferred Stocks
		(Identified Cost $13,242,433)		12,899,483


	Warrants – 0.0%
	34,303	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(d)(j)		—
	2,917	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(d)(j)		4,451


		Total Warrants
		(Identified Cost $—)		4,451


	Principal Amount (‡)

	Short-Term Investments – 1.3%
$	63,967	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $63,967 on 10/03/2016 collateralized by $64,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $65,249 including accrued interest (Note 2 of Notes to Financial Statements)		63,967
	9,205,426	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $9,205,449 on 10/03/2016 collateralized by $9,390,000 U.S. Treasury Note, 0.750% due 9/30/2018 valued at $9,390,000 including accrued interest (Note 2 of Notes to Financial Statements)		9,205,426


		Total Short-Term Investments
		(Identified Cost $9,269,393)		9,269,393


		Total Investments – 98.6%
		(Identified Cost $687,079,699)(a)		704,000,743
		Other assets less liabilities—1.4%		10,187,421


		Net Assets – 100.0%	$	714,188,164


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $696,195,649 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	$	76,886,207
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(69,081,113	)

		Net unrealized appreciation	$	7,805,094

	(b)	Perpetual bond with no specified maturity date.
	(c)	Illiquid security. (Unaudited)

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Institutional High Income Fund – continued


	(d)			Fair valued security by the Fund’s investment adviser. At September 30, 2016, the value of these securities amounted to $2,654,900 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
	(e)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $10,342,136 or 1.4% 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)			Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(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 September 30, 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 September 30, 2016, the value of Rule 144A holdings amounted to $150,167,052 or 21.0% 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
	ISK			Icelandic Krona
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar

Industry Summary at September 30, 2016


Treasuries	7.9	%
Technology	7.7
Independent Energy	7.6
Metals & Mining	7.2
Wirelines	6.4
Healthcare	5.5
Supermarkets	4.0
Electronic Equipment, Instruments & Components	3.7
Chemicals	3.6
Finance Companies	3.5
Cable Satellite	3.3
Semiconductors & Semiconductor Equipment	3.2
Airlines	2.9
Midstream	2.6
Building Materials	2.5
Other Investments, less than 2% each	25.7
Short-Term Investments	1.3

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 91.1% of Net Assets

	Non-Convertible Bonds – 86.6%

		ABS Home Equity – 0.0%
$	47,636	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 2.690%, 7/25/2035(b)(c)	$	43,515

		ABS Other – 3.1%
	2,834,196	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)(e)		2,805,089
	10,053,745	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		9,790,538
	554,648	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		607,988
	346,741	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		339,264
	784,888	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		803,920

				14,346,799

		Aerospace & Defense – 0.2%
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		604,954
	340,000	TransDigm, Inc., 6.500%, 5/15/2025		354,025

				958,979

		Airlines – 1.8%
	307,016	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		316,226
	510,293	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		542,733
	90,936	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		95,071
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		876,755
	145,663	Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022		158,772
	641,833	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		723,667
	84,209	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		90,314
	783,718	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		892,498
	1,736,072	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		1,962,456

		Airlines – continued
$	811,520	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020	$	862,241
	474,097	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		565,360
	900,574	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		981,625

				8,067,718

		Automotive – 2.9%
	840,000	Cummins, Inc., 5.650%, 3/01/2098		938,843
	10,935,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		11,665,972
	200,000	General Motors Co., 5.200%, 4/01/2045		208,036
	340,000	General Motors Co., 6.750%, 4/01/2046		426,250

				13,239,101

		Banking – 10.9%
	2,875,000	Ally Financial, Inc., 4.125%, 2/13/2022		2,907,344
	130,000	Bank of America Corp., 5.420%, 3/15/2017		132,243
	800,000	Bank of America Corp., 5.490%, 3/15/2019		864,354
	683,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		707,020
	400,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		424,375
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		860,707
	3,305,000	Capital One NA, 2.400%, 9/05/2019		3,357,269
	1,045,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		797,969
	3,545,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		2,638,966
	250,000	Cooperatieve Rabobank UA, 1.700%, 3/19/2018		251,231
	815,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		891,917
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,198,748
	6,050,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		4,880,120
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		730,843
	4,110,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		4,385,399
	300,000	JPMorgan Chase & Co., EMTN, 0.829%, 5/30/2017, (GBP)(b)		387,484
	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,521,766
	665,000	Morgan Stanley, 2.500%, 1/24/2019		677,608
	615,000	Morgan Stanley, 3.750%, 2/25/2023		653,187
	1,215,000	Morgan Stanley, 4.350%, 9/08/2026		1,297,136
	840,000	Morgan Stanley, 5.750%, 1/25/2021		957,545
	1,518,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,197,963

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	5,992,000	Morgan Stanley, MTN, 4.100%, 5/22/2023	$	6,335,108
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,760,786
	455,000	Morgan Stanley, Series F, MTN, 1.129%, 10/18/2016(b)		455,062
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		438,449
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		943,207
	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		2,855,660
	50,000	Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR)		56,773
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		370,584
	100,000	Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR)		114,512
	1,500,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)		2,138,647

				50,189,982

		Brokerage – 1.1%
	3,223,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,433,758
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		973,487
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		494,728
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		93,334

				4,995,307

		Building Materials – 0.8%
	1,010,000	Masco Corp., 6.500%, 8/15/2032		1,111,000
	285,000	Masco Corp., 7.750%, 8/01/2029		340,575
	1,712,000	Owens Corning, 7.000%, 12/01/2036		2,161,198

				3,612,773

		Cable Satellite – 0.0%
	15,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		14,864
	185,000	Time Warner Cable LLC, 5.500%, 9/01/2041		197,470

				212,334

		Chemicals – 0.7%
	2,995,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		2,980,265
	140,000	Methanex Corp., 5.250%, 3/01/2022		144,603

				3,124,868

		Collateralized Mortgage Obligations – 0.1%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		586,337
	5,423	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020(c)		5,603

				591,940


		Consumer Products – 0.1%
$	459,000	Hasbro, Inc., 6.600%, 7/15/2028	$	555,531

		Diversified Manufacturing – 2.3%
	65,000	General Electric Co., GMTN, 3.100%, 1/09/2023		69,054
	12,895,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		9,530,396
	600,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		440,297
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		662,087

				10,701,834

		Electric – 2.7%
	985,000	Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039, 144A		765,837
	818,032	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(d)(e)		416,526
	468,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		477,475
	1,800,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		1,865,700
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,743,113
	607,000	EDP Finance BV, 6.000%, 2/02/2018, 144A		634,533
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		796,146
	683,000	Enel Finance International NV, 5.125%, 10/07/2019, 144A		749,339
	1,322,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,598,710
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		701,421
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,584,272

				12,333,072

		Finance Companies – 4.1%
	3,826,000	Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A		4,495,550
	286,000	General Electric Co., Series A, MTN, 0.980%, 5/13/2024(b)		267,939
	30,000	International Lease Finance Corp., 3.875%, 4/15/2018		30,713
	889,000	International Lease Finance Corp., 4.625%, 4/15/2021		931,228
	19,000	International Lease Finance Corp., 5.875%, 8/15/2022		21,066
	2,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,254,200
	490,000	Navient LLC, 4.875%, 6/17/2019		488,163
	4,297,000	Navient LLC, 5.500%, 1/25/2023		3,942,497
	129,000	Navient LLC, MTN, 4.625%, 9/25/2017		130,935
	159,000	Navient LLC, MTN, 5.500%, 1/15/2019		161,385
	1,382,000	Navient LLC, MTN, 7.250%, 1/25/2022		1,409,640
	983,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)(e)		781,485
	611,000	Springleaf Finance Corp., 5.250%, 12/15/2019		623,984

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	1,522,000	Springleaf Finance Corp., 7.750%, 10/01/2021	$	1,596,197
	611,000	Springleaf Finance Corp., 8.250%, 10/01/2023		641,550
	987,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,021,545

				18,798,077

		Government Guaranteed – 1.0%
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		4,102,913
	736,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		559,737

				4,662,650

		Government Owned – No Guarantee – 0.4%
	780,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		903,551
	705,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		630,623
	625,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		471,875

				2,006,049

		Health Insurance – 0.0%
	15,000	Cigna Corp., 7.875%, 5/15/2027		20,968

		Healthcare – 1.6%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		733,163
	1,520,000	HCA, Inc., 4.500%, 2/15/2027		1,529,500
	4,388,000	HCA, Inc., 5.250%, 4/15/2025		4,678,705
	42,000	HCA, Inc., 5.875%, 3/15/2022		46,305
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		251,430

				7,239,103

		Home Construction – 0.8%
	2,536,000	PulteGroup, Inc., 6.000%, 2/15/2035		2,561,360
	1,105,000	PulteGroup, Inc., 6.375%, 5/15/2033		1,151,042

				3,712,402

		Hybrid ARMs – 0.0%
	25,406	FNMA, 2.423%, 2/01/2037(b)		26,422
	32,869	FNMA, 3.002%, 9/01/2036(b)		34,812

				61,234

		Independent Energy – 1.5%
	115,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		119,892
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		43,298
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		39,270
	450,000	Continental Resources, Inc., 3.800%, 6/01/2024		411,750
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		76,800

		Independent Energy – continued
$	2,277,000	EQT Corp., 8.125%, 6/01/2019	$	2,602,723
	1,632,000	Equitable Resources, Inc., 6.500%, 4/01/2018		1,710,657
	1,805,000	Noble Energy, Inc., 3.900%, 11/15/2024		1,840,934

				6,845,324

		Integrated Energy – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		563,308

		Life Insurance – 2.2%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		53,876
	71,000	American International Group, Inc., 4.875%, 6/01/2022		79,885
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(d)(e)		2,055,771
	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(e)		2,910,545
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(e)		2,294,304
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		2,858,519

				10,252,900

		Local Authorities – 1.5%
	2,407,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		1,922,091
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		2,758,877
	3,037,000	New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD)		2,359,954

				7,040,922

		Media Entertainment – 0.5%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		264,111
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		814,605
	50,000	Viacom, Inc., 4.375%, 3/15/2043		45,903
	845,000	Viacom, Inc., 5.250%, 4/01/2044		884,666
	305,000	Viacom, Inc., 5.850%, 9/01/2043		343,993

				2,353,278

		Metals & Mining – 1.5%
	319,000	ArcelorMittal, 7.250%, 2/25/2022		362,065
	1,750,000	ArcelorMittal, 7.750%, 3/01/2041		1,824,375
	387,000	ArcelorMittal, 8.000%, 10/15/2039		417,960
	1,717,000	Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020		1,762,071
	1,571,000	United States Steel Corp., 7.500%, 3/15/2022		1,547,435
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		970,029

				6,883,935

		Midstream – 3.1%
	159,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		154,628

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Midstream – continued
$	1,330,000	Enbridge Energy Partners LP, 5.875%, 10/15/2025	$	1,529,029
	1,265,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		1,599,580
	152,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		172,419
	607,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		685,294
	8,400,000	ONEOK Partners LP, 4.900%, 3/15/2025		9,036,107
	55,000	ONEOK Partners LP, 6.200%, 9/15/2043		60,762
	615,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		628,090
	500,000	Williams Partners LP, 3.350%, 8/15/2022		494,945

				14,360,854

		Mortgage Related – 0.0%
	424	FHLMC, 10.000%, with various maturities in 2018(g)		444
	1,040	FNMA, 6.000%, 12/01/2018		1,191
	1,470	GNMA, 10.000%, 5/15/2018		1,477

				3,112

		Natural Gas – 0.4%
	1,518,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,811,287

		Non-Agency Commercial Mortgage-Backed Securities – 2.9%
	220,215	Bear Stearns Commercial Mortgage Securities, Series 2007-PW16, Class A4, 5.910%, 6/11/2040(b)		223,633
	345,390	CD Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049		346,864
	1,655,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV2, 2.874%, 10/15/2031, 144A(b)(d)(e)		1,653,798
	580,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.474%, 10/15/2031, 144A(b)(d)(e)		579,307
	505,000	Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.674%, 10/15/2031, 144A(b)(d)(e)		505,142
	1,694,749	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.881%, 6/15/2039(b)		1,712,429
	999,909	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.134%, 9/15/2039(b)		1,022,619
	356,657	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		364,839
	897,354	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		921,065

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	231,160	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.988%, 8/10/2045(b)	$	234,648
	410,929	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		310,746
	778,163	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.940%, 6/15/2049(b)		788,872
	500,340	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		504,065
	189,790	Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)		191,856
	491,608	Morgan Stanley Capital I Trust, Series 2008-T29, Class A4, 6.477%, 1/11/2043(b)		514,565
	3,515,000	Original Wempi, Inc., 4.309%, 2/13/2024, (CAD)		2,900,843
	303,664	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043		305,602
	94,890	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.813%, 3/15/2044, 144A(b)		99,520

				13,180,413

		Oil Field Services – 0.2%
	827,000	Rowan Cos., Inc., 7.875%, 8/01/2019		882,822

		Packaging – 0.4%
	1,660,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,780,350

		Paper – 0.3%
	704,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		952,959
	175,000	WestRock MWV LLC, 7.550%, 3/01/2047(d)(e)		224,342
	133,000	WestRock MWV LLC, 8.200%, 1/15/2030		181,353

				1,358,654

		Property & Casualty Insurance – 1.1%
	87,000	MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(b)(h)		34,800
	1,640,000	Old Republic International Corp., 4.875%, 10/01/2024		1,773,312
	167,000	Sirius International Group, 6.375%, 3/20/2017, 144A		169,646
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,847,778
	1,211,000	XLIT Ltd., 6.375%, 11/15/2024		1,442,988

				5,268,524

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Railroads – 0.0%
$	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)(e)	$	140,802

		REITs – Office Property – 0.2%
	816,000	Highwoods Properties, Inc., 7.500%, 4/15/2018		882,286
	61,000	Highwoods Realty LP, 5.850%, 3/15/2017		62,096

				944,382

		REITs – Single Tenant – 0.1%
	109,000	Realty Income Corp., 5.750%, 1/15/2021		124,260
	270,000	Realty Income Corp., 6.750%, 8/15/2019		306,962

				431,222

		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		505,062

		Retailers – 0.0%
	66,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		56,760

		Sovereigns – 2.2%
	2,429,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		2,853,735
	2,806,000	U.S. Department of Housing and Urban Development, 1.980%, 8/01/2020		2,881,594
	1,851,000	U.S. Department of Housing and Urban Development, 2.350%, 8/01/2021		1,935,072
	2,244,000	U.S. Department of Housing and Urban Development, 2.450%, 8/01/2022		2,360,037

				10,030,438

		Supermarkets – 0.6%
	171,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		206,978
	272,000	New Albertson’s, Inc., 7.450%, 8/01/2029		266,560
	230,000	New Albertson’s, Inc., 7.750%, 6/15/2026		229,137
	1,017,000	New Albertson’s, Inc., 8.000%, 5/01/2031		1,003,016
	167,000	New Albertson’s, Inc., 8.700%, 5/01/2030		169,505
	65,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		59,800
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		993,905

				2,928,901

		Supranational – 0.5%
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,519,468


		Technology – 1.9%
$	2,706,000	Corning, Inc., 7.250%, 8/15/2036	$	3,354,206
	2,695,000	Ingram Micro, Inc., 5.250%, 9/01/2017		2,772,611
	990,000	KLA-Tencor Corp., 5.650%, 11/01/2034		1,102,208
	37,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		38,328
	228,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		290,892
	1,125,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		1,237,500

				8,795,745

		Transportation Services – 0.3%
	76,000	APL Ltd., 8.000%, 1/15/2024(d)(e)		50,160
	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		951,108

				1,427,749

		Treasuries – 25.1%
	8,301,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		6,317,226
	30,366,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		23,307,488
	26,800,000	Canadian Government, 1.750%, 9/01/2019, (CAD)		21,149,928
	62,675,000	Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)		373,010
	51,425,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		338,242
	87,450,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		561,137
	255,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,487,624
	265,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,511,837
	737,400(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,275,469
	175,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,078,517
	1,165,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		7,590,268
	1,675,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		1,309,237
	10,896,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,538,900
	28,844,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		3,690,665
	15,641,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		2,147,962
	3,986,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,132,195
	20,000,000	U.S. Treasury Note, 0.750%, 10/31/2017		20,014,060

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
$	13,000,000	U.S. Treasury Note, 0.750%, 4/30/2018	$	13,001,521
	5,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		4,998,440

				115,823,726

		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		533,974
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		167,097
	66,000	Sprint Communications, Inc., 6.000%, 11/15/2022		61,215
	25,000	Sprint Corp., 7.125%, 6/15/2024		24,375

				786,661

		Wirelines – 5.1%
	1,985,000	AT&T, Inc., 2.625%, 12/01/2022		2,000,737
	1,585,000	AT&T, Inc., 3.000%, 2/15/2022		1,636,566
	1,860,000	AT&T, Inc., 3.950%, 1/15/2025		1,974,403
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,568,216
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		179,258
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,495,530
	926,000	Embarq Corp., 7.995%, 6/01/2036		937,094
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(h)		58,908
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(h)		25,837
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		401,850
	1,856,000	Qwest Corp., 6.875%, 9/15/2033		1,850,243
	1,427,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,413,087
	150,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		166,821
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		473,304
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,660,380
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		698,899
	6,725,000	Verizon Communications, Inc., 2.450%, 11/01/2022		6,829,910

				23,371,043


		Total Non-Convertible Bonds
		(Identified Cost $396,241,005)		399,821,878


	Convertible Bonds – 4.0%

		Midstream – 0.0%
	170,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		168,938


		Property & Casualty Insurance – 1.8%
$	6,829,000	Old Republic International Corp., 3.750%, 3/15/2018	$	8,199,068

		Technology – 2.2%
	3,568,000	Intel Corp., 3.250%, 8/01/2039		6,524,980
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		639,934
	2,615,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		2,807,856

				9,972,770


		Total Convertible Bonds
		(Identified Cost $13,440,120)		18,340,776


	Municipals – 0.5%

		Illinois – 0.1%
	315,000	State of Illinois, 5.100%, 6/01/2033		303,660

		Michigan – 0.1%
	715,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		701,651

		Virginia – 0.3%
	1,595,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,369,913


		Total Municipals
		(Identified Cost $2,548,668)		2,375,224


		Total Bonds and Notes
		(Identified Cost $412,229,793)		420,537,878


	Senior Loans – 0.4%

		Finance Companies – 0.4%
	1,878,922	Flying Fortress, Inc., New Term Loan, 3.588%, 4/30/2020 (b) (Identified Cost $1,877,230)		1,889,256


	Shares

	Common Stocks – 4.6%

		Automobiles – 0.2%
	91,715	Ford Motor Co.		1,107,000

		Chemicals – 0.1%
	3,363	PPG Industries, Inc.		347,599

		Electronic Equipment, Instruments & Components – 3.7%
	721,200	Corning, Inc.		17,056,380

		Metals & Mining – 0.1%
	84,025	ArcelorMittal, (Registered)(h)		507,511

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Oil, Gas & Consumable Fuels – 0.5%
	64,896	Repsol YPF S.A., Sponsored ADR	$	885,831
	26,419	Royal Dutch Shell PLC, Sponsored ADR		1,322,799

				2,208,630


		Total Common Stocks
		(Identified Cost $14,367,967)		21,227,120


	Preferred Stocks – 0.7%

	Convertible Preferred Stocks – 0.6%

		Banking – 0.2%
	714	Bank of America Corp., Series L, 7.250%		871,680

		Energy – 0.2%
	15,775	El Paso Energy Capital Trust I, 4.750%		788,750

		Metals & Mining – 0.2%
	31,440	Alcoa, Inc., Series 1, 5.375%		1,027,773

		Midstream – 0.0%
	4,353	Chesapeake Energy Corp., 5.000%(h)		186,635


		Total Convertible Preferred Stocks
		(Identified Cost $3,134,105)		2,874,838


	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%		238,596

				249,659


		Total Non-Convertible Preferred Stocks
		(Identified Cost $131,140)		249,659


		Total Preferred Stocks
		(Identified Cost $3,265,245)		3,124,497

Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – 3.4%
$	15,542,796	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $15,542,835 on 10/03/2016 collateralized by $15,680,000 U.S.Treasury Note, 1.500% due 3/31/2023 valued at $15,856,400 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $15,542,796)	$	15,542,796


		Total Investments – 100.2%
		(Identified Cost $447,283,031)(a)		462,321,547
		Other assets less liabilities—(0.2)%		(892,763	)


		Net Assets – 100.0%	$	461,428,784


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $450,585,021 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	$	38,263,642
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(26,527,116	)

		Net unrealized appreciation	$	11,736,526

	(b)	Variable rate security. Rate as of September 30, 2016 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of this security amounted to $475,599 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Illiquid security. (Unaudited)
	(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $14,417,271 or 3.1% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	Perpetual bond with no specified maturity date.
	(g)	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.
	(h)	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 September 30, 2016, the value of Rule 144A holdings amounted to $62,842,594 or 13.6% 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.

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Investment Grade Fixed Income Fund – continued


	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
	ISK			Icelandic Krona
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar

Industry Summary at September 30, 2016


Treasuries	25.1	%
Banking	11.1
Wirelines	5.1
Finance Companies	4.5
Technology	4.1
Electronic Equipment, Instruments & Components	3.7
Midstream	3.1
ABS Other	3.1
Property & Casualty Insurance	2.9
Automotive	2.9
Non-Agency Commercial Mortgage-Backed Securities	2.9
Electric	2.8
Diversified Manufacturing	2.3
Life Insurance	2.2
Sovereigns	2.2
Other Investments, less than 2% each	18.8
Short-Term Investments	3.4

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

Currency Exposure Summary at September 30, 2016


United States Dollar	72.3	%
Canadian Dollar	14.5
New Zealand Dollar	3.9
Mexican Peso	3.5
Other, less than 2% each	6.0

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 56

Statements of Assets and Liabilities

September 30, 2016


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
ASSETS
Investments at cost	$	1,161,152,972		$	1,230,468,807		$	30,224,598
Net unrealized appreciation		21,871,392			1,413,747			918,018

Investments at value		1,183,024,364			1,231,882,554			31,142,616
Cash		4,119,210			—			—
Due from brokers (Note 2)		—			1,319,827			45,000
Foreign currency at value (identified cost $168,225, $13,455,397 and $0, respectively)		168,502			13,432,385			—
Receivable for Fund shares sold		—			3,261,982			132,160
Receivable for securities sold		49,627			27,088,704			—
Receivable for when-issued/delayed delivery securities sold (Note 2)		—			70,882,464			—
Collateral received for delayed delivery securities or forward foreign currency contracts (Notes 2 and 4)		—			1,810,000			—
Dividends and interest receivable		14,911,588			9,627,989			62,461
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			2,204,589			—
Tax reclaims receivable		22,309			4,082			—
Receivable for variation margin on futures contracts (Note 2)		—			285,378			7,031
Prepaid expenses (Note 8)		5,144			6,497			112

TOTAL ASSETS		1,202,300,744			1,361,806,451			31,389,380


LIABILITIES
Payable for securities purchased		—			6,746,848			—
Payable for when-issued/delayed delivery securities purchased (Note 2)		—			127,494,744			—
Payable for Fund shares redeemed		—			1,343,829			10,639
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			1,538,570			—
Foreign taxes payable (Note 2)		—			18,165			—
Due to brokers (Note 2)		—			1,810,000			—
Distributions payable		—			—			42,299
Management fees payable (Note 6)		505,587			547,409			16,695
Deferred Trustees’ fees (Note 6)		168,353			261,171			87,480
Administrative fees payable (Note 6)		43,895			44,185			1,121
Payable to distributor (Note 6d)		—			22,267			266
Other accounts payable and accrued expenses		74,204			176,216			53,746

TOTAL LIABILITIES		792,039			140,003,404			212,246

NET ASSETS	$	1,201,508,705		$	1,221,803,047		$	31,177,134

NET ASSETS CONSIST OF:
Paid-in capital	$	1,164,076,419		$	1,226,233,659		$	32,775,269
Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss		19,210,462			(1,709,790	)		(129,717	)
Accumulated net realized loss on investments, futures contracts, swaptions written and foreign currency transactions		(3,613,138	)		(5,064,619	)		(2,380,721	)
Net unrealized appreciation on investments, futures contracts, swaptions written and foreign currency translations		21,834,962			2,343,797			912,303

NET ASSETS	$	1,201,508,705		$	1,221,803,047		$	31,177,134


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	1,201,508,705		$	822,992,767		$	29,655,271

Shares of beneficial interest		88,861,821			49,973,715			2,788,136

Net asset value, offering and redemption price per share	$	13.52		$	16.47		$	10.64

Retail Class:
Net assets	$	—		$	350,915,125		$	1,521,863

Shares of beneficial interest		—			21,621,524			143,270

Net asset value, offering and redemption price per share	$	—		$	16.23		$	10.62

Class N shares:
Net assets	$	—		$	47,895,155		$	—

Shares of beneficial interest		—			2,902,975			—

Net asset value, offering and redemption price per share	$	—		$	16.50		$	—

See accompanying notes to financial statements.

57 |

Statements of Assets and Liabilities – continued

September 30, 2016


	Institutional High Income Fund			Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	687,079,699		$	447,283,031
Net unrealized appreciation		16,921,044			15,038,516

Investments at value		704,000,743			462,321,547
Cash		273,524			16,806
Foreign currency at value (identified cost $11 and $85,505, respectively)		11			85,645
Receivable for Fund shares sold		500,000			—
Receivable for securities sold		145,795			—
Dividends and interest receivable		9,834,756			4,363,181
Tax reclaims receivable		5,882			6,146
Prepaid expenses (Note 8)		2,717			2,061

TOTAL ASSETS		714,763,428			466,795,386


LIABILITIES
Payable for securities purchased		—			4,999,137
Management fees payable (Note 6)		362,230			160,809
Deferred Trustees’ fees (Note 6)		120,502			125,379
Administrative fees payable (Note 6)		25,923			16,802
Payable to distributor (Note 6d)		78			—
Other accounts payable and accrued expenses		66,531			64,475

TOTAL LIABILITIES		575,264			5,366,602

NET ASSETS	$	714,188,164		$	461,428,784

NET ASSETS CONSIST OF:
Paid-in capital	$	679,551,990		$	442,720,790
Undistributed (Distributions in excess of) net investment income		20,278,507			(1,030,169	)
Accumulated net realized gain (loss) on investments and foreign currency transactions		(2,549,720	)		4,718,612
Net unrealized appreciation on investments and foreign currency translations		16,907,387			15,019,551

NET ASSETS	$	714,188,164		$	461,428,784


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	714,188,164		$	461,428,784

Shares of beneficial interest		104,916,981			37,144,461

Net asset value, offering and redemption price per share	$	6.81		$	12.42

See accompanying notes to financial statements.

| 58

Statements of Operations

For the Year Ended September 30, 2016


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund
INVESTMENT INCOME
Interest	$	57,209,616		$	43,365,363		$	394,103
Dividends		3,943,478			239,344			—
Less net foreign taxes withheld		(98,981	)		(127,229	)		—

		61,054,113			43,477,478			394,103

Expenses
Management fees (Note 6)		6,044,882			8,556,500			73,113
Distribution fees (Note 6)		—			967,737			11,452
Administrative fees (Note 6)		532,869			665,846			12,892
Trustees’ fees and expenses (Note 6)		51,220			61,425			23,167
Transfer agent fees and expenses (Notes 6 and 7)		5,213			2,476,264			31,633
Audit and tax services fees		57,299			55,233			46,848
Custodian fees and expenses		73,461			177,931			7,187
Legal fees		20,099			25,954			516
Registration fees		30,998			82,443			40,201
Shareholder reporting expenses		4,230			212,831			5,195
Miscellaneous expenses (Note 8)		40,133			95,492			9,705

Total expenses		6,860,404			13,377,656			261,909
Less waiver and/or expense reimbursement (Note 6)		—			(1,067,719	)		(133,392	)

Net expenses		6,860,404			12,309,937			128,517

Net investment income		54,193,709			31,167,541			265,586


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, SWAPTIONS WRITTEN AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(14,889,348	)		(71,747,471	)		(358,607	)
Futures contracts		—			(3,819,963	)		(15,889	)
Swaptions written		—			—			34,250
Foreign currency transactions		156,209			4,027,388			—
Net change in unrealized appreciation (depreciation) on:
Investments		71,275,756			175,697,358			1,907,677
Futures contracts		—			1,625,312			(5,715	)
Swaptions written		—			—			(15,958	)
Foreign currency translations		75,294			(3,065,368	)		—

Net realized and unrealized gain on investments, futures contracts, swaptions written and foreign currency transactions		56,617,911			102,717,256			1,545,758


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	110,811,620		$	133,884,797		$	1,811,344

See accompanying notes to financial statements.

59 |

Statements of Operations – continued

For the Year Ended September 30, 2016


	Institutional High Income Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	39,738,327		$	20,151,640
Dividends		2,820,087			826,516
Less net foreign taxes withheld		(47,973	)		(25,850	)

		42,510,441			20,952,306

Expenses
Management fees (Note 6)		3,896,072			1,995,995
Administrative fees (Note 6)		286,319			219,840
Trustees’ fees and expenses (Note 6)		37,659			34,427
Transfer agent fees and expenses (Notes 6 and 7)		13,042			2,617
Audit and tax services fees		53,104			56,720
Custodian fees and expenses		59,889			34,441
Legal fees		10,590			8,262
Registration fees		23,473			27,373
Shareholder reporting expenses		3,030			2,282
Miscellaneous expenses (Note 8)		25,441			23,383

Total expenses		4,408,619			2,405,340

Net investment income		38,101,822			18,546,966


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		1,187,433			(1,434,270	)
Foreign currency transactions		(66,101	)		(60,960	)
Net change in unrealized appreciation (depreciation) on:
Investments		43,629,819			19,781,126
Foreign currency translations		10,793			31,405

Net realized and unrealized gain on investments and foreign currency transactions		44,761,944			18,317,301


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	82,863,766		$	36,864,267

See accompanying notes to financial statements.

| 60

Statements of Changes in Net Assets


	Fixed Income Fund						Global Bond Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	54,193,709		$	60,526,080		$	31,167,541		$	41,044,407
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(14,733,139	)		16,668,733			(71,540,046	)		(50,222,329	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		71,351,050			(161,324,372	)		174,257,302			(104,977,581	)

Net increase (decrease) in net assets resulting from operations		110,811,620			(84,129,559	)		133,884,797			(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)		(103,275,850	)		66,423,160			(681,545,914	)		(340,547,779	)

Net decrease in net assets		(68,954,550	)		(133,463,264	)		(547,661,117	)		(494,793,324	)
NET ASSETS
Beginning of the year		1,270,463,255			1,403,926,519			1,769,464,164			2,264,257,488

End of the year	$	1,201,508,705		$	1,270,463,255		$	1,221,803,047		$	1,769,464,164

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	19,210,462		$	35,400,813		$	(1,709,790	)	$	(21,063,941	)

See accompanying notes to financial statements.

61 |

Statements of Changes in Net Assets – continued


	Inflation Protected Securities Fund						Institutional High Income Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	265,586		$	218,436		$	38,101,822		$	35,878,007
Net realized gain (loss) on investments, futures contracts, swaptions written and foreign currency transactions		(340,246	)		(532,097	)		1,121,332			18,138,284
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swaptions written and foreign currency translations		1,886,004			(289,533	)		43,640,612			(110,679,582	)

Net increase (decrease) in net assets resulting from operations		1,811,344			(603,194	)		82,863,766			(56,663,291	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(347,784	)		(150,516	)		(38,822,138	)		(35,993,409	)
Retail Class		(16,091	)		(93,557	)		—			—
Net realized capital gains
Institutional Class		—			—			(20,172,827	)		(30,161,602	)
Paid-in capital
Institutional Class		(21,528	)		—			—			—
Retail Class		(575	)		—			—			—

Total distributions		(385,978	)		(244,073	)		(58,994,965	)		(66,155,011	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(13,146,542	)		13,565,630			59,897,205			59,907,686

Net increase (decrease) in net assets		(11,721,176	)		12,718,363			83,766,006			(62,910,616	)
NET ASSETS
Beginning of the year		42,898,310			30,179,947			630,422,158			693,332,774

End of the year	$	31,177,134		$	42,898,310		$	714,188,164		$	630,422,158

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(129,717	)	$	(33,820	)	$	20,278,507		$	21,352,219

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets – continued


	Investment Grade Fixed Income Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	18,546,966		$	20,815,759
Net realized gain (loss) on investments and foreign currency transactions		(1,495,230	)		3,141,130
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		19,812,531			(46,423,266	)

Net increase (decrease) in net assets resulting from operations		36,864,267			(22,466,377	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(9,226,102	)		(22,346,530	)
Net realized capital gains
Institutional Class		(5,935,580	)		(5,521,716	)

Total distributions		(15,161,682	)		(27,868,246	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(121,681,227	)		135,152

Net decrease in net assets		(99,978,642	)		(50,199,471	)
NET ASSETS
Beginning of the year		561,407,426			611,606,897

End of the year	$	461,428,784		$	561,407,426

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(1,030,169	)	$	(1,673,007	)

See accompanying notes to financial statements.

63 |

Financial Highlights

For a share outstanding throughout each period.


	Fixed Income Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	13.16		$	15.22		$	14.97		$	14.83		$	13.69

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.58			0.60			0.65			0.69			0.72
Net realized and unrealized gain (loss)		0.61			(1.46	)		0.57			0.27			1.31

Total from Investment Operations		1.19			(0.86	)		1.22			0.96			2.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.61	)		(0.65	)		(0.76	)		(0.74	)		(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	)

Net asset value, end of the period	$	13.52		$	13.16		$	15.22		$	14.97		$	14.83

Total return		9.72	%		(5.96	)%		8.51	%		6.71	%		15.79	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,201,509		$	1,270,463		$	1,403,927		$	1,192,028		$	1,134,935
Net expenses		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Gross expenses		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Net investment income		4.48	%		4.29	%		4.31	%		4.64	%		5.10	%
Portfolio turnover rate		14	%		15	%		26	%		18	%		17	%

(a)

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


	Global Bond Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	15.00		$	16.13		$	16.56		$	17.36		$	16.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.33			0.32			0.34			0.33			0.44
Net realized and unrealized gain (loss)		1.14			(1.16	)		(0.08	)		(0.70	)		1.05

Total from Investment Operations		1.47			(0.84	)		0.26			(0.37	)		1.49

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

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

Net asset value, end of the period	$	16.47		$	15.00		$	16.13		$	16.56		$	17.36

Total return		9.80	%(b)		(5.31	)%(b)		1.57	%(b)		(2.14	)%(b)		9.45	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	822,993		$	1,289,885		$	1,553,641		$	1,669,103		$	1,629,719
Net expenses		0.75	%(c)		0.75	%(c)		0.75	%(c)		0.75	%(c)		0.72	%
Gross expenses		0.83	%		0.78	%		0.77	%		0.78	%		0.72	%
Net investment income		2.13	%		2.07	%		2.03	%		1.96	%		2.64	%
Portfolio turnover rate		120	%		117	%		143	%		185	%(d)		102	%

(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)

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)

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.

| 64

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Retail Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	14.82		$	15.97		$	16.40		$	17.20		$	16.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.28			0.29			0.29			0.40
Net realized and unrealized gain (loss)		1.12			(1.15	)		(0.07	)		(0.70	)		1.04

Total from Investment Operations		1.41			(0.87	)		0.22			(0.41	)		1.44

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

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

Net asset value, end of the period	$	16.23		$	14.82		$	15.97		$	16.40		$	17.20

Total return		9.51	%(b)		(5.56	)%(b)		1.35	%		(2.39	)%		9.20	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	350,915		$	447,304		$	682,624		$	798,335		$	995,211
Net expenses		1.00	%(c)		1.00	%(c)		0.98	%		0.98	%		0.97	%
Gross expenses		1.08	%		1.03	%		0.98	%		0.98	%		0.97	%
Net investment income		1.87	%		1.81	%		1.80	%		1.72	%		2.43	%
Portfolio turnover rate		120	%		117	%		143	%		185	%(d)		102	%

(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)

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)

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
	Year Ended September 30, 2016			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)		0.34			0.34			0.36			0.22
Net realized and unrealized gain (loss)		1.15			(1.17	)		(0.08	)		(0.56	)

Total from Investment Operations		1.49			(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	$	16.50		$	15.01		$	16.13		$	16.56

Total return		9.93	%		(5.22	)%		1.70	%		(1.97	)%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	47,895		$	32,275		$	27,993		$	550
Net expenses		0.66	%		0.63	%		0.63	%(d)		0.70	%(e)(f)
Gross expenses		0.66	%		0.63	%		0.63	%(d)		0.83	%(f)
Net investment income		2.19	%		2.20	%		2.16	%		2.01	%(f)
Portfolio turnover rate		120	%		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)

Includes fee/expense recovery of 0.01%.

(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.

65 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.17		$	10.33		$	10.64		$	12.18		$	11.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.06			0.15			0.09			0.11
Net realized and unrealized gain (loss)		0.49			(0.15	)		(0.16	)		(0.74	)		0.92

Total from Investment Operations		0.61			(0.09	)		(0.01	)		(0.65	)		1.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.07	)		(0.20	)		(0.19	)		(0.28	)
Net realized capital gains		—			—			(0.10	)		(0.70	)		(0.15	)
Paid-in capital		(0.01	)		—			—			—			—

Total Distributions		(0.14	)		(0.07	)		(0.30	)		(0.89	)		(0.43	)

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

Total return(b)		6.00	%		(0.92	)%		(0.02	)%		(5.70	)%		9.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	29,655		$	23,696		$	24,480		$	18,434		$	23,771
Net expenses(c)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.86	%		0.80	%		0.91	%		0.91	%		0.85	%
Net investment income		1.16	%		0.62	%		1.41	%		0.75	%		0.95	%
Portfolio turnover rate		61	%		135	%		206	%(d)		56	%		166	%

(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)

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)

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.


	Inflation Protected Securities Fund – Retail Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.14		$	10.31		$	10.61		$	12.15		$	11.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.05	)		0.08			0.14			(0.05	)		0.04
Net realized and unrealized gain (loss)		0.60			(0.20	)		(0.16	)		(0.64	)		0.96

Total from Investment Operations		0.55			(0.12	)		(0.02	)		(0.69	)		1.00

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)		(0.05	)		(0.18	)		(0.15	)		(0.26	)
Net realized capital gains		—			—			(0.10	)		(0.70	)		(0.15	)
Paid-in capital		(0.00	)(e)		—			—			—			—

Total Distributions		(0.07	)		(0.05	)		(0.28	)		(0.85	)		(0.41	)

Net asset value, end of the period	$	10.62		$	10.14		$	10.31		$	10.61		$	12.15

Total return(b)		5.47	%		(1.17	)%		(0.15	)%		(6.04	)%		8.71	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,522		$	19,203		$	5,700		$	3,499		$	3,169
Net expenses(c)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		1.07	%		1.03	%		1.19	%		1.23	%		1.23	%
Net investment income (loss)		(0.47	)%		0.75	%		1.36	%		(0.44	)%		0.35	%
Portfolio turnover rate		61	%		135	%		206	%(d)		56	%		166	%

(a)

Per share net investment income (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.

(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)

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.

(e)

Amount rounds to less than $0.01 per share.

See accompanying notes to financial statements.

| 66

Financial Highlights – continued

For a share outstanding throughout each period.


	Institutional High Income Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	6.72		$	8.15		$	8.24		$	7.74		$	7.15

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.37			0.40			0.42			0.46			0.46
Net realized and unrealized gain (loss)		0.36			(1.04	)		0.43			0.57			0.75

Total from Investment Operations		0.73			(0.64	)		0.85			1.03			1.21

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

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

Net asset value, end of the period	$	6.81		$	6.72		$	8.15		$	8.24		$	7.74

Total return		12.53	%		(8.38	)%		11.14	%		14.17	%		18.37	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	714,188		$	630,422		$	693,333		$	664,866		$	652,767
Net expenses		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Gross expenses		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Net investment income		5.87	%		5.45	%		5.16	%		5.76	%		6.30	%
Portfolio turnover rate		17	%		19	%		29	%		28	%		21	%

(a)

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


	Investment Grade Fixed Income Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	11.81		$	12.82		$	12.82		$	13.21		$	12.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.45			0.42			0.46			0.49			0.56
Net realized and unrealized gain (loss)		0.50			(0.88	)		0.21			(0.21	)		0.97

Total from Investment Operations		0.95			(0.46	)		0.67			0.28			1.53

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.44	)		(0.51	)		(0.54	)		(0.66	)
Net realized capital gains		(0.12	)		(0.11	)		(0.16	)		(0.13	)		(0.18	)

Total Distributions		(0.34	)		(0.55	)		(0.67	)		(0.67	)		(0.84	)

Net asset value, end of the period	$	12.42		$	11.81		$	12.82		$	12.82		$	13.21

Total return		8.27	%		(3.74	)%		5.36	%		2.14	%		12.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	461,429		$	561,407		$	611,607		$	739,886		$	690,693
Net expenses		0.48	%		0.48	%		0.48	%		0.47	%		0.48	%
Gross expenses		0.48	%		0.48	%		0.48	%		0.47	%		0.48	%
Net investment income		3.72	%		3.34	%		3.52	%		3.72	%		4.44	%
Portfolio turnover rate		23	%		26	%		23	%		25	%		19	%

(a)

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

See accompanying notes to financial statements.

67 |

Notes to Financial Statements

September 30, 2016

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 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 and Inflation Protected Securities 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. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Global Bond Fund and Inflation Protected Securities 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 (such as the Rule 12b-1 fees applicable to Retail Class), and transfer agent fees for Global Bond Fund are borne collectively for Institutional Class and Retail Class, and individually for Class N. 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.

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

| 68

Notes to Financial Statements – continued

September 30, 2016

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 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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of September 30, 2016, securities held by the funds were fair valued as follows:


Fund	Securities classified as fair valued		Percentage of Net Assets		Securities fair valued by the Fund’s adviser		Percentage of Net Assets
Fixed Income Fund	$	20,402,403		1.7%	$	3,590,940		0.3%
Global Bond Fund		3,151,065		0.3%		—		—
Institutional High Income Fund		10,342,136		1.4%		2,654,900		0.4%
Investment Grade Fixed Income Fund		14,417,271		3.1%		475,599		0.1%

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, if applicable. 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.

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 or eliminate the amount of income available to be distributed by the funds.

69 |

Notes to Financial Statements – continued

September 30, 2016

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 or eliminate the amount of income available to be distributed by the Funds.

For the year ended September 30, 2016, the amount of income available to be distributed has been reduced by the following amounts as a result of losses arising from changes in exchange rates:


Fixed Income Fund	$	18,023,413
Global Bond Fund	$	96,088,776
Inflation Protected Securities Fund	$	—
Institutional High Income Fund	$	2,192,867
Investment Grade Fixed Income Fund	$	11,035,082

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.

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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.

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 year ended September 30, 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.

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Notes to Financial Statements – continued

September 30, 2016

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.

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 September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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 and return of capital distributions received, corporate actions, trust preferred securities, net operating losses, defaulted and/or non-income producing securities, return of capital distributions, 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 loss 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, corporate actions, treasury inflation-protected bonds 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 years ended September 30, 2016 and 2015 was as follows:


	2016 Distributions Paid From:								2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital		Total		Ordinary Income		Long-Term Capital Gains		Total
Fixed Income Fund	$	57,108,952	$	19,381,368	$	—	$	76,490,320	$	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		363,875		—		22,103		385,978		244,073		—		244,073
Institutional High Income Fund		39,304,593		19,690,372		—		58,994,965		40,546,892		25,608,119		66,155,011
Investment Grade Fixed Income Fund		9,885,081		5,276,601		—		15,161,682		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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Notes to Financial Statements – continued

September 30, 2016

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund			Institutional High Income Fund			Investment Grade Fixed Income Fund
Undistributed ordinary income	$	26,807,212		$	—		$	—		$	29,545,848		$	949,223
Undistributed long-term capital gains		—			1,500,912			—			—			6,083,088

Total undistributed earnings		26,807,212			1,500,912			—			29,545,848			7,032,311

Capital loss carryforward:
Short-term:
No expiration date		—			—			(760,777	)		—			—
Long-term:
No expiration date		—			—			(1,463,356	)		—			—

Total capital loss carryforward		—			—			(2,224,133	)		—			—

Late-year ordinary and post-October capital loss deferrals		(558,312	)*		—			—			(710,982	)*		—

Unrealized appreciation (depreciation)		12,922,744			(5,670,353	)		755,777			8,073,232			11,852,746

Total accumulated earnings (losses)	$	39,171,644		$	(4,169,441	)	$	(1,468,356	)	$	36,908,098		$	18,885,057

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:


	Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund		Institutional High Income Fund			Investment Grade Fixed Income Fund
Unrealized appreciation (depreciation)
Investments	$	49,973,516		$	24,088,283		$	755,777	$	21,875,872		$	32,314,992
Foreign currency translations		(37,050,772	)		(29,758,636	)		—		(13,802,640	)		(20,462,246	)

Total unrealized appreciation (depreciation)	$	12,922,744		$	(5,670,353	)	$	755,777	$	8,073,232		$	11,852,746

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 September 30, 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 received as collateral for forward foreign currency contracts or delayed delivery securities. 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 and as initial margin for futures contracts. The due

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Notes to Financial Statements – continued

September 30, 2016

from brokers balance in the Statements of Assets and Liabilities for Inflation Protected Securities Fund represents cash pledged as initial margin for futures contracts. 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 securities for U.S. equities and U.S. corporate debt; at least 105% of the market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 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.

•

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

•

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

The 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 September 30, 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	$	—	$	837,035	$	793,720	(b)	$	1,630,755
Chemicals		—		26,927,927		2,239,350	(c)		29,167,277

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Notes to Financial Statements – continued

September 30, 2016

Fixed Income Fund – continued

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Finance Companies	$	728,882	$	54,662,914	$	—		$	55,391,796
Metals & Mining		—		20,903,845		1,041	(c)		20,904,886
Transportation Services		—		1,650,000		525,427	(c)		2,175,427
All Other Non-Convertible Bonds(a)		—		824,284,398		—			824,284,398

Total Non-Convertible Bonds		728,882		929,266,119		3,559,538			933,554,539

Convertible Bonds(a)		—		88,685,645		—			88,685,645
Municipals(a)		—		7,098,116		—			7,098,116

Total Bonds and Notes		728,882		1,025,049,880		3,559,538			1,029,338,300

Senior Loans
Wirelines		—		—		1,099,188	(d)		1,099,188
All Other Senior Loans(a)		—		6,036,961		—			6,036,961

Total Senior Loans		—		6,036,961		1,099,188			7,136,149

Common Stocks
Internet Software & Services		—		—		13,493	(c)		13,493
All Other Common Stocks(a)		87,610,028		—		—			87,610,028

Total Common Stocks		87,610,028		—		13,493			87,623,521

Preferred Stocks
Convertible Preferred Stocks
Midstream		464,487		860,471		—			1,324,958
REITs—Mortgage		—		151,977		—			151,977
All Other Convertible Preferred Stocks(a)		13,885,473		—		—			13,885,473

Total Convertible Preferred Stocks		14,349,960		1,012,448		—			15,362,408

Non-Convertible Preferred Stocks
Electric		—		775,652		—			775,652
All Other Non-Convertible Preferred Stocks(a)		1,290,391		—		—			1,290,391

Total Non-Convertible Preferred Stocks		1,290,391		775,652		—			2,066,043

Total Preferred Stocks		15,640,351		1,788,100		—			17,428,451

Warrants		—		—		17,909	(c)		17,909
Short-Term Investments		—		41,480,034		—			41,480,034

Total	$	103,979,261	$	1,074,354,975	$	4,690,128		$	1,183,024,364

(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	$	—	$	416,607,242	$	1,874,325	(b)	$	418,481,567
All Other Bonds and Notes(a)		—		746,335,979		—			746,335,979

Total Bonds and Notes		—		1,162,943,221		1,874,325			1,164,817,546

Short-Term Investments		—		67,065,008		—			67,065,008

Total Investments		—		1,230,008,229		1,874,325			1,231,882,554

Forward Foreign Currency Contracts (unrealized appreciation)		—		2,204,589		—			2,204,589
Futures Contracts (unrealized appreciation)		994,155		—		—			994,155

Total	$	994,155	$	1,232,212,818	$	1,874,325		$	1,235,081,298

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Notes to Financial Statements – continued

September 30, 2016

Global Bond Fund – continued

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(1,538,570	)	$	—	$	(1,538,570	)
Futures Contracts (unrealized depreciation)		(645,959	)		—			—		(645,959	)

Total	$	(645,959	)	$	(1,538,570	)	$	—	$	(2,184,529	)

(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 year ended September 30, 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)	$	—		$	30,732,207	$	—	$	30,732,207
Short-Term Investments		—			410,409		—		410,409

Total Investments		—			31,142,616		—		31,142,616

Futures Contracts (unrealized appreciation)		2,097			—		—		2,097

Total	$	2,097		$	31,142,616	$	—	$	31,144,713


Liability Valuation Inputs
Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(7,812	)	$	—	$	—	$	(7,812	)

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

For the year ended September 30, 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
Chemicals	$	—	$	20,764,886	$	1,953,030	(c)	$	22,717,916
Independent Energy		—		—		—	(d)		—
Metals & Mining		—		47,451,873		1,659	(c)		47,453,532
Transportation Services		—		2,168,100		691,478	(c)		2,859,578
All Other Non-Convertible Bonds(a)		—		424,905,045		—			424,905,045

Total Non-Convertible Bonds		—		495,289,904		2,646,167			497,936,071

Convertible Bonds(a)		—		94,704,133		—			94,704,133
Municipals(a)		—		3,530,547		—			3,530,547

Total Bonds and Notes		—		593,524,584		2,646,167			596,170,751

Loan Participations
ABS Other		—		—		642,558	(b)		642,558
Senior Loans
Wirelines		—		1,444,962		503,243	(b)		1,948,205
All Other Senior Loans(a)		—		5,774,142		—			5,774,142

Total Senior Loans		—		7,219,104		503,243			7,722,347

Common Stocks
Internet Software & Services		—		—		4,282	(c)		4,282
All Other Common Stocks(a)		77,287,478		—		—			77,287,478

Total Common Stocks		77,287,478		—		4,282			77,291,760

| 76

Notes to Financial Statements – continued

September 30, 2016

Institutional High Income Fund – continued

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	—	$	2,222,936	$	—		$	2,222,936
REITs—Mortgage		—		1,833,652		—			1,833,652
All Other Convertible Preferred Stocks(a)		6,885,753		—		—			6,885,753

Total Convertible Preferred Stocks		6,885,753		4,056,588		—			10,942,341

Non-Convertible Preferred Stocks(a)		1,738,967		218,175		—			1,957,142

Total Preferred Stocks		8,624,720		4,274,763		—			12,899,483

Warrants(d)		—		—		4,451	(c)		4,451
Short-Term Investments		—		9,269,393		—			9,269,393

Total	$	85,912,198	$	614,287,844	$	3,800,701		$	704,000,743

(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 2 inputs.

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	$	—	$	—	$	43,515	(c)	$	43,515
ABS Other		—		10,933,722		3,413,077	(b)		14,346,799
Collateralized Mortgage Obligations		—		586,337		5,603	(c)		591,940
Non-Agency Commercial Mortgage-Backed Securities		—		10,442,166		2,738,247	(b)		13,180,413
Transportation Services		—		1,001,268		426,481	(c)		1,427,749
All Other Non-Convertible Bonds(a)		—		370,231,462		—			370,231,462

Total Non-Convertible Bonds		—		393,194,955		6,626,923			399,821,878

Convertible Bonds(a)		—		18,340,776		—			18,340,776
Municipals(a)		—		2,375,224		—			2,375,224

Total Bonds and Notes		—		413,910,955		6,626,923			420,537,878

Senior Loans(a)		—		1,889,256		—			1,889,256
Common Stocks(a)		21,227,120		—		—			21,227,120
Preferred Stocks
Convertible Preferred Stocks
Midstream		—		186,635		—			186,635
All Other Convertible Preferred Stocks(a)		2,688,203		—		—			2,688,203

Total Convertible Preferred Stocks		2,688,203		186,635		—			2,874,838

Non-Convertible Preferred Stocks
Electric		—		249,659		—			249,659

Total Non-Convertible Preferred Stocks		—		249,659		—			249,659

Total Preferred Stocks		2,688,203		436,294		—			3,124,497

Short-Term Investments		—		15,542,796		—			15,542,796

Total	$	23,915,323	$	431,779,301	$	6,626,923		$	462,321,547

(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.

77 |

Notes to Financial Statements – continued

September 30, 2016

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 September 30, 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 September 30, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	2,620,751	$	—	$	—	$	(1,639,845	)	$	27,233	$	(214,419	)	$	—	$	—		$	793,720	$	(1,709,504	)
Chemicals		—		55,013		—		(1,178,851	)		—		—			3,363,188		—			2,239,350		(1,178,851	)
Metals & Mining		832,714		14,761		—		(846,434	)		—		—			—		—			1,041		(846,434	)
Non-Agency Commercial Mortgage-Backed Securities		2,177,712		—		—		—			—		—			—		(2,177,712	)		—		—
Oil Field Services		317,750		—		—		—			—		—			—		(317,750	)		—		—
Retailers		1,207,488		—		—		—			—		—			—		(1,207,488	)		—		—
Transportation Services		532,735		—		817		(4,613	)		—		(3,512	)		—		—			525,427		(4,613	)
Senior Loans
Wirelines		—		956		—		(56,694	)		—		—			1,154,926		—			1,099,188		(56,695	)
Common Stocks
Internet Software & Services		—		—		—		(19,569	)		33,062		—			—		—			13,493		(19,569	)
Warrants		—		—		—		17,909			—		—			—		—			17,909		17,909

Total	$	7,689,150	$	70,730	$	817	$	(3,728,097	)	$	60,295	$	(217,931	)	$	4,518,114	$	(3,702,950	)	$	4,690,128	$	(3,797,757	)

Debt securities valued at $3,363,188 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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 $2,177,712 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $1,525,238 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 debt security valued at $1,154,926 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

| 78

Notes to Financial Statements – continued

September 30, 2016

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 September 30, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Canada	$	3,432,506	$	—	$	(220,902	)	$	335,360		$	—	$	(3,546,964	)	$	—	$	—	$	—	$	—
United States		5,708,550		—		60,514			(59,668	)		1,864,929		(5,700,000	)		—		—		1,874,325		9,396

Total	$	9,141,056	$	—	$	(160,388	)	$	275,692		$	1,864,929	$	(9,246,964	)	$	—	$	—	$	1,874,325	$	9,396

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 September 30, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
Airlines	$	1,492,764	$	—	$	—		$	—		$	—	$	—		$	—	$	(1,492,764	)	$	—		$	—
Chemicals		—		99,261		—			(1,215,199	)		—		—			3,068,968		—			1,953,030			(1,215,199	)
Independent Energy		—		70,798		—			(70,888	)		—		—			90		—			—	(a)		—
Metals & Mining		1,326,993		26,164		—			(1,351,498	)		—		—			—		—			1,659			(1,351,498	)
Non-Agency Commercial Mortgage-Backed Securities		1,451,808		—		—			—			—		—			—		(1,451,808	)		—			—
Oil Field Services		1,916,750		—		—			—			—		—			—		(1,916,750	)		—			—
Retailers		1,843,065		—		—			—			—		—			—		(1,843,065	)		—			—
Transportation Services		786,339		—		16,905			(26,300	)		—		(85,466	)		—		—			691,478			(6,606	)
Loan Participations																						—
ABS Other		701,799		—		(363	)		(10,439	)		—		(48,439	)		—		—			642,558			(10,561	)
Senior Loans																						—
Wirelines		—		432		—			(25,951	)		—		—			528,762		—			503,243			(25,951	)
Common Stocks
Internet Software & Services		—		—		—			(6,211	)		10,493		—			—		—			4,282			(6,211	)
Warrants		—		—		—			4,451			—		—			—		—			4,451	(a)		4,451

Total	$	9,519,518	$	196,655	$	16,542		$	(2,702,035	)	$	10,493	$	(133,905	)	$	3,597,820	$	(6,704,387	)	$	3,800,701		$	(2,611,575	)

(a) Includes securities fair valued at zero using Level 3 inputs.

Debt securities valued at $2,944,572 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $3,069,058 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

Debt securities valued at $3,759,815 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

79 |

Notes to Financial Statements – continued

September 30, 2016

A debt security valued at $528,762 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

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 September 30, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	71,159	$	—	$	(7,562	)	$	1,000		$	—	$	(21,082	)	$	—	$	—		$	43,515	$	(609	)
ABS Other		3,983,601		—		1,227			(52,151	)		—		(107,264	)		—		(412,336	)		3,413,077		(47,719	)
Collateralized Mortgage Obligations		—		—		(55	)		(320	)		—		(1,954	)		7,932		—			5,603		(320	)
Non-Agency Commercial Mortgage-Backed Securities		2,735,916		—		—			2,331			—		—			—		—			2,738,247		2,331
Transportation Services		432,977		—		—			(6,496	)		—		—			—		—			426,481		(6,496	)

Total	$	7,223,653	$	—	$	(6,390	)	$	(55,636	)	$	—	$	(130,300	)	$	7,932	$	(412,336	)	$	6,626,923	$	(52,813	)

A debt security valued at $412,336 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $7,932 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

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 year ended September 30, 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 year ended September 30, 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 duration without having to buy or sell portfolio securities. During the year ended September 30, 2016, Global Bond Fund used futures contracts and Inflation Protected Securities Fund used interest rate swaptions to manage duration. Inflation Protected Securities Fund also used futures and interest rate swaptions to hedge against changes in interest rates.

| 80

Notes to Financial Statements – continued

September 30, 2016

The following is a summary of derivative instruments for Global Bond Fund as of September 30, 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	$	2,204,589		$	—
Exchange-traded/cleared asset derivatives
Interest rate contracts		—			994,155

Total asset derivatives	$	2,204,589		$	994,155


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,538,570	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(645,959	)

Total liability derivatives	$	(1,538,570	)	$	(645,959	)

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.

Transactions in derivative instruments for Global Bond Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions²
Interest rate contracts	$	(3,819,963	)	$	—
Foreign exchange contracts		—			4,219,387

Total	$	(3,819,963	)	$	4,219,387


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations²
Interest rate contracts	$	1,625,312		$	—
Foreign exchange contracts		—			(3,603,759	)

Total	$	1,625,312		$	(3,603,759	)

² Represents realized gain 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 September 30, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Investments at value¹
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	2,097

Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	(7,812	)

81 |

Notes to Financial Statements – continued

September 30, 2016

Transactions in derivative instruments for Inflation Protected Securities Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Investments²			Futures contracts			Swaptions written
Interest rate contracts	$	(77,000	)	$	(15,889	)	$	34,250

Net Change in Unrealized Appreciation (Depreciation) on:	Investments²			Futures contracts			Swaptions written
Interest rate contracts	$	29,951		$	(5,715	)	$	(15,958	)

² Represents realized loss and change in unrealized appreciation (depreciation), respectively, 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 year ended September 30, 2016:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		35.40%		22.98%
Highest Notional Amount Outstanding		56.66%		29.66%
Lowest Notional Amount Outstanding		24.28%		19.23%
Notional Amount Outstanding as of September 30, 2016		24.28%		27.03%


Inflation Protected Fund	Futures
Average Notional Amount Outstanding		17.67%
Highest Notional Amount Outstanding		119.70%
Lowest Notional Amount Outstanding		0.00%
Notional Amount Outstanding as of September 30, 2016		119.70%

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 year ended September 30, 2016:


Inflation Protected Securities Fund	Interest Rate Call Swaptions Purchased		Interest Rate Call Swaptions Written
Average Premium Paid/Received		0.24%		0.11%
Highest Premium Paid/Received		0.29%		0.13%
Lowest Premium Paid/Received		0.00%		0.00%
Premium Paid/Received as of September 30, 2016		0.00%		0.00%

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 expired		(2,500,000	)		(34,250	)

Outstanding at September 30, 2016	$	—		$	—

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

| 82

Notes to Financial Statements – continued

September 30, 2016

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 September 30, 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
Citibank N.A.	$	29,935		$	(29,935	)	$	—		$	—		$	—
Credit Suisse International		904,887			(764,374	)		140,513			(80,000	)		60,513
Morgan Stanley & Co.		73,948			(73,948	)		—			—			—
UBS AG		1,195,819			—			1,195,819			(1,195,819	)		—

	$	2,204,589		$	(868,257	)	$	1,336,332		$	(1,275,819	)	$	60,513


Counterparty	Gross Amounts of Liabilities			Offset Amount			Net Liability Balance			Collateral (Received)/ Pledged			Net Amount
Citibank N.A.	$	(588,761	)	$	29,935		$	(558,826	)	$	558,826		$	—
Credit Suisse International		(764,374	)		764,374			—			—			—
Deutsche Bank AG		(64,027	)		—			(64,027	)		—			(64,027	)
Morgan Stanley & Co.		(121,408	)		73,948			(47,460	)		47,460			—

	$	(1,538,570	)	$	868,257		$	(670,313	)	$	606,286		$	(64,027	)

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 September 30, 2016:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Bond Fund	$	9,376,984	$	6,626,622
Inflation Protected Securities Fund		72,016		72,016

83 |

Notes to Financial Statements – continued

September 30, 2016

These amounts include cash received as collateral for Global Bond Fund of $1,480,000.

5. Purchases and Sales of Securities. For the year ended September 30, 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	$	72,481,445	$	133,003,947	$	90,881,079	$	181,684,061
Global Bond Fund		1,224,664,211		1,208,165,511		538,131,260		1,233,392,347
Inflation Protected Securities Fund		17,664,095		30,174,657		—		—
Institutional High Income Fund		25,013,672		19,445,699		133,035,094		86,557,898
Investment Grade Fixed Income Fund		49,937,891		96,947,221		59,459,010		115,148,761

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the year ended September 30, 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%
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 year ended September 30, 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%		—		—
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

September 30, 2016

For the year ended September 30, 2016, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Waivers of Management Fees¹		Net Management Fees		Gross		Net
Fixed Income Fund	$	6,044,882	$	—	$	6,044,882		0.50%		0.50%
Global Bond Fund		8,556,500		—		8,556,500		0.57%		0.57%
Inflation Protected Securities Fund		73,113		73,113		—		0.25%		—
Institutional High Income Fund		3,896,072		—		3,896,072		0.60%		0.60%
Investment Grade Fixed Income Fund		1,995,995		—		1,995,995		0.40%		0.40%

¹Management fee waivers are subject to possible recovery until September 30, 2017.

For the year ended September 30, 2016, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Class N		Total
Global Bond Fund	$	787,178	$	280,541	$	—	$	1,067,719

In addition, the investment adviser reimbursed non-class-specific expenses of Inflation Protected Securities Fund in the amount of $60,279 for the year ended September 30, 2016².

²Expense reimbursements are subject to possible recovery until September 30, 2017.

No expenses were recovered for any of the Funds during the year ended September 30, 2016 under the terms of the expense limitation agreements.

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

b. Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, Global Bond Fund and Inflation Protected Securities Fund have adopted a Distribution Plan relating to each Fund’s Retail Class shares (the “Retail Class Plans”).

For the year ended September 30, 2016, the distribution fees for each Fund were as follows:


Fund	Retail Class
Global Bond Fund	$	967,737
Inflation Protected Securities Fund		11,452

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Notes to Financial Statements – continued

September 30, 2016

For the year ended September 30, 2016, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Fixed Income Fund	$	532,869
Global Bond Fund		665,846
Inflation Protected Securities Fund		12,892
Institutional High Income Fund		286,319
Investment Grade Fixed Income Fund		219,840

For the year ended September 30, 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	$	2,419,724
Inflation Protected Securities Fund		19,633
Institutional High Income Fund		6,249


Fund	Reimbursements of Sub-Transfer Agent Fees
Global Bond Fund	$	22,267
Inflation Protected Securities Fund		266
Institutional High Income Fund		78

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.

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Notes to Financial Statements – continued

September 30, 2016

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 September 30, 2016, Loomis Sayles owned shares equating to 5.08% 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		0.56%
Inflation Protected Securities Fund		13.99%
Institutional High Income Fund		2.28%

Investment activities of affiliated shareholders could have material impacts on the Funds.

g. Payment by Affiliates. For the year ended September 30, 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 year ended September 30, 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	$	1,829,790	$	645,899	$	575

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. Effective April 14, 2016, each Fund, 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 at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to 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 was 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, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, Global Bond Fund had an average daily balance on the line of credit with State Street Bank (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.

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 September 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling

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Notes to Financial Statements – continued

September 30, 2016

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		17.72%		—		17.72%
Global Bond Fund		1		17.63%		—		17.63%
Inflation Protected Securities Fund		2		25.63%		19.07%		44.70%
Institutional High Income Fund		2		12.34%		—		12.34%
Investment Grade Fixed Income Fund		3		29.48%		—		29.48%

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


	Fixed Income Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		4,891,553		$	62,806,285			7,578,053		$	110,559,437
Issued in connection with the reinvestment of distributions		5,631,834			68,539,429			7,657,868			105,448,844
Redeemed		(18,212,948	)		(234,621,564	)		(10,927,998	)		(149,585,121	)

Increase (decrease) from capital share transactions		(7,689,561	)	$	(103,275,850	)		4,307,923		$	66,423,160


	Global Bond Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		12,012,824		$	185,937,871			26,388,877		$	413,652,643
Issued in connection with the reinvestment of distributions		—			—			1,664,577			26,297,178
Redeemed		(48,030,491	)		(748,675,574	)		(38,370,302	)		(595,400,327	)

Net change		(36,017,667	)	$	(562,737,703	)		(10,316,848	)	$	(155,450,506	)


Retail Class
Issued from the sale of shares		3,051,116		$	46,513,165			5,417,060		$	83,284,513
Issued in connection with the reinvestment of distributions		—			—			713,900			11,162,875
Redeemed		(11,614,502	)		(176,898,846	)		(18,692,966	)		(285,905,721	)

Net change		(8,563,386	)	$	(130,385,681	)		(12,562,006	)	$	(191,458,333	)


Class N
Issued from the sale of shares		919,910		$	14,173,535			404,297		$	6,188,648
Issued in connection with the reinvestment of distributions		—			—			32,616			515,369
Redeemed		(166,839	)		(2,596,065	)		(22,359	)		(342,957	)

Net change		753,071		$	11,577,470			414,554		$	6,361,060

Increase (decrease) from capital share transactions		(43,827,982	)	$	(681,545,914	)		(22,464,300	)	$	(340,547,779	)

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Notes to Financial Statements – continued

September 30, 2016

11. Capital Shares – continued


	Inflation Protected Securities Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,087,435		$	11,405,849			1,045,091		$	10,909,078
Issued in connection with the reinvestment of distributions		27,761			292,974			14,391			146,404
Redeemed		(656,052	)		(6,793,970	)		(1,099,553	)		(11,391,665	)

Net change		459,144		$	4,904,853			(40,071	)	$	(336,183	)


Retail Class
Issued from the sale of shares		475,636		$	4,848,867			2,403,561		$	24,961,328
Issued in connection with the reinvestment of distributions		1,606			16,580			9,224			93,439
Redeemed		(2,228,362	)		(22,916,842	)		(1,071,383	)		(11,152,954	)

Net change		(1,751,120	)	$	(18,051,395	)		1,341,402		$	13,901,813

Increase (decrease) from capital share transactions		(1,291,976	)	$	(13,146,542	)		1,301,331		$	13,565,630


	Institutional High Income Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		16,969,729		$	103,359,817			13,671,170		$	97,738,097
Issued in connection with the reinvestment of distributions		9,032,268			52,567,796			8,207,097			58,434,535
Redeemed		(14,850,839	)		(96,030,408	)		(13,146,041	)		(96,264,946	)

Increase (decrease) from capital share transactions		11,151,158		$	59,897,205			8,732,226		$	59,907,686


	Investment Grade Fixed Income Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		4,197,598		$	50,532,659			7,899,784		$	100,220,843
Issued in connection with the reinvestment of distributions		1,199,344			14,138,073			2,051,654			25,569,037
Redeemed		(15,778,562	)		(186,351,959	)		(10,127,811	)		(125,654,728	)

Increase (decrease) from capital share transactions		(10,381,620	)	$	(121,681,227	)		(176,373	)	$	135,152

89 |

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund and Loomis Sayles Investment Grade Fixed Income Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Fixed Income Fund, Loomis Sayles Global Bond Fund, Loomis Sayles Inflation Protected Securities Fund, Loomis Sayles Institutional High Income Fund, and Loomis Sayles Investment Grade Fixed Income Fund, each a series of Loomis Sayles Funds Trust I (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

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2016 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
Fixed Income		5.98%
Inflation Protected Securities		0.45%
Institutional High Income		6.67%
Investment Grade Fixed Income		9.64%


Fund	Amount
Fixed Income	$	19,381,368
Institutional High Income		19,690,372
Investment Grade Fixed Income		5,276,601

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

Fund

Fixed Income

Institutional High Income

Investment Grade Fixed Income

Foreign Tax Credit. For the year ended September 30, 2016, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:


Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
Global Bond	$	127,229	$	34,113,932

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

Independent Trustees
Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	44 Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	44 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	44 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

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Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	44 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	44 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	44 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

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Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

Interested Trustees
Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	44 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta⁴ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

John T. Hailer⁵ (1960)	Trustee since 2003	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

³	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.

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Name and Year of Birth	Position(s) Held with the Trust(s)	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

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

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Mutual Funds Chief Compliance Officer, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹	Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

95 |

LOGO

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund

Annual Report

September 30, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			9
Financial Statements			30
Notes to Financial Statements			34

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND


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

Investment Objective

The Fund’s investment objective is high current income. Capital appreciation is the Fund’s secondary objective.

Market Conditions

In the beginning of the period, the Federal Reserve (Fed) raised interest rates for the first time since June 2006. This led to modest losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to markets and riskier assets rebounded strongly. Volatility spiked temporarily in June following the U.K. referendum vote to leave the European Union, but conditions were generally calm for the remainder of the period. Fixed-income markets finished the period on a positive note and added to full-year gains.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles High Income Opportunities Fund returned 12.65%. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

High yield industrial securities were top contributors to the fund’s relative performance due to industry and security selection. In particular, technology and basic industry holdings outperformed. High yield utilities also aided relative performance and outperformed duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). In addition, out-of-benchmark exposure to Yankee (U.S. dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted performance.

Meanwhile, our cash and reserve positions lagged the strongly rising high yield market in the second half of the period and hindered results. Our position in convertible securities also detracted. Despite generating a positive absolute return, the allocation lagged on a relative basis due to a selected holding in the transportation industry. Similarly, our high yield financials generated a positive absolute return, but weighed on relative performance. An underweight allocation to the lowest-quality high yield bonds also detracted from performance.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the United States, we expect steady gains in employment, increased bank lending and stronger consumer confidence to support GDP growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

Oil prices are likely to be range bound over the short term as elevated supply should be countered by OPEC’s expected production cut in November. We remain constructive on intermediate- to longer-term oil prices and expect that supply and demand will adjust.

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

1 |

Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016

LOGO

Average Annual Total Returns — September 30, 2016



										Expense Ratios²
	1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 4/12/04)		12.65	%³		9.46	%		8.14	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		12.73			8.34			7.71

Bloomberg 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.

The amount shown under Gross and Net Expense Ratio is 0.00% to reflect the fact that the Fund does not pay any advisory, administration or distribution and service fees, and that Loomis Sayles has agreed to pay certain expenses of the Fund. All fees are paid by investors indirectly through separately negotiated advisory relationships with the Fund’s Adviser or through “wrap fee” programs sponsored by broker dealers and investment advisers that may be affiliated or unaffiliated with the Fund, Loomis Sayles or NGAM Advisors, L.P.

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund for financial reporting purposes only, and as such, the total returns reflected above are different from the total returns reported in the financial highlights. The returns presented in the table above are what an investor would have actually experienced.

| 2

LOOMIS SAYLES SECURITIZED ASSET FUND


Managers	Symbol
Ian Anderson	Institutional Class	LSSAX
Alessandro Pagani, CFA^®
Clifton V. Rowe, CFA^®

Investment Objective

The Fund’s investment objective is to seek a high level of current income consistent with capital preservation.

Market Conditions

At the start of the first quarter, the Fed projected four rate hikes during 2016. Yet as of September 30, there had been no increases and markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields.

Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Fed still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in that market as principal payments from matured securities are reinvested.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of the Loomis Sayles Securitized Asset Fund returned 4.27%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Securitized Bond Index, which returned 3.68%.

Explanation of Fund Performance

The fund’s outperformance primarily was due to allocation differences between the fund and the benchmark. The fund generally favors various spread (non-government) sectors relative to the benchmark, which is almost entirely composed of U.S. agency-backed securities. In particular, the fund’s exposure to residential mortgage-backed securities (RMBS) helped boost relative performance, as the sector outperformed Treasuries on a duration-adjusted basis, which considers a security’s return relative to Treasuries with similar duration (price sensitivity to interest rate changes). The fund’s allocation to asset-backed securities (ABS) was especially helpful to absolute return, as selected student loan names performed well. In addition, the fund’s yield-curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning and longer-than-benchmark duration also contributed to performance. Specifically, the yield curve flattened over the period, and our overweight position to the long end of the curve proved to be beneficial. Despite posting a positive absolute return, the fund’s allocation to U.S. securitized agency credit weighed on relative performance.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) remain narrow relative to history. Additionally, refinancing risk is beginning to increase, as mortgages issued in recent years are of relatively high quality compared with those issued in earlier years. Therefore, we prefer to underweight recently issued 30-year MBS, favoring sectors with less refinance risk, such as low-loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment-grade commercial mortgage-backed securities (CMBS) remain attractive. We also believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. We favor buying higher-yielding securities, such as subordinated bonds, and bonds of less-frequent issuers. Our analysis indicates the credit risk of these securities is inefficiently priced, and they offer attractive opportunities for additional yield.

3 |

Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016

LOGO

Average Annual Total Returns — September 30, 2016



										Expense Ratios²
	1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 3/2/06)		4.27	%		4.72	%		6.21	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Securitized Bond Index¹		3.68			2.76			4.60

Bloomberg 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.

1623920.1.1

| 4

ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

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 most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

5 |

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 April 1, 2016 through September 30, 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 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,115.20		$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 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,027.70		$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).

| 6

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2016. The Agreements were continued for a one-year period for both Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Funds. The Trustees also considered that the Funds are generally only available to institutional clients of Loomis Sayles and participants in certain “wrap programs.”

7 |

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. Under the terms of the Agreements, the Adviser does not charge the Funds an investment advisory fee or any other fee for services. The Adviser also bears most of the Funds’ expenses. The Trustees considered that, although the Funds do not compensate the Adviser directly for services under the Agreements, the Adviser will typically receive an advisory fee from its advisory clients who have invested in the Funds or from the sponsors of “wrap programs,” who in turn charge the programs’ participants. Because the Funds do not charge an advisory fee, the Trustees did not consider the profitability of the Adviser’s relationship to the Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements and in light of the structure of the advisory arrangements, that each Fund’s advisory fee of 0% was fair and reasonable and supported the renewal of the Agreements.

Economies of Scale. The Trustees noted that because the Adviser has borne most of the Funds’ expenses, economies of scale were not relevant to these Funds.

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

•

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

•

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

•

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

•

So-called “fallout benefits” to the Adviser, such as the financial and other benefits to the Adviser from being able to offer the Funds to its advisory clients and investors in certain “wrap” programs and engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Funds, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Funds’ securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

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

| 8

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 91.0% of Net Assets

	Non-Convertible Bonds – 87.8%

		ABS Home Equity – 2.1%
$	165,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.031%, 6/17/2031, 144A(b)	$	161,989
	175,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		193,631
	57,625	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		58,752
	291,778	Banc of America Alternative Loan Trust, Series 2004-9, Class 2CB1, 6.000%, 10/25/2034		297,545
	70,492	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		69,828
	66,785	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		68,423
	100,000	CAM Mortgage Trust LLC, Series 2015-1, Class M, 4.750%, 7/15/2064, 144A(b)		98,357
	91,995	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.735%, 5/25/2035(b)		76,312
	63,053	Countrywide Asset-Backed Certificates, Series 2004-13, Class AF5B, 4.903%, 5/25/2035(b)		64,431
	221,228	DSLA Mortgage Loan, Series 2005-AR5, Class 2A1A, 0.861%, 9/19/2045(b)		162,867
	320,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.775%, 11/25/2023(b)		338,836
	270,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 3.825%, 10/25/2027(b)		280,775
	77,562	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.558%, 7/19/2035(b)		69,871
	64,758	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 3.189%, 12/25/2034(b)		64,203
	117,302	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.165%, 7/25/2045(b)		98,028
	97,455	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.025%, 1/25/2036(b)		63,271
	295,573	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 2.920%, 3/25/2035(b)		229,031
	76,151	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		77,164
	175,000	Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		168,377

		ABS Home Equity – continued
$	115,145	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.193%, 9/25/2046(b)	$	108,375
	180,021	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.943%, 1/25/2047(b)		160,959

				2,911,025

		ABS Other – 0.2%
	221,726	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		213,429
	31,438	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		31,658

				245,087

		Aerospace & Defense – 2.9%
	90,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		90,450
	75,000	Engility Corp., 8.875%, 9/01/2024, 144A		75,938
	90,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		95,175
	690,000	KLX, Inc., 5.875%, 12/01/2022, 144A		714,150
	1,425,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,396,500
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		438,000
	350,000	Oshkosh Corp., 5.375%, 3/01/2025		366,187
	265,000	TransDigm, Inc., 6.000%, 7/15/2022		279,575
	225,000	TransDigm, Inc., 6.500%, 7/15/2024		236,813
	185,000	TransDigm, Inc., 6.500%, 5/15/2025		192,631

				3,885,419

		Airlines – 2.1%
	1,162,230	American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		1,212,915
	325,142	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		370,271
	1,217,293	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		1,171,644
	54,761	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		55,446

				2,810,276

		Automotive – 2.1%
	150,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		153,750
	975,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		1,070,827
	65,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		66,869
	60,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		62,550
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		349,600

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Automotive – continued
$	500,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A	$	508,750
	585,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		614,250

				2,826,596

		Banking – 4.6%
	600,000	Ally Financial, Inc., 3.500%, 1/27/2019		605,250
	155,000	Ally Financial, Inc., 4.125%, 3/30/2020		157,712
	20,000	Ally Financial, Inc., 4.125%, 2/13/2022		20,225
	980,000	Ally Financial, Inc., 5.125%, 9/30/2024		1,038,800
	1,125,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,294,312
	1,335,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		1,218,276
	405,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		415,982
	265,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		276,188
	1,210,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		1,282,133

				6,308,878

		Brokerage – 0.7%
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		186,000
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		145,919
	515,000	Jefferies Group LLC, 6.450%, 6/08/2027		583,031

				914,950

		Building Materials – 1.2%
	670,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		602,162
	300,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		332,850
	265,000	HD Supply, Inc., 5.250%, 12/15/2021, 144A		280,238
	15,000	Masco Corp., 7.750%, 8/01/2029		17,925
	150,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		163,125
	160,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		166,000
	100,000	USG Corp., 5.500%, 3/01/2025, 144A		107,250

				1,669,550

		Cable Satellite – 7.7%
	690,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		708,112
	150,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		156,563
	400,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		417,000
	605,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		642,812
	575,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		612,375
	540,000	CSC Holdings LLC, 5.250%, 6/01/2024		513,000
	45,000	CSC Holdings LLC, 6.750%, 11/15/2021		47,588
	25,000	CSC Holdings LLC, 7.625%, 7/15/2018		26,938
	300,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		345,750

		Cable Satellite – continued
	745,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		872,581
	625,000	DISH DBS Corp., 5.000%, 3/15/2023		607,812
	440,000	DISH DBS Corp., 5.125%, 5/01/2020		456,500
	480,000	DISH DBS Corp., 5.875%, 7/15/2022		493,310
	500,000	DISH DBS Corp., 5.875%, 11/15/2024		493,750
	245,000	DISH DBS Corp., 7.750%, 7/01/2026, 144A		260,313
	115,000	Sirius XM Radio, Inc., 5.750%, 8/01/2021, 144A		120,405
	1,320,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,384,350
	875,000	Virgin Media Secured Finance PLC, 5.250%, 1/15/2026, 144A		888,125
	200,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		204,500
	565,000	Ziggo Bond Finance BV, 5.875%, 1/15/2025, 144A		565,000
	660,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		659,175

				10,475,959

		Chemicals – 0.5%
	805,000	Hercules, Inc., 6.500%, 6/30/2029		724,500

		Construction Machinery – 0.5%
	115,000	United Rentals North America, Inc., 4.625%, 7/15/2023		117,875
	290,000	United Rentals North America, Inc., 5.750%, 11/15/2024		300,875
	255,000	United Rentals North America, Inc., 6.125%, 6/15/2023		267,431

				686,181

		Consumer Cyclical Services – 1.3%
	330,000	IHS Markit Ltd., 5.000%, 11/01/2022, 144A		349,173
	460,000	Interval Acquisition Corp., 5.625%, 4/15/2023		474,950
	285,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A		299,872
	645,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		685,635

				1,809,630

		Consumer Products – 0.2%
	225,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		232,313

		Diversified Manufacturing – 0.1%
	75,000	Entegris, Inc., 6.000%, 4/01/2022, 144A		77,625

		Electric – 1.8%
	300,000	AES Corp. (The), 5.500%, 4/15/2025		308,625
	220,000	AES Corp. (The), 6.000%, 5/15/2026		232,650
	315,000	Calpine Corp., 7.875%, 1/15/2023, 144A		332,719
	20,310	CE Generation LLC, 7.416%, 12/15/2018		18,990
	925,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,081,094
	155,000	NRG Energy, Inc., 6.250%, 7/15/2022		157,325
	35,000	NRG Energy, Inc., 6.625%, 3/15/2023		35,350

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Electric – continued
$	165,000	NRG Energy, Inc., 7.250%, 5/15/2026, 144A	$	167,887
	67,000	NRG Energy, Inc., 7.875%, 5/15/2021		70,015

				2,404,655

		Environmental – 0.3%
	195,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		205,725
	175,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		191,625

				397,350

		Finance Companies – 6.2%
	150,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 3.750%, 5/15/2019		153,187
	570,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021		596,362
	220,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.625%, 10/30/2020		231,000
	375,000	Aircastle Ltd., 5.125%, 3/15/2021		400,781
	410,000	Aircastle Ltd., 5.500%, 2/15/2022		441,775
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		34,163
	220,000	International Lease Finance Corp., 5.875%, 8/15/2022		243,925
	45,000	International Lease Finance Corp., 6.250%, 5/15/2019		48,769
	70,000	International Lease Finance Corp., 8.250%, 12/15/2020		83,125
	255,000	International Lease Finance Corp., 8.625%, 1/15/2022		313,650
	135,000	iStar, Inc., 4.000%, 11/01/2017		135,337
	195,000	iStar, Inc., 4.875%, 7/01/2018		195,975
	585,000	iStar, Inc., 5.000%, 7/01/2019		583,467
	75,000	iStar, Inc., 5.850%, 3/15/2017		75,896
	245,000	iStar, Inc., 6.500%, 7/01/2021		248,675
	55,000	iStar, Inc., 7.125%, 2/15/2018		57,338
	865,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		821,750
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		211,575
	30,000	Navient Corp., MTN, 6.125%, 3/25/2024		27,938
	65,000	Navient LLC, 4.875%, 6/17/2019		64,756
	185,000	Navient LLC, 5.500%, 1/25/2023		169,737
	835,000	Navient LLC, MTN, 5.500%, 1/15/2019		847,525
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		146,269
	870,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		863,475
	395,000	Springleaf Finance Corp., 5.250%, 12/15/2019		403,394
	280,000	Springleaf Finance Corp., 7.750%, 10/01/2021		293,650
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		115,500
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		207,000
	102,000	Stearns Holdings LLC, 9.375%, 8/15/2020, 144A		98,940
	320,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		318,800

				8,433,734

		Financial Other – 1.2%
	450,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		452,250
	860,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		825,600
	388,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		393,820

				1,671,670

		Food & Beverage – 1.0%
	730,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		761,937
	195,000	JBS USA LLC/JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		191,588
	20,000	JBS USA LLC/JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		20,675
	120,000	TreeHouse Foods, Inc., 4.875%, 3/15/2022		124,200
	265,000	WhiteWave Foods Co. (The), 5.375%, 10/01/2022		301,106

				1,399,506

		Gaming – 0.9%
	150,000	Boyd Gaming Corp., 6.375%, 4/01/2026, 144A		160,875
	80,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		86,000
	925,000	MGM Resorts International, 6.000%, 3/15/2023		1,003,625

				1,250,500

		Government Owned – No Guarantee – 1.4%
	675,000	Petrobras Global Finance BV, 4.875%, 3/17/2020		676,687
	610,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		603,290
	260,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		252,850
	340,000	Petrobras Global Finance BV, 8.375%, 5/23/2021		371,450

				1,904,277

		Healthcare – 4.3%
	135,000	Amsurg Corp., 5.625%, 7/15/2022		138,038
	750,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		645,000
	300,000	HCA Holdings, Inc., 6.250%, 2/15/2021		325,500
	125,000	HCA, Inc., 4.500%, 2/15/2027		125,781
	655,000	HCA, Inc., 5.375%, 2/01/2025		676,287
	430,000	HCA, Inc., 7.050%, 12/01/2027		457,413
	35,000	HCA, Inc., 7.500%, 12/15/2023		38,806
	790,000	HCA, Inc., 7.500%, 11/06/2033		856,162
	40,000	HCA, Inc., 7.690%, 6/15/2025		44,956
	40,000	HCA, Inc., 8.360%, 4/15/2024		46,443
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		231,138
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		21,675
	135,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		143,269
	70,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		71,225
	190,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		190,000
	140,000	LifePoint Health, Inc., 5.500%, 12/01/2021		145,950
	50,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		52,563

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – continued
$	180,000	Team Health, Inc., 7.250%, 12/15/2023, 144A	$	193,725
	490,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		455,700
	1,145,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		941,762

				5,801,393

		Home Construction – 1.6%
	20,000	Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A		21,100
	200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(d)(e)		2
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(e)(f)		182,000
	385,000	Lennar Corp., 4.750%, 11/15/2022		397,513
	720,000	PulteGroup, Inc., 6.000%, 2/15/2035		727,200
	495,000	PulteGroup, Inc., 6.375%, 5/15/2033		515,625
	380,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		390,925
	200,000	Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(c)(d)(e)		2

				2,234,367

		Independent Energy – 8.1%
	1,035,000	Antero Resources Corp., 5.125%, 12/01/2022		1,042,762
	75,000	Antero Resources Corp., 5.375%, 11/01/2021		75,844
	595,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		484,925
	220,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		100,100
	500,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		227,500
	68,000	California Resources Corp., 5.500%, 9/15/2021		36,040
	33,000	California Resources Corp., 6.000%, 11/15/2024		15,758
	110,000	Callon Petroleum Co., 6.125%, 10/01/2024, 144A		113,850
	103,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		86,778
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		6,800
	12,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		11,010
	21,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		19,766
	110,000	Concho Resources, Inc., 5.500%, 10/01/2022		114,125
	300,000	Concho Resources, Inc., 5.500%, 4/01/2023		309,375
	600,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		552,000
	310,000	Continental Resources, Inc., 3.800%, 6/01/2024		283,650
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		76,800
	630,000	Continental Resources, Inc., 5.000%, 9/15/2022		628,425

		Independent Energy – continued
	445,000	Eclipse Resources Corp., 8.875%, 7/15/2023		433,597
	100,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		100,500
	85,000	Matador Resources Co., 6.875%, 4/15/2023		87,975
	250,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		197,812
	280,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		228,550
	465,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		367,350
	135,000	Newfield Exploration Co., 5.625%, 7/01/2024		138,375
	834,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		798,555
	75,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		77,625
	580,000	QEP Resources, Inc., 5.250%, 5/01/2023		571,300
	220,000	QEP Resources, Inc., 5.375%, 10/01/2022		218,350
	5,000	QEP Resources, Inc., 6.875%, 3/01/2021		5,213
	380,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		207,100
	660,000	Rice Energy, Inc., 6.250%, 5/01/2022		681,450
	370,000	RSP Permian, Inc., 6.625%, 10/01/2022		387,575
	200,000	Sanchez Energy Corp., 6.125%, 1/15/2023		160,500
	280,000	SM Energy Co., 5.000%, 1/15/2024		263,200
	230,000	SM Energy Co., 5.625%, 6/01/2025		216,200
	170,000	SM Energy Co., 6.125%, 11/15/2022		170,000
	135,000	SM Energy Co., 6.500%, 11/15/2021		138,037
	15,000	SM Energy Co., 6.500%, 1/01/2023		15,150
	100,000	SM Energy Co., 6.750%, 9/15/2026		101,000
	250,000	Southwestern Energy Co., 6.700%, 1/23/2025		250,000
	270,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		261,225
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		705,925

				10,968,072

		Industrial Other – 0.1%
	130,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		138,450

		Life Insurance – 0.3%
	430,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		426,775

		Lodging – 0.4%
	115,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		117,300
	400,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 5.625%, 10/15/2021		412,000

				529,300

		Media Entertainment – 1.6%
	660,000	AMC Networks, Inc., 4.750%, 12/15/2022		668,250
	830,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		822,737
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		85,638
	540,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		562,275
	45,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		46,800

				2,185,700

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – 3.3%
$	405,000	Alcoa, Inc., 5.125%, 10/01/2024	$	430,819
	235,000	Alcoa, Inc., 5.900%, 2/01/2027		251,450
	50,000	Alcoa, Inc., 6.750%, 1/15/2028		54,625
	390,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A		386,100
	395,000	Anglo American Capital PLC, 4.875%, 5/14/2025, 144A		402,900
	150,000	ArcelorMittal, 7.750%, 3/01/2041		156,375
	930,000	ArcelorMittal, 8.000%, 10/15/2039		1,004,400
	160,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(d)(e)(f)		21,600
	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		156,625
	355,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		314,175
	870,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		788,437
	75,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		60,187
	165,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		159,384
	340,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		361,250

				4,548,327

		Midstream – 5.2%
	365,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		368,910
	120,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		122,700
	55,000	Kinder Morgan Energy Partners LP, 3.450%, 2/15/2023		54,827
	80,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		80,125
	35,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		32,286
	150,000	MPLX LP, 4.500%, 7/15/2023		152,914
	430,000	MPLX LP, 4.875%, 12/01/2024		444,760
	340,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		321,300
	375,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		355,312
	195,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		196,313
	175,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020		190,004
	130,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		143,348
	160,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		147,200
	175,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 11/15/2023		159,250
	825,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		871,406
	160,000	Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023		170,800
	335,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		360,125
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		213,038

		Midstream – continued
	985,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		998,790
	50,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		48,313
	670,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		678,375
	105,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		108,675
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,488
	80,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		85,200
	525,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		560,437
	135,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		138,375

				7,018,271

		Non-Agency Commercial Mortgage-Backed Securities – 1.4%
	590,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.717%, 5/15/2020, 144A(b)(e)(f)		573,514
	650,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(b)		625,643
	385,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)		385,594
	250,000	Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.902%, 4/12/2049(b)		250,792

				1,835,543

		Oil Field Services – 0.5%
	60,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		41,636
	370,000	Ensco PLC, 5.750%, 10/01/2044		225,953
	20,000	Global Marine, Inc., 7.000%, 6/01/2028		14,000
	90,000	Noble Holding International Ltd., 5.250%, 3/15/2042		50,850
	185,000	Noble Holding International Ltd., 6.050%, 3/01/2041		109,150
	155,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(d)		43,013
	310,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(d)		86,025
	15,000	Parker Drilling Co., 6.750%, 7/15/2022		11,625
	85,000	Rowan Cos., Inc., 5.850%, 1/15/2044		58,438

				640,690

		Packaging – 1.3%
	330,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(h)		328,350
	345,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		346,725

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Packaging – continued
$	350,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A	$	372,750
	325,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		338,812
	360,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		364,500

				1,751,137

		Pharmaceuticals – 2.3%
	200,000	Grifols Worldwide Operations Ltd., 5.250%, 4/01/2022		207,000
	1,065,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		998,437
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		347,812
	95,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		81,225
	115,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		102,638
	1,390,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,198,875
	15,000	Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A		15,075
	220,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		203,500

				3,154,562

		Property & Casualty Insurance – 0.4%
	555,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		566,100

		Refining – 0.3%
	335,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		332,487
	115,000	Western Refining, Inc., 6.250%, 4/01/2021		113,563

				446,050

		REITs – Hotels – 0.3%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023		395,588

		Retailers – 1.4%
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		549,571
	75,000	Dillard’s, Inc., 7.875%, 1/01/2023		90,094
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		330,400
	160,000	GameStop Corp., 5.500%, 10/01/2019, 144A		163,400
	125,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		125,390
	535,000	Group 1 Automotive, Inc., 5.250%, 12/15/2023, 144A		537,006
	40,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		41,400
	225,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		29,250

				1,866,511


		Supermarkets – 1.3%
	730,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		728,175
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		411,888
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,900
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		10,150
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		565,800

				1,720,913

		Technology – 8.1%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		113,713
	2,305,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,549,906
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		316,100
	251,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		247,235
	135,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		139,219
	70,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		74,638
	140,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		144,900
	165,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A		175,308
	1,265,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		1,386,823
	475,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A		522,428
	150,000	Equinix, Inc., 5.375%, 1/01/2022		158,625
	140,000	Equinix, Inc., 5.375%, 4/01/2023		146,825
	695,000	First Data Corp., 7.000%, 12/01/2023, 144A		734,962
	330,000	IMS Health, Inc., 5.000%, 10/15/2026, 144A		343,200
	320,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		307,200
	175,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		199,500
	190,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		201,144
	675,000	NXP BV/NXP Funding LLC, 4.625%, 6/15/2022, 144A		729,000
	655,000	Open Text Corp., 5.625%, 1/15/2023, 144A		668,100
	20,000	Open Text Corp., 5.875%, 6/01/2026, 144A		20,925
	575,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		585,062
	235,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		241,462
	205,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		225,500
	660,000	Western Digital Corp., 10.500%, 4/01/2024, 144A		765,600

				10,997,375

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Transportation Services – 0.3%
$	185,000	APL Ltd., 8.000%, 1/15/2024(e)(f)	$	122,100
	5,521	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(c)		5,617
	105,279	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(i)		107,648
	115,000	Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A		115,359

				350,724

		Wireless – 3.4%
	220,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		225,500
	970,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		1,035,475
	690,000	SFR Group S.A., 6.000%, 5/15/2022, 144A		703,800
	496,000	Sprint Capital Corp., 6.875%, 11/15/2028		465,620
	1,205,000	Sprint Corp., 7.250%, 9/15/2021		1,209,519
	585,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		621,562
	395,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		397,963

				4,659,439

		Wirelines – 2.9%
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		21,150
	245,000	CenturyLink, Inc., 6.450%, 6/15/2021		262,456
	25,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		26,000
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		209,275
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		13,200
	235,000	Frontier Communications Corp., 7.450%, 7/01/2035		188,588
	480,000	Frontier Communications Corp., 10.500%, 9/15/2022		508,800
	640,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		668,800
	95,000	Level 3 Financing, Inc., 5.125%, 5/01/2023		97,850
	645,000	Level 3 Financing, Inc., 5.250%, 3/15/2026, 144A		665,962
	110,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		114,950
	35,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		36,488
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		453,600
	5,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,951
	320,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		340,800
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		317,550

				3,930,420


		Total Non-Convertible Bonds
		(Identified Cost $115,529,927)		119,205,388


	Convertible Bonds – 3.2%

		Building Materials – 0.1%
	80,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		74,100

		Diversified Operations – 0.4%
	485,000	RWT Holdings, Inc., 5.625%, 11/15/2019		491,062

		Healthcare – 0.3%
	400,000	Brookdale Senior Living, Inc., 2.750%, 6/15/2018		397,250

		Leisure – 0.4%
	590,000	Rovi Corp., 0.500%, 3/01/2020		587,953

		Media Entertainment – 0.2%
	205,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		212,816

		Metals & Mining – 0.0%
	40,000	RTI International Metals, Inc., 1.625%, 10/15/2019		42,650

		Midstream – 0.1%
	170,000	Whiting Petroleum Corp., Series 2, 1.250%, 6/05/2020		163,200

		Pharmaceuticals – 0.8%
	481,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		599,747
	600,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		558,375

				1,158,122

		Technology – 0.9%
	20,000	Advanced Micro Devices, Inc., 2.125%, 9/01/2026		21,750
	220,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A		248,737
	145,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		128,869
	695,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		604,650
	165,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		164,175

				1,168,181

		Total Convertible Bonds
		(Identified Cost $4,144,072)		4,295,334


		Total Bonds and Notes
		(Identified Cost $119,673,999)		123,500,722


	Senior Loans – 0.4%

		Chemicals – 0.1%
	153,036	Chemours Co. (The), Term Loan B, 3.750%, 5/12/2022(b)		151,410

		Independent Energy – 0.3%
	407,467	Chesapeake Energy Corp., Term Loan, 8/23/2021(j)		427,458


		Total Senior Loans
		(Identified Cost $559,887)		578,868

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – 2.2%

		Food & Beverage – 0.2%
	3,002	Bunge Ltd., 4.875%	$	285,512

		Midstream – 0.3%
	641	Chesapeake Energy Corp., 5.750%(k)		338,929
	13	Chesapeake Energy Corp., 5.750%, 144A(k)		6,874
	90	Chesapeake Energy Corp., 5.750%(k)		46,856

				392,659

		Pharmaceuticals – 1.4%
	1,174	Allergan PLC, Series A, 5.500%		964,594
	1,131	Teva Pharmaceutical Industries Ltd., 7.000%		915,657

				1,880,251

		Technology – 0.3%
	3,780	Belden, Inc., 6.750%		379,625


		Total Preferred Stocks
		(Identified Cost $3,313,335)		2,938,047


	Common Stocks – 0.3%

		Energy Equipment & Services – 0.0%
	2,515	Hercules Offshore, Inc.(k)		4,351

		Oil, Gas & Consumable Fuels – 0.1%
	8,051	Halcon Resources Corp.(k)		75,519
	5,700	Rex Energy Corp.(k)		3,328
	7,845	Whiting Petroleum Corp.(k)		68,565

				147,412

		Pharmaceuticals – 0.2%
	4,298	Bristol-Myers Squibb Co.		231,748


		Total Common Stocks
		(Identified Cost $1,133,319)		383,511


	Warrants – 0.0%
	2,186	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(c)(k)		3,336
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(e)(k)		—


		Total Warrants
		(Identified Cost $—)		3,336

Principal Amount		Description	Value (†)

	Short-Term Investments – 5.4%
$	7,290,248	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $7,290,266 on 10/03/2016 collateralized by $7,355,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $7,437,744 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $7,290,248)	$	7,290,248


		Total Investments – 99.3%
		(Identified Cost $131,970,788)(a)		134,694,732
		Other assets less liabilities—0.7%		1,010,956


		Net Assets – 100.0%	$	135,705,688


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $132,149,831 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	$	6,360,115
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,815,214	)

		Net unrealized appreciation	$	2,544,901

	(b)	Variable rate security. Rate as of September 30, 2016 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $116,605 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(e)	Illiquid security. (Unaudited)
	(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $899,214 or 0.7% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(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. For the period ended September 30, 2016, the issuer has not made any interest payments.
	(i)	Maturity has been extended under the terms of a plan of reorganization.
	(j)	Position is unsettled. Contract rate was not determined at September 30, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(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 September 30, 2016, the value of Rule 144A holdings amounted to $48,201,840 or 35.5% of net assets.
	ABS	Asset-Backed Securities
	MTN	Medium Term Note
	PIK	Payment-in-Kind
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Opportunities Fund – continued

Industry Summary at September 30, 2016


Technology	9.3	%
Independent Energy	8.4
Cable Satellite	7.7
Finance Companies	6.2
Midstream	5.6
Pharmaceuticals	4.7
Banking	4.6
Healthcare	4.6
Wireless	3.4
Metals & Mining	3.3
Wirelines	2.9
Aerospace & Defense	2.9
ABS Home Equity	2.1
Automotive	2.1
Airlines	2.1
Other Investments, less than 2% each	24.0
Short-Term Investments	5.4

Total Investments	99.3
Other assets less liabilities	0.7

Net Assets	100.0	%

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 121.1% 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	$	1,072,108
	3,700,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020(b)		3,754,745
	1,840,000	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021		1,862,442
	1,275,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		1,300,848
	1,440,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		1,477,596
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		645,362
	2,630,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A(b)		2,656,672
	300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/2021, 144A		303,054
	4,395,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/2021, 144A(b)		4,438,835
	2,430,000	California Republic Auto Receivables Trust, Series 2016-2, Class B, 2.520%, 5/16/2022		2,431,192
	25,923	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		25,923
	3,082,555	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A(b)		3,078,793
	1,835,000	CarNow Auto Receivables Trust, Series 2015-1A, Class C, 3.880%, 4/15/2020, 144A		1,845,086
	2,845,660	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		2,823,484
	109,349	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		109,396
	4,000,000	CPS Auto Receivables Trust, Series 2014-C, Class B, 2.670%, 8/17/2020, 144A(b)		4,044,616
	2,225,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		2,253,722
	1,610,000	CPS Auto Receivables Trust, Series 2015-B, Class C, 4.200%, 5/17/2021, 144A		1,627,068
	1,745,000	CPS Auto Receivables Trust, Series 2016-A, Class D, 5.000%, 12/15/2021, 144A		1,771,282
	450,000	Credit Acceptance Auto Loan Trust, Series 2014-1A, Class B, 2.290%, 4/15/2022, 144A		450,866

		ABS Car Loan – continued
$	3,240,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A(b)	$	3,246,242
	4,000,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A(b)		4,022,945
	6,770,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		6,883,454
	5,680,000	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A(b)		5,727,389
	1,900,000	Drive Auto Receivables Trust, Series 2015-DA, Class C, 3.380%, 11/15/2021, 144A		1,934,981
	2,010,000	Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.910%, 5/17/2021, 144A		2,060,388
	1,806,744	DT Auto Owner Trust, Series 2014-2A, Class C, 2.460%, 1/15/2020, 144A(b)		1,811,657
	1,240,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		1,262,905
	2,340,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		2,395,480
	5,040,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		5,037,047
	1,072,420	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		1,073,114
	784,648	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A(b)		783,637
	4,200,000	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A(b)		4,231,856
	2,000,000	First Investors Auto Owner Trust, Series 2014-1A, Class B, 2.260%, 1/15/2020, 144A		2,008,652
	1,915,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		1,938,234
	956,042	Flagship Credit Auto Trust, Series 2013-1, Class B, 2.760%, 9/17/2018, 144A		956,847
	5,530,000	Flagship Credit Auto Trust, Series 2014-2, Class B, 2.840%, 11/16/2020, 144A(b)		5,582,015
	1,535,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		1,563,004
	710,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		740,297
	1,390,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		1,417,022

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Car Loan – continued
$	3,900,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A(b)	$	3,987,283
	3,210,000	Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.270%, 7/25/2020, 144A(b)		3,212,909
	8,605,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A(b)		8,581,822
	4,415,000	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A(b)		4,421,808
	7,120,000	Santander Drive Auto Receivables Trust, Series 2014-5, Class C, 2.460%, 6/15/2020(b)		7,199,173
	1,940,000	Santander Drive Auto Receivables Trust, Series 2015-2, Class C, 2.440%, 4/15/2021		1,961,403
	1,820,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021		1,848,456
	1,515,000	Westlake Automobile Receivables Trust, Series 2016-1A, Class C, 3.290%, 9/15/2021, 144A		1,545,553
	2,795,000	Westlake Automobile Receivables Trust, Series 2016-2A, Class C, 2.830%, 5/17/2021, 144A		2,830,346

				128,239,009

		ABS Credit Card – 1.8%
	2,000,000	Barclays Dryrock Issuance Trust, Series 2015-1, Class A, 2.200%, 12/15/2022		2,045,259
	4,975,000	GE Capital Credit Card Master Note Trust, Series 2010-2, Class A, 4.470%, 3/15/2020(b)		5,054,725
	9,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(b)		9,589,673
	1,000,000	World Financial Network Credit Card Master Trust, Series 2012-C, Class M, 3.320%, 8/15/2022		1,029,210

				17,718,867

		ABS Home Equity – 3.4%
	1,956,028	Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1, 3.475%, 7/28/2031, 144A(c)		1,954,598
	2,848,031	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A(b)		2,883,121
	1,500,000	Colony American Homes, Series 2014-1A, Class B, 1.881%, 5/17/2031, 144A(c)		1,494,370
	131,288	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.633%, 7/25/2021(c)(d)		119,619
	130,668	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c)		132,574


Principal Amount		Description	Value (†)

		ABS Home Equity – continued
$	507,947	Countrywide Asset-Backed Certificates, Series 2006-S7, Class A3, 5.712%, 11/25/2035(c)(d)	$	496,456
	6,025,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.375%, 10/25/2027(b)(c)		6,128,913
	4,098,228	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 2.834%, 5/19/2034(b)(c)		4,055,555
	2,025,000	Home Partners of America Trust, Series 2016-1, Class D, 3.831%, 3/17/2033, 144A(c)		2,046,089
	1,239,115	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(c)		1,240,839
	743,271	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(c)		747,431
	154,966	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 2.690%, 7/25/2035(c)(d)		141,560
	1,417,000	Progress Residential Trust, Series 2015-SFR3, 4.673%, 11/12/2032, 144A		1,492,058
	105,373	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(d)		101,457
	461,128	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021(d)		424,157
	21,049	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(d)		19,905
	2,913,386	Sequoia Mortgage Trust, Series 2013-5, Class A1, 2.500%, 5/25/2043, 144A(b)(c)		2,910,144
	2,259,105	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)(c)		2,286,997
	2,336,920	Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250%, 8/25/2055, 144A(c)		2,335,859
	4,121,302	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 2.925%, 11/25/2036(c)		3,685,331

				34,697,033

		ABS Other – 4.4%
	1,182,657	CLI Funding V LLC, Series 2014-1A, Class A, 3.290%, 6/18/2029, 144A		1,151,954
	2,122,675	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		2,133,713
	986,022	Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A		986,728
	462,709	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		453,767

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Other – continued
$	408,781	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A	$	407,999
	9,265,000	OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(b)		9,457,491
	4,160,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A		4,365,752
	2,620,673	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		2,654,112
	4,359,096	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)		4,244,975
	240,503	Sierra Timeshare Receivables Funding LLC, Series 2011-3A, Class A, 3.370%, 7/20/2028, 144A		240,960
	469,948	Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A		470,944
	196,187	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		195,388
	3,045,000	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A		3,060,225
	1,158,006	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		1,159,486
	973,193	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		962,890
	1,620,542	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		1,593,892
	641,865	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		628,802
	3,977,167	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A(b)		3,876,168
	3,847,667	Textainer Marine Containers Ltd., Series 2014-1A, Class A, 3.270%, 10/20/2039, 144A(b)		3,744,389
	2,233,084	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 3.024%, 7/15/2041, 144A(c)		2,247,210
	635,000	Verizon Owner Trust, Series 2016-1A, Class A, 1.420%, 1/20/2021, 144A		636,461

				44,673,306

		ABS Student Loan – 2.4%
	2,570,636	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.596%, 7/01/2024(b)(c)		2,567,965
	136,274	SoFi Professional Loan Program LLC, Series 2014-A, Class A2, 3.020%, 10/25/2027, 144A		139,337

		ABS Student Loan – continued
	657,562	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.775%, 8/25/2032, 144A(c)		663,884
	8,085,000	SoFi Professional Loan Program LLC, Series 2015-C, Class B, 3.580%, 8/25/2036, 144A(b)		8,178,915
	3,220,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A(b)		3,301,291
	9,251,805	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.715%, 7/25/2025(b)(c)		9,290,477

				24,141,869

		Agency Commercial Mortgage-Backed Securities – 5.5%
	1,663,036	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.397%, 11/25/2022(c)		1,668,113
	411,703,573	FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, 0.471%, 2/25/2023(b)(c)(e)		7,348,373
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)(c)		6,685,703
	87,027,018	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.368%, 4/25/2023(b)(c)(e)		1,204,872
	34,979,104	FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, 0.918%, 10/25/2023(c)(e)		1,564,024
	12,230,097	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, 1.189%, 3/25/2024(c)(e)		875,557
	39,823,955	FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, 0.874%, 9/25/2024(c)(e)		1,942,441
	45,961,085	FHLMC Multifamily Structured Pass Through Certificates, Series K046, Class X1, 0.501%, 3/25/2025(c)(e)		1,283,436
	75,036,905	FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, 0.287%, 5/25/2025(c)(e)		1,012,473
	37,633,708	FHLMC Multifamily Structured Pass Through Certificates, Series K049, Class X1, 0.741%, 7/25/2025(c)(e)		1,667,407
	21,780,335	FHLMC Multifamily Structured Pass Through Certificates, Series K050, Class X1, 0.462%, 8/25/2025(c)(e)		570,342

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	23,812,440	FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, 0.688%, 9/25/2025(c)(e)	$	983,516
	17,813,118	FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, 0.811%, 11/25/2025(c)(e)		879,674
	9,793,535	FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, 0.894%, 12/25/2025(c)(e)		664,656
	17,138,477	FHLMC Multifamily Structured Pass Through Certificates, Series K054, Class X1, 1.319%, 1/25/2026(c)(e)		1,531,753
	7,737,228	FHLMC Multifamily Structured Pass Through Certificates, Series K055, Class X1, 1.503%, 3/25/2026(c)(e)		804,629
	8,735,000	FHLMC Multifamily Structured Pass Through Certificates, Series K057, Class X1, 1.194%, 7/25/2026(c)(e)		806,343
	15,802,521	FHLMC Multifamily Structured Pass Through Certificates, Series K152, Class X1, 1.097%, 1/25/2031(c)(e)		1,495,805
	3,630,989	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.571%, 1/25/2023(c)(e)		217,622
	52,794,045	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, 0.437%, 8/25/2025(c)(e)		927,924
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(b)(c)		5,059,643
	2,000,000	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(c)		2,311,948
	14,422,477	Government National Mortgage Association, Series 2014-101, Class IO, 0.898%, 4/16/2056(c)(e)		900,998
	21,777,736	Government National Mortgage Association, Series 2014-86, Class IO, 0.867%, 4/16/2056(c)(e)		1,246,529
	73,672,734	Government National Mortgage Association, Series 2015-146, Class IB, 0.869%, 7/16/2055(b)(c)(e)		4,545,991
	17,949,703	Government National Mortgage Association, Series 2015-171, Class IO, 0.894%, 11/16/2055(c)(e)		1,249,321


Principal Amount		Description	Value (†)

		Agency Commercial Mortgage-Backed Securities – continued
$	27,669,384	Government National Mortgage Association, Series 2015-189, Class IG, 0.934%, 1/16/2057(c)(e)	$	1,943,760
	14,069,459	Government National Mortgage Association, Series 2015-68, Class IO, 0.827%, 7/16/2057(c)(e)		918,472
	48,469,390	Government National Mortgage Association, Series 2015-70, Class IO, 1.118%, 12/16/2049(b)(c)(e)		3,444,579

				55,755,904

		Collateralized Mortgage Obligations – 22.0%
	159,139	Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(c)(d)		179,412
	123,754	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(b)(d)		138,580
	1,407,392	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 13.689%, 6/15/2023(c)		1,712,538
	524,753	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class MH, 5.000%, 7/15/2033		558,795
	240,935	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(b)(d)(e)		61,611
	284,410	Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 8.290%, 11/15/2033(c)(d)		301,510
	4,566,024	Federal Home Loan Mortgage Corp., REMIC, Series 2882, Class TF, 0.774%, 10/15/2034(b)(c)		4,577,148
	7,444,567	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(b)		8,518,237
	4,271,444	Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, 17.121%, 5/15/2035(b)(c)		6,135,882
	9,508,369	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 6.676%, 5/15/2036(b)(c)(e)		2,305,619
	2,696,138	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, 5.726%, 2/15/2038(c)(d)(e)		496,908
	1,982,472	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, 14.753%, 2/15/2038(b)(c)		2,619,449
	1,906,290	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.287%, 6/15/2048(b)(c)		1,876,828
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037(d)		511,300
	2,115,227	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.265%, 12/15/2036(b)(c)		2,226,958
	1,776,604	Federal Home Loan Mortgage Corp., REMIC, Series 3752, Class KF, 1.024%, 12/15/2037(c)		1,785,263

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	2,122,160	Federal Home Loan Mortgage Corp., REMIC, Series 3785, Class LS, 8.851%, 1/15/2041(b)(c)	$	2,585,468
	473,442	Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 8.154%, 2/15/2041(c)		508,007
	2,613,860	Federal Home Loan Mortgage Corp., REMIC, Series 3828, Class EF, 0.924%, 5/15/2037(b)(c)		2,623,211
	1,800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, 21.379%, 8/15/2040(b)(c)		3,816,218
	6,692,139	Federal Home Loan Mortgage Corp., REMIC, Series 4097, 5.626%, 8/15/2032(c)		937,804
	1,959,097	Federal Home Loan Mortgage Corp., REMIC, Series 4238, Class FD, 0.824%, 2/15/2042(c)		1,955,752
	21,355,649	Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, 1.838%, 6/15/2039(c)(e)		1,311,696
	800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4395, Class PE, 2.500%, 4/15/2037		765,474
	460,133	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class NT, 6.500%, 8/15/2043(c)		502,525
	546,865	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class TN, 5.000%, 8/15/2043(c)		591,581
	1,399,000	Federal Home Loan Mortgage Corp., REMIC, Series 4480, Class NB, 3.500%, 6/15/2045		1,536,562
	794,057	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(b)(d)(e)		139,709
	1,570,742	Federal Home Loan Mortgage Corp., Series 3792, Class DF, 0.924%, 11/15/2040(c)		1,569,228
	339,235	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 6.725%, 1/25/2024(c)(d)(e)		47,926
	86,880	Federal National Mortgage Association, REMIC, Series 2003-26, Class OI, 5.500%, 11/25/2032(b)(d)(e)		398
	1,679,506	Federal National Mortgage Association, REMIC, Series 2005-22, Class DG, 6.810%, 4/25/2035(c)		1,883,573
	3,496,587	Federal National Mortgage Association, REMIC, Series 2006-46, Class SK, 22.274%, 6/25/2036(b)(c)		5,821,377
	192,956	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 6.775%, 8/25/2036(c)(d)(e)		40,942

		Collateralized Mortgage Obligations – continued
	929,070	Federal National Mortgage Association, REMIC, Series 2008-15, Class AS, 30.374%, 8/25/2036(c)		1,832,110
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(b)		1,035,295
	2,635,924	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.496%, 8/25/2038(b)(c)		2,817,997
	651,770	Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, 4.627%, 11/25/2038(c)		701,922
	1,585,857	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 2.929%, 3/25/2039(b)(c)		1,636,818
	153,375	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024(d)		162,709
	493,984	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 4.364%, 12/25/2039(c)(d)		496,668
	5,034,460	Federal National Mortgage Association, REMIC, Series 2010-95, Class FB, 0.925%, 9/25/2040(b)(c)		5,042,209
	458,025	Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, 7.177%, 11/25/2040(c)		579,882
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 10.867%, 7/25/2043(c)		1,978,710
	939,818	Federal National Mortgage Association, REMIC, Series 2013-23, Class TS, 5.365%, 3/25/2043(c)		942,427
	770,590	Federal National Mortgage Association, REMIC, Series 2013-26, Class SJ, 4.832%, 4/25/2033(c)		770,576
	6,103,905	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 5.625%, 8/25/2042(b)(c)(e)		1,231,154
	239,465	Federal National Mortgage Association, REMIC, Series 2014-67, Class PT, 6.000%, 10/25/2044(c)		235,432
	2,114,135	Federal National Mortgage Association, REMIC, Series 2015-1, Class SN, 6.000%, 7/25/2043(b)(c)		2,218,302

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	687,206	Federal National Mortgage Association, REMIC, Series 2015-55, Class KT, 5.500%, 5/25/2041(c)	$	760,723
	3,002,994	Federal National Mortgage Association, REMIC, Series 2016-26, Class KL, 4.500%, 11/25/2042(b)(c)		3,110,969
	2,380,113	Federal National Mortgage Association, REMIC, Series 2016-32, Class TG, 4.500%, 1/25/2043(b)(c)		2,437,816
	1,024,854	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(b)(d)(e)		213,295
	220,337	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(b)(c)(d)(e)		47,133
	1,121,378	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(b)(d)(e)		261,596
	210,117	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(b)(d)(e)		39,928
	2,337,303	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(b)(d)(e)		481,735
	960,157	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(b)(d)(e)		194,917
	589,594	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(b)(d)(e)		120,634
	1,208,711	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(b)(d)(e)		247,066
	561,038	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(b)(d)(e)		119,634
	685,555	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(b)(d)(e)		156,990
	814,002	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(b)(d)(e)		188,089
	766,940	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(b)(d)(e)		140,909
	359,676	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(b)(c)(d)(e)		57,050
	526,002	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(b)(d)(e)		108,513
	338,338	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(b)(c)(d)(e)		70,050

		Collateralized Mortgage Obligations – continued
	93,480	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(b)(d)(e)		17,079
	2,803,410	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(b)(c)(d)(e)		487,745
	923,008	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(b)(d)(e)		182,021
	865,267	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(b)(c)(d)(e)		188,107
	811,464	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(b)(c)(d)(e)		104,138
	462,397	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(b)(d)(e)		88,818
	75,519	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(d)(e)		14,017
	10,959,066	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class X1, 1.522%, 12/25/2021(c)(e)		641,593
	5,116,182	Government National Mortgage Association, Series 2006-46, Class IO, 0.438%, 4/16/2046(c)(d)(e)		78,765
	5,225,191	Government National Mortgage Association, Series 2006-51, Class IO, 0.617%, 8/16/2046(b)(c)(d)(e)		175,907
	12,753,846	Government National Mortgage Association, Series 2009-114, Class IO, 0.015%, 10/16/2049(c)(d)(e)		135,555
	244,859	Government National Mortgage Association, Series 2009-65, Class NZ, 5.500%, 8/20/2039(d)		308,228
	11,497,135	Government National Mortgage Association, Series 2010-124, Class X, 0.373%, 12/16/2052(b)(c)(d)(e)		221,338
	405,167	Government National Mortgage Association, Series 2010-49, Class IA, 1.510%, 10/16/2052(c)(d)(e)		25,483
	773,401	Government National Mortgage Association, Series 2010-H20, Class AF, 0.824%, 10/20/2060(c)		766,626
	13,415,942	Government National Mortgage Association, Series 2011-119, Class IO, 0.835%, 8/16/2051(c)(e)		480,534
	43,416,508	Government National Mortgage Association, Series 2011-121, Class IO, 0.876%, 6/16/2043(b)(c)(e)		1,076,386
	27,715,310	Government National Mortgage Association, Series 2011-161, Class IO, 0.881%, 4/16/2045(c)(e)		931,160

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	11,470,495	Government National Mortgage Association, Series 2011-38, Class IO, 0.100%, 4/16/2053(b)(c)(d)(e)	$	242,630
	3,655,827	Government National Mortgage Association, Series 2011-53, Class IO, 0.434%, 5/16/2051(b)(c)(d)(e)		111,097
	1,377,164	Government National Mortgage Association, Series 2011-H01, Class AF, 0.944%, 11/20/2060(c)		1,371,200
	658,667	Government National Mortgage Association, Series 2011-H21, Class FT, 1.230%, 10/20/2061(c)		659,143
	17,000,000	Government National Mortgage Association, Series 2012-100, Class IC, 1.387%, 9/16/2050(c)(e)		1,329,487
	12,925,139	Government National Mortgage Association, Series 2012-111, Class IC, 1.287%, 9/16/2050(c)(d)(e)		959,365
	63,957,653	Government National Mortgage Association, Series 2012-142, Class IO, 1.078%, 4/16/2054(b)(c)(e)		3,260,069
	22,554,239	Government National Mortgage Association, Series 2012-23, Class IO, 1.090%, 6/16/2053(b)(c)(d)(e)		881,436
	40,852,812	Government National Mortgage Association, Series 2012-55, Class IO, 0.945%, 4/16/2052(b)(c)(e)		1,435,985
	23,820,144	Government National Mortgage Association, Series 2012-70, Class IO, 0.588%, 8/16/2052(b)(c)(d)(e)		758,472
	20,883,081	Government National Mortgage Association, Series 2012-79, Class IO, 0.857%, 3/16/2053(c)(e)		1,070,863
	8,554,612	Government National Mortgage Association, Series 2012-H08, Class FA, 1.094%, 1/20/2062(b)(c)		8,565,330
	2,498,701	Government National Mortgage Association, Series 2012-H20, Class BA, 1.054%, 9/20/2062(b)(c)		2,498,287
	349,572	Government National Mortgage Association, Series 2012-H24, Class FE, 1.094%, 10/20/2062(c)		348,262
	4,806,463	Government National Mortgage Association, Series 2012-H26, Class BA, 0.844%, 10/20/2062(b)(c)		4,765,091
	2,999,984	Government National Mortgage Association, Series 2012-H30, Class GA, 0.844%, 12/20/2062(b)(c)		2,974,801
	6,042,597	Government National Mortgage Association, Series 2013-175, Class IO, 0.808%, 5/16/2055(c)(d)(e)		266,049

		Collateralized Mortgage Obligations – continued
	24,634,074	Government National Mortgage Association, Series 2013-H16, Class AI, 1.606%, 7/20/2063(c)(e)		1,678,196
	16,511,383	Government National Mortgage Association, Series 2013-H18, Class EI, 1.693%, 7/20/2063(c)(e)		1,307,041
	2,897,987	Government National Mortgage Association, Series 2013-H18, Class JI, 1.370%, 8/20/2063(c)(d)(e)		160,527
	325,409	Government National Mortgage Association, Series 2013-H22, Class FT, 1.180%, 4/20/2063(c)		328,387
	45,241,808	Government National Mortgage Association, Series 2014-130, Class IB, 0.918%, 8/16/2054(b)(c)(e)		2,611,240
	357,939	Government National Mortgage Association, Series 2014-160, Class ST, 6.500%, 10/20/2044(c)		354,468
	44,241,849	Government National Mortgage Association, Series 2014-24, Class IX, 0.812%, 1/16/2054(b)(c)(e)		2,178,610
	39,665,964	Government National Mortgage Association, Series 2014-70, Class IO, 1.171%, 3/16/2049(b)(c)(e)		2,361,390
	15,626,803	Government National Mortgage Association, Series 2014-H03, Class FS, 1.144%, 2/20/2064(b)(c)		15,646,763
	4,673,648	Government National Mortgage Association, Series 2014-H05, Class FB, 1.094%, 12/20/2063(b)(c)		4,680,629
	3,843,584	Government National Mortgage Association, Series 2014-H06, Class FA, 1.064%, 3/20/2064(b)(c)		3,844,397
	7,929,096	Government National Mortgage Association, Series 2014-H12, Class HZ, 4.605%, 6/20/2064(b)(c)		9,276,040
	3,582,360	Government National Mortgage Association, Series 2014-H14, Class FA, 0.994%, 7/20/2064(b)(c)		3,561,624
	2,649,679	Government National Mortgage Association, Series 2014-H15, Class FA, 0.994%, 7/20/2064(b)(c)		2,632,596
	284,133	Government National Mortgage Association, Series 2015-180, Class HT, 5.000%, 8/20/2045(c)(d)		280,134
	2,530,227	Government National Mortgage Association, Series 2015-39, Class SN, 3.620%, 3/20/2045(b)(c)		2,627,727

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	89,398	Government National Mortgage Association, Series 2015-63, Class TB, 5.000%, 5/20/2045(c)(d)	$	87,997
	6,556,571	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(b)		6,562,471
	2,166,815	Government National Mortgage Association, Series 2015-H29, Class FA, 1.194%, 10/20/2065(c)		2,167,789
	103,893	Government National Mortgage Association, Series 2015-H29, Class HZ, 4.592%, 9/20/2065(c)(d)		125,164
	1,595,700	Government National Mortgage Association, Series 2015-H30, Class FA, 1.174%, 8/20/2061(c)		1,594,782
	1,770,000	Government National Mortgage Association, Series 2016-17, Class GT, 5.000%, 8/20/2045(c)		1,885,027
	54,010	Government National Mortgage Association, Series 2016-9, Class SB, 8.521%, 10/20/2045(c)(d)		53,300
	4,758,974	Government National Mortgage Association, Series 2016-H06, Class FC, 1.414%, 2/20/2066(b)(c)		4,793,448
	29,822,752	Government National Mortgage Association, Series 2016-H09, Class JI, 2.286%, 4/20/2066(b)(c)(e)		3,718,539
	5,875,659	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.123%, 4/20/2066(b)(c)		5,873,562
	3,046,377	Government National Mortgage Association, Series 2016-H13, Class FT, 1.112%, 5/20/2066(b)(c)		3,047,541
	505,721	Government National Mortgage Association, Series 2016-H14, Class JZ, 4.559%, 8/20/2063(c)(d)		558,851
	2,880,000	Government National Mortgage Association, Series 2016-H19, Class FC, 1.021%, 8/20/2066(c)		2,864,823
	5,000,000	Government National Mortgage Association, Series 2016-H19, Class FE, 0.894%, 6/20/2061(c)		4,984,813
	3,000,000	Government National Mortgage Association, Series 2016-H19, Class FJ, 0.924%, 9/20/2063(c)		2,985,020

				223,336,710

		Hybrid ARMs – 1.6%
	105,554	FHLMC, 2.691%, 1/01/2035(b)(c)		111,678
	251,715	FHLMC, 2.723%, 1/01/2036(b)(c)		266,846
	2,133,476	FHLMC, 2.730%, 6/01/2035(b)(c)		2,248,635
	1,917,760	FHLMC, 3.070%, 2/01/2037(b)(c)		2,048,626
	643,064	FNMA, 2.423%, 2/01/2037(b)(c)		668,771
	961,516	FNMA, 2.660%, 9/01/2034(b)(c)		1,011,214
	237,765	FNMA, 2.670%, 10/01/2035(b)(c)		244,488
	2,615,228	FNMA, 2.706%, 6/01/2034(b)(c)		2,758,908
	2,057,238	FNMA, 2.799%, 8/01/2038(b)(c)		2,179,045
	4,256,282	FNMA, 2.938%, 9/01/2037(b)(c)		4,496,418
	421,487	FNMA, 3.002%, 9/01/2036(b)(c)		446,409

				16,481,038

		Mortgage Related – 47.3%
	2,105,751	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS, 16.249%, 2/15/2038(b)(c)		3,048,417
	4,371,026	FHLMC, 3.500%, with various maturities from 2042 to 2046(b)(f)		4,614,671
	877,208	FHLMC, 4.000%, 9/01/2045		940,864
	78,767	FHLMC, 5.000%, 9/01/2035		87,444
	4,207,432	FNMA, 4.000%, with various maturities from 2041 to 2052(f)		4,530,588
	1,866,001	FNMA, 4.500%, 5/01/2045		2,044,041
	593,345	FNMA, 5.500%, 8/01/2034(b)		684,344
	7,075	FNMA, 6.000%, 10/01/2034		8,192
	28,000,000	FNMA (TBA), 2.500%, 11/01/2031(g)		28,949,720
	17,200,000	FNMA (TBA), 3.000%, 11/01/2046(g)		17,835,807
	74,545,000	FNMA (TBA), 3.500%, 11/01/2046(g)		78,564,894
	121,695,000	FNMA (TBA), 4.000%, 11/01/2046(g)		130,546,413
	745,316	GNMA, 0.978%, 8/20/2063(c)		745,164
	468,237	GNMA, 2.184%, 7/20/2060(c)		488,195
	350,909	GNMA, 2.206%, 9/20/2060(c)		366,705
	2,004,537	GNMA, 2.208%, 2/20/2061(c)		2,090,080
	2,795,673	GNMA, 2.470%, 2/20/2063(b)(c)		2,943,741
	1,268,041	GNMA, 2.818%, 6/20/2065(c)		1,363,206
	1,765,109	GNMA, 4.430%, 5/20/2063		1,911,953
	3,892,519	GNMA, 4.432%, 2/20/2063(b)		4,174,010
	2,111,698	GNMA, 4.482%, 4/20/2063		2,272,831
	1,659,199	GNMA, 4.485%, 2/20/2062		1,751,196
	2,096,892	GNMA, 4.489%, 4/20/2063		2,269,052
	951,768	GNMA, 4.504%, 7/20/2062		1,012,358
	1,214,150	GNMA, 4.516%, 1/20/2063		1,299,750
	1,775,746	GNMA, 4.517%, 1/20/2062		1,872,021
	3,138,340	GNMA, 4.531%, 12/20/2061(b)		3,307,960
	4,570,022	GNMA, 4.534%, 6/20/2064(b)		5,099,894
	1,255,734	GNMA, 4.535%, with various maturities from 2063 to 2064(f)		1,343,843
	1,140,847	GNMA, 4.548%, 6/20/2062		1,203,655
	1,418,699	GNMA, 4.550%, 12/20/2061		1,495,891
	883,829	GNMA, 4.551%, 9/20/2063		980,475
	439,668	GNMA, 4.556%, 10/20/2061		460,676
	3,908,432	GNMA, 4.557%, 12/20/2064(b)		4,374,637
	434,544	GNMA, 4.558%, 11/20/2061		455,040
	5,472,171	GNMA, 4.560%, with various maturities from 2063 to 2066(b)(f)		5,912,054
	6,312,344	GNMA, 4.568%, 7/20/2065(b)		7,129,037
	4,446,308	GNMA, 4.571%, 6/20/2063(b)		4,816,181

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	4,386,732	GNMA, 4.583%, 3/20/2062(b)	$	4,631,918
	933,090	GNMA, 4.610%, 7/20/2062		995,249
	1,183,109	GNMA, 4.614%, 6/20/2061		1,237,088
	903,588	GNMA, 4.623%, 10/20/2061		945,469
	942,231	GNMA, 4.626%, 6/20/2062		997,675
	622,118	GNMA, 4.634%, 3/20/2062		657,694
	1,654,297	GNMA, 4.648%, 8/20/2061		1,729,530
	858,675	GNMA, 4.651%, 11/20/2063		958,679
	996,582	GNMA, 4.658%, 3/20/2062		1,051,249
	14,162,552	GNMA, 4.667%, with various maturities from 2061 to 2062(b)(f)		14,939,615
	1,122,379	GNMA, 4.672%, 10/20/2064		1,265,159
	10,618,045	GNMA, 4.679%, 12/20/2061(b)		11,216,621
	1,283,114	GNMA, 4.683%, 8/20/2061		1,333,651
	1,842,426	GNMA, 4.687%, 5/20/2064		2,083,806
	619,832	GNMA, 4.688%, 1/20/2062		651,612
	6,016,898	GNMA, 4.700%, with various maturities in 2061(b)(f)		6,280,687
	599,018	GNMA, 4.708%, 11/20/2063		633,238
	3,160,822	GNMA, 4.714%, 7/20/2063(b)		3,336,157
	597,505	GNMA, 4.718%, 12/20/2063		669,946
	2,196,458	GNMA, 4.727%, 6/20/2061(b)		2,291,595
	1,144,046	GNMA, 4.755%, 8/20/2062		1,208,011
	782,296	GNMA, 4.797%, 5/20/2061		813,437
	3,752,630	GNMA, 4.807%, 5/20/2061(b)		3,894,430
	713,760	GNMA, 4.909%, 1/20/2062		762,575
	170,099	GNMA, 5.500%, with various maturities in 2059(f)		175,079
	722,095	GNMA, 6.551%, 5/20/2061		753,274
	15,500,000	GNMA, (TBA), 3.000%, 11/01/2046(g)		16,205,673
	15,600,000	GNMA (TBA), 3.500%, 11/01/2046(g)		16,550,625
	4,265,770	Government National Mortgage Association, Series 2012-H11, Class BA, 2.000%, 5/20/2062(b)		4,286,358
	2,468,733	Government National Mortgage Association, Series 2013-H13, Class SI, 1.277%, 6/20/2063(c)(d)(e)		150,082
	25,157,487	Government National Mortgage Association, Series 2014-H24, Class HI, 0.935%, 9/20/2064(c)(e)		1,179,257
	12,358,593	Government National Mortgage Association, Series 2015-H01, Class XZ, 4.631%, 10/20/2064(b)(c)		14,912,809
	17,251,957	Government National Mortgage Association, Series 2015-H04, Class FL, 0.964%, 2/20/2065(b)(c)		17,127,142
	5,595,804	Government National Mortgage Association, Series 2015-H05, Class FA, 0.794%, 4/20/2061(b)(c)		5,554,365
	2,598,234	Government National Mortgage Association, Series 2015-H12, Class FL, 0.724%, 5/20/2065(b)(c)		2,568,231

		Mortgage Related – continued
	729,902	Government National Mortgage Association, Series 2015-H28, Class JZ, 5.020%, 3/20/2065(c)		825,476
	21,863,952	Government National Mortgage Association, Series 2016-H01, Class AI, 1.785%, 1/20/2066(c)(e)		2,425,532

				480,293,994

		Non-Agency Commercial Mortgage-Backed Securities – 20.1%
	48,868	A10 Securitization LLC, Series 2013-1, Class A, 2.400%, 11/15/2025, 144A		48,859
	709,357	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		706,198
	1,257,290	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		1,286,381
	660,605	Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044		665,521
	1,798,290	CD Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049(b)		1,805,967
	11,529,257	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.924%, 12/15/2027, 144A(b)(c)		11,540,091
	3,076,000	CGBAM Commercial Mortgage Trust, Series 2014-HD, Class B, 1.724%, 2/15/2031, 144A(c)		3,059,584
	4,052,123	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047(b)(c)		4,085,260
	1,325,000	Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045		1,407,391
	3,010,000	Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A, 1.325%, 3/15/2029, 144A(b)(c)		2,980,912
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		1,250,313
	2,670,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047(b)		2,872,858
	2,797,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.275%, 5/13/2031, 144A(c)(h)(i)		2,729,540

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	5,380,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class SV1, 2.374%, 10/15/2031, 144A(c)(h)(i)	$	5,374,722
	8,255,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049(b)		9,045,120
	257,937	Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049(b)(c)		257,947
	4,457,200	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.881%, 6/15/2039(b)(c)		4,503,697
	1,343,077	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.134%, 9/15/2039(c)		1,373,582
	7,656,106	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)(c)		7,831,735
	4,108,000	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.267%, 2/15/2041(b)(c)		4,226,567
	2,543,969	GP Portfolio Trust, Series 2014-GPP, Class A, 1.474%, 2/15/2027, 144A(b)(c)		2,539,897
	10,795,913	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049(b)		11,081,174
	5,320,898	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039(b)		5,328,733
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.550%, 12/10/2027, 144A(b)(c)		5,268,320
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)(c)		6,026,876
	10,874,816	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.988%, 8/10/2045(b)(c)		11,038,888
	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046(b)(c)		3,990,683
	3,205,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047(b)		3,405,700
	6,465,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.424%, 10/15/2029, 144A(b)(c)		6,401,135
	1,923,767	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.440%, 6/12/2047(b)		1,933,545

		Non-Agency Commercial Mortgage-Backed Securities – continued
	2,334,062	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.940%, 6/15/2049(c)		2,366,181
	562,907	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		567,098
	1,628,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		1,751,716
	3,445,097	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.504%, 7/15/2031, 144A(b)(c)		3,443,587
	3,025,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 5.024%, 7/15/2036, 144A(b)(c)		3,009,841
	2,829,604	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048(b)		2,843,311
	7,525,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)(c)		7,600,566
	5,881,254	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049(b)		6,061,141
	3,390,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047(b)		3,612,282
	6,407,192	Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044(b)		6,566,053
	9,130,000	Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)(c)		9,229,374
	1,000,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.646%, 6/15/2044, 144A(c)		1,052,777
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.704%, 3/11/2031, 144A(c)		3,488,253
	680,000	SCG Trust, Series 2013-SRP1, Class A, 1.924%, 11/15/2026, 144A(c)		674,852
	905,000	SCG Trust, Series 2013-SRP1, Class B, 3.024%, 11/15/2026, 144A(c)		874,372
	2,100,000	Starwood Retail Property Trust, Inc., 1.744%, 11/15/2027, 144A(c)		2,083,326
	6,500,000	Starwood Retail Property Trust, Inc., 2.174%, 11/15/2027, 144A(b)(c)		6,385,597
	2,420,000	Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043(b)		2,435,442

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	6,702,755	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046(b)	$	6,825,055
	4,000,000	Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.400%, 6/15/2048(b)		4,258,070
	4,632,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047(b)		4,994,482

				204,190,572


		Total Bonds and Notes
		(Identified Cost $1,232,525,606)		1,229,528,302


	Short-Term Investments – 7.0%
	25,000,000	Federal Home Loan Bank Discount Notes, 0.390%, 10/03/2016(j)		25,000,000
	10,000,000	Federal Home Loan Bank Discount Notes, 0.320%, 02/01/2017(j)		9,988,910
	10,000,000	Federal Home Loan Bank Discount Notes, 0.358%, 02/06/2017(j)		9,988,450
	26,387,913	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $26,387,979 on 10/03/2016 collateralized by $24,955,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $26,920,206 including accrued interest (Note 2 of Notes to Financial Statements)		26,387,913


		Total Short-Term Investments
		(Identified Cost $71,361,859)		71,365,273


		Total Investments – 128.1%
		(Identified Cost $1,303,887,465)(a)		1,300,893,575
		Other assets less liabilities—(28.1)%		(285,035,032	)


		Net Assets – 100.0%	$	1,015,858,543


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized depreciation on investments based on a cost of $1,303,887,465 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	$	18,570,087
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(21,563,977	)

		Net unrealized depreciation	$	(2,993,890	)


	(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 September 30, 2016 is disclosed.
	(d)			Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $12,990,671 or 1.3% 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. (Unaudited)
	(i)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $8,104,262 or 0.8% of net assets. See Note 2 of Notes to Financial Statements.
	(j)			Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $249,368,024 or 24.5% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	FHLMC			Federal Home Loan Mortgage Corp.
	FNMA			Federal National Mortgage Association
	GNMA			Government National Mortgage Association
	REMIC			Real Estate Mortgage Investment Conduit
	TBA			To Be Announced

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Securitized Asset Fund – continued

At September 30, 2016, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/20/2016		337	$	44,189,125	$	238,919
30 Year U.S. Treasury Bond		12/20/2016		61		10,257,531		(43,968	)

Total							$	194,951

At September 30, 2016, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/30/2016		273	$	59,641,969	$	(60,117	)
5 Year U.S. Treasury Note		12/30/2016		551		66,955,109		(150,309	)

Total							$	(210,426	)

Industry Summary at September 30, 2016


Mortgage Related	47.3	%
Collateralized Mortgage Obligations	22.0
Non-Agency Commercial Mortgage-Backed Securities	20.1
ABS Car Loan	12.6
Agency Commercial Mortgage-Backed Securities	5.5
ABS Other	4.4
ABS Home Equity	3.4
ABS Student Loan	2.4
Other Investments, less than 2% each	3.4
Short-Term Investments	7.0

Total Investments	128.1
Other assets less liabilities (including futures contracts)	(28.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

29 |

Statements of Assets and Liabilities

September 30, 2016


		High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost		$	131,970,788		$	1,303,887,465
Net unrealized appreciation (depreciation)			2,723,944			(2,993,890	)

Investments at value			134,694,732			1,300,893,575
Cash			3,121			10,033,731
Due from brokers (Note 2)			—			910,000
Receivable for Fund shares sold			251,216			2,267,799
Receivable for securities sold			—			215,259
Receivable for when-issued/delayed delivery securities sold (Note 2)			—			288,640,625
Collateral received for delayed delivery securities (Note 2)			—			1,024,000
Dividends and interest receivable			1,795,550			3,920,604

TOTAL ASSETS			136,744,619			1,607,905,593


LIABILITIES
Payable for securities purchased			1,016,756			14,053,554
Payable for when-issued/delayed delivery securities purchased (Note 2)			—			576,513,055
Payable for Fund shares redeemed			826			349,534
Due to brokers (Note 2)			—			1,024,000
Payable for variation margin on futures contracts (Note 2)			—			89,941
Other accounts payable and accrued expenses			21,349			16,966

TOTAL LIABILITIES			1,038,931			592,047,050

NET ASSETS		$	135,705,688		$	1,015,858,543

NET ASSETS CONSIST OF:
Paid-in capital		$	133,821,168		$	1,017,293,744
Undistributed net investment income			621,993			6,923,736
Accumulated net realized loss on investments, futures contracts and swap agreements			(1,461,417	)		(5,349,572	)
Net unrealized appreciation (depreciation) on investments, futures contracts and swap agreements			2,723,944			(3,009,365	)
	��
NET ASSETS		$	135,705,688		$	1,015,858,543


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets		$	135,705,688		$	1,015,858,543

Shares of beneficial interest			12,725,387			96,114,831

Net asset value, offering and redemption price per share		$	10.66		$	10.57

See accompanying notes to financial statements.

| 30

Statements of Operations

For the Year Ended September 30, 2016


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	7,752,193		$	36,937,926
Dividends		157,188			—
Less net foreign taxes withheld		(2,216	)		—

Investment income		7,907,165			36,937,926


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND SWAP AGREEMENTS
Net realized gain (loss) on:
Investments		(1,090,036	)		11,898,381
Futures contracts		(178,082	)		3,747,980
Swap agreements		(12,050	)		—
Net change in unrealized appreciation (depreciation) on:
Investments		8,707,108			(11,493,063	)
Futures contracts		94,209			(240,516	)
Swap agreements		155,510			—

Net realized and unrealized gain on investments, futures contracts and swap agreements		7,676,659			3,912,782


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	15,583,824		$	40,850,708

See accompanying notes to financial statements.

31 |

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Investment income	$	7,907,165		$	5,611,702		$	36,937,926		$	31,304,527
Net realized gain (loss) on investments, futures contracts and swap agreements		(1,280,168	)		1,281,433			15,646,361			12,737,624
Net change in unrealized appreciation (depreciation) on investments, futures contracts and swap agreements		8,956,827			(9,407,119	)		(11,733,579	)		(8,233,795	)

Net increase (decrease) in net assets resulting from operations		15,583,824			(2,513,984	)		40,850,708			35,808,356

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(8,169,008	)		(5,404,902	)		(44,606,095	)		(45,553,367	)
Net realized capital gains
Institutional Class		(452,100	)		—			—			—

Total distributions		(8,621,108	)		(5,404,902	)		(44,606,095	)		(45,553,367	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		8,574,679			58,743,789			74,405,757			130,545,963

Net increase in net assets		15,537,395			50,824,903			70,650,370			120,800,952
NET ASSETS
Beginning of the year		120,168,293			69,343,390			945,208,173			824,407,221

End of the year	$	135,705,688		$	120,168,293		$	1,015,858,543		$	945,208,173

UNDISTRIBUTED NET INVESTMENT INCOME	$	621,993		$	687,851		$	6,923,736		$	5,198,597

See accompanying notes to financial statements.

| 32

Financial Highlights

For a share outstanding throughout each period.


	High Income Opportunities Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.11		$	10.92		$	10.53		$	10.35		$	9.36
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.60			0.55			0.62			0.67			0.72
Net realized and unrealized gain (loss)		0.60			(0.81	)		0.43			0.25			1.01

Total from Investment Operations		1.20			(0.26)			1.05			0.92			1.73

LESS DISTRIBUTIONS FROM:
Net investment income		(0.62	)		(0.55	)		(0.66	)		(0.74	)		(0.74	)
Net realized capital gains		(0.03	)		—			—			—			—

Total Distributions		(0.65)			(0.55)			(0.66)			(0.74)			(0.74)

Net asset value, end of the period	$	10.66		$	10.11		$	10.92		$	10.53		$	10.35

Total return		12.55	%(c)		(2.61	)%		10.01	%		9.19	%		19.24	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	135,706		$	120,168		$	69,343		$	78,102		$	74,121
Net expenses(b)		—			—			—			—			—
Gross expenses(b)		—			—			—			—			—
Net investment income		5.94	%		5.12	%		5.70	%		6.33	%		7.28	%
Portfolio turnover rate		36	%		28	%		41	%		41	%		30	%

(a)

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

(b)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(c)

Generally accepted accounting principles require adjustments to be made to the net assets of the Fund at period end for financial reporting purposes only, and as such, the total returns based on the adjusted net asset values per share may differ from the total returns reported in the average annual total return table.


	Securitized Asset Fund – Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.62		$	10.73		$	10.73		$	11.39		$	11.13

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.40			0.37			0.41			0.41			0.45
Net realized and unrealized gain (loss)		0.04			0.06			0.14			(0.33	)		0.55

Total from Investment Operations		0.44			0.43			0.55			0.08			1.00

LESS DISTRIBUTIONS FROM:
Net investment income		(0.49	)		(0.54	)		(0.55	)		(0.62	)		(0.54	)
Net realized capital gains		—			—			—			(0.12	)		(0.20	)

Total Distributions		(0.49)			(0.54)			(0.55)			(0.74)			(0.74)

Net asset value, end of the period	$	10.57		$	10.62		$	10.73		$	10.73		$	11.39

Total return		4.27	%		4.13	%		5.25	%		0.75	%		9.42	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,015,859		$	945,208		$	824,407		$	689,196		$	713,366
Net expenses(b)		—			—			—			—			—
Gross expenses(b)		—			—			—			—			—
Net investment income		3.84	%		3.47	%		3.80	%		3.67	%		4.08	%
Portfolio turnover rate		306	%		272	%		260	%		244	%		230	%

(a)

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

(b)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

See accompanying notes to financial statements.

33 |

Notes to Financial Statements

September 30, 2016

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

| 34

Notes to Financial Statements – continued

September 30, 2016

As of September 30, 2016, securities held by the funds were fair valued as follows:


Fund	Securities classified as fair valued		Percentage of Net Assets		Securities fair valued by the Fund’s adviser		Percentage of Net Assets
High Income Opportunities Fund	$	899,214		0.7%	$	116,605		0.1%
Securitized Asset Fund		8,104,262		0.8%		12,990,671		1.3%

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 year ended September 30, 2016.

35 |

Notes to Financial Statements – continued

September 30, 2016

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.

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.

| 36

Notes to Financial Statements – continued

September 30, 2016

h. Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

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 investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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 premium amortization, from corporate actions, defaulted bonds and/or non-income producing securities, contingent payment debt instruments, distribution re-designations, 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, from corporate actions, premium amortization, defaulted bonds and/or non-income producing securities, contingent payment debt instruments, 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 years ended September 30, 2016 and 2015 were as follows:


	2016 Distributions Paid From:						2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	8,164,479	$	456,629	$	8,621,108	$	5,404,902	$	—	$	5,404,902
Securitized Asset Fund		44,606,095		—		44,606,095		45,553,367		—		45,553,367

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.

37 |

Notes to Financial Statements – continued

September 30, 2016

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:


	High Income Opportunities Fund			Securitized Asset Fund
Undistributed ordinary income	$	711,892		$	6,923,736

Capital loss carryforward:
Short-term:
No expiration date		(239,774	)		—
Long-term:
No expiration date		(1,054,802	)		(5,365,047	)

Total capital loss carryforward		(1,294,576	)		(5,365,047	)

Unrealized appreciation (depreciation)		2,544,901			(2,993,890	)

Total accumulated earnings (losses)	$	1,962,217		$	(1,435,201	)

Capital loss carryforward utilized in the current year	$	—		$	6,012,537

k. 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 September 30, 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.

l. 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 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.

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

For the year ended September 30, 2016, neither Fund had loaned securities under this agreement.

n. 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;

•

| 38

Notes to Financial Statements – continued

September 30, 2016

•

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2016, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	2,234,363	$	4	(b)	$	2,234,367
Non-Agency Commercial Mortgage-Backed Securities		—		1,262,029		573,514	(c)		1,835,543
Transportation Services		—		237,459		113,265	(b)		350,724
All Other Non-Convertible Bonds(a)		—		114,784,754		—			114,784,754

Total Non-Convertible Bonds		—		118,518,605		686,783			119,205,388

Convertible Bonds(a)		—		4,295,334		—			4,295,334

Total Bonds and Notes		—		122,813,939		686,783			123,500,722

Senior Loans(a)		—		578,868		—			578,868
Preferred Stocks
Midstream		—		392,659		—			392,659
Pharmaceuticals		964,594		915,657		—			1,880,251
All Other Preferred Stocks(a)		665,137		—		—			665,137

Total Preferred Stocks		1,629,731		1,308,316		—			2,938,047

Common Stocks(a)		383,511		—		—			383,511

Warrants(d)		—		—		3,336	(b)		3,336
Short-Term Investments		—		7,290,248		—			7,290,248

Total	$	2,013,242	$	131,991,371	$	690,119		$	134,694,732

(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) Includes a security fair valued at zero using Level 2 inputs.

39 |

Notes to Financial Statements – continued

September 30, 2016

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3			Total
Bonds and Notes
ABS Car Loan	$	—		$	123,201,962	$	5,037,047	(b)	$	128,239,009
ABS Home Equity		—			33,393,879		1,303,154	(c)		34,697,033
ABS Other		—			40,626,353		4,046,953	(b)		44,673,306
Collateralized Mortgage Obligations		—			205,095,499		18,241,211	(d)		223,336,710
Mortgage Related		—			476,539,123		3,754,871	(e)		480,293,994
Non-Agency Commercial Mortgage-Backed Securities		—			198,815,850		5,374,722	(b)		204,190,572
All Other Bonds and Notes(a)		—			114,097,678		—			114,097,678

Total Bonds and Notes		—			1,191,770,344		37,757,958			1,229,528,302

Short-Term Investments		—			71,365,273		—			71,365,273

Total Investments		—			1,263,135,617		37,757,958			1,300,893,575

Futures Contracts (unrealized appreciation)		238,919			—		—			238,919

Total	$	238,919		$	1,263,135,617	$	37,757,958		$	1,301,132,494

Liability Valuation Inputs
Description	Level 1			Level 2		Level 3			Total
Futures Contracts (unrealized depreciation)	$	(254,394	)	$	—	$	—		$	(254,394	)

(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) Valued using broker-dealer bid prices ($6,703,776) or fair valued by the Fund’s adviser ($11,537,435).

(e) Valued using broker-dealer bid prices ($3,604,789) or fair valued by the Fund’s adviser ($150,082).

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 September 30, 2016:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of Septem ber 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 Septem ber 30, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non- Convertible Bonds
ABS Other	$	241,176	$	—	$	—	$	—		$	—	$	—		$	—	$	(241,176	)	$	—		$	—
Home Construction		—		276		—		(12,292	)		—		—			12,020		—			4			(12,292	)
Non-Agency Commercial Mortgage- Backed Securities		590,000		—		—		(16,486	)		—		—			—		—			573,514			(16,486	)
Retailers		307,361		—		—		—			—		—			—		(307,361	)		—			—
Transportation Services		167,081		—		7,976		(11,150	)		—		(50,642	)		—		—			113,265			(1,402	)
Warrants		—		—		—		3,336			—		—			—		—			3,336	(a)		3,336

Total	$	1,305,618	$	276	$	7,976	$	(36,592	)	$	—	$	(50,642	)	$	12,020	$	(548,537	)	$	690,119		$	(26,844	)

(a) Includes a security 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 September 30, 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 September 30, 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 September 30, 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 September 30, 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.

| 40

Notes to Financial Statements – continued

September 30, 2016

A debt security valued at $307,361 was transferred from Level 3 to Level 2 during the period ended September 30, 2016. At September 30, 2015, this security was 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 security. At September 30, 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.

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

Securitized Asset Fund

Asset Valuation Inputs


Investments in Securities	Balance as of Septem ber 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 Septem ber 30, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non- Convertible Bonds
ABS Car Loan	$	1,902,944	$	—	$	—		$	(2,110	)	$	5,039,157	$	—		$	—	$	(1,902,944	)	$	5,037,047	$	(2,110	)
ABS Home Equity		1,971,905		—		91,075			(131,793	)		—		(628,033	)		—		—			1,303,154		(13,519	)
ABS Other		10,620,593		—		3,033			(11,757	)		3,044,883		(439,053	)		—		(9,170,746	)		4,046,953		(1,092	)
Collateralized Mortgage Obligations		3,673,400		—		(3,248,887	)		(245,098	)		7,150,586		(3,182,353	)		14,093,563		—			18,241,211		(245,098	)
Mortgage Related		1,477,722		—		(77,010	)		(20,153	)		2,374,312		—			—		—			3,754,871		(20,153	)
Non-Agency Commercial Mortgage-Backed Securities		5,376,412		—		—			(1,690	)		—		—			—		—			5,374,722		(1,689	)

Total	$	25,022,976	$	—	$	(3,231,789	)	$	(412,601	)	$	17,608,938	$	(4,249,439	)	$	14,093,563	$	(11,073,690	)	$	37,757,958	$	(283,661	)

Debt securities valued at $11,073,690 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $14,093,563 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

The significant unobservable inputs used for those securities fair valued by the adviser and categorized in Level 3 as of September 30, 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

1.50 – 3.50%

1,303,154

Collateralized Mortgage Obligations

Market Discount

Discount Rate¹

1.00 – 3.00%

11,537,435

Mortgage Related

Market Discount

Discount Rate¹

1.25%

150,082

Total

12,990,671

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.

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

41 |

Notes to Financial Statements – continued

September 30, 2016

changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the year ended September 30, 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.

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 year ended September 30, 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 year ended September 30, 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 September 30, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded/cleared asset derivatives Interest rate contracts	$	238,919

Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives Interest rate contracts	$	(254,394	)

Transactions in derivative instruments for Securitized Asset Fund during the year ended September 30, 2016 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	3,747,980

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	(240,516	)

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 year ended September 30, 2016:


High Income Opportunities Fund	Futures		Credit Default Swaps
Average Notional Amount Outstanding		1.95%		2.00%
Highest Notional Amount Outstanding		6.80%		5.17%
Lowest Notional Amount Outstanding		0.00%		0.00%
Notional Amount Outstanding as of September 30, 2016		0.00%		0.00%

| 42

Notes to Financial Statements – continued

September 30, 2016



Securitized Asset Fund	Futures
Average Notional Amount Outstanding		18.17%
Highest Notional Amount Outstanding		20.88%
Lowest Notional Amount Outstanding		15.91%
Notional Amount Outstanding as of September 30, 2016		17.82%

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		Maximum Amount of Loss - Net
Securitized Asset Fund	$	910,000	$	910,000

5. Purchases and Sales of Securities. For the year ended September 30, 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	$	—	$	—	$	58,874,701	$	44,452,755
Securitized Asset Fund		3,510,500,387		3,509,019,208		199,918,496		143,355,683

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; the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses and all other expenses incurred; and other operating expenses of the Funds, as applicable.

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.

43 |

Notes to Financial Statements – continued

September 30, 2016

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.

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. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, Trustees fees and expenses allocable to the Funds.

7. Line of Credit. Effective April 14, 2016, each Fund, 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 at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds (applicable allocations to the Funds are paid by Loomis Sayles) based on their average daily unused portion of the line of credit. Loomis Sayles, on behalf of the Funds, paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement.

Prior to April 14, 2016 each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, participated in a $150,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to 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 was 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, was accrued and apportioned among the participating funds (applicable allocations to the Funds were paid by Loomis Sayles) based on their average daily unused portion of the line of credit.

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

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.

| 44

Notes to Financial Statements – continued

September 30, 2016


Fund	Number of 5% Account Holders		Percentage of Ownership
High Income Opportunities Fund		2		19.39%

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

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,946,889		$	39,857,592			6,505,450		$	69,135,896
Issued in connection with the reinvestment of distributions		455,812			4,556,737			289,937			3,110,225
Redeemed		(3,569,068	)		(35,839,650	)		(1,254,258	)		(13,502,332	)

Increase (decrease) from capital share transactions		833,633		$	8,574,679			5,541,129		$	58,743,789


	Securitized Asset Fund

	Year Ended September 30, 2016						Year Ended September 30, 2015

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		24,907,012		$	261,801,082			29,900,131		$	320,342,338
Issued in connection with the reinvestment of distributions		657,888			6,909,793			527,702			5,634,046
Redeemed		(18,480,008	)		(194,305,118	)		(18,242,201	)		(195,430,421	)

Increase (decrease) from capital share transactions		7,084,892		$	74,405,757			12,185,632		$	130,545,963

45 |

Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund, each a series of Loomis Sayles Funds Trust I (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

| 46

2016 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
High Income Opportunities Fund		1.27%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Fund paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.


Fund	Amount
High Income Opportunities Fund	$	456,629

Fund

High Income Opportunities Fund

47 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and are available by calling 800-633-3330.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

Independent Trustees
Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	44 Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	44 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	44 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

| 48


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	44 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	44 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	44 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

Interested Trustees
Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	44 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

49 |


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
David L. Giunta⁴ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

John T. Hailer⁵ (1960)	Trustee since 2003	President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.

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

³	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer — U.S. and Asia, Natixis Global Asset Management, L.P.


Name and Year of Birth	Position(s) Held with the Trust	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

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

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

Each person listed above, except as noted, holds the same position(s) with the Fund Complex. Mr. Fuss is not an officer of the Natixis Funds Trusts. Previous positions during the past five years with NGAM Distribution, L.P., NGAM Advisors, L.P. or Loomis, Sayles & Company, L.P. are omitted, if not materially different from a trustee’s or officer’s current position with such entity.

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LOGO

Loomis Sayles Bond Fund

Annual Report

September 30, 2016



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			13
Financial Statements			35
Notes to Financial Statements			42

LOOMIS SAYLES BOND FUND


Managers	Symbols
Matthew J. Eagan, CFA^®	Institutional Class	LSBDX
Daniel J. Fuss, CFA^®, CIC	Retail Class	LSBRX
Brian P. Kennedy	Admin Class	LBFAX
Elaine M. Stokes	Class N	LSBNX

Investment Objective

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

Market Conditions

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies — particularly those in the emerging markets — that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Institutional Class shares of Loomis Sayles Bond Fund returned 9.17%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned 5.86%.

1 |

Explanation of Fund Performance

In general, our out-of-benchmark allocation to high yield credit drove the fund’s outperformance. In particular, a significant allocation to high yield industrials contributed to results. The stabilization and recovery of oil prices led to strong returns for the sector, and our selected basic industry and energy names drove fund performance. Elsewhere, exposure to convertible securities aided performance, largely due to security selection in the technology sector. Similarly, name-specific exposure to technology stocks lifted fund performance. A small allocation to government-related securities also boosted performance, with Yankee bonds (foreign issues denominated in the U.S. dollar) issued in Brazil driving results. Additionally, an allocation to non-U.S.-dollar-denominated securities added value. New Zealand dollar-denominated holdings were key contributors. Though non-USD positions contributed positively to performance overall, U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-USD holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities.

On the negative side, our shorter-than-benchmark duration detracted from results as interest rates declined over the period. Our cash and reserve positions, which help promote portfolio liquidity, lagged the benchmark and hindered relative performance. Elsewhere, an underweight to the investment-grade corporate sector weighed on relative results. Specifically, industrial and utility names detracted, while financial holdings had a muted influence on performance. A small allocation to high yield utilities also detracted from performance, as the typically defensive holdings struggled given investors’ preference for riskier high yield sectors.

Outlook

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LOOMIS SAYLES BOND FUND

slowly improving U.S. economy. However, downside risks — including slowing profit growth, rising leverage and free cash flow approaching peak levels — are increasing as we move further into the late stage of the credit cycle.¹ Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

A credit cycle is a cyclical pattern that follows credit availability and corporate health.

3 |

Hypothetical Growth of $100,000 Investment in Institutional Class Shares

September 30, 2006 through September 30, 2016²

LOGO

See notes to chart on page 5.

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LOOMIS SAYLES BOND FUND

Average Annual Total Returns — September 30, 2016²



													Expense Ratio³
	1 year			5 years			10 years			Life of Class N			Gross			Net

Institutional Class (Inception 5/16/91)		9.17	%		6.06	%		6.33	%		—	%		0.64	%		0.64	%
Retail Class (Inception 12/31/96)		8.86			5.78			6.02			—			0.89			0.89
Admin Class (Inception 1/2/98)		8.64			5.50			5.75			—			1.14			1.14
Class N (Inception 2/1/13)		9.18			—			—			3.11			0.57			0.57

Comparative Performance
Bloomberg Barclays U.S. Government/ Credit Bond Index¹		5.86			3.24			4.86			3.05

Bloomberg 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.

1639619.1.1

5 |

ADDITIONAL INFORMATION

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

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

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 Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 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.

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The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 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.

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 4/1/2016		Ending Account Value 9/30/2016		Expenses Paid During Period* 4/1/2016 – 9/30/2016
Actual		$1,000.00		$1,070.90		$3.42
Hypothetical (5% return before expenses)		$1,000.00		$1,021.70		$3.34

Retail Class
Actual		$1,000.00		$1,069.90		$4.71
Hypothetical (5% return before expenses)		$1,000.00		$1,020.45		$4.60

Admin Class
Actual		$1,000.00		$1,068.20		$6.00
Hypothetical (5% return before expenses)		$1,000.00		$1,019.20		$5.86

Class N
Actual		$1,000.00		$1,071.30		$3.06
Hypothetical (5% return before expenses)		$1,000.00		$1,022.05		$2.98
* Expenses are equal to the Fund’s annualized expense ratio: 0.66%, 0.91%, 1.16% and 0.59% 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).

7 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

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

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s

| 8

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

The Board most recently approved the continuation of the Agreement at its meeting held in June 2016. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

The nature, extent and quality of the services provided to the Fund under the Agreement. The Trustees considered the nature, extent and quality of the services provided by the Adviser and its affiliates to the Fund and the resources dedicated to the Fund by the Adviser and its affiliates.

The Trustees considered not only the advisory services provided by the Adviser to the Fund, but also the monitoring and oversight services provided by NGAM Advisors, L.P. (“NGAM Advisors”). They also considered the administrative services provided by NGAM Advisors and its affiliates to the Fund.

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

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

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

The Board concluded that the Fund’s performance or other relevant factors supported the renewal of the Agreement. The Trustees noted that while the Fund had performance that lagged that of its peer group and/or category for certain (although not all) periods, the

9 |

Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s long-term performance was competitive when compared to relevant performance benchmarks or peer groups.

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

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Fund. The Trustees considered the fees charged to the Fund for advisory services as well as the total expense level of the Fund. This information included comparisons (provided both by management and also by an independent third party) of the Fund’s advisory fee and total expense level to those of its peer group and information about the advisory fees charged by the Adviser to comparable accounts (such as institutional separate accounts), as well as information about differences in such fees and the reasons for any such differences. In considering the fees charged to comparable accounts, the Trustees considered, among other things, management’s representations about the differences between managing mutual funds as compared to other types of accounts, including the additional resources required to effectively manage mutual fund assets and the greater regulatory costs associated with the management of such assets. In evaluating the Fund’s advisory fee, the Trustees also took into account the demands, complexity and quality of the investment management of the Fund, as well as the need for the Adviser to offer competitive compensation and the potential need to expend additional resources to the extent the Fund grows in size. The Trustees considered that over the past several years, management had made recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense caps for various funds in the fund family. The Trustees noted that the Fund currently has an expense cap in place, and that the current expenses are below the cap.

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels

| 10

of the Fund, and whether the Adviser had implemented breakpoints. The Trustees also noted management’s history of proposing additional advisory fee breakpoints as the Fund grew to substantially larger scale.

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Fund through breakpoints in its investment advisory fee or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that the Fund had breakpoints in its advisory fees and it was subject to an expense cap, and that the current expenses are below the cap. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Fund, as discussed above.

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

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

•

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

•

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

•

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

•

So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution, administrative and brokerage services to the Fund, and the benefits of research made available to the Adviser by reason of brokerage commissions (if any) generated by the Fund’s securities transactions. The Trustees also considered the benefits to the parent company of NGAM Advisors from the retention

11 |

of the Adviser. The Trustees considered the possible conflicts of interest associated with these fallout and other benefits, and the reporting, disclosure and other processes in place to disclose and monitor such possible conflicts of interest.

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2017.

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Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 84.3% of Net Assets

	Non-Convertible Bonds – 75.5%

		ABS Other – 0.4%
$	29,950,364	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)(c)	$	29,642,774
	17,727,369	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(d)		11,115,060
	6,907,090	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(d)		1,990,623
	32,585,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(d)(e)		456,190
	14,797,680	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(c)		14,471,213

				57,675,860

		Aerospace & Defense – 1.2%
	36,735,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		33,245,175
	100,000	Bombardier, Inc., 6.125%, 1/15/2023, 144A		88,750
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,044,495
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,699,800
	275,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019		299,750
	24,903,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		24,404,940
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		27,900,600
	770,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		843,150
	6,995,000	Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A		4,975,194
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		34,907,322
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		27,302,902
	4,585,000	TransDigm, Inc., 6.500%, 5/15/2025		4,774,131

				171,486,209

		Airlines – 1.3%
	24,305,000	Air Canada, 7.625%, 10/01/2019, 144A, (CAD)		19,232,249
	54,931,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		57,196,904
	3,810,842	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,984,121
	32,465,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		33,925,925
	112,294	Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018		113,698
	1,207	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		1,210
	940,894	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		1,010,285
	4,116,496	Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021		4,414,942

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Airlines – continued
$	356,647	UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018	$	357,075
	6,518,972	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		6,991,597
	298,830	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		330,975
	56,320,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		58,009,600
	5,408,224	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		5,489,348
	8,100,135	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		8,201,387

				199,259,316

		Automotive – 0.5%
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,995,321
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,843,272
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,869,239
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		2,019,709
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		40,452,394
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,774,592
	9,660,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		9,829,050

				67,783,577

		Banking – 7.2%
	59,285,000	Bank of America Corp., MTN, 3.300%, 1/11/2023		61,369,935
	54,910,000	Bank of Nova Scotia, 2.130%, 6/15/2020, (CAD)		42,846,918
	16,525,000	Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD)		12,934,580
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)		37,145,374
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(f)		24,975,000
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		8,106,568
	52,380,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		39,997,722
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		29,724,662
	16,780,000	Cooperatieve Rabobank UA, 3.875%, 2/08/2022		18,363,646
	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		4,240,280
	27,405,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		22,105,732
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,501,329
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		24,132,808
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		51,592,410
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.247%, 9/14/2018, (EUR)(g)		1,791,108
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		4,243,500
	42,630,000	Morgan Stanley, 2.500%, 1/24/2019		43,438,222
	6,600,000	Morgan Stanley, 3.750%, 2/25/2023		7,009,807

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	47,205,000	Morgan Stanley, 4.350%, 9/08/2026	$	50,396,152
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		42,635,604
	75,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		62,092,528
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)		114,794,962
	150,195,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		118,529,709
	1,400,000	Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP)		1,846,053
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		147,741,652
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		18,806,445
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		54,768,880
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,981,720
	6,000,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)		8,554,586
	2,800,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		3,189,220

				1,063,857,112

		Brokerage – 1.1%
	5,996,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		5,576,280
	29,995,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		29,170,137
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,657,905
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		54,622,648
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		30,715,903
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		25,390,739

				166,133,612

		Building Materials – 0.6%
	15,670,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		14,083,412
	15,272,000	Masco Corp., 6.500%, 8/15/2032		16,799,200
	16,235,000	Masco Corp., 7.125%, 3/15/2020		18,670,250
	9,733,000	Masco Corp., 7.750%, 8/01/2029		11,630,935
	21,460,000	Owens Corning, 7.000%, 12/01/2036		27,090,718
	2,395,000	Titan Global Finance PLC, EMTN, 4.250%, 7/10/2019, (EUR)		2,811,491

				91,086,006

		Cable Satellite – 0.3%
	965,000	DISH DBS Corp., 5.000%, 3/15/2023		938,463
	1,105,000	DISH DBS Corp., 5.875%, 11/15/2024		1,091,187
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		31,437,957
	6,190,000	Time Warner Cable LLC, 4.500%, 9/15/2042		5,906,863
	535,000	Time Warner Cable LLC, 5.875%, 11/15/2040		594,111
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		12,374,328

				52,342,909

		Chemicals – 2.6%
	123,840,000	Chemours Co. (The), 6.625%, 5/15/2023		120,744,000
	23,615,000	Chemours Co. (The), 7.000%, 5/15/2025		23,201,737
	56,305,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		55,601,187

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Chemicals – continued
$	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A	$	20,800,000
	23,289,000	Hercules, Inc., 6.500%, 6/30/2029		20,960,100
	33,969,000	Hexion, Inc., 7.875%, 2/15/2023(b)(d)		12,228,840
	4,955,000	Hexion, Inc., 8.875%, 2/01/2018		4,719,638
	11,305,000	Hexion, Inc., 9.200%, 3/15/2021(b)(d)		4,408,950
	3,390,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,453,513
	119,535,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		118,946,888
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,018,433
	2,305,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		1,787,643

				392,870,929

		Construction Machinery – 0.2%
	27,030,000	Toro Co., 6.625%, 5/01/2037(b)(c)		32,394,293

		Consumer Cyclical Services – 0.1%
	1,000,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		1,031,250
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		9,480,897

				10,512,147

		Consumer Products – 0.1%
	15,036,000	Avon Products, Inc., 8.950%, 3/15/2043		12,291,930

		Diversified Manufacturing – 0.5%
	64,245,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		47,481,991
	45,800,000	General Electric Co., Series A, GMTN, 5.500%, 2/01/2017, (NZD)		33,609,338

				81,091,329

		Electric – 1.5%
	3,075,000	AES Corp. (The), 4.875%, 5/15/2023		3,121,125
	54,584,477	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		55,846,143
	66,179,285	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		33,697,168
	1,801,497	CE Generation LLC, 7.416%, 12/15/2018		1,684,400
	4,255,000	DPL, Inc., 6.750%, 10/01/2019		4,414,562
	12,250,000	Dynegy, Inc., 5.875%, 6/01/2023		11,116,875
	69,835,000	Dynegy, Inc., 7.625%, 11/01/2024		68,577,970
	38,973,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		40,395,514
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		10,764,956
	588,222	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		588,957
	65,293	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		64,636

				230,272,306

		Finance Companies – 4.4%
	3,100,000	AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A		1,550,000
	11,695,000	General Electric Co., Series A, MTN, 0.980%, 5/13/2024(g)		10,956,461

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	19,330,000	iStar, Inc., 4.875%, 7/01/2018	$	19,426,650
	20,395,000	iStar, Inc., 5.000%, 7/01/2019		20,341,565
	34,525,000	iStar, Inc., 5.850%, 3/15/2017		34,937,263
	1,890,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,795,500
	30,220,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		30,446,650
	2,830,000	Navient Corp., 5.875%, 10/25/2024		2,575,300
	68,000,000	Navient Corp., MTN, 6.125%, 3/25/2024		63,325,000
	34,415,000	Navient LLC, 4.875%, 6/17/2019		34,285,944
	27,420,000	Navient LLC, 5.500%, 1/25/2023		25,157,850
	150,996(††)	Navient LLC, 6.000%, 12/15/2043		3,469,133
	11,663,000	Navient LLC, MTN, 5.500%, 1/15/2019		11,837,945
	8,000,000	Navient LLC, MTN, 7.250%, 1/25/2022		8,160,000
	3,355,000	Navient LLC, MTN, 8.000%, 3/25/2020		3,598,237
	23,623,000	Navient LLC, Series A, MTN, 5.000%, 6/15/2018		23,623,000
	51,024,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		40,564,080
	400,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		399,500
	74,340,000	Springleaf Finance Corp., 5.250%, 12/15/2019		75,919,725
	155,536,000	Springleaf Finance Corp., 7.750%, 10/01/2021		163,118,380
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		81,737,250

				657,225,433

		Food & Beverage – 0.0%
	1,500,000	Fonterra Co-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)		1,218,491

		Government Owned – No Guarantee – 0.5%
	28,720,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		33,269,219
	31,880,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		28,516,660
	24,335,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		18,372,925

				80,158,804

		Healthcare – 1.4%
	3,240,000	BioScrip, Inc., 8.875%, 2/15/2021		3,029,400
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		28,938,255
	27,545,000	HCA, Inc., 7.500%, 11/06/2033		29,851,894
	45,324,000	HCA, Inc., 8.360%, 4/15/2024		52,624,790
	6,944,000	HCA, Inc., MTN, 7.580%, 9/15/2025		7,829,360
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		13,488,352
	335,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		340,863
	915,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		915,000
	1,430,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,422,850
	13,068,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		12,773,970
	37,850,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		35,200,500

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – continued
$	34,938,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	28,736,505
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		712,425

				215,864,164

		Home Construction – 0.8%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		7,348,075
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(c)		11,710,300
	45,718,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		27,659,390
	52,605,000	PulteGroup, Inc., 6.000%, 2/15/2035		53,131,050
	13,360,000	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		13,744,100

				113,592,915

		Independent Energy – 1.3%
	1,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		1,173,818
	2,770,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		2,541,469
	7,440,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		6,193,800
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,303,205
	15,760,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		14,656,800
	345,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		156,975
	140,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		63,700
	11,379,000	California Resources Corp., 5.500%, 9/15/2021		6,030,870
	1,709,000	California Resources Corp., 6.000%, 11/15/2024		816,048
	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,545,988
	15,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		14,119
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,813,900
	8,471,000	Continental Resources, Inc., 3.800%, 6/01/2024		7,750,965
	1,597,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,533,120
	1,775,000	EQT Corp., 8.125%, 6/01/2019		2,028,912
	145,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		114,731
	95,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		77,544
	235,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		185,650
	370,000	Noble Energy, Inc., 5.625%, 5/01/2021		386,676
	4,855,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		4,636,525
	280,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		300,300
	4,270,000	QEP Resources, Inc., 5.250%, 5/01/2023		4,205,950
	4,335,000	QEP Resources, Inc., 6.875%, 3/01/2021		4,519,237
	15,445,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		8,417,525
	9,500,000	Rice Energy, Inc., 6.250%, 5/01/2022		9,808,750
	8,579,000	RSP Permian, Inc., 6.625%, 10/01/2022		8,986,502
	23,125,000	Sanchez Energy Corp., 6.125%, 1/15/2023		18,557,812
	12,420,000	Sanchez Energy Corp., 7.750%, 6/15/2021		10,929,600
	90,000	SM Energy Co., 5.000%, 1/15/2024		84,600
	20,982,000	SM Energy Co., 6.125%, 11/15/2022		20,982,000
	57,825,000	Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A(i)		45,681,750

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	2,845,000	Whiting Petroleum Corp., 5.750%, 3/15/2021	$	2,660,075
	1,965,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		1,793,063

			��	193,951,979

		Industrial Other – 0.1%
	8,380,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		8,924,700
	160,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		167,600

				9,092,300

		Integrated Energy – 0.0%
	2,155,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(i)		398,675
	1,250,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(i)		231,250

				629,925

		Life Insurance – 2.0%
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,989,388
	67,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)		74,015,169
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(f)		1,639,152
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		17,246,400
	5,760,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		4,737,600
	31,605,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		26,311,163
	2,030,000	MetLife Capital Trust X, 9.250%, 4/08/2068, 144A		2,920,561
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		16,306,455
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		73,986,367
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)		59,002,177
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		14,937,773

				298,092,205

		Local Authorities – 1.6%
	38,490,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		30,735,894
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		83,424,323
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		115,496,230
	1,507,000	Ontario Hydro, Zero Coupon, 11/27/2020, (CAD)		1,083,841
	1,490,000	Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)		1,163,993

				231,904,281

		Media Entertainment – 0.7%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		7,350,672
	1,595,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		1,188,275
	66,650,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		48,487,875
	34,725,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		34,464,562
	3,610,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		3,637,075
	1,976,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		2,050,100

				97,178,559

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – 2.3%
$	8,456,540	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(d)(i)(j)	$	3,383
	155,000	AK Steel Corp., 7.625%, 5/15/2020		151,125
	3,000,000	AK Steel Corp., 7.625%, 10/01/2021		2,880,000
	13,492,000	Alcoa, Inc., 5.870%, 2/23/2022		14,503,900
	11,795,000	Alcoa, Inc., 5.900%, 2/01/2027		12,620,650
	2,050,000	Alcoa, Inc., 5.950%, 2/01/2037		2,061,275
	6,490,000	Alcoa, Inc., 6.750%, 1/15/2028		7,090,325
	35,180,000	ArcelorMittal, 7.750%, 3/01/2041		36,675,150
	3,635,000	ArcelorMittal, 8.000%, 10/15/2039		3,925,800
	3,950,000	Barrick Gold Corp., 5.800%, 11/15/2034		4,128,741
	23,735,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		27,832,563
	28,838,000	Cliffs Natural Resources, Inc., 8.000%, 9/30/2020, 144A		28,261,240
	34,330,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(c)(i)		4,634,550
	100,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		89,500
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		14,735,250
	975,000	Hecla Mining Co., 6.875%, 5/01/2021		978,656
	19,310,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		20,516,875
	66,920,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		71,269,800
	6,500,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		6,337,500
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		9,188,412
	15,555,000	United States Steel Corp., 6.650%, 6/01/2037		12,444,000
	5,167,000	United States Steel Corp., 6.875%, 4/01/2021		5,115,330
	2,848,000	United States Steel Corp., 7.375%, 4/01/2020		2,833,760
	38,460,000	United States Steel Corp., 7.500%, 3/15/2022		37,883,100
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,711,458

				337,872,343

		Midstream – 0.8%
	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		738,013
	9,050,000	DCP Midstream LLC, 6.450%, 11/03/2036, 144A		8,801,125
	7,500,000	Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A		8,507,520
	310,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		229,792
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		35,450,129
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		222,425
	26,020,000	Plains All American Pipeline LP, 6.125%, 1/15/2017		26,331,199
	7,325,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		7,374,334
	1,455,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,535,675
	5,556,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		5,633,784
	4,258,532	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		4,609,860
	18,753,000	Williams Partners LP, 3.350%, 8/15/2022		18,563,426

				117,997,282

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – 0.0%
$	54,453	FHLMC, 5.000%, 12/01/2031	$	61,013

		Natural Gas – 0.2%
	4,130,000	NiSource Finance Corp., 6.125%, 3/01/2022		4,927,941
	21,041,000	NiSource Finance Corp., 6.400%, 3/15/2018		22,462,130
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,375,205

				28,765,276

		Non-Agency Commercial Mortgage-Backed Securities – 0.4%
	11,160,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(g)		10,741,801
	16,001,584	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		12,100,440
	38,527,228	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(c)		38,780,063

				61,622,304

		Oil Field Services – 0.8%
	485,000	Basic Energy Services, Inc., 7.750%, 10/15/2022		179,450
	14,585,000	FTS International, Inc., 6.250%, 5/01/2022		5,578,763
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		6,297,900
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		14,437,500
	29,512,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(i)		8,189,580
	47,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(i)		13,062,480
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		8,150
	10,000	Precision Drilling Corp., 6.500%, 12/15/2021		9,050
	20,000	Precision Drilling Corp., 6.625%, 11/15/2020		18,550
	23,050,000	Rowan Cos., Inc., 7.875%, 8/01/2019		24,605,875
	10,432,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A		678,080
	1,180,000	Sidewinder Drilling, Inc., 9.750%, 11/15/2019		76,700
	51,710,000	Transocean, Inc., 5.050%, 10/15/2022		40,527,712
	1,670,000	Transocean, Inc., 6.800%, 3/15/2038		1,093,850

				114,763,640

		Packaging – 0.1%
	10,351,000	Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021		10,790,917
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,726,313

				12,517,230

		Paper – 0.9%
	38,882,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		55,641,891
	9,625,000	International Paper Co., 8.700%, 6/15/2038		14,235,519
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		11,074,879
	25,138,000	WestRock MWV LLC, 8.200%, 1/15/2030		34,277,096

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Paper – continued
$	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027	$	5,130,674
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		19,001,299

				139,361,358

		Property & Casualty Insurance – 0.2%
	2,000,000	Liberty Mutual Group, Inc., (fixed rate to 3/15/2017, variable rate thereafter), 7.000%, 3/07/2067, 144A		1,710,000
	13,985,000	MBIA Insurance Corp., 11.940%, 1/15/2033, 144A(e)(g)		5,594,000
	80,000	MBIA Insurance Corp., 11.940%, 1/15/2033(e)(g)		32,000
	1,371,000	Old Republic International Corp., 4.875%, 10/01/2024		1,482,446
	12,080,000	Sirius International Group, 6.375%, 3/20/2017, 144A		12,271,384
	1,140,000	Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(f)		1,147,296
	6,575,000	XLIT Ltd., 6.250%, 5/15/2027		7,940,614

				30,177,740

		Railroads – 0.1%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		7,767,587
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)		63,140

				7,830,727

		Real Estate Operations/Development – 0.1%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,947,408

		Restaurants – 0.0%
	1,325,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		1,805,415

		Retailers – 0.8%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		5,358,319
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,268,637
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,621,250
	8,524,000	Foot Locker, Inc., 8.500%, 1/15/2022		10,058,320
	7,675,000	GameStop Corp., 5.500%, 10/01/2019, 144A		7,838,094
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		31,794,200
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,899,875
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		16,289,328
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		11,527,221
	815,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		105,950
	24,302,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		24,484,265

				121,245,459

		Sovereigns – 0.4%
	58,860,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		58,628,798
	65,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		64,745

				58,693,543

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Supermarkets – 1.5%
$	107,435,000	New Albertson’s, Inc., 7.450%, 8/01/2029	$	105,286,300
	27,027,000	New Albertson’s, Inc., 7.750%, 6/15/2026		26,925,649
	23,152,000	New Albertson’s, Inc., 8.000%, 5/01/2031		22,833,660
	6,955,000	New Albertson’s, Inc., 8.700%, 5/01/2030		7,059,325
	21,208,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		19,511,360
	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021		3,351,975
	35,540,000	SUPERVALU, Inc., 7.750%, 11/15/2022		33,940,700

				218,908,969

		Supranational – 1.3%
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		16,121,612
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		140,987,020
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		34,496,492

				191,605,124

		Technology – 1.8%
	238,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		233,835
	75,630,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		83,665,687
	57,898,000	Amkor Technology, Inc., 6.375%, 10/01/2022		59,779,685
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,840,229
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,997,226
	73,905,000	KLA-Tencor Corp., 4.650%, 11/01/2024		81,213,983
	12,970,000	KLA-Tencor Corp., 5.650%, 11/01/2034		14,440,046
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,542,378
	3,036,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		3,873,456
	8,080,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		8,888,000

				266,474,525

		Transportation Services – 0.2%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(b)(c)		13,856,040
	6,427,401	Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2018(d)		6,539,880
	1,986,784	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(k)		2,031,487
	1,959,577	Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 1/02/2018(d)		1,959,577
	7,520,331	Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d)(k)		7,745,941
	3,160,409	Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 1/02/2018(d)		3,207,815

				35,340,740

		Treasuries – 26.8%
	597,515,000	Canadian Government, 0.250%, 5/01/2017, (CAD)		454,720,779
	545,500,000	Canadian Government, 0.750%, 9/01/2020, (CAD)		418,699,680

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	254,495,000	Canadian Government, 1.250%, 9/01/2018, (CAD)	$	196,719,330
	6,575,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		7,221,240
	980,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		804,950
	2,040,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		1,349,804
	1,290,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		856,372
	310,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		204,322
	3,710,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)		2,420,574
	4,825,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		3,151,975
	465,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		302,920
	6,200,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		4,046,195
	8,742,110,000	Iceland Government International Bond, 6.000%, 10/13/2016, (ISK)		52,028,564
	2,331,740,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		15,336,742
	5,523,835,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		35,444,608
	8,357,200(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		43,127,458
	8,554,600(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		45,454,057
	4,579,595(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		26,716,530
	10,160,320(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		57,965,085
	39,547,655(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		229,298,588
	3,288,446(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		20,266,535
	34,470,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		224,580,723
	113,749(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		741,103
	137,580,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		107,537,247
	128,565,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		110,254,446
	83,000,000	New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)		62,620,642
	764,599,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		107,988,395
	1,317,525,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		168,580,773
	1,096,778,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		150,619,368
	253,010,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		71,865,685
	97,345,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		30,381,494
	150,000,000	U.S. Treasury Note, 0.500%, 3/31/2017		150,011,700
	275,000,000	U.S. Treasury Note, 0.500%, 7/31/2017		274,742,050
	300,000,000	U.S. Treasury Note, 0.625%, 6/30/2018		299,343,600
	150,000,000	U.S. Treasury Note, 0.750%, 1/31/2018		150,052,800
	150,000,000	U.S. Treasury Note, 0.750%, 8/31/2018		149,970,750

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
$	300,000,000	U.S. Treasury Note, 0.750%, 9/30/2018	$	299,906,400

				3,975,333,484

		Wireless – 0.8%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		14,140,512
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		7,329,797
	44,104,000	Sprint Capital Corp., 6.875%, 11/15/2028		41,402,630
	8,400,000	Sprint Capital Corp., 8.750%, 3/15/2032		8,568,000
	27,683,000	Sprint Communications, Inc., 6.000%, 11/15/2022		25,675,982
	10,853,000	Sprint Corp., 7.125%, 6/15/2024		10,581,675
	11,346,000	Sprint Corp., 7.250%, 9/15/2021		11,388,548

				119,087,144

		Wirelines – 5.6%
	75,360,000	AT&T, Inc., 2.625%, 12/01/2022		75,957,454
	59,951,000	AT&T, Inc., 3.000%, 2/15/2022		61,901,446
	5,790,000	Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,695,203
	3,695,000	Bell Canada, MTN, 7.300%, 2/23/2032, (CAD)		3,924,510
	10,946,000	Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD)		10,628,621
	95,630,000	CenturyLink, Inc., 6.450%, 6/15/2021		102,443,638
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,606,069
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		6,311,850
	11,795,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		12,266,800
	1,440,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		1,369,800
	3,620,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		3,710,500
	11,991,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		11,631,270
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,839,645
	11,505,000	FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A		11,735,100
	21,745,000	Frontier Communications Corp., 6.250%, 9/15/2021		20,902,381
	24,305,000	Frontier Communications Corp., 6.875%, 1/15/2025		21,509,925
	60,000	Frontier Communications Corp., 7.000%, 11/01/2025		52,800
	4,035,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,611,325
	1,240,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,140,800
	1,235,000	Level 3 Financing, Inc., 5.375%, 8/15/2022		1,290,575
	305,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(i)		76,631
	24,165,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(e)		6,243,520
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(e)		11,169,609
	64,382,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		60,840,990
	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		40,342,300
	32,321,000	Qwest Corp., 6.875%, 9/15/2033		32,220,740
	10,785,000	Qwest Corp., 7.250%, 9/15/2025		11,802,327
	785,000	Qwest Corp., 7.250%, 10/15/2035		776,661

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	63,364,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034	$	62,746,201
	32,356,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		32,922,230
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,504,207
	1,850,000	Telefonica Emisiones SAU, 5.134%, 4/27/2020		2,039,336
	2,100,000	Telefonica Emisiones SAU, 5.462%, 2/16/2021		2,384,668
	4,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		7,415,100
	18,145,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		30,127,601
	45,415,000	Telus Corp., 4.950%, 3/15/2017, (CAD)		35,194,159
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		22,687,985
	73,892,000	Verizon Communications, Inc., 2.450%, 11/01/2022		75,044,715

				832,589,892


		Total Non-Convertible Bonds (Identified Cost $11,813,723,956)		11,207,967,207


	Convertible Bonds – 7.3%

		Building Materials – 0.1%
	1,015,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		940,144
	415,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		432,378
	14,067,000	KB Home, 1.375%, 2/01/2019		13,680,157

				15,052,679

		Cable Satellite – 1.3%
	170,470,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		186,664,650

		Chemicals – 0.1%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		7,109,674

		Consumer Products – 0.0%
	675,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		582,188

		Diversified Manufacturing – 0.2%
	25,202,000	Trinity Industries, Inc., 3.875%, 6/01/2036		30,116,390

		Healthcare – 0.3%
	27,720,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		37,768,500

		Leisure – 0.2%
	35,626,000	Rovi Corp., 0.500%, 3/01/2020		35,502,378

		Metals & Mining – 0.0%
	2,005,000	TimkenSteel Corp., 6.000%, 6/01/2021		2,202,994

		Midstream – 0.3%
	33,110,000	Chesapeake Energy Corp., 2.250%, 12/15/2038		30,833,688
	10,327,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		10,262,456

				41,096,144

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2016

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	$	2,527,083
	2,929,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		3,652,097

				6,179,180

		Property & Casualty Insurance – 0.4%
	47,743,000	Old Republic International Corp., 3.750%, 3/15/2018		57,321,439

		Technology – 4.4%
	5,410,000	Brocade Communications Systems, Inc., 1.375%, 1/01/2020		5,338,994
	14,865,000	Ciena Corp., 3.750%, 10/15/2018, 144A		18,804,225
	316,175,000	Intel Corp., 3.250%, 8/01/2039		578,205,031
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		2,554,959
	6,962,350	Liberty Interactive LLC, 3.500%, 1/15/2031		6,476,287
	11,900,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		10,353,000
	1,231,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,154,832
	13,345,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		14,329,194
	15,405,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		15,327,975

				652,544,497


		Total Convertible Bonds (Identified Cost $755,987,319)		1,072,140,713


	Municipals – 1.5%

		District of Columbia – 0.1%
	5,610,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		7,745,671

		Illinois – 0.1%
	25,725,000	State of Illinois, 5.100%, 6/01/2033		24,798,900

		Michigan – 0.1%
	18,050,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		17,713,006

		Virginia – 0.8%
	135,045,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		115,987,450

		Puerto Rico – 0.4%
	85,210,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(i)		55,706,037

		Total Municipals (Identified Cost $249,371,922)		221,951,064


		Total Bonds and Notes (Identified Cost $12,819,083,197)		12,502,058,984

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – 1.5%

		Automotive – 0.1%
$	9,352,240	IBC Capital Ltd., 1st Lien Term Loan, 4.985%, 9/09/2021(g)	$	9,157,433
	7,744,876	IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b)(c)(g)		6,989,751

				16,147,184

		Chemicals – 0.4%
	7,953,832	Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(g)		7,933,947
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(g)		47,511,475

				55,445,422

		Consumer Cyclical Services – 0.5%
	38,130,062	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(g)		31,790,939
	55,750,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(g)		35,680,000

				67,470,939

		Diversified Manufacturing – 0.1%
	12,644,469	Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(g)		7,080,903

		Financial Other – 0.1%
	16,730,113	DBRS Ltd., Term Loan, 6.250%, 3/04/2022(g)		16,406,051

		Industrial Other – 0.0%
	2,819,636	Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(g)		2,802,013

		Media Entertainment – 0.0%
	3,598,822	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(g)		3,427,878

		Natural Gas – 0.0%
	1,829,664	Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(g)		1,527,770

		Oil Field Services – 0.1%
	3,109,527	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(g)		1,222,044
	8,124,988	Paragon Offshore Finance Co., Term Loan B, 5.250%, 7/18/2021(g)(i)		1,960,153
	3,801,875	Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(g)		2,499,733
	3,558,623	UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(g)		1,690,346

				7,372,276

		Other Utility – 0.0%
	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(g)		4,502,375

		Retailers – 0.0%
	4,505,757	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(g)		4,241,043

		Technology – 0.1%
	5,596,800	Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(g)		5,488,390
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(c)(g)		4,969,494

				10,457,884

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Transportation Services – 0.0%
$	4,734,434	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(g)	$	4,716,680

		Wireless – 0.0%
	4,615,385	Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(g)		4,584,600

		Wirelines – 0.1%
	19,347,093	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(c)(g)		18,283,003
	2,548,975	LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(g)		2,548,975

				20,831,978


		Total Senior Loans (Identified Cost $282,499,160)		227,014,996


	Shares

	Common Stocks – 9.3%

		Airlines – 0.1%
	213,831	United Continental Holdings, Inc.(e)		11,219,713

		Automobiles – 1.8%
	21,480,222	Ford Motor Co.		259,266,280

		Containers & Packaging – 0.1%
	645,508	Owens-Illinois, Inc.(e)		11,870,892

		Diversified Telecommunication Services – 0.3%
	375,021	Hawaiian Telcom Holdco, Inc.(e)		8,396,720
	421,481	Level 3 Communications, Inc.(e)		19,548,289
	1,759,489	Telefonica S.A., Sponsored ADR		17,735,649

				45,680,658

		Energy Equipment & Services – 0.0%
	486,727	Hercules Offshore, Inc.(e)		842,038

		Household Durables – 0.1%
	256,311	Newell Brands, Inc.		13,497,337

		Internet Software & Services – 0.0%
	559,124	Dex Media, Inc.(d)(e)		1,111,539

		Metals & Mining – 0.3%
	6,559,672	ArcelorMittal, (Registered)(e)		39,620,419
	324,383	Cliffs Natural Resources, Inc.(e)		1,897,640

				41,518,059

		Multi-Utilities – 0.0%
	63,091	CMS Energy Corp.		2,650,453

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Oil, Gas & Consumable Fuels – 0.4%
	1,033,462	Chesapeake Energy Corp.(e)	$	6,479,807
	248,036	Halcon Resources Corp.(e)		2,326,577
	868,395	Repsol YPF S.A., Sponsored ADR		11,853,592
	231,675	Rex Energy Corp.(e)		135,275
	758,315	Royal Dutch Shell PLC, Sponsored ADR		37,968,832
	2,021	Southcross Holdings Group LLC(d)(e)		—
	2,021	Southcross Holdings LP, Class A(d)(e)		727,560

				59,491,643

		Pharmaceuticals – 1.2%
	3,414,069	Bristol-Myers Squibb Co.		184,086,600

		REITs – Diversified – 0.2%
	226,669	NexPoint Residential Trust, Inc.		4,456,313
	647,982	Weyerhaeuser Co.		20,696,545

				25,152,858

		Semiconductors & Semiconductor Equipment – 4.7%
	18,520,348	Intel Corp.		699,143,137

		Trading Companies & Distributors – 0.1%
	208,780	United Rentals, Inc.(e)		16,387,142


		Total Common Stocks (Identified Cost $995,697,565)		1,371,918,349


	Preferred Stocks – 1.7%

	Convertible Preferred Stocks – 1.5%

		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%		31,525,751
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		16,335,254

				47,861,005

		Communications – 0.0%
	14,923	Cincinnati Bell, Inc., 6.750%		748,538

		Electric – 0.2%
	430,351	AES Trust III, 6.750%		21,947,901

		Energy – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		16,285,500

		Metals & Mining – 0.3%
	1,182,307	Alcoa, Inc., Series 1, 5.375%		38,649,616

		Midstream – 0.4%
	257,387	Chesapeake Energy Corp., 4.500%(e)		11,705,961
	476,844	Chesapeake Energy Corp., 5.000%(e)		20,444,687

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Midstream – continued
	39,322	Chesapeake Energy Corp., 5.750%, 144A(e)	$	20,791,507
	3,044	Chesapeake Energy Corp., 5.750%(e)		1,609,515
	16,454	Chesapeake Energy Corp., Series A, 5.750%, 144A(e)		8,566,364

				63,118,034

		REITs – Diversified – 0.0%
	37,815	Crown Castle International Corp., Series A, 4.500%		4,273,851

		REITs – Health Care – 0.1%
	172,150	Welltower, Inc., 6.500%		11,456,582

		REITs – Hotels – 0.0%
	231,450	FelCor Lodging Trust, Inc., Series A, 1.950%		5,788,564

		REITs – Mortgage – 0.0%
	58,431	iStar, Inc., Series J, 4.500%		2,859,029

		Technology – 0.1%
	95,290	Belden, Inc., 6.750%		9,569,975


		Total Convertible Preferred Stocks (Identified Cost $268,728,572)		222,558,595


	Non-Convertible Preferred Stocks – 0.2%

		Electric – 0.0%
	2,925	Connecticut Light & Power Co., 1.900%		127,878
	100	Entergy Arkansas, Inc., 4.320%		9,853
	5,000	Entergy Mississippi, Inc., 4.360%		489,844
	665	Entergy New Orleans, Inc., 4.360%		69,118
	200	Entergy New Orleans, Inc., 4.750%		20,456
	50,100	Southern California Edison Co., 4.780%		1,268,532

				1,985,681

		Finance Companies – 0.1%
	67,611	iStar, Inc., Series E, 7.875%		1,644,976
	64,123	iStar, Inc., Series F, 7.800%		1,565,242
	16,004	iStar, Inc., Series G, 7.650%		385,056
	149,767	SLM Corp., Series A, 6.970%		7,699,522

				11,294,796

		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(e)		243,188

		REITs – Office Property – 0.0%
	2,318	Highwoods Properties, Inc., Series A, 8.625%		2,972,835

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%	$	10,964,329

		Total Non-Convertible Preferred Stocks (Identified Cost $21,386,932)		27,460,829


		Total Preferred Stocks (Identified Cost $290,115,504)		250,019,424


	Closed-End Investment Companies – 0.0%
	170,002	NexPoint Credit Strategies Fund (Identified Cost $9,807,937)		3,779,144


	Warrants – 0.0%
	67,377	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(d)(e) (Identified Cost $0)		102,811


	Principal Amount (‡)

	Short-Term Investments – 4.0%
$	57,455	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $57,455 on 10/03/2016 collateralized by $57,800 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $58,653 including accrued interest (Note 2 of Notes to Financial Statements)		57,455
	598,750,054	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $598,751,551 on 10/03/2016 collateralized by $3,195,000 U.S. Treasury Note, 1.500% due 3/31/2023 valued at $3,230,944; $100,000,000 U.S. Treasury Note, 1.625% due 5/31/2023 valued at $102,274,000; $425,000,000 U.S. Treasury Note, 1.750% due 5/15/2023 valued at $438,812,500; $58,205,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $62,788,644; $3,285,000 U.S. Treasury Note, 3.500% due 5/15/2020 valued at $3,621,713 including accrued interest (Note 2 of Notes to Financial Statements)		598,750,054

		Total Short-Term Investments (Identified Cost $598,807,509)		598,807,509


		Total Investments – 100.8% (Identified Cost $14,996,010,872)(a)		14,953,701,217
		Other assets less liabilities—(0.8)%		(113,040,712	)

		Net Assets – 100.0%	$	14,840,660,505


	(‡)	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.

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued


(†††)	Amount shown represents units. One unit represents a principal amount of 100.
(a)	Federal Tax Information:
	At September 30, 2016, the net unrealized depreciation on investments based on a cost of $15,261,082,901 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	$	1,404,008,206
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,711,389,890	)

	Net unrealized depreciation	$	(307,381,684	)

(b)	Illiquid security. (Unaudited)
(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $349,009,806 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.
(d)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $53,629,656 or 0.4% 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 September 30, 2016 is disclosed.
(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(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)	Maturity has been extended under the terms of a plan of reorganization.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $2,242,370,975 or 15.1% 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
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
ISK	Icelandic Krona
MXN	Mexican Peso
NOK	Norwegian Krone
NZD	New Zealand Dollar

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Bond Fund – continued

Industry Summary at September 30, 2016


Treasuries	26.8	%
Banking	7.5
Technology	6.4
Wirelines	5.7
Semiconductors & Semiconductor Equipment	4.7
Finance Companies	4.5
Chemicals	3.1
Metals & Mining	2.9
Life Insurance	2.0
Other Investments, less than 2% each	33.2
Short-Term Investments	4.0

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

Currency Exposure Summary at September 30, 2016


United States Dollar	72.9	%
Canadian Dollar	9.3
New Zealand Dollar	5.0
Mexican Peso	4.6
Australian Dollar	3.4
Norwegian Krone	2.8
Other, less than 2% each	2.8

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Statement of Assets and Liabilities

September 30, 2016


ASSETS
Investments at cost	$	14,996,010,872
Net unrealized depreciation		(42,309,655	)

Investments at value		14,953,701,217
Cash		26,254,117
Foreign currency at value (identified cost $2,697,579)		2,709,060
Receivable for Fund shares sold		16,712,682
Receivable for securities sold		10,212,773
Dividends and interest receivable		168,261,916
Tax reclaims receivable		96,383
Prepaid expenses (Note 7)		66,969

TOTAL ASSETS		15,178,015,117

LIABILITIES
Payable for securities purchased		302,784,325
Payable for Fund shares redeemed		25,468,916
Management fees payable (Note 5)		6,470,760
Deferred Trustees’ fees (Note 5)		1,413,395
Administrative fees payable (Note 5)		543,913
Payable to distributor (Note 5d)		128,669
Other accounts payable and accrued expenses		544,634

TOTAL LIABILITIES		337,354,612

NET ASSETS	$	14,840,660,505

NET ASSETS CONSIST OF:
Paid-in capital	$	14,976,246,948
Distributions in excess of net investment income		(133,808,338	)
Accumulated net realized gain on investments and foreign currency transactions		40,775,358
Net unrealized depreciation on investments and foreign currency translations		(42,553,463	)

NET ASSETS	$	14,840,660,505


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	10,045,426,848

Shares of beneficial interest		715,529,831

Net asset value, offering and redemption price per share	$	14.04

Retail Class:
Net assets	$	4,495,996,755

Shares of beneficial interest		321,828,595

Net asset value, offering and redemption price per share	$	13.97

Admin Class shares:
Net assets	$	185,902,070

Shares of beneficial interest		13,355,544

Net asset value, offering and redemption price per share	$	13.92

Class N shares:
Net assets	$	113,334,832

Shares of beneficial interest		8,081,605

Net asset value, offering and redemption price per share	$	14.02

See accompanying notes to financial statements.

35 |

Statement of Operations

For the Year Ended September 30, 2016


INVESTMENT INCOME
Interest	$	734,750,531
Dividends		64,300,905
Less net foreign taxes withheld		(875,588	)

		798,175,848

Expenses
Management fees (Note 5)		84,783,102
Service and distribution fees (Note 5)		13,854,414
Administrative fees (Note 5)		7,217,873
Trustees’ fees and expenses (Note 5)		418,033
Transfer agent fees and expenses (Notes 5 and 6)		12,558,694
Audit and tax services fees		64,391
Custodian fees and expenses		950,872
Legal fees		272,747
Registration fees		245,265
Shareholder reporting expenses		679,498
Miscellaneous expenses (Note 7)		473,087

Total expenses		121,517,976
Less waiver and/or expense reimbursement (Note 5)		(896	)

Net expenses		121,517,080

Net investment income		676,658,768


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(288,703,491	)
Foreign currency transactions		1,196,997
Net change in unrealized appreciation (depreciation) on:
Investments		914,032,411
Foreign currency translations		1,931,776

Net realized and unrealized gain on investments and foreign currency transactions		628,457,693


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	1,305,116,461

See accompanying notes to financial statements.

| 36

Statement of Changes in Net Assets


	Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	676,658,768		$	956,689,736
Net realized gain (loss) on investments and foreign currency transactions		(287,506,494	)		481,989,097
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		915,964,187			(2,911,372,919	)

Net increase (decrease) in net assets resulting from operations		1,305,116,461			(1,472,694,086	)

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(245,533,574	)		(512,255,001	)
Retail Class		(102,678,061	)		(252,624,470	)
Admin Class		(3,770,457	)		(8,089,242	)
Class N		(2,134,874	)		(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		(1,001,777,350	)		(1,420,070,386	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(5,022,677,532	)		(1,987,306,136	)

Net decrease in net assets		(4,719,338,421	)		(4,880,070,608	)
NET ASSETS
Beginning of the year		19,559,998,926			24,440,069,534

End of the year	$	14,840,660,505		$	19,559,998,926

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(133,808,338	)	$	(29,208,524	)

See accompanying notes to financial statements.

37 |

Financial Highlights

For a share outstanding throughout each period.


	Institutional Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	13.65		$	15.49		$	15.09		$	14.99		$	13.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.56			0.61			0.60			0.69			0.72
Net realized and unrealized gain (loss)		0.62			(1.55	)		0.54			0.27			1.24

Total from Investment Operations		1.18			(0.94	)		1.14			0.96			1.96

LESS DISTRIBUTIONS FROM:
Net investment income		(0.29	)		(0.50	)		(0.67	)		(0.86	)		(0.85	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.79	)		(0.90	)		(0.74	)		(0.86	)		(0.85	)

Net asset value, end of the period	$	14.04		$	13.65		$	15.49		$	15.09		$	14.99

Total return		9.17	%		(6.37	)%		7.66	%		6.51	%		14.52	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	10,045,427		$	12,966,991		$	15,488,726		$	12,997,813		$	12,971,639
Net expenses		0.66	%		0.64	%		0.63	%		0.63	%		0.63	%
Gross expenses		0.66	%		0.64	%		0.63	%		0.63	%		0.63	%
Net investment income		4.21	%		4.17	%		3.85	%		4.57	%		4.99	%
Portfolio turnover rate		13	%		22	%		26	%		28	%		20	%

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

See accompanying notes to financial statements.

| 38

Financial Highlights – continued

For a share outstanding throughout each period.


	Retail Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	13.59		$	15.43		$	15.02		$	14.93		$	13.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.53			0.57			0.55			0.65			0.68
Net realized and unrealized gain (loss)		0.61			(1.55	)		0.56			0.25			1.23

Total from Investment Operations		1.14			(0.98	)		1.11			0.90			1.91

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.46	)		(0.63	)		(0.81	)		(0.81	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.76	)		(0.86	)		(0.70	)		(0.81	)		(0.81	)

Net asset value, end of the period	$	13.97		$	13.59		$	15.43		$	15.02		$	14.93

Total return		8.86	%		(6.58	)%		7.40	%		6.15	%		14.25	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	4,495,997		$	6,268,878		$	8,627,288		$	8,282,010		$	8,651,794
Net expenses		0.91	%		0.89	%		0.91	%		0.92	%		0.92	%
Gross expenses		0.91	%		0.89	%		0.91	%		0.92	%		0.92	%
Net investment income		3.97	%		3.91	%		3.58	%		4.28	%		4.69	%
Portfolio turnover rate		13	%		22	%		26	%		28	%		20	%

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

See accompanying notes to financial statements.

39 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Admin Class
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	13.54		$	15.38		$	14.98		$	14.89		$	13.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.49			0.53			0.51			0.61			0.63
Net realized and unrealized gain (loss)		0.62			(1.55	)		0.55			0.25			1.23

Total from Investment Operations		1.11			(1.02	)		1.06			0.86			1.86

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.42	)		(0.59	)		(0.77	)		(0.77	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.73	)		(0.82	)		(0.66	)		(0.77	)		(0.77	)

Net asset value, end of the period	$	13.92		$	13.54		$	15.38		$	14.98		$	14.89

Total return		8.64	%		(6.89	)%		7.15	%		5.88	%		13.91	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	185,902		$	239,088		$	292,668		$	272,181		$	302,018
Net expenses		1.16	%		1.14	%		1.17	%		1.18	%		1.20	%
Gross expenses		1.16	%		1.14	%		1.17	%		1.18	%		1.20	%
Net investment income		3.72	%		3.67	%		3.32	%		4.02	%		4.42	%
Portfolio turnover rate		13	%		22	%		26	%		28	%		20	%

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

See accompanying notes to financial statements.

| 40

Financial Highlights – continued

For a share outstanding throughout each period.


	Class N
	Year Ended September 30, 2016			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)		0.57			0.63			0.59			0.47
Net realized and unrealized gain (loss)		0.61			(1.56	)		0.57			(0.25	)

Total from Investment Operations		1.18			(0.93	)		1.16			0.22

LESS DISTRIBUTIONS FROM:
Net investment income		(0.30	)		(0.51	)		(0.68	)		(0.48	)
Net realized capital gains		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.80	)		(0.91	)		(0.75	)		(0.48	)

Net asset value, end of the period	$	14.02		$	13.64		$	15.48		$	15.07

Total return		9.18	%		(6.31	)%		7.79	%		1.45	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	113,335		$	85,042		$	31,387		$	241
Net expenses		0.58	%		0.57	%		0.58	%(d)		0.65	%(e)(f)
Gross expenses		0.58	%		0.57	%		0.58	%(d)		2.14	%(e)
Net investment income		4.28	%		4.33	%		3.80	%		4.73	%(e)
Portfolio turnover rate		13	%		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)	Includes fee/expense recovery of 0.01%.

(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.

See accompanying notes to financial statements.

41 |

Notes to Financial Statements

September 30, 2016

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. Class N shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution, L.P. (“NGAM Distribution”) and with an initial minimum investment of $1,000,000 to other categories of investors. 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 (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class), and transfer agent fees are borne collectively for Institutional Class, Retail Class, and Admin Class and individually for Class N. 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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

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Notes to Financial Statements – continued

September 30, 2016

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Notes to Financial Statements – continued

September 30, 2016

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.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of September 30, 2016, securities held by the Fund were fair valued as follows:


Securities classified as fair valued	Percentage of Net Assets	Securities fair valued by the Fund’s adviser	Percentage of Net Assets
$349,009,806	2.4%	$53,629,656	0.4%

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

September 30, 2016

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 Statement 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 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.

For the year ended September 30, 2016, the amount of income available to be distributed by the Fund has been reduced by $498,037,452 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 covers 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.

45 |

Notes to Financial Statements – continued

September 30, 2016

There were no when-issued or delayed delivery securities held by the Fund as of September 30, 2016.

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 analysis of the Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The Fund may be subject to foreign 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, defaulted and/or non-income producing securities, distribution re-designations, basis tracking from corporate actions, 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

| 46

Notes to Financial Statements – continued

September 30, 2016

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, corporate actions 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 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 years ended September 30, 2016 and 2015 were as follows:


2016 Distributions Paid From:			2015 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total	Ordinary Income	Long-Term Capital Gains	Total
$363,139,491	$638,637,859	$1,001,777,350	$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 September 30, 2016, the components of distributable earnings on a tax basis were as follows:


Undistributed ordinary income	$	35,943,818
Undistributed long-term capital gains		139,351,343

Total undistributed earnings		175,295,161

Unrealized depreciation		(291,083,978	)

Total accumulated losses	$	(115,788,817	)

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:


Unrealized appreciation (depreciation)
Investments	$	462,174,586
Foreign currency translations		(753,258,564	)

Total unrealized depreciation	$	(291,083,978	)

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

47 |

Notes to Financial Statements – continued

September 30, 2016

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 September 30, 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 market value (including accrued interest) of loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Fund may bear the risk of loss with respect to the investment of the collateral. The Fund invests cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Fund and State Street Bank as lending agent.

For the year ended September 30, 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;

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Notes to Financial Statements – continued

September 30, 2016

•

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 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.

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Notes to Financial Statements – continued

September 30, 2016

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2016, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	14,471,213	$	43,204,647	(b)	$	57,675,860
Airlines		—		199,144,408		114,908	(c)		199,259,316
Chemicals		—		376,233,139		16,637,790	(d)		392,870,929
Finance Companies		3,469,133		653,756,300		—			657,225,433
Metals & Mining		—		337,868,960		3,383	(d)		337,872,343
Transportation Services		—		13,856,040		21,484,700	(d)		35,340,740
All Other Non-Convertible Bonds(a)		—		9,527,722,586		—			9,527,722,586

Total Non-Convertible Bonds		3,469,133		11,123,052,646		81,445,428			11,207,967,207

Convertible Bonds(a)		—		1,072,140,713		—			1,072,140,713
Municipals(a)		—		221,951,064		—			221,951,064

Total Bonds and Notes		3,469,133		12,417,144,423		81,445,428			12,502,058,984

Senior Loans
Wirelines		—		2,548,975		18,283,003	(c)		20,831,978
All Other Senior Loans(a)		—		206,183,018		—			206,183,018

Total Senior Loans		—		208,731,993		18,283,003			227,014,996

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Notes to Financial Statements – continued

September 30, 2016

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Common Stocks
Internet Software & Services	$	—	$	—	$	1,111,539	(d)	$	1,111,539
Oil, Gas & Consumable Fuels(e)		58,764,083		—		727,560	(d)		59,491,643
All Other Common Stocks(a)		1,311,315,167		—		—			1,311,315,167

Total Common Stocks		1,370,079,250		—		1,839,099			1,371,918,349

Preferred Stocks
Convertible Preferred Stocks
Midstream		11,705,961		51,412,073		—			63,118,034
REITs—Mortgage		—		2,859,029		—			2,859,029
All Other Convertible Preferred Stocks(a)		156,581,532		—		—			156,581,532

Total Convertible Preferred Stocks		168,287,493		54,271,102		—			222,558,595

Non-Convertible Preferred Stocks
Electric		1,268,532		717,149		—			1,985,681
REITs—Office Property		—		2,972,835		—			2,972,835
REITs—Warehouse/Industrials		—		10,964,329		—			10,964,329
All Other Non-Convertible Preferred Stocks(a)		11,537,984		—		—			11,537,984

Total Non-Convertible Preferred Stocks		12,806,516		14,654,313		—			27,460,829

Total Preferred Stocks		181,094,009		68,925,415		—			250,019,424

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Notes to Financial Statements – continued

September 30, 2016

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Closed-End Investment Companies	$	3,779,144	$	—	$	—		$	3,779,144
Warrants		—		—		102,811	(d)		102,811
Short-Term Investments		—		598,807,509		—			598,807,509

Total	$	1,558,421,536	$	13,293,609,340	$	101,670,341		$	14,953,701,217

(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 ($29,642,774) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($13,561,873).

(d) Fair valued by the Fund’s adviser.

(e) Includes a security fair valued at zero using Level 3 inputs.

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 September 30, 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	$	—	$	12,967	$	(28,639,049	)	$	464,794
Airlines		376,513		—		68,740		(87,649	)		—
Chemicals		—		419,374		—		(9,105,142	)		—
Metals & Mining		2,706,093		109,722		—		(2,812,432	)		—
Non-Agency Commercial Mortgage-Backed Securities		39,002,217		—		—		—			—
Oil Field Services		4,760,920		—		—		—			—
Retailers		15,663,313		—		—		—			—
Transportation Services		24,921,569		—		792,707		(999,988	)		—
Senior Loans
Wirelines		—		15,552		—		(942,665	)		—
Common Stocks
Internet Software & Services		—		—		—		(1,527,862	)		2,639,401
Oil, Gas & Consumable Fuels		—		—		—		(2,223,432	)		2,950,992
Warrants		—		—		—		102,811			—

Total	$	163,377,879	$	544,648	$	874,414	$	(46,235,408	)	$	6,055,187

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Notes to Financial Statements – continued

September 30, 2016

Asset Valuation Inputs – continued


Investments in Securities – continued	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(4,581,319	)	$	—	$	—		$	43,204,647		$	(29,854,066	)
Airlines		(807,512	)		941,329		(376,513	)		114,908			(87,649	)
Chemicals		—			25,323,558		—			16,637,790			(9,105,142	)
Metals & Mining		—			—		—			3,383			(2,812,432	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		(39,002,217	)		—			—
Oil Field Services		—			—		(4,760,920	)		—			—
Retailers		—			—		(15,663,313	)		—			—
Transportation Services		(3,229,588	)		—		—			21,484,700			(124,460	)
Senior Loans
Wirelines		—			19,210,116		—			18,283,003			(942,665	)
Common Stocks
Internet Software & Services		—			—		—			1,111,539			(1,527,862	)
Oil, Gas & Consumable Fuels		—			—		—			727,560	(a)		(2,223,432	)
Warrants		—			—		—			102,811			102,811

Total	$	(8,618,419	)	$	45,475,003	$	(59,802,963	)	$	101,670,341		$	(46,574,897	)

(a) Includes a security fair valued at zero using Level 3 inputs.

Debt securities valued at $941,329 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 2016, 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.

Debt securities valued at $39,378,730 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

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Notes to Financial Statements – continued

September 30, 2016

Debt securities valued at $25,323,558 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

Debt securities valued at $20,424,233 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 debt security valued at $19,210,116 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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. Purchases and Sales of Securities. For the year ended September 30, 2016, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $873,291,787 and $5,717,233,608, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $1,174,440,429 and $1,460,692,728, 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

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Notes to Financial Statements – continued

September 30, 2016

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. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 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 year ended September 30, 2016, the management fees for the Fund were $84,783,102 (effective rate of 0.52% of average daily net assets).

No expenses were recovered during the year ended September 30, 2016 under the terms of the expense limitation agreement.

b. Service and Distribution Fees. NGAM Distribution, which is a wholly-owned subsidiary of Natixis US, has entered into a distribution agreement with the Trust. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trust.

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted 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,

55 |

Notes to Financial Statements – continued

September 30, 2016

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 year ended September 30, 2016, the service and distribution fees for the Fund were as follows:


Service Fees	Distribution Fees
Admin Class	Retail Class		Admin Class
$533,263		$12,787,888		$533,263

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 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 year ended September 30, 2016, the administrative fees for the Fund were $7,217,873.

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Notes to Financial Statements – continued

September 30, 2016

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 year ended September 30, 2016, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $12,131,665.

As of September 30, 2016, the Fund owes NGAM Distribution $128,669 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

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Notes to Financial Statements – continued

September 30, 2016

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 September 30, 2016, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Fund representing 0.08% and 0.22% 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.

6. Class-Specific Transfer Agent Fees and Expenses. For the year ended September 30, 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
$8,447,037		$3,944,114		$164,684		$2,859

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Notes to Financial Statements – continued

September 30, 2016

7. Line of Credit. Effective April 14, 2016, each Fund, 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 at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.

For the year ended September 30, 2016, the Fund had no borrowings under these agreements.

8. Concentration of Risk. The Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

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Notes to Financial Statements – continued

September 30, 2016

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:


	Year Ended September 30, 2016						Year Ended September 30, 2015
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		160,180,222		$	2,127,904,277			246,690,367		$	3,644,602,280
Issued in connection with the reinvestment of distributions		47,619,624			617,686,160			56,771,737			833,303,917
Redeemed		(442,133,934	)		(5,869,449,395	)		(353,219,966	)		(5,125,809,847	)
	��
Net change		(234,334,088	)	$	(3,123,858,958	)		(49,757,862	)	$	(647,903,650	)

Retail Class
Issued from the sale of shares		42,787,867		$	566,015,340			104,527,961		$	1,544,181,465
Issued in connection with the reinvestment of distributions		23,387,521			301,525,815			31,828,665			465,533,479
Redeemed		(205,716,845	)		(2,732,824,450	)		(234,276,979	)		(3,391,871,683	)

Net change		(139,541,457	)	$	(1,865,283,295	)		(97,920,353	)	$	(1,382,156,739	)

Admin Class
Issued from the sale of shares		2,197,113		$	29,050,927			4,705,090		$	69,390,142
Issued in connection with the reinvestment of distributions		903,959			11,602,619			1,038,776			15,140,337
Redeemed		(7,399,879	)		(98,569,951	)		(7,121,582	)		(103,449,460	)

Net change		(4,298,807	)	$	(57,916,405	)		(1,377,716	)	$	(18,918,981	)

Class N
Issued from the sale of shares		3,139,426		$	41,893,559			5,127,053		$	74,872,446
Issued in connection with the reinvestment of distributions		413,778			5,369,820			199,677			2,908,708
Redeemed		(1,707,652	)		(22,882,253	)		(1,118,321	)		(16,107,920	)

Net change		1,845,552		$	24,381,126			4,208,409		$	61,673,234

Increase (decrease) from capital share transactions		(376,328,800	)	$	(5,022,677,532	)		(144,847,522	)	$	(1,987,306,136	)

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Report of Independent Registered Public Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Shareholders of Loomis Sayles Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Bond Fund, a series of Loomis Sayles Funds Trust I (the “Fund”) at September 30, 2016, and the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

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2016 U.S. Tax Distribution Information to

Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2016, 18.96% of dividends distributed by Bond Fund qualify for the dividends received deduction for corporate shareholders.

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the Bond Fund designated $638,637,859 as capital gains distributions for the fiscal year ended September 30, 2016, unless subsequently determined to be different.

Qualified Dividend Income. For the fiscal year ended September 30, 2016, the Bond Fund will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2016, complete information will be reported in conjunction with Form 1099-DIV.

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Trustee and Officer Information

As of 9/30/16

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 399 Boylston Street, Boston, MA 02116. The Fund’s Statement of Additional Information includes additional information about the trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330.


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	44 Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	44 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	44 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	44 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	44 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	44 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES – continued

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	44 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta⁴ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES – continued

John T. Hailer⁵ (1960)	Trustee since 2003	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

³	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴	Mr. Giunta is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵	Mr. Hailer is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

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Trustee and Officer Information – continued


Name and Year of Birth	Position(s) Held with the Trust	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUST

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

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹	Each officer of the Trust serves for an indefinite term in accordance with the Trust’s current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

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ANNUAL REPORT

September 30, 2016

LOGO

Loomis Sayles High Income Fund

Loomis Sayles Intermediate Duration Bond Fund

Loomis Sayles Limited Term Government

and Agency Fund

LOGO

TABLE OF CONTENTS

Portfolio Review page 1

Portfolio of Investments page 20

Financial Statements page 59

Notes to Financial Statements page 73

LOOMIS SAYLES HIGH INCOME FUND


Managers		Symbols
Matthew J. Eagan, CFA^®		Class A NEFHX
Elaine M. Stokes		Class C NEHCX
Loomis, Sayles & Company, L.P.		Class Y NEHYX

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return

Market Conditions

For roughly the first half of the period, the U.S. dollar continued to strengthen against most major global currencies. But the Fed struck a more dovish tone early in 2016, and this contributed to a pause in the dollar bull market. A more stable dollar supported currencies —particularly those in the emerging markets — that suffered during the dollar’s ascent. The recovery in oil prices also helped ease the strain on commodity-related currencies.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles High Income Fund returned 10.66%. The fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 12.73%.

Explanation of Fund Performance

High yield industrial securities were top contributors to the fund’s relative performance due to industry and security selection. In particular, basic industry and energy holdings

1 |

performed well. High yield utilities also aided relative return and outperformed duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). In addition, out-of-benchmark exposure to Yankee (U.S. dollar-denominated bonds issued by a non-U.S. entity) government-related securities lifted performance.

Out-of-benchmark exposure to non-U.S.-dollar-denominated holdings weighed on relative performance. In particular, securities denominated in the Mexican peso detracted, as the peso hit an all-time low versus the U.S. dollar in mid-September. U.S. dollar appreciation relative to foreign currencies challenged some of the fund’s non-U.S.-dollar-denominated holdings during the period. During the period the Fund’s distributions were reduced to reflect the realization of currency losses from certain bond sales and maturities. In addition, our position in convertible securities detracted from results. Despite generating a positive absolute return, the allocation lagged on a relative basis due to a selected holding in the transportation industry. Our cash and reserve positions lagged the strongly rising high yield market in the second half of the period and hindered results. Out-of-benchmark positions in residential mortgage-backed securities (RMBS), asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS) posted positive absolute returns but detracted on a relative basis. An underweight allocation to the lowest-quality high yield bonds also detracted from performance.

Outlook

Our outlook for the U.S. and global economies remains positive, with expectations for better growth momentum through the end of the year. In the U.S., we expect steady gains in employment, increased bank lending and stronger consumer confidence to support Gross Domestic Product (GDP) growth. The global economy is facing more headwinds but should experience modestly stronger growth next year, led by a healthier U.S. economy and still-accommodative global central bank policies.

We expect low global yields to continue supporting flows into U.S. credit, but at a more modest pace. In this environment, we intend to maintain a yield cushion in our portfolios through exposure to corporate bonds. Credit fundamentals have been stable, reflecting a slowly improving U.S. economy. However, downside risks — including slowing profit growth, rising leverage and free cash flow approaching peak levels — are increasing as we move further into the late stage of the credit cycle.¹ Despite these risks, we believe the current phase of the credit cycle can continue for some time, and we do not expect a significant increase in corporate defaults in 2017.

| 2

LOOMIS SAYLES HIGH INCOME FUND

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

Hypothetical Growth of $10,000 Investment in Class A Shares⁴

September 30, 2006 through September 30, 2016

LOGO

3 |

Average Annual Total Returns — September 30, 2016⁴



										Expense Ratio⁵
	1 Year			5 Years			10 Years			Gross			Net

Class A (Inception 2/22/84)
NAV		10.66	%		7.98	%		6.37	%		1.13	%		1.10	%
With 4.25% Maximum Sales Charge		5.88			7.03			5.90

Class C (Inception 3/2/98)
NAV		9.81			7.16			5.58			1.88	%		1.85	%
With CDSC²		8.81			7.16			5.58

Class Y (Inception 2/29/08)¹
NAV		10.98			8.22			6.59			0.88	%		0.85	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index³		12.73			8.34			7.71

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ngam.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might we on any fund distributions or when they redeem their shares.

1	Prior to the inception of Class Y shares (2/29/08), performance is that of Class A shares, restated to reflect the higher net expenses of that share class.

2	Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

3	Bloomberg 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.

4	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		Class A LSDRX
Clifton V. Rowe, CFA^®		Class C LSCDX
Kurt L. Wagner, CFA^®, CIC		Class Y LSDIX

Investment Goal

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

Market Conditions

Investment-grade corporate bonds performed well during the one-year period, bouncing back from the lows experienced during the fourth quarter of 2015. The sector’s longer duration (greater price sensitivity to interest rate changes) was a positive tailwind, as longer-maturity yields declined. Overall returns were positive across all sectors, with cyclical sectors and energy performing well during the second half of the period.

Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Federal Reserve (the Fed) still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in that market as principal payments from matured securities are reinvested.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of Loomis Sayles Intermediate Duration Bond Fund returned 3.64%. The fund outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 3.52%.

Explanation of Fund Performance

Overall, the fund’s investment-grade holdings generated positive absolute and relative return during the period. Within the space, the industrial and financial sectors contributed the most on a relative basis, primarily due to security selection. Specifically, energy and banking names aided results. In addition, the fund’s exposure to non-agency securitized credit contributed to absolute return and had a significant impact on relative performance. In particular, commercial mortgage-backed securities (CMBS) added to returns. We continued to focus on top-tranche, super-senior CMBS, finding opportunities among seasoned and new issues. Asset-backed securities (ABS) also benefited relative results, as we remained focused on low-risk, high-quality issues. Elsewhere, a meaningful underweight to U.S. Treasuries contributed to returns.

Though our overall exposure to investment-grade industrials lifted absolute and relative results, the fund’s underweight position in the sector hampered relative performance.

5 |

Similarly, government-related securities contributed to relative performance, but the fund’s underweight position in the sector weighed slightly on results. Elsewhere, security selection among agency collateralized mortgage obligations (CMOs) and agency CMBS detracted modestly from relative performance.

Outlook

We believe one Fed rate hike in the next year is probable, with December being the earliest possibility. However, the Fed may delay the hike until the first half of 2017. We expect global quantitative easing and accommodative monetary policy to anchor yields, which is why we expect to maintain underweight positions in lower-yielding government bonds, favoring spread product (non-Treasury securities) instead.

The fund has a modest overweight position to credit, but we have reduced credit beta (a measure of co-movement of portfolio returns to changes in the market return). We remain focused on security selection, buying new issues with concessions and secondary bonds that offer strong risk-return opportunities. We are also maintaining an overweight to CMBS, particularly senior bonds, and view the sector as an attractive alternative to government markets.

We believe MBS valuations appear full and do not fully compensate for prepayment risk. Accordingly, we are focusing on securities with limited prepayment risk. We also believe the high-quality ABS sector remains attractive relative to government bonds, and we are maintaining our exposure to senior and subordinate debt of prime and subprime issuers.

Overall, we continue to pursue a yield advantage relative to the benchmark. We are monitoring our portfolio and holdings in an effort to avoid undue exposures to macroeconomic events, and we continue to evaluate market events and trading levels for potential opportunities.

Hypothetical Growth of $10,000 Investment in Class A Shares^1,4,5

September 30, 2006 through September 30, 2016

LOGO

See notes to chart on page 7.

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LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Average Annual Total Returns — September 30, 2016^4,5



										Expense Ratio⁶
	1 Year			5 Years			10 Years			Gross			Net

Class A (Inception 1/28/98)¹
NAV		3.64	%		2.84	%		4.71	%		0.71	%		0.65	%
With 4.25% Maximum Sales Charge		-0.75			1.94			4.25

Class C (Inception 8/31/16)¹
NAV		2.98			2.00			3.75			1.47			1.40
With CDSC²		1.98			2.00			3.75

Class Y (Inception 5/28/10)¹
NAV		3.90			3.11			4.98			0.47			0.40

Comparative Performance
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index³		3.52			2.45			4.17

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ngam.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might we on any fund distributions or when they redeem their shares.

Effective August 31, 2016, the Fund’s Retail Class shares and Institutional Class shares were redesignated as Class A shares and Class Y shares, respectively. Accordingly, the returns shown in the table for Class A shares prior to August 31, 2016 are those of Retail Class shares, restated to reflect the sales loads of Class A shares, and the returns in the table for Class Y shares prior to August 31, 2016 are those of Institutional Class shares. Prior to the inception of Retail Class shares (May 28, 2010), performance is that of Institutional Class shares, restated to reflect the higher net expenses and sales loads of Class A shares. Prior to the inception of Class C shares (August 31, 2016), performance is that of Retail Class shares, restated to reflect the higher net expenses and sales loads of Class C shares.

2	Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

3	Bloomberg 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.

4	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.

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

As of the most recent prospectus, the investment advisor has contractually agreed to waive fees and/or reimburse expenses (with certain exceptions) once the expense cap of the Fund has been exceeded. This arrangement is set to expire on 1/31/18. When an expense cap has not been exceeded, the Fund may have similar expense ratios.

7 |

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND


Managers		Symbols
Christopher T. Harms		Class A NEFLX
Clifton V. Rowe, CFA^®		Class C NECLX
Kurt L. Wagner, CFA^®, CIC		Class Y NELYX
Loomis, Sayles & Company, L.P.

Investment Goal

The Fund seeks a high current return consistent with preservation of capital.

Market Conditions

In December 2015, the Federal Reserve (the Fed) raised interest rates for the first time since June 2006. This led to modest short-term losses within investment-grade markets and added to an already challenging environment for high yield. After oil prices bottomed in mid-February, capital returned to the financial markets, and riskier assets rebounded strongly. Volatility spiked temporarily in June, following the U.K. referendum vote to leave the European Union (Brexit), but conditions generally remained calm for the rest of the period. Fixed-income markets ended September with positive 12-month returns.

Early in 2016, the Fed projected it would implement four rate hikes during the year. Yet, as of September 30, the federal funds rate target remained unchanged, and financial markets anticipated only one 25 basis point hike before year-end. The Fed consistently lowered economic projections throughout 2016, which removed some of the upward pressure on U.S. Treasury yields. Yields on securitized assets generally followed U.S. Treasury yields lower, resulting in a positive total return for the sector. The Fed still owns $1.7 trillion worth of mortgage-backed securities (MBS) and remains a powerful force in the mortgage market, reinvesting principal payments from matured securities.

Performance Results

For the 12 months ended September 30, 2016, Class A shares of the Loomis Sayles Limited Term Government and Agency Fund returned 0.93%. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. 1-5 Year Government Bond Index, which returned 1.52%.

Explanation of Fund Performance

Duration (price sensitivity to interest rate changes) and yield curve (a curve that shows the relationship among bond yields across the maturity spectrum) positioning were the largest detractors from relative performance. The yield curve flattened during the period, which weighed on results given the fund’s shorter-than-benchmark duration. Exposure to agency collateralized-mortgage obligations (CMOs) had a muted effect on relative performance, as these securities narrowly lagged duration-matched Treasuries (Treasuries with similar duration, or price sensitivity to interest rate changes). However, agency CMOs contributed to the fund’s absolute return.

| 8

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

We maintained a large allocation (in terms of market value) to agency MBS during the period, and these securities were the largest contributors to the fund’s performance. In addition, the fund’s allocation to agency and non-agency commercial mortgage-backed securities (CMBS) also generated positive absolute and relative returns. These bonds considerably outperformed Treasuries on a duration-adjusted basis, which considers a security’s return compared to similar duration Treasuries. Out-of-benchmark exposure to asset-backed securities (ABS) also aided performance, as selected car loans performed particularly well.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) remain narrow relative to history. Additionally, refinancing risk is beginning to increase, as mortgages issued in recent years are of relatively high quality compared with those issued in earlier years. Therefore, we prefer to underweight recently issued 30-year MBS, favoring sectors with less refinance risk, such as low-loan balance mortgages and home equity conversion mortgages. Within the commercial real estate sector, top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment grade CMBS remain attractive. We also believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. We favor buying higher-yielding securities and bonds of less-frequent issuers. Our analysis indicates the credit risk of these securities is inefficiently priced, and they offer attractive opportunities for additional yield.

Hypothetical Growth of $10,000 Investment in Class A Shares³

September 30, 2006 through September 30, 2016

LOGO

9 |

Average Annual Total Returns — September 30, 2016³



										Expense Ratio⁴
	1 Year			5 Years			10 Years			Gross			Net

Class A (Inception 1/3/89)
NAV		0.93	%		1.34	%		3.20	%		0.77	%		0.77	%
With 2.25% Maximum Sales Charge		-1.37			0.89			2.96

Class C (Inception 12/30/94)
NAV		0.18			0.59			2.43			1.53			1.53
With CDSC¹		-0.81			0.59			2.43

Class Y (Inception 3/31/94)
NAV		1.19			1.60			3.47			0.52			0.52

Comparative Performance
Bloomberg Barclays U.S. 1-5 Year Government Bond Index²		1.52			1.11			2.97

Performance data shown represents past performance and is no guarantee of, and not necessarily indicative of, future results. Total return and value will vary, and you may have a gain or loss when shares are sold. Current performance may be lower or higher than quoted. For most recent month-end performance, visit ngam.natixis.com. Performance for other share classes will be greater or less than shown based on differences in fees and sales charges. You may not invest directly in an index. Performance for periods less than one year is cumulative, not annualized. Returns reflect changes in share price and reinvestment of dividends and capital gains, if any. The table(s) do not reflect taxes shareholders might we on any fund distributions or when they redeem their shares.

1	Class C shares performance assumes a 1% CDSC applied when you sell shares within one year of purchase.

2	Bloomberg Barclays U.S. 1-5 Year Government Bond Index is an unmanaged index that includes U.S. Treasury and agency securities with remaining maturities of one to five years.

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

1623923.1.1

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ADDITIONAL INFORMATION

All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.

ADDITIONAL INDEX INFORMATION

PROXY VOTING INFORMATION

A description of the Natixis Funds’ proxy voting policies and procedures is available without charge, upon request, by calling Natixis Funds at 800-225-5478; on the funds’ website at ngam.natixis.com; and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the funds voted proxies relating to portfolio securities the most recent 12-month period ended June 30 is available from the funds’ website and the SEC’s website.

QUARTERLY PORTFOLIO SCHEDULES

The Natixis Funds file complete schedules 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.

11 |

UNDERSTANDING FUND EXPENSES

As a mutual fund shareholder, you incur different costs: transaction costs, including sales charges (loads) on purchases and contingent deferred sales charges on redemptions, and ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. Certain exemptions may apply. These costs are described in more detail in the Funds’ prospectuses. 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 class of Fund shares shows the actual account values and actual fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2016 through September 30, 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 of 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 such as sales charges. Therefore, the second line in the table of each fund 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.

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LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 4/1/2016		ENDING ACCOUNT VALUE 9/30/2016		EXPENSES PAID DURING PERIOD* 4/1/2016 – 9/30/2016
Class A
Actual		$1,000.00		$1,113.30		$5.81
Hypothetical (5% return before expenses)		$1,000.00		$1,019.50		$5.55
Class C
Actual		$1,000.00		$1,108.90		$9.75
Hypothetical (5% return before expenses)		$1,000.00		$1,015.75		$9.32
Class Y
Actual		$1,000.00		$1,115.00		$4.49
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): 1.10%, 1.85% and 0.85% for Class A, C and Y, 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 INTERMEDIATE DURATION BOND FUND	BEGINNING ACCOUNT VALUE 4/1/2016		ENDING ACCOUNT VALUE 9/30/2016		EXPENSES PAID DURING PERIOD 4/1/2016 – 9/30/2016
Class A
Actual		$1,000.00		$1,023.00		$3.29	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,021.75		$3.29	*
Class C
Actual		$1,000.00		$1,000.80		$1.15	²
Hypothetical (5% return before expenses)		$1,000.00		$1,018.00		$7.06	*
Class Y
Actual		$1,000.00		$1,024.30		$2.02	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,023.00		$2.02	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40% and 0.40% for Class A, C and Y 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).

Actual expenses for Class A and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65% and 0.40%, 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).

Class C commenced operations on August 31, 2016. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.40%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (30), divided by 366 (to reflect the partial period).

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND	BEGINNING ACCOUNT VALUE 4/1/2016		ENDING ACCOUNT VALUE 9/30/2016		EXPENSES PAID DURING PERIOD* 4/1/2016 – 9/30/2016
Class A
Actual		$1,000.00		$1,006.40		$3.91
Hypothetical (5% return before expenses)		$1,000.00		$1,021.10		$3.94
Class C
Actual		$1,000.00		$1,002.60		$7.66
Hypothetical (5% return before expenses)		$1,000.00		$1,017.35		$7.72
Class Y
Actual		$1,000.00		$1,007.60		$2.66
Hypothetical (5% return before expenses)		$1,000.00		$1,022.35		$2.68

Expenses are equal to the Fund’s annualized expense ratio: 0.78%, 1.53% and 0.53% for Class A, C and Y, 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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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

15 |

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

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

| 16

consistent with the Fund’s investment objective and policies; (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category; (3) that the Fund’s more recent performance was competitive when compared to relevant performance benchmarks and/or peer groups; and (4) that the Fund’s performance, although lagging the performance of its category for certain periods, was competitive when compared to relevant benchmarks or peer groups.

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

The Trustees also considered the compensation directly or indirectly received or to be received by the Adviser and its affiliates from their relationships with the Funds. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Funds, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about

17 |

court cases in which adviser compensation or profitability were issues and the performance of the relevant Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense caps with respect to such Funds.

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

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

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

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

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

19 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 88.1% of Net Assets
	Non-Convertible Bonds — 84.9%
		ABS Home Equity — 1.9%
$	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.031%, 6/17/2031, 144A(b)	$	294,526
	124,523	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		126,959
	112,788	Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034		111,724
	144,445	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		147,987
	216,848	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.795%, 4/25/2035(b)		170,083
	111,499	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.068%, 11/20/2035(b)(j)		98,704
	257,929	DSLA Mortgage Loan, Series 2005-AR5, Class 2A1A, 0.861%, 9/19/2045(b)		189,887
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.775%, 11/25/2023(b)		264,715
	305,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 3.825%, 10/25/2027(b)		317,172
	193,906	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.558%, 7/19/2035(b)		174,679
	73,490	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 2.880%, 3/25/2036(b)		52,178
	251,332	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.025%, 1/25/2036(b)		163,172
	347,029	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.221%, 3/25/2035(b)		296,313
	343,311	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 2.920%, 3/25/2035(b)		266,022
	68,830	New York Mortgage Trust, Series 2006-1, Class 2A2, 3.005%, 5/25/2036(b)		61,601
	220,000	Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		211,674
	450,053	WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.943%, 1/25/2047(b)		402,398

				3,349,794

		ABS Other — 0.4%
	274,940	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		264,652
	62,877	Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A		63,316
	450,000	Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A		449,316

				777,284

		Aerospace & Defense — 2.8%
	210,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		211,050
	95,000	Engility Corp., 8.875%, 9/01/2024, 144A		96,188
	125,000	Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A		131,250
	115,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		121,613
	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A		796,950
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,470,000
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		985,500

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Aerospace & Defense — continued
$	620,000	TransDigm, Inc., 6.000%, 7/15/2022	$	654,100
	515,000	TransDigm, Inc., 6.500%, 7/15/2024		542,037

				5,008,688

		Airlines — 0.1%
	83,956	Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A		85,215
	119,478	Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A		120,972

				206,187

		Automotive — 1.3%
	195,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		199,875
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		118,306
	240,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		250,200
	700,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		712,250
	310,000	Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A		328,600
	735,000	ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A		771,750

				2,380,981

		Banking — 3.9%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		2,034,625
	485,000	Ally Financial, Inc., 5.750%, 11/20/2025		507,431
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,374,848
	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		428,906
	895,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		843,333
	300,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		300,318
	335,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		349,143
	1,025,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		1,086,104

				6,924,708

		Brokerage — 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		497,550

		Building Materials — 1.5%
	890,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		799,887
	350,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		388,325
	50,000	Masco Corp., 6.500%, 8/15/2032		55,000
	345,000	Masco Corp., 7.750%, 8/01/2029		412,275
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		266,438
	180,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		186,750
	555,000	Vulcan Materials Co., 4.500%, 4/01/2025		599,400

				2,708,075

		Cable Satellite — 7.2%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		815,869
	170,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		177,438
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		495,187
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		652,344
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		449,350
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,938

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Cable Satellite — continued
$	865,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A	$	916,900
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		722,000
	75,000	CSC Holdings LLC, 6.750%, 11/15/2021		79,313
	220,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		253,550
	200,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		234,250
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		928,562
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,599,750
	295,000	DISH DBS Corp., 7.750%, 7/01/2026, 144A		313,437
	150,000	Sirius XM Radio, Inc., 5.750%, 8/01/2021, 144A		157,050
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,557,394
	515,000	Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A		521,437
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		274,278
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		509,250
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		383,437
	595,000	Virgin Media Secured Finance PLC, 5.500%, 8/15/2026, 144A		606,900
	141,963	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(c)		142,673
	840,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		838,950

				12,645,257

		Chemicals — 0.8%
	1,510,000	Hercules, Inc., 6.500%, 6/30/2029		1,359,000

		Construction Machinery — 0.5%
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		830,000

		Consumer Cyclical Services — 0.9%
	455,000	Interval Acquisition Corp., 5.625%, 4/15/2023		469,788
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,163,985

				1,633,773

		Consumer Products — 0.2%
	290,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		299,425

		Electric — 1.7%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		534,950
	150,000	AES Corp. (The), 6.000%, 5/15/2026		158,625
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,755,463
	425,000	NRG Energy, Inc., 6.250%, 7/15/2022		431,375
	100,000	NRG Energy, Inc., 6.625%, 3/15/2023		101,000
	8,608	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		8,619

				2,990,032

		Environmental — 0.3%
	335,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		353,425
	95,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		104,025

				457,450

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — 5.5%
$	740,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021	$	774,225
	685,000	AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021		731,238
	515,000	Aircastle Ltd., 5.500%, 2/15/2022		554,913
	600,000	iStar, Inc., 4.000%, 11/01/2017		601,500
	505,000	iStar, Inc., 5.000%, 7/01/2019		503,677
	1,015,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		964,250
	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		589,388
	870,000	Navient Corp., 5.000%, 10/26/2020		858,037
	200,000	Navient Corp., 5.875%, 3/25/2021		199,250
	435,000	Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A		434,456
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		544,725
	1,335,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,324,987
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,164,112
	405,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		403,481

				9,648,239

		Financial Other — 1.3%
	565,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020		567,825
	695,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019		698,475
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		172,800
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		816,060

				2,255,160

		Food & Beverage — 1.2%
	1,800,000	BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)		513,629
	840,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		876,750
	305,000	JBS USA LLC/JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		299,663
	20,000	JBS USA LLC/JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		20,675
	385,000	Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		393,662

				2,104,379

		Gaming — 1.2%
	175,000	Boyd Gaming Corp., 6.375%, 4/01/2026, 144A		187,688
	375,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		403,125
	725,000	MGM Resorts International, 6.000%, 3/15/2023		786,625
	600,000	MGM Resorts International, 6.750%, 10/01/2020		672,000

				2,049,438

		Government Owned – No Guarantee — 2.3%
	725,000	Petrobras Global Finance BV, 4.875%, 3/17/2020		726,813
	600,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		593,400
	530,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		515,425
	300,000	Petrobras Global Finance BV, 8.375%, 5/23/2021		327,750
	160,521(††)	Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)		764,594
	129,850(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		580,830
	510,000	YPF S.A., 31.354%, 7/07/2020, 144A(b)		594,150

				4,102,962

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)			Description	Value (†)
			Health Insurance — 0.2%
$	365,000		Centene Corp., 6.125%, 2/15/2024	$	396,025

			Healthcare — 4.3%
	360,000		Amsurg Corp., 5.625%, 7/15/2022		368,100
	960,000		CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		825,600
	145,000		Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A		152,250
	260,000		HCA, Inc., 5.375%, 2/01/2025		268,450
	170,000		HCA, Inc., 7.050%, 12/01/2027		180,838
	655,000		HCA, Inc., 7.500%, 12/15/2023		726,231
	145,000		HCA, Inc., 7.500%, 11/06/2033		157,144
	590,000		HCA, Inc., 7.690%, 6/15/2025		663,107
	480,000		HCA, Inc., 8.360%, 4/15/2024		557,318
	820,000		HCA, Inc., MTN, 7.580%, 9/15/2025		924,550
	515,000		HCA, Inc., MTN, 7.750%, 7/15/2036		558,131
	305,000		LifePoint Health, Inc., 5.500%, 12/01/2021		317,963
	65,000		MEDNAX, Inc., 5.250%, 12/01/2023, 144A		68,331
	235,000		Team Health, Inc., 7.250%, 12/15/2023, 144A		252,919
	310,000		Tenet Healthcare Corp., 5.000%, 3/01/2019		303,025
	675,000		Tenet Healthcare Corp., 6.750%, 6/15/2023		627,750
	705,000		Tenet Healthcare Corp., 6.875%, 11/15/2031		579,862

					7,531,569

			Home Construction — 1.3%
	25,000		Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A		26,375
	1,200,000		Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(d)(e)(j)		12
	750,000		K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(e)(f)		525,000
	800,000		Lennar Corp., 4.750%, 5/30/2025		812,000
	915,000	��	TRI Pointe Holdings, Inc./TRI Pointe Group, Inc., 4.375%, 6/15/2019		941,306
	200,000		Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(d)(e)(j)		2
	900,000		Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(d)(e)(j)		9

					2,304,704

			Independent Energy — 7.5%
	1,205,000		Antero Resources Corp., 5.125%, 12/01/2022		1,214,037
	110,000		Antero Resources Corp., 5.375%, 11/01/2021		111,238
	685,000		Baytex Energy Corp., 5.625%, 6/01/2024, 144A		558,275
	370,000		Bonanza Creek Energy, Inc., 5.750%, 2/01/2023		168,350
	650,000		Bonanza Creek Energy, Inc., 6.750%, 4/15/2021		295,750
	90,000		California Resources Corp., 5.500%, 9/15/2021		47,700
	41,000		California Resources Corp., 6.000%, 11/15/2024		19,578
	140,000		Callon Petroleum Co., 6.125%, 10/01/2024, 144A		144,900
	153,000		Chesapeake Energy Corp., 4.875%, 4/15/2022		128,903
	8,000		Chesapeake Energy Corp., 5.750%, 3/15/2023		6,800
	13,000		Chesapeake Energy Corp., 6.125%, 2/15/2021		11,928
	34,000		Chesapeake Energy Corp., 6.625%, 8/15/2020		32,003
	70,000		Concho Resources, Inc., 5.500%, 10/01/2022		72,625
	125,000		Concho Resources, Inc., 5.500%, 4/01/2023		128,906
	795,000		CONSOL Energy, Inc., 5.875%, 4/15/2022		731,400
	645,000		Continental Resources, Inc., 3.800%, 6/01/2024		590,175

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	235,000	Continental Resources, Inc., 4.500%, 4/15/2023	$	225,600
	470,000	Continental Resources, Inc., 5.000%, 9/15/2022		468,825
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023		672,319
	170,000	Halcon Resources Corp., 8.625%, 2/01/2020, 144A		170,850
	145,000	Matador Resources Co., 6.875%, 4/15/2023		150,075
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		324,412
	250,000	MEG Energy Corp., 6.500%, 3/15/2021, 144A		204,062
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		462,150
	185,000	Newfield Exploration Co., 5.625%, 7/01/2024		189,625
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		598,437
	100,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		103,500
	405,000	QEP Resources, Inc., 5.250%, 5/01/2023		398,925
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		516,100
	1,150,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		626,750
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,058,312
	565,000	RSP Permian, Inc., 6.625%, 10/01/2022		591,837
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		264,825
	920,000	SM Energy Co., 5.000%, 1/15/2024		864,800
	35,000	SM Energy Co., 6.125%, 11/15/2022		35,000
	250,000	SM Energy Co., 6.750%, 9/15/2026		252,500
	395,000	Southwestern Energy Co., 6.700%, 1/23/2025		395,000
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		53,213
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		425,425

				13,315,110

		Industrial Other — 0.2%
	330,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		351,450

		Integrated Energy — 0.1%
	100,000	Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(d)		18,500	��
	800,000	Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A(d)		148,000
	580,000	Pacific Exploration and Production Corp., 5.625%, 1/19/2025, 144A(d)		107,300

				273,800

		Life Insurance — 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		337,450

		Lodging — 0.1%
	150,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		153,000

		Media Entertainment — 0.9%
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		465,887
	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,202,644

				1,668,531

		Metals & Mining — 2.6%
	200,000	Anglo American Capital PLC, 4.125%, 9/27/2022, 144A		198,000
	200,000	Anglo American Capital PLC, 4.875%, 5/14/2025, 144A		204,000
	1,395,000	ArcelorMittal, 7.750%, 3/01/2041		1,454,287
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		179,455
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(d)(e)(f)		62,100

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Metals & Mining — continued
$	175,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A	$	156,625
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		238,950
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		1,246,094
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		68,213
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		236,660
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		467,500

				4,511,884

		Midstream — 5.5%
	250,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		252,678
	200,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		204,500
	40,000	Kinder Morgan Energy Partners LP, 3.450%, 2/15/2023		39,874
	60,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		60,093
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		69,185
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		28,218
	270,000	MPLX LP, 4.875%, 12/01/2024		279,268
	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		538,650
	365,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		345,838
	445,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		447,997
	295,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022		325,289
	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		354,200
	985,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		1,040,406
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		516,000
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		464,313
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		890,587
	1,863,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		1,889,082
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		91,794
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		648,000
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		310,500
	15,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021		15,488
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		378,075
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		384,300
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		184,500

				9,758,835

		Non-Agency Commercial Mortgage-Backed Securities — 2.0%
	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.717%, 5/15/2020, 144A(b)(e)(f)		908,874
	1,690,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(b)		1,626,671

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	805,000	Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)	$	806,242
	125,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		122,546

				3,464,333

		Oil Field Services — 0.6%
	130,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		90,212
	430,000	Ensco PLC, 5.750%, 10/01/2044		262,595
	160,000	Noble Holding International Ltd., 5.250%, 3/15/2042		90,400
	160,000	Noble Holding International Ltd., 6.050%, 3/01/2041		94,400
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(d)		120,712
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(d)		251,137
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		27,125
	100,000	Rowan Cos., Inc., 5.850%, 1/15/2044		68,750

				1,005,331

		Packaging — 1.4%
	200,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(h)		199,000
	395,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		396,975
	200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		213,000
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		809,737
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		784,688

				2,403,400

		Pharmaceuticals — 2.4%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,443,750
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		491,575
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		226,575
	85,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		75,863
	2,015,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,737,937
	335,000	VRX Escrow Corp., 5.375%, 3/15/2020, 144A		309,875

				4,285,575

		Property & Casualty Insurance — 0.4%
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		801,720

		Refining — 0.2%
	230,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		228,275
	140,000	Western Refining, Inc., 6.250%, 4/01/2021		138,250

				366,525

		Retailers — 1.2%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		45,798
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		500,815
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		238,825
	35,000	Dillard’s, Inc., 7.875%, 1/01/2023		42,044
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,056,994

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Retailers — continued
$	115,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018	$	119,025
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		67,600

				2,071,101

		Supermarkets — 0.7%
	335,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		334,163
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		860,200

				1,194,363

		Supranational — 2.4%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)		456,617
	5,420,000,000	International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)		1,841,618
	21,150,000	International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR)		313,692
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)		1,575,130

				4,187,057

		Technology — 7.2%
	1,545,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,709,156
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		2,103,700
	550,000	Blackboard, Inc., 7.750%, 11/15/2019, 144A		541,750
	170,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		175,313
	60,000	CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A		63,975
	75,000	CommScope, Inc., 4.375%, 6/15/2020, 144A		77,250
	330,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		341,550
	190,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A		201,870
	1,440,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		1,578,676
	580,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A		637,912
	480,000	Equinix, Inc., 5.375%, 1/01/2022		507,600
	430,000	First Data Corp., 5.000%, 1/15/2024, 144A		436,450
	800,000	First Data Corp., 7.000%, 12/01/2023, 144A		846,000
	200,000	IMS Health, Inc., 5.000%, 10/15/2026, 144A		208,000
	55,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		52,800
	360,000	Micron Technology, Inc., 5.500%, 2/01/2025		352,800
	210,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		239,400
	515,000	Open Text Corp., 5.625%, 1/15/2023, 144A		525,300
	190,000	Open Text Corp., 5.875%, 6/01/2026, 144A		198,788
	275,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		279,812
	405,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		416,137
	235,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		258,500
	755,000	Western Digital Corp., 10.500%, 4/01/2024, 144A		875,800

				12,628,539

		Transportation Services — 0.1%
	275,000	APL Ltd., 8.000%, 1/15/2024(e)(f)		181,500

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Treasuries — 1.7%
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(g)	$	36,392
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(g)		36,512
	20,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(g)		13,052
	107,066(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)		547,216
	142,200(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		719,122
	131,500(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		698,713
	151,030(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		983,998

				3,035,005

		Wireless — 3.7%
	100,000	Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		118,401
	355,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		363,875
	785,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		837,988
	6,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		301,396
	6,100,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		311,363
	605,000	SFR Group S.A., 7.375%, 5/01/2026, 144A		618,425
	786,000	Sprint Capital Corp., 6.875%, 11/15/2028		737,858
	1,420,000	Sprint Corp., 7.250%, 9/15/2021		1,425,325
	605,000	T-Mobile USA, Inc., 6.000%, 4/15/2024		647,350
	370,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		393,125
	515,000	T-Mobile USA, Inc., 6.731%, 4/28/2022		540,750
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		201,500

				6,497,356

		Wirelines — 2.7%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		608,062
	30,000	CenturyLink, Inc., Series T, 5.800%, 3/15/2022		30,750
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		123,663
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		15,138
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		372,600
	340,000	Frontier Communications Corp., 10.500%, 9/15/2022		360,400
	15,000	Frontier Communications Corp., 11.000%, 9/15/2025		15,656
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		736,725
	1,545,000	Level 3 Financing, Inc., 5.250%, 3/15/2026, 144A		1,595,212
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		351,038
	35,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		38,325
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		460,066

				4,707,635

		Total Non-Convertible Bonds (Identified Cost $150,365,268)		149,660,180


	Convertible Bonds — 3.2%
		Building Materials — 0.0%
	25,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		23,156

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Operations — 0.1%
$	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019	$	162,000

		Healthcare — 0.3%
	595,000	Brookdale Senior Living, Inc., 2.750%, 6/15/2018		590,909

		Leisure — 0.4%
	685,000	Rovi Corp., 0.500%, 3/01/2020		682,623

		Media Entertainment — 0.2%
	265,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		275,103

		Metals & Mining — 0.0%
	25,000	RTI International Metals, Inc., 1.625%, 10/15/2019		26,656

		Midstream — 0.6%
	1,068,000	Whiting Petroleum Corp., Series 2, 1.250%, 6/05/2020		1,025,280

		Pharmaceuticals — 0.8%
	604,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		753,113
	765,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		711,928

				1,465,041

		Technology — 0.8%
	30,000	Advanced Micro Devices, Inc., 2.125%, 9/01/2026		32,625
	5,000	CalAmp Corp., 1.625%, 5/15/2020		4,625
	260,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A		293,963
	180,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		159,975
	845,000	Nuance Communications, Inc., 1.000%, 12/15/2035, 144A		735,150
	205,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		203,975

				1,430,313

		Total Convertible Bonds (Identified Cost $5,745,898)		5,681,081


		Total Bonds and Notes (Identified Cost $156,111,166)		155,341,261


	Senior Loans — 1.8%
		Consumer Cyclical Services — 0.2%
	468,419	SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b)		390,544

		Independent Energy — 0.3%
	531,086	Chesapeake Energy Corp., Term Loan, 8.500%, 8/23/2021(b)		557,141

		Media Entertainment — 0.0%
	26,479	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)		25,222

		Other Utility — 0.2%
	239,982	PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b)		239,082
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b)		94,525

				333,607

		Supermarkets — 0.3%
	467,128	Albertson’s LLC, 2016 Term Loan B4, 4.500%, 8/25/2021(b)		470,524

		Transportation Services — 0.0%
	82,401	OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(b)		82,091

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Wirelines — 0.8%
$	1,206,250	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)	$	1,205,599
	159,324	Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/12/2021(b)(e)(f)		150,561

				1,356,160

		Total Senior Loans (Identified Cost $3,297,748)		3,215,289

Shares
	Preferred Stocks — 2.2%
	Convertible Preferred Stocks — 1.9%
		Food & Beverage — 0.2%
	3,415	Bunge Ltd., 4.875%		324,791

		Midstream — 0.3%
	988	Chesapeake Energy Corp., 5.750%(i)		522,405
	20	Chesapeake Energy Corp., 5.750%, 144A(i)		10,575
	137	Chesapeake Energy Corp., 5.750%(i)		71,326

				604,306

		Pharmaceuticals — 1.0%
	888	Allergan PLC, Series A, 5.500%		729,608
	1,439	Teva Pharmaceutical Industries Ltd., 7.000%		1,165,014

				1,894,622

		REITs – Mortgage — 0.1%
	2,107	iStar, Inc., Series J, 4.500%		103,095

		Technology — 0.3%
	4,850	Belden, Inc., 6.750%		487,085

		Total Convertible Preferred Stocks (Identified Cost $3,807,099)		3,413,899


	Non-Convertible Preferred Stocks — 0.3%
		Finance Companies — 0.3%
	12,925	iStar, Inc., Series E, 7.875%		314,466
	7,500	iStar, Inc., Series F, 7.800%		183,075
	550	iStar, Inc., Series G, 7.650%		13,233

				510,774

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		510,774


		Total Preferred Stocks (Identified Cost $4,224,921)		3,924,673


	Other Investments — 0.6%
		Aircraft ABS — 0.6%
	100	ECAF I Blocker Ltd.(e)(j) (Identified Cost $1,000,000)		985,586

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)


Shares		Description	Value (†)
	Common Stocks — 0.7%
		Energy Equipment & Services — 0.0%
	4,625	Hercules Offshore, Inc.(i)	$	8,001

		Internet Software & Services — 0.0%
	4,113	Dex Media, Inc.(i)(j)		8,177

		Oil, Gas & Consumable Fuels — 0.5%
	12,992	Halcon Resources Corp.(i)		121,865
	14,882	Kinder Morgan, Inc.		344,221
	17,250	Rex Energy Corp.(i)		10,072
	49,233	Whiting Petroleum Corp.(i)		430,296

				906,454

		Pharmaceuticals — 0.2%
	5,539	Bristol-Myers Squibb Co.		298,663

		Total Common Stocks (Identified Cost $3,087,477)		1,221,295


	Warrants — 0.0%
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i)		349
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(e)(i)(j)		—
	3,528	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(i)(j)		5,383

		Total Warrants (Identified Cost $29,891)		5,732

Principal Amount (‡)
	Short-Term Investments — 5.5%
$	9,627,235	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $9,627,259 on 10/03/2016 collateralized by $8,940,000 U.S. Treasury Note, 2.750% due 2/15/2024 valued at $9,822,825 including accrued interest (Note 2 of Notes to Financial Statements)		9,627,235
	12,523	Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $12,523 on 10/03/2016 collateralized by $12,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $12,786 including accrued interest (Note 2 of Notes to Financial Statements)		12,523

		Total Short-Term Investments (Identified Cost $9,639,758)		9,639,758


		Total Investments — 98.9% (Identified Cost $177,390,961)(a)		174,333,594
		Other assets less liabilities — 1.1%		1,942,867

		Net Assets — 100.0%	$	176,276,461


	(‡)	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.

| 32

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)



(a)	Federal Tax Information:
	At September 30, 2016, the net unrealized depreciation on investments based on a cost of $177,504,166 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	$	9,142,529
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(12,313,101	)

	Net unrealized depreciation	$	(3,170,572	)


(b)	Variable rate security. Rate as of September 30, 2016 is disclosed.
(c)	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. For the period ended September 30, 2016, interest payments were made in cash and additional debt securities.
(d)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
(e)	Illiquid security. (Unaudited)
(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $1,828,035 or 1.0% of net assets. See Note 2 of Notes to Financial Statements.
(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
(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. For the period ended September 30, 2016, the issuer has not made any interest payments.
(i)	Non-income producing security.
(j)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $1,097,873 or 0.6% of net assets. 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 September 30, 2016, the value of Rule 144A holdings amounted to $60,581,057 or 34.4% of net assets.
ABS	Asset-Backed Securities
GMTN	Global Medium Term Note
MTN	Medium Term Note
PIK	Payment-in-Kind
REITs	Real Estate Investment Trusts

BRL	Brazilian Real
COP	Colombian Peso
EUR	Euro
INR	Indian Rupee
MXN	Mexican Peso

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles High Income Fund – (continued)

At September 30, 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

12/21/2016

Euro

170,000

191,659

233

¹Counterparty is Bank of America, N.A.

Industry Summary at September 30, 2016


Technology	8.3	%
Independent Energy	7.8
Cable Satellite	7.2
Midstream	6.4
Finance Companies	5.8
Healthcare	4.6
Pharmaceuticals	4.4
Banking	3.9
Wireless	3.7
Wirelines	3.5
Aerospace & Defense	2.8
Metals & Mining	2.6
Supranational	2.4
Government Owned – No Guarantee	2.3
Non-Agency Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	25.7
Short-Term Investments	5.5

Total Investments	98.9
Other assets less liabilities (including forward foreign currency contracts)	1.1

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 96.2% of Net Assets
	Non-Convertible Bonds — 96.0%
		ABS Car Loan — 7.2%
$	89,000	AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019	$	89,223
	147,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020		149,175
	375,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		382,602
	152,000	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022		156,134
	72,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		73,880
	160,000	AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022		161,254
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		212,130
	360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A		368,893
	57,648	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		57,694
	225,000	California Republic Auto Receivables Trust, Series 2016-2, Class A3, 1.560%, 7/15/2020		225,869
	52,327	Capital Auto Receivables Asset Trust, Series 2014-2, Class A3, 1.260%, 5/21/2018		52,354
	371,000	Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019		372,594
	2,232	CarFinance Capital Auto Trust, Series 2014-1A, Class A, 1.460%, 12/17/2018, 144A		2,232
	126,211	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		126,057
	20,517	CarMax Auto Owner Trust, Series 2013-4, Class A3, 0.800%, 7/16/2018		20,510
	33,295	CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018		33,275
	9,312	CPS Auto Receivables Trust, Series 2013-D, Class A, 1.540%, 7/16/2018, 144A		9,316
	64,229	CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A		64,194
	465,000	CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A		471,525
	345,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		345,665
	275,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A		276,577
	800,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		813,407
	322,000	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A		324,686
	362,000	Drive Auto Receivables Trust, Series 2016-BA, Class C, 3.190%, 7/15/2022, 144A		368,442
	107,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		108,976
	335,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		342,943
	255,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A		267,670
	440,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		439,742

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	76,020	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A	$	76,069
	8,457	Exeter Automobile Receivables Trust, Series 2014-3A, Class A, 1.320%, 1/15/2019, 144A		8,446
	36,982	First Investors Auto Owner Trust, Series 2013-3A, Class A3, 1.440%, 10/15/2019, 144A		36,989
	40,791	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		40,805
	290,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		295,291
	195,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		203,321
	135,000	Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A		135,984
	115,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		117,236
	230,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		235,147
	705,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A		711,063
	590,000	GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/2019		593,089
	490,000	Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/2020, 144A		490,238
	595,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		593,397
	299,000	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A		299,461
	121,000	Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.970%, 3/15/2021		123,221
	188,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021		190,939
	76,835	SMART Trust/Australia, Series 2013-1US, Class A4A, 1.050%, 10/14/2018		76,752
	138,514	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		137,987
	279,394	World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020		279,627
	640,000	World Omni Auto Receivables Trust, Series 2016-B, Class A3, 1.300%, 2/15/2022		640,376

				11,602,457

		ABS Credit Card — 2.0%
	434,000	Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.360%, 9/15/2020		435,759
	415,000	Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022		427,595
	1,085,000	Chase Issuance Trust, Series 2016-A4, Class A4, 1.490%, 7/15/2022		1,088,616
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		275,314
	470,000	Synchrony Credit Card Master Note Trust, Series 2016-3, Class A, 1.580%, 9/15/2022		470,926
	501,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		521,370	��

				3,219,580

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equity — 1.2%
$	329,364	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A	$	333,422
	221,076	Colony American Homes, Series 2014-1A, Class A, 1.681%, 5/17/2031, 144A(b)		221,183
	26,074	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.633%, 7/25/2021(b)(c)		23,756
	17,729	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		17,988
	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.375%, 10/25/2027(b)		508,624
	226,427	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(b)		227,694
	20,473	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A		20,635
	199,135	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)		201,594
	319,992	Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(b)		324,238
	90,628	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.956%, 5/01/2035(b)		93,799

				1,972,933

		ABS Other — 1.5%
	39,271	CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A		39,233
	132,975	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		133,666
	42,646	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		41,822
	37,958	Global Container Assets Ltd., Series 2013-1A, Class A1, 2.200%, 11/05/2028, 144A		37,886
	398,000	John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021		399,802
	190,263	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		190,686
	385,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A		388,922
	350,000	OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A		358,906
	245,779	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		239,344
	102,478	Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A		102,609
	203,958	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		200,604
	85,015	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		83,285
	204,167	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		198,982

				2,415,747

		ABS Student Loan — 1.1%
	425,726	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.515%, 7/25/2025(b)		423,065
	165,734	SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A		167,789
	528,194	SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A		537,415
	295,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		302,447
	386,359	South Carolina Student Loan Corp., Series 2010-1, Class A2, 1.715%, 7/25/2025(b)		387,974

				1,818,690

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Aerospace & Defense — 0.3%
$	54,000	Rockwell Collins, Inc., 1.200%, 12/15/2016(b)	$	54,035
	450,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A		457,754

				511,789

		Agency Commercial Mortgage-Backed Securities — 4.5%
	648,018	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021		710,644
	509,476	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)		556,115
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		737,552
	371,879	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		378,797
	923,523	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		939,171
	321,775	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		327,282
	1,304,975	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,323,249
	1,014,484	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		1,025,536
	625,673	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.225%, 11/25/2022(b)		626,457
	603,327	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		608,881

				7,233,684

		Airlines — 0.6%
	485,000	American Airlines Pass Through Trust, Series 2016-3, Class A, 3.250%, 4/15/2030		487,488
	74,239	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		83,919
	371,435	Latam Airlines Pass Through Trust, Series 2015-1, Class A, 4.200%, 8/15/2029		363,078

				934,485

		Automotive — 1.9%
	500,000	American Honda Finance Corp., MTN, 1.200%, 7/12/2019		497,071
	447,000	American Honda Finance Corp., MTN, 1.600%, 7/13/2018		450,681
	585,000	BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A		583,332
	220,000	Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A		224,644
	45,000	Delphi Automotive PLC, 3.150%, 11/19/2020		46,594
	360,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		363,359
	326,000	General Motors Financial Co., Inc., 3.450%, 4/10/2022		330,664
	331,000	General Motors Financial Co., Inc., 4.250%, 5/15/2023		343,785
	103,000	Magna International, Inc., 3.625%, 6/15/2024		108,271
	150,000	PACCAR Financial Corp., MTN, 1.200%, 8/12/2019		149,559

				3,097,960

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — 15.1%
$	530,000	ABN AMRO Bank NV, 1.800%, 9/20/2019, 144A	$	530,456
	105,000	Bank of America Corp., 6.000%, 9/01/2017		109,182
	365,000	Bank of Montreal, MTN, 1.500%, 7/18/2019		364,228
	700,000	Bank of Montreal, MTN, 1.900%, 8/27/2021		696,344
	49,000	Bank of Montreal, MTN, 1.400%, 9/11/2017		49,030
	415,000	Bank of New York Mellon Corp. (The), MTN, 2.450%, 8/17/2026		412,461
	845,000	Bank of Nova Scotia, 1.650%, 6/14/2019		846,494
	505,000	Barclays PLC, 3.200%, 8/10/2021		507,655
	295,000	Bear Stearns Cos. LLC (The), 7.250%, 2/01/2018		316,801
	490,000	BNZ International Funding Ltd., 2.100%, 9/14/2021, 144A		487,781
	750,000	Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019		750,005
	520,000	Capital One NA, 2.250%, 9/13/2021		519,803
	220,000	Citigroup, Inc., 4.450%, 9/29/2027		230,224
	430,000	Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019		436,988
	250,000	Comerica Bank, 2.500%, 6/02/2020		255,307
	745,000	Commonwealth Bank of Australia, 2.000%, 9/06/2021, 144A		743,976
	485,000	Cooperatieve Rabobank UA, 4.625%, 12/01/2023		523,754
	450,000	Credit Suisse Group Funding Guernsey Ltd., 3.800%, 6/09/2023, 144A		455,976
	525,000	Danske Bank AS, 2.000%, 9/08/2021, 144A		524,652
	693,000	Deutsche Bank AG, GMTN, 3.375%, 5/12/2021		677,893
	780,000	Fifth Third Bank, Series BKNT, 1.625%, 9/27/2019		779,556
	215,000	Goldman Sachs Group, Inc. (The), 2.750%, 9/15/2020		220,230
	259,000	Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018		273,254
	185,000	HSBC USA, Inc., 2.375%, 11/13/2019		187,273
	430,000	ING Bank NV, 2.050%, 8/15/2021, 144A		430,476
	246,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		259,903
	585,000	JPMorgan Chase Bank NA, 1.650%, 9/23/2019		586,845
	555,000	Key Bank NA, Series BKNT, 1.600%, 8/22/2019		555,047
	445,000	Lloyds Bank PLC, 1.750%, 3/16/2018		445,255
	532,000	Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A		532,810
	116,000	Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018		125,148
	219,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		228,489
	460,000	Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A		460,948
	535,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		573,242
	295,000	National Bank of Canada, 2.100%, 12/14/2018		298,749
	540,000	Nordea Bank AB, 1.625%, 9/30/2019, 144A		539,152
	317,000	Royal Bank of Canada, 1.400%, 10/13/2017		317,168
	652,000	Royal Bank of Canada, GMTN, 1.625%, 4/15/2019		653,470
	305,000	Santander Bank NA, 2.000%, 1/12/2018		305,038
	604,000	Santander Holdings USA, Inc., 2.700%, 5/24/2019		611,542
	365,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A		365,410
	380,000	Santander UK PLC, 2.500%, 3/14/2019		385,666
	675,000	Skandinaviska Enskilda Banken AB, 1.875%, 9/13/2021		669,634
	815,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		850,982
	370,000	Standard Chartered PLC, 4.050%, 4/12/2026, 144A		381,522
	875,000	Sumitomo Mitsui Financial Group, Inc., 2.058%, 7/14/2021		867,867
	525,000	Svenska Handelsbanken AB, Series BKNT, 1.500%, 9/06/2019		523,283

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	335,000	Svenska Handelsbanken AB, Series BKNT, 1.875%, 9/07/2021	$	333,176
	740,000	Toronto-Dominion Bank (The), GMTN, 1.450%, 9/06/2018		741,297
	620,000	UBS Group Funding Jersey Ltd., 2.650%, 2/01/2022, 144A		618,846
	770,000	Wells Fargo Bank NA, 1.750%, 5/24/2019		773,464
	60,000	Westpac Banking Corp., 2.000%, 8/19/2021		59,903

				24,393,655

		Brokerage — 0.3%
	390,000	Ameriprise Financial, Inc., 2.875%, 9/15/2026		390,919
	75,000	Brookfield Finance, Inc., 4.250%, 6/02/2026		77,461

				468,380

		Building Materials — 0.1%
	107,000	Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020		110,182
	40,000	Masco Corp., 3.500%, 4/01/2021		41,400
	27,000	Masco Corp., 7.125%, 3/15/2020		31,050

				182,632

		Cable Satellite — 0.1%
	170,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		208,674

		Chemicals — 0.8%
	535,000	Air Liquide Finance S.A., 2.500%, 9/27/2026, 144A		537,033
	107,000	Airgas, Inc., 3.050%, 8/01/2020		111,042
	107,000	Albemarle Corp., 3.000%, 12/01/2019		110,394
	125,000	Eastman Chemical Co., 4.500%, 1/15/2021		136,319
	45,000	Methanex Corp., 3.250%, 12/15/2019		44,492
	360,000	Westlake Chemical Corp., 3.600%, 8/15/2026, 144A		361,021

				1,300,301

		Collateralized Mortgage Obligations — 1.8%
	230,741	Government National Mortgage Association, Series 2014-H14, Class FA, 0.994%, 7/20/2064(b)		229,406
	162,632	Government National Mortgage Association, Series 2014-H15, Class FA, 0.994%, 7/20/2064(b)		161,583
	629,014	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		629,580
	642,084	Government National Mortgage Association, Series 2016-H06, Class FC, 1.414%, 2/20/2066(b)		646,735
	1,313,210	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.123%, 4/20/2066(b)		1,312,741

				2,980,045

		Construction Machinery — 0.8%
	835,000	Caterpillar Financial Services Corp., 1.700%, 8/09/2021		828,485
	174,000	John Deere Capital Corp., 2.450%, 9/11/2020		179,247
	220,000	John Deere Capital Corp., MTN, 1.250%, 10/09/2019		218,560

				1,226,292

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Consumer Cyclical Services — 0.3%
$	225,000	Alibaba Group Holding Ltd., 2.500%, 11/28/2019	$	229,513
	67,000	Western Union Co. (The), 3.350%, 5/22/2019		68,647
	116,000	Western Union Co. (The), 3.650%, 8/22/2018		119,627

				417,787

		Diversified Manufacturing — 0.7%
	430,000	3M Co., 2.250%, 9/19/2026		429,435
	650,000	Siemens Financieringsmaatschappij NV, 1.700%, 9/15/2021, 144A		645,065
	80,000	Snap-On, Inc., 4.250%, 1/15/2018		83,016

				1,157,516

		Electric — 2.4%
	197,000	Delmarva Power & Light Co., 3.500%, 11/15/2023		213,137
	385,000	DTE Energy Co., 2.850%, 10/01/2026		383,476
	510,000	Duke Energy Corp., 2.650%, 9/01/2026		500,446
	130,000	Duke Energy Progress LLC, 1.035%, 3/06/2017(b)		130,082
	280,000	Entergy Louisiana LLC, 3.050%, 6/01/2031		287,483
	451,000	Exelon Corp., 2.450%, 4/15/2021		460,005
	179,000	Exelon Generation Co. LLC, 2.950%, 1/15/2020		184,493
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		124,492
	395,000	Fortis, Inc., 2.100%, 10/04/2021, 144A		393,554
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		190,880
	280,000	NextEra Energy Capital Holdings, Inc., 1.649%, 9/01/2018		281,106
	456,000	NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017		458,474
	273,000	Southern Co. (The), 2.750%, 6/15/2020		281,593

				3,889,221

		Finance Companies — 0.5%
	617,000	Ares Capital Corp., 3.625%, 1/19/2022		621,019
	228,000	FS Investment Corp., 4.750%, 5/15/2022		234,244

				855,263

		Food & Beverage — 0.4%
	9,000	Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019		9,753
	158,000	Coca-Cola Co. (The), 3.300%, 9/01/2021		170,434
	340,000	Flowers Foods, Inc., 3.500%, 10/01/2026		339,263
	175,000	Hershey Co. (The), 2.300%, 8/15/2026		173,375

				692,825

		Government Owned – No Guarantee — 1.2%
	397,000	Ecopetrol S.A., 5.875%, 9/18/2023		428,264
	775,000	Petroleos Mexicanos, 4.625%, 9/21/2023, 144A		776,085
	780,000	Sinopec Group Overseas Development 2016 Ltd., 1.750%, 9/29/2019, 144A		774,789

				1,979,138

		Health Insurance — 0.4%
	695,000	Aetna, Inc., 1.700%, 6/07/2018		697,214

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Healthcare — 0.6%
$	41,000	Agilent Technologies, Inc., 6.500%, 11/01/2017	$	43,175
	245,000	Express Scripts Holding Co., 3.000%, 7/15/2023		248,845
	183,000	Life Technologies Corp., 6.000%, 3/01/2020		204,634
	36,000	Quest Diagnostics, Inc., 4.700%, 4/01/2021		39,890
	94,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		102,271
	385,000	Thermo Fisher Scientific, Inc., 2.950%, 9/19/2026		382,083

				1,020,898

		Hybrid ARMs — 0.2%
	64,056	FHLMC, 2.691%, 1/01/2035(b)		67,772
	188,352	FHLMC, 2.946%, 5/01/2036(b)		200,627

				268,399

		Independent Energy — 0.4%
	14,000	Anadarko Petroleum Corp., 6.375%, 9/15/2017		14,596
	107,000	ConocoPhillips Co., 2.875%, 11/15/2021		109,931
	156,000	Devon Energy Corp., 5.850%, 12/15/2025		175,559
	179,000	Encana Corp., 6.500%, 5/15/2019		193,300
	103,000	Newfield Exploration Co., 5.750%, 1/30/2022		106,347

				599,733

		Industrial Other — 0.4%
	245,000	CK Hutchison International 16 Ltd., 2.750%, 10/03/2026, 144A		241,250
	440,000	Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A		440,301

				681,551

		Integrated Energy — 0.7%
	540,000	BP Capital Markets PLC, 2.112%, 9/16/2021		543,138
	340,000	BP Capital Markets PLC, 2.750%, 5/10/2023		345,681
	143,000	BP Capital Markets PLC, 3.062%, 3/17/2022		149,794
	94,000	Shell International Finance BV, 1.625%, 11/10/2018		94,272

				1,132,885

		Life Insurance — 1.1%
	165,000	AIG Global Funding, 1.650%, 12/15/2017, 144A		165,677
	402,000	Jackson National Life Global Funding, 3.050%, 4/29/2026, 144A		408,607
	371,000	New York Life Global Funding, 1.450%, 12/15/2017, 144A		372,562
	286,000	Prudential Financial, Inc., 3.500%, 5/15/2024		299,100
	344,000	Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A		346,985
	63,000	Unum Group, 5.625%, 9/15/2020		70,334
	140,000	Voya Financial, Inc., 3.650%, 6/15/2026		139,371

				1,802,636

		Media Entertainment — 0.6%
	95,000	Activision Blizzard, Inc., 2.300%, 9/15/2021, 144A		95,248
	112,000	S&P Global, Inc, 3.300%, 8/14/2020		117,570
	290,000	S&P Global, Inc., 2.950%, 1/22/2027, 144A		291,543
	49,000	Scripps Networks Interactive, Inc., 3.950%, 6/15/2025		51,406
	395,000	Viacom, Inc., 3.450%, 10/04/2026		394,886

				950,653

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Metals & Mining — 0.5%
$	125,000	Alcoa, Inc., 6.750%, 7/15/2018	$	134,687
	164,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		179,647
	273,000	Glencore Funding LLC, 2.125%, 4/16/2018, 144A		270,739
	31,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		32,401
	169,000	Rio Tinto Finance USA PLC, 3.500%, 3/22/2022		182,355

				799,829

		Midstream — 1.0%
	116,000	DCP Midstream Operating LP, 4.950%, 4/01/2022		118,175
	255,000	Energy Transfer Partners LP, 2.500%, 6/15/2018		256,668
	125,000	Energy Transfer Partners LP, 4.650%, 6/01/2021		132,778
	246,000	Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022		258,157
	255,000	Kinder Morgan, Inc., 5.625%, 11/15/2023, 144A		281,147
	117,000	National Fuel Gas Co., 5.200%, 7/15/2025		126,480
	125,000	Plains All American Pipeline LP/PAA Finance Corp., 3.650%, 6/01/2022		126,710
	160,000	Plains All American Pipeline LP/PAA Finance Corp., 3.850%, 10/15/2023		159,152
	45,000	TransCanada PipeLines Ltd., 2.500%, 8/01/2022		45,133
	143,000	Williams Partners LP, 3.600%, 3/15/2022		145,484

				1,649,884

		Mortgage Related — 3.3%
	5,641	FHLMC, 3.000%, 10/01/2026		5,927
	609	FHLMC, 6.500%, 1/01/2024		698
	100	FHLMC, 8.000%, 7/01/2025		114
	217	FNMA, 6.000%, 9/01/2021		223
	247,745	GNMA, 4.285%, 2/20/2063		267,293
	467,595	GNMA, 4.329%, 2/20/2063		501,264
	198,923	GNMA, 4.483%, 10/20/2062		213,438
	438,458	GNMA, 4.501%, 4/20/2063		471,948
	253,140	GNMA, 4.508%, 4/20/2063		272,490
	279,285	GNMA, 4.511%, 5/20/2062		296,033
	218,574	GNMA, 4.514%, 5/20/2062		231,354
	245,131	GNMA, 4.560%, 3/20/2063		263,939
	233,734	GNMA, 4.561%, 3/20/2062		247,357
	282,036	GNMA, 4.571%, 2/20/2063		301,911
	161,377	GNMA, 4.586%, 7/20/2062		171,998
	204,897	GNMA, 4.595%, 6/20/2062		216,863
	423,371	GNMA, 4.624%, 11/20/2064		450,261
	233,197	GNMA, 4.683%, 8/20/2061		242,382
	581,300	GNMA, 4.687%, 5/20/2064		657,457
	1,969	GNMA, 6.500%, 12/15/2023		2,270
	306	GNMA, 8.500%, 9/15/2022		311
	840	GNMA, 9.500%, 1/15/2019		892
	489,227	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		489,673

				5,306,096

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Natural Gas — 0.1%
$	107,000	NiSource Finance Corp., 6.125%, 3/01/2022	$	127,673

		Non-Agency Commercial Mortgage-Backed Securities — 9.2%
	33,483	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		34,258
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		540,907
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		380,316
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049		1,053,170
	295,000	Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A2, 2.450%, 7/10/2049		302,467
	435,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		452,372
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		285,927
	84,913	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		87,023
	232,393	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		239,043
	205,578	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		221,197
	478,193	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047		508,868
	730,000	Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1.377%, 2/13/2032, 144A(b)		728,342
	804,436	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		881,432
	226,424	Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.881%, 6/15/2039(b)		228,786
	153,683	Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.134%, 9/15/2039(b)		157,174
	308,963	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		316,050
	84,913	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		91,358
	222,006	GP Portfolio Trust, Series 2014-GPP, Class A, 1.474%, 2/15/2027, 144A(b)		221,651
	228,914	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		234,962
	203,942	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		204,242
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(b)		354,829
	875,844	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.988%, 8/10/2045(b)		889,058
	236,862	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		251,695

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	344,622	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.940%, 6/15/2049(b)	$	349,364
	88,049	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class A3, 5.420%, 1/15/2049		88,705
	120,665	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		129,835
	313,755	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.504%, 7/15/2031, 144A(b)		313,618
	520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.224%, 7/15/2036, 144A(b)		522,930
	276,271	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 6.008%, 6/12/2050(b)		280,992
	389,059	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		390,944
	211,835	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		213,962
	263,676	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		280,965
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		138,137
	701,647	Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4, 5.692%, 4/15/2049(b)		709,284
	185,000	SCG Trust, Series 2013-SRP1, Class B, 3.024%, 11/15/2026, 144A(b)		178,739
	505,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		510,114
	366,465	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.889%, 6/15/2049(b)		372,496
	376,025	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		382,886
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		214,942
	290,000	Wells Fargo Commercial Mortgage Trust, Series 2016-C35, Class A2, 2.495%, 7/15/2048		298,781
	224,134	WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 1.646%, 11/15/2029, 144A(b)		221,092
	178,764	WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047		189,807
	348,589	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ABS, 3.638%, 5/15/2047		375,868

				14,828,588

		Oil Field Services — 0.2%
	65,000	Nabors Industries, Inc., 4.625%, 9/15/2021		61,254
	143,000	Oceaneering International, Inc., 4.650%, 11/15/2024		144,101
	89,000	Rowan Cos., Inc., 5.000%, 9/01/2017		89,556
	54,000	Schlumberger Holdings Corp., 3.625%, 12/21/2022, 144A		57,886

				352,797

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Pharmaceuticals — 0.9%
$	22,000	Amgen, Inc., 2.200%, 5/22/2019	$	22,409
	147,000	Eli Lilly & Co., 1.950%, 3/15/2019		149,541
	215,000	Gilead Sciences, Inc., 2.500%, 9/01/2023		217,279
	259,000	Mylan, Inc., 4.200%, 11/29/2023		271,034
	775,000	Shire Acquisitions Investments Ireland Designated Activity Co., 1.900%, 9/23/2019		774,602

				1,434,865

		Property & Casualty Insurance — 0.4%
	245,000	Berkshire Hathaway Finance Corp., 1.300%, 8/15/2019		245,414
	355,000	Old Republic International Corp., 3.875%, 8/26/2026		354,376

				599,790

		Railroads — 0.5%
	255,000	Canadian National Railway Co., 1.450%, 12/15/2016		255,152
	206,000	CSX Corp., 3.700%, 10/30/2020		220,169
	27,000	CSX Corp., 6.150%, 5/01/2037		35,162
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		234,845

				745,328

		REITs – Health Care — 0.6%
	478,000	HCP, Inc., 4.000%, 12/01/2022		505,141
	31,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		31,791
	385,000	Ventas Realty LP, 3.250%, 10/15/2026		388,598

				925,530

		REITs – Single Tenant — 0.1%
	179,000	Realty Income Corp., 5.875%, 3/15/2035		220,212

		Retailers — 0.8%
	335,000	El Puerto de Liverpool SAB de CV, 3.875%, 10/06/2026, 144A		330,645
	220,000	Home Depot, Inc. (The), 2.125%, 9/15/2026		216,148
	143,000	Ross Stores, Inc., 3.375%, 9/15/2024		152,041
	380,000	TJX Cos., Inc. (The), 2.250%, 9/15/2026		373,797
	180,000	Walgreens Boots Alliance, Inc., 2.600%, 6/01/2021		184,206

				1,256,837

		Sovereigns — 0.3%
	455,000	Republic of Turkey, 5.625%, 3/30/2021		484,575

		Supermarkets — 0.3%
	545,000	Kroger Co. (The), 2.650%, 10/15/2026		540,930

		Technology — 1.4%
	49,000	Apple, Inc., 2.700%, 5/13/2022		51,203
	139,000	Apple, Inc., 2.850%, 2/23/2023		146,327
	170,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		186,372
	114,000	Hewlett Packard Enterprise Co., 4.400%, 10/15/2022, 144A		121,559
	120,000	Hewlett Packard Enterprise Co., 4.900%, 10/15/2025, 144A		128,077
	246,000	HP, Inc., 4.300%, 6/01/2021		266,065
	72,000	Ingram Micro, Inc., 4.950%, 12/15/2024		72,862
	280,000	Intel Corp., 2.600%, 5/19/2026		285,248

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Technology — continued
$	89,000	Jabil Circuit, Inc., 5.625%, 12/15/2020	$	96,120
	22,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		23,951
	36,000	KLA-Tencor Corp., 4.125%, 11/01/2021		38,746
	770,000	Pitney Bowes, Inc., 3.375%, 10/01/2021		769,630
	67,000	Xerox Corp., 2.800%, 5/15/2020		66,620
	89,000	Xerox Corp., 6.350%, 5/15/2018		94,513

				2,347,293

		Tobacco — 0.0%
	31,000	Philip Morris International, Inc., 2.900%, 11/15/2021		32,535
	5,000	Philip Morris International, Inc., 5.650%, 5/16/2018		5,347

				37,882

		Transportation Services — 0.3%
	430,000	TTX Co., 2.600%, 6/15/2020, 144A		438,406

		Treasuries — 26.1%
	385,000	U.S. Treasury Note, 0.750%, 7/15/2019		383,752
	775,000	U.S. Treasury Note, 0.750%, 8/15/2019		772,305
	1,585,000	U.S. Treasury Note, 0.875%, 9/15/2019		1,584,938
	2,350,900	U.S. Treasury Note, 1.125%, 2/28/2021		2,352,369
	3,735,000	U.S. Treasury Note, 1.125%, 7/31/2021		3,729,603
	4,730,000	U.S. Treasury Note, 1.125%, 8/31/2021		4,725,194
	661,400	U.S. Treasury Note, 1.250%, 3/31/2021		664,862
	5,966,200	U.S. Treasury Note, 1.375%, 1/31/2021		6,031,458
	1,395,000	U.S. Treasury Note, 1.375%, 5/31/2021		1,410,094
	1,790,000	U.S. Treasury Note, 1.375%, 6/30/2023		1,786,853
	5,191,000	U.S. Treasury Note, 1.500%, 8/15/2026		5,140,507
	3,771,900	U.S. Treasury Note, 1.625%, 6/30/2020		3,854,116
	925,000	U.S. Treasury Note, 1.625%, 5/15/2026		926,229
	782,100	U.S. Treasury Note, 1.750%, 4/30/2022		802,019
	3,003,200	U.S. Treasury Note, 1.750%, 1/31/2023		3,074,175
	2,319,500	U.S. Treasury Note, 1.875%, 8/31/2022		2,393,525
	1,805,500	U.S. Treasury Note, 1.875%, 10/31/2022		1,862,698
	728,500	U.S. Treasury Note, 2.000%, 11/15/2021		756,900

				42,251,597

		Wireless — 0.3%
	385,000	Crown Castle International Corp., 4.875%, 4/15/2022		429,467

		Wirelines — 0.5%
	429,000	AT&T, Inc., 3.600%, 2/17/2023		452,206
	400,000	Deutsche Telekom International Finance BV, 1.500%, 9/19/2019, 144A		399,856

				852,062

		Total Non-Convertible Bonds (Identified Cost $154,018,415)		155,342,664

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
	Municipals — 0.2%
		New Jersey — 0.2%
$	275,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017 (Identified Cost $275,000)	$	276,326

		Total Bonds and Notes (Identified Cost $154,293,415)		155,618,990


	Short-Term Investments — 3.7%
	6,065,192	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $6,065,207 on 10/03/2016 collateralized by $5,005,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $5,399,144; $795,000 U.S. Treasury Note, 0.750% due 9/30/2018 valued at $795,000 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,065,192)		6,065,192


		Total Investments — 99.9% (Identified Cost $160,358,607)(a)		161,684,182
		Other assets less liabilities — 0.1%		129,342

		Net Assets — 100.0%	$	161,813,524


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information:
		At September 30, 2016, the net unrealized appreciation on investments based on a cost of $160,672,016 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	$	1,769,978
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(757,812	)

		Net unrealized appreciation	$	1,012,166


	(b)	Variable rate security. Rate as of September 30, 2016 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of this security amounted to $23,756 or less than 0.1% of net assets.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $32,103,749 or 19.8% 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

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Intermediate Duration Bond Fund – (continued)

Industry Summary at September 30, 2016


Treasuries	26.1	%
Banking	15.1
Non-Agency Commercial Mortgage-Backed Securities	9.2
ABS Car Loan	7.2
Agency Commercial Mortgage-Backed Securities	4.5
Mortgage Related	3.3
Electric	2.4
ABS Credit Card	2.0
Other Investments, less than 2% each	26.4
Short-Term Investments	3.7

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 98.1% of Net Assets
		ABS Car Loan — 1.4%
$	1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A	$	1,588,291
	2,210,666	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		2,217,010
	2,695,000	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		2,700,192
	1,825,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A		1,834,738
	478,949	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		479,113
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,490,573
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A		725,688

				13,035,605

		ABS Home Equity — 0.7%
	2,462,863	Home Partners of America Trust, Series 2016-1, Class A, 2.181%, 3/17/2033, 144A(b)		2,478,842
	2,148,185	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)		2,151,174
	1,820,096	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)		1,842,568

				6,472,584

		ABS Student Loan — 0.0%
	400,000	SoFi Professional Loan Program, Series 2016-D, Class A1, 1.600%, 1/25/2039, 144A(b)		400,000

		Agency Commercial Mortgage-Backed Securities — 17.5%
	6,835,078	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.397%, 11/25/2022(b)		6,855,943
	1,000,000	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		1,023,941
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,496,807
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,708,702
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,280,541
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		7,003,968
	3,508,587	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,582,093
	693,427	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		706,327
	2,590,000	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,639,299

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Agency Commercial Mortgage-Backed Securities — continued
$	7,896,503	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019	$	8,030,295
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,744,420
	5,040,000	FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.225%, 9/25/2022(b)		5,045,945
	1,774,943	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.855%, 11/25/2021(b)		1,771,607
	12,048,953	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.175%, 1/25/2023(b)		12,056,521
	5,057,865	FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020		5,060,538
	19,300,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.225%, 11/25/2022(b)		19,324,183
	26,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		26,375,581
	216,741	Government National Mortgage Association, Series 2003-72, Class Z, 5.247%, 11/16/2045(b)		236,368
	192,529	Government National Mortgage Association, Series 2003-88, Class Z, 4.879%, 3/16/2046(b)		209,133
	11,362,046	Government National Mortgage Association, Series 2013-52, Class KX, 3.534%, 8/16/2051(b)		11,781,022

				161,933,234

		Collateralized Mortgage Obligations — 14.4%
	99,136	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.210%, 5/15/2023(b)(c)		94,823
	65,794	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 0.910%, 8/15/2023(b)(c)		64,032
	253,696	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029(c)		276,662
	36,249	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.924%, 11/15/2032(b)(c)		35,544
	1,010,675	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		1,049,407
	1,662,043	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		1,694,112
	1,862,864	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		2,106,332
	2,896,940	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		3,219,979
	375,492	Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034(c)		373,335
	3,126,744	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		3,387,838
	2,053,249	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.287%, 6/15/2048(b)		2,021,516

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	2,412,367	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.265%, 12/15/2036(b)	$	2,539,793
	864,469	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.624%, 6/15/2043(b)		850,702
	1,881,772	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		2,150,590
	67,620	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.470%, 9/25/2022(b)(c)		66,624
	63,703	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.070%, 4/25/2024(b)(c)		62,108
	19,066	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.034%, 8/25/2042(b)(c)		19,778
	1,054,378	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		1,160,461
	436,099	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034(c)		436,062
	1,174,444	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.585%, 7/25/2037(b)		1,151,430
	2,288,457	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.496%, 8/25/2038(b)		2,446,529
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.525%, 7/25/2043(b)		5,253,004
	48,479	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.050%, 4/25/2023(b)(c)		47,266
	11,585	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.479%, 3/25/2044(b)(c)		12,377
	877,555	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 1.689%, 10/25/2044(b)		895,659
	1,359,521	Government National Mortgage Association, Series 2010-H20, Class AF, 0.824%, 10/20/2060(b)		1,347,611
	1,209,951	Government National Mortgage Association, Series 2010-H24, Class FA, 0.844%, 10/20/2060(b)		1,199,816
	1,112,470	Government National Mortgage Association, Series 2011-H06, Class FA, 0.944%, 2/20/2061(b)		1,107,858
	1,973,751	Government National Mortgage Association, Series 2012-124, Class HT, 7.221%, 7/20/2032(b)		2,244,105
	3,400,821	Government National Mortgage Association, Series 2012-H15, Class FA, 0.944%, 5/20/2062(b)		3,401,050
	1,250,509	Government National Mortgage Association, Series 2012-H18, Class NA, 1.014%, 8/20/2062(b)		1,248,508
	6,272,755	Government National Mortgage Association, Series 2012-H29, Class HF, 0.994%, 10/20/2062(b)		6,264,996
	5,641,265	Government National Mortgage Association, Series 2013-H02, Class GF, 0.994%, 12/20/2062(b)		5,636,306
	4,796,689	Government National Mortgage Association, Series 2013-H08, Class FA, 0.844%, 3/20/2063(b)		4,757,129
	3,651,120	Government National Mortgage Association, Series 2013-H10, Class FA, 0.894%, 3/20/2063(b)		3,631,166

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	12,020,528	Government National Mortgage Association, Series 2013-H22, Class FT, 1.180%, 4/20/2063(b)	$	12,130,546
	6,946,284	Government National Mortgage Association, Series 2014-H14, Class FA, 0.994%, 7/20/2064(b)		6,906,075
	4,833,105	Government National Mortgage Association, Series 2014-H15, Class FA, 0.994%, 7/20/2064(b)		4,801,946
	10,631,136	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		10,640,703
	3,031,163	Government National Mortgage Association, Series 2015-H11, Class FA, 0.744%, 4/20/2065(b)		3,013,817
	6,903,969	Government National Mortgage Association, Series 2015-H19, Class FH, 0.794%, 7/20/2065(b)		6,883,130
	2,250,154	Government National Mortgage Association, Series 2015-H29, Class FA, 1.194%, 10/20/2065(b)		2,251,166
	1,427,732	Government National Mortgage Association, Series 2015-H30, Class FA, 1.174%, 8/20/2061(b)		1,426,910
	7,034,594	Government National Mortgage Association, Series 2016-H06, Class FC, 1.414%, 2/20/2066(b)		7,085,553
	4,896,383	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.123%, 4/20/2066(b)		4,894,635
	8,960,000	Government National Mortgage Association, Series 2016-H19, Class FJ, 0.924%, 9/20/2063(b)		8,915,259
	374,713	NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.863%, 12/07/2020(b)		373,858
	874,440	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.969%, 10/07/2020(b)		876,142
	1,361,770	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.079%, 12/08/2020(b)		1,364,132
	89,325	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.079%, 12/08/2020(b)		89,511

				133,907,891

		Government Sponsored — 1.5%
	13,510,000	Federal Home Loan Bank, 1.000%, 9/26/2019		13,498,165

		Hybrid ARMs — 11.2%
	729,415	FHLMC, 2.618%, 4/01/2036(b)		757,205
	969,446	FHLMC, 2.643%, 6/01/2037(b)		1,005,461
	328,308	FHLMC, 2.667%, 9/01/2038(b)		347,246
	1,742,190	FHLMC, 2.681%, 2/01/2036(b)		1,845,277
	1,122,811	FHLMC, 2.694%, 9/01/2038(b)		1,182,525
	5,721,909	FHLMC, 2.709%, 3/01/2037(b)		6,048,926
	2,187,430	FHLMC, 2.720%, 7/01/2033(b)		2,315,794
	3,565,684	FHLMC, 2.721%, 2/01/2036(b)		3,749,812
	1,368,552	FHLMC, 2.754%, 9/01/2038(b)		1,448,444
	880,269	FHLMC, 2.765%, 4/01/2037(b)		931,170
	665,119	FHLMC, 2.798%, 11/01/2038(b)		704,811
	895,565	FHLMC, 2.907%, 11/01/2038(b)		947,070
	1,555,806	FHLMC, 2.921%, 3/01/2036(b)		1,646,566
	2,553,083	FHLMC, 2.927%, 9/01/2035(b)		2,708,766
	579,986	FHLMC, 2.964%, 2/01/2035(b)		611,893
	2,642,512	FHLMC, 2.975%, 4/01/2037(b)		2,793,474
	633,819	FHLMC, 3.001%, 12/01/2034(b)		671,570

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Hybrid ARMs — continued
$	1,562,839	FHLMC, 3.009%, 3/01/2038(b)	$	1,657,496
	708,191	FHLMC, 3.207%, 3/01/2037(b)		752,103
	139,694	FHLMC, 3.460%, 12/01/2037(b)		145,074
	243,818	FNMA, 2.423%, 2/01/2037(b)		253,565
	1,938,069	FNMA, 2.436%, 7/01/2035(b)		2,021,048
	1,336,146	FNMA, 2.527%, 1/01/2036(b)		1,417,199
	737,120	FNMA, 2.543%, 10/01/2033(b)		778,893
	2,785,555	FNMA, 2.625%, 11/01/2033(b)		2,923,244
	2,021,414	FNMA, 2.629%, 10/01/2033(b)		2,141,004
	540,389	FNMA, 2.634%, 11/01/2035(b)		571,095
	750,612	FNMA, 2.637%, 12/01/2034(b)		789,580
	4,695,777	FNMA, 2.649%, 4/01/2034(b)		4,956,185
	662,131	FNMA, 2.660%, 9/01/2034(b)		696,355
	3,543,903	FNMA, 2.689%, 7/01/2035(b)		3,733,579
	3,261,561	FNMA, 2.695%, 4/01/2037(b)		3,426,305
	1,127,951	FNMA, 2.703%, 9/01/2036(b)		1,183,480
	1,422,887	FNMA, 2.738%, 6/01/2036(b)		1,513,233
	6,094,172	FNMA, 2.748%, 10/01/2034(b)		6,438,710
	1,927,283	FNMA, 2.751%, 4/01/2037(b)		2,037,170
	342,277	FNMA, 2.762%, 4/01/2033(b)		360,589
	4,873,130	FNMA, 2.763%, 9/01/2037(b)		5,127,103
	1,449,940	FNMA, 2.801%, 6/01/2033(b)		1,532,071
	879,187	FNMA, 2.806%, 2/01/2037(b)		929,222
	4,104,049	FNMA, 2.807%, 6/01/2037(b)		4,359,536
	1,881,253	FNMA, 2.840%, 8/01/2035(b)		1,982,498
	1,394,468	FNMA, 2.842%, 4/01/2034(b)		1,470,888
	1,112,324	FNMA, 2.873%, 5/01/2035(b)		1,184,657
	481,983	FNMA, 2.905%, 8/01/2035(b)		510,098
	1,139,343	FNMA, 2.906%, 8/01/2034(b)		1,211,001
	4,898,447	FNMA, 2.912%, 3/01/2037(b)		5,174,969
	512,240	FNMA, 2.915%, 8/01/2038(b)		533,554
	1,604,810	FNMA, 2.924%, 2/01/2047(b)		1,685,814
	311,729	FNMA, 2.932%, 8/01/2033(b)		330,817
	3,104,522	FNMA, 2.938%, 9/01/2037(b)		3,279,677
	498,151	FNMA, 2.977%, 8/01/2036(b)		529,421
	744,485	FNMA, 3.011%, 7/01/2041(b)		777,882
	3,948,882	FNMA, 3.039%, 7/01/2037(b)		4,174,272
	1,453,104	FNMA, 3.723%, 6/01/2035(b)		1,537,895

				103,843,292

		Mortgage Related — 18.2%
	115,185	FHLMC, 3.000%, 10/01/2026		121,030
	830,393	FHLMC, 4.000%, with various maturities from 2024 to 2042(d)		889,097
	616,031	FHLMC, 4.500%, with various maturities from 2025 to 2034(d)		659,403
	257,778	FHLMC, 5.500%, 10/01/2023		278,862
	21,376	FHLMC, 6.000%, 11/01/2019		22,353
	388,761	FHLMC, 6.500%, with various maturities from 2017 to 2034(d)		462,647
	444	FHLMC, 7.500%, 6/01/2026		508

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	1,016	FHLMC, 10.000%, 7/01/2019	$	1,068
	17,118	FHLMC, 11.500%, 4/01/2020		17,378
	184,299	FNMA, 3.000%, 3/01/2042		192,982
	2,273,646	FNMA, 5.000%, with various maturities from 2037 to 2038(d)		2,554,052
	1,231,376	FNMA, 5.500%, with various maturities from 2018 to 2033(d)		1,366,694
	1,651,014	FNMA, 6.000%, with various maturities from 2017 to 2022(d)		1,794,481
	233,281	FNMA, 6.500%, with various maturities from 2017 to 2037(d)		271,982
	13,309	FNMA, 7.000%, 12/01/2022		13,345
	91,131	FNMA, 7.500%, with various maturities from 2017 to 2032(d)		104,598
	4,336,123	GNMA, 2.208%, 2/20/2061(b)		4,521,165
	3,232,773	GNMA, 2.339%, 2/20/2063(b)		3,388,302
	4,385,572	GNMA, 2.626%, 3/20/2063(b)		4,633,273
	1,261,976	GNMA, 2.724%, 6/20/2065(b)		1,348,568
	1,210,219	GNMA, 2.730%, 5/20/2065(b)		1,294,990
	2,445,643	GNMA, 2.822%, 2/20/2063(b)		2,594,125
	3,551,932	GNMA, 4.427%, 6/20/2063		3,854,579
	1,948,674	GNMA, 4.444%, 3/20/2063		2,096,102
	1,907,628	GNMA, 4.463%, 2/20/2063		2,041,135
	4,148,796	GNMA, 4.485%, 2/20/2062		4,378,834
	4,816,485	GNMA, 4.489%, 10/20/2065		5,458,652
	4,374,273	GNMA, 4.531%, 12/20/2061		4,610,692
	6,853,370	GNMA, 4.542%, 12/20/2062		7,342,516
	16,544,009	GNMA, 4.550%, 12/20/2061		17,444,170
	1,959,476	GNMA, 4.561%, 3/20/2062		2,073,678
	11,545,510	GNMA, 4.590%, 11/20/2062		12,339,444
	1,388,086	GNMA, 4.594%, 4/20/2063		1,499,740
	4,094,189	GNMA, 4.595%, 6/20/2062		4,333,277
	2,927,424	GNMA, 4.605%, with various maturities from 2063 to 2066(d)		3,279,994
	1,203,793	GNMA, 4.608%, 8/20/2061		1,261,499
	1,712,536	GNMA, 4.632%, 3/20/2062		1,810,351
	1,846,024	GNMA, 4.634%, 3/20/2064		2,063,485
	2,147,848	GNMA, 4.651%, 11/20/2063		2,397,994
	450,104	GNMA, 4.659%, 1/20/2064		503,498
	6,964,075	GNMA, 4.667%, 2/20/2062		7,366,325
	8,263,251	GNMA, 4.683%, 8/20/2061		8,588,712
	3,384,024	GNMA, 4.686%, 2/20/2062		3,564,018
	1,913,903	GNMA, 4.687%, 5/20/2064		2,164,647
	1,397,257	GNMA, 4.699%, 6/20/2061		1,445,477
	7,166,717	GNMA, 4.700%, with various maturities in 2061(d)		7,485,738
	1,436,100	GNMA, 4.717%, 3/20/2061		1,492,528
	1,293,394	GNMA, 4.755%, 8/20/2062		1,365,710
	582,287	GNMA, 5.082%, 4/20/2061		614,393
	18,371	GNMA, 6.000%, 12/15/2031		21,462
	80,605	GNMA, 6.500%, 5/15/2031		97,180
	75,702	GNMA, 7.000%, 10/15/2028		84,167
	4,312,989	Government National Mortgage Association, Series 2015-H04, Class FL, 0.964%, 2/20/2065(b)		4,281,786

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	5,629,379	Government National Mortgage Association, Series 2015-H05, Class FA, 0.794%, 4/20/2061(b)	$	5,587,691
	13,069,884	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		13,081,801
	6,560,540	Government National Mortgage Association, Series 2015-H12, Class FL, 0.724%, 5/20/2065(b)		6,484,784

				169,046,962

		Non-Agency Commercial Mortgage-Backed Securities — 5.9%
	636,349	A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A		633,516
	2,482,346	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.791%, 4/10/2049(b)		2,495,375
	313,904	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051		321,167
	3,445,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 2.424%, 12/15/2033, 144A(b)		3,485,834
	478,172	Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 1.674%, 5/15/2032, 144A(b)		478,168
	3,256,355	CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.924%, 12/15/2027, 144A(b)		3,259,415
	2,465,794	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.474%, 6/15/2031, 144A(b)		2,465,014
	3,425,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 1.894%, 10/15/2031, 144A(b)		3,361,697
	3,040,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class SV1, 2.374%, 10/15/2031, 144A(b)(e)(f)		3,037,018
	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		4,576,456
	2,438,425	GP Portfolio Trust, Series 2014-GPP, Class A, 1.474%, 2/15/2027, 144A(b)		2,434,522
	3,280,539	Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049		3,367,221
	3,042,252	Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039		3,046,731
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.424%, 10/15/2029, 144A(b)		5,480,323
	1,478,689	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.504%, 7/15/2031, 144A(b)		1,478,041
	4,115,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.224%, 7/15/2036, 144A(b)		4,138,186
	985,704	LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040		993,848
	706,197	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048		709,618
	1,788,000	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		1,805,955
	1,723,925	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.580%, 4/15/2032, 144A(b)		1,705,287
	3,700,000	Starwood Retail Property Trust, Inc., 1.744%, 11/15/2027, 144A(b)		3,670,622

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	1,361,349	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046	$	1,386,189

				54,330,203

		Sovereigns — 0.2%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,995,566

		Treasuries — 27.1%
	6,635,000	U.S. Treasury Note, 0.750%, 7/15/2019		6,613,489
	6,000,000	U.S. Treasury Note, 0.750%, 8/15/2019		5,979,138
	15,365,000	U.S. Treasury Note, 1.000%, 10/31/2016		15,375,156
	15,970,000	U.S. Treasury Note, 1.125%, 1/15/2019		16,077,303
	24,105,000	U.S. Treasury Note, 1.125%, 6/30/2021		24,076,749
	28,700,000	U.S. Treasury Note, 1.125%, 8/31/2021		28,670,841
	21,450,000	U.S. Treasury Note, 1.250%, 1/31/2020		21,647,748
	48,640,000	U.S. Treasury Note, 1.375%, 1/31/2021		49,172,024
	15,120,000	U.S. Treasury Note, 1.375%, 9/30/2023		15,062,710
	4,860,000	U.S. Treasury Note, 1.500%, 5/31/2020		4,943,339
	8,705,000	U.S. Treasury Note, 1.625%, 3/31/2019		8,870,595
	2,385,000	U.S. Treasury Note, 1.625%, 8/31/2019		2,435,216
	10,050,000	U.S. Treasury Note, 1.625%, 12/31/2019		10,266,306
	17,125,000	U.S. Treasury Note, 1.625%, 7/31/2020		17,497,606
	10,360,000	U.S. Treasury Note, 1.625%, 11/30/2020		10,583,797
	13,545,000	U.S. Treasury Note, 2.125%, 8/31/2020		14,092,625

				251,364,642

		Total Bonds and Notes (Identified Cost $912,811,312)		909,828,144


	Short-Term Investments — 2.1%
	7,910,000	Federal Home Loan Bank Discount Notes, 0.100%, 10/06/2016(g)		7,909,873
	7,910,000	Federal Home Loan Bank Discount Notes, 0.100%, 10/07/2016(g)		7,909,834
	4,037,380	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $4,037,390 on 10/03/2016 collateralized by $3,750,000 U.S. Treasury Note, 2.750% due 2/15/2024 valued at $4,120,313 including accrued interest (Note 2 of Notes to Financial Statements)		4,037,380

		Total Short-Term Investments (Identified Cost $19,857,226)		19,857,087


		Total Investments — 100.2% (Identified Cost $932,668,538)(a)		929,685,231
		Other assets less liabilities — (0.2)%		(2,088,995	)

		Net Assets — 100.0%	$	927,596,236

	(†)	See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of September 30, 2016

Loomis Sayles Limited Term Government and Agency Fund – (continued)



(a)	Federal Tax Information:
	At September 30, 2016, the net unrealized depreciation on investments based on a cost of $932,952,443 for federal income tax purposes was as follows:
	Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	5,747,831
	Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(9,015,043	)

	Net unrealized depreciation	$	(3,267,212	)


(b)	Variable rate security. Rate as of September 30, 2016 is disclosed.
(c)	Fair valued by the Fund’s adviser. At September 30, 2016, the value of these securities amounted to $1,488,611 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
(d)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $3,037,018 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
(f)	Illiquid security. (Unaudited)
(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, the value of Rule 144A holdings amounted to $55,535,832 or 6.0% 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

Industry Summary at September 30, 2016


Treasuries	27.1	%
Mortgage Related	18.2
Agency Commercial Mortgage-Backed Securities	17.5
Collateralized Mortgage Obligations	14.4
Hybrid ARMs	11.2
Non-Agency Commercial Mortgage-Backed Securities	5.9
Other Investments, less than 2% each	3.8
Short-Term Investments	2.1

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 58

Statements of Assets and Liabilities

September 30, 2016


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
ASSETS
Investments at cost	$	177,390,961		$	160,358,607		$	932,668,538
Net unrealized appreciation (depreciation)		(3,057,367	)		1,325,575			(2,983,307	)

Investments at value		174,333,594			161,684,182			929,685,231
Cash		11,497			—			8,963,956
Due from brokers (Note 2)		7,000			—			—
Receivable for Fund shares sold		409,880			3,625,476			903,845
Receivable for securities sold		3,125			3,607,407			40,358,826
Dividends and interest receivable		2,502,833			557,071			2,466,162
Unrealized appreciation on forward foreign currency contracts (Note 2)		233			—			—
Tax reclaims receivable		113			—			—
Prepaid expenses (Note 7)		667			630			4,123

TOTAL ASSETS		177,268,942			169,474,766			982,382,143

LIABILITIES
Payable for securities purchased		576,206			7,435,392			52,896,451
Payable for Fund shares redeemed		94,323			68,176			866,403
Distributions payable		—			—			282,209
Management fees payable (Note 6)		104,536			20,822			286,840
Deferred Trustees’ fees (Note 6)		138,870			91,845			277,672
Administrative fees payable (Note 6)		6,242			5,648			33,812
Payable to distributor (Note 6d)		2,170			670			5,346
Other accounts payable and accrued expenses		70,134			38,689			137,174

TOTAL LIABILITIES		992,481			7,661,242			54,785,907

NET ASSETS	$	176,276,461		$	161,813,524		$	927,596,236

NET ASSETS CONSIST OF:
Paid-in capital	$	182,442,032		$	159,609,800		$	943,352,211
Undistributed (Distributions in excess of) net investment income		(462,119	)		(46,973	)		206,971
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(2,644,640	)		925,122			(12,979,639	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(3,058,812	)		1,325,575			(2,983,307	)

NET ASSETS	$	176,276,461		$	161,813,524		$	927,596,236

See accompanying notes to financial statements.

59 |

Statements of Assets and Liabilities (continued)

September 30, 2016


	High Income Fund		Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	34,820,023	$	19,327,479	$	442,671,381

Shares of beneficial interest		8,231,175		1,836,345		38,461,737

Net asset value and redemption price per share	$	4.23	$	10.52	$	11.51

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	4.42	$	10.99	$	11.77

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	12,287,615	$	3,088,270	$	73,026,808

Shares of beneficial interest		2,897,625		293,283		6,339,471

Net asset value and offering price per share	$	4.24	$	10.53	$	11.52

Class Y shares:
Net assets	$	129,168,823	$	139,397,775	$	411,898,047

Shares of beneficial interest		30,608,965		13,248,536		35,673,753

Net asset value, offering and redemption price per share	$	4.22	$	10.52	$	11.55

See accompanying notes to financial statements.

| 60

Statements of Operations

For the Year Ended September 30, 2016


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
INVESTMENT INCOME
Interest	$	9,845,287		$	3,328,498		$	15,742,859
Dividends		321,901			—			—
Less net foreign taxes withheld		(2,758	)		(80	)		—

		10,164,430			3,328,418			15,742,859

Expenses
Management fees (Note 6)		971,664			330,657			3,309,940
Service and distribution fees (Note 6)		203,910			48,482			1,782,782
Administrative fees (Note 6)		71,381			58,358			401,349
Trustees’ fees and expenses (Note 6)		28,536			25,555			51,193
Transfer agent fees and expenses (Note 6)		197,329			41,660			719,832
Audit and tax services fees		52,554			52,558			56,844
Custodian fees and expenses		23,140			19,407			46,340
Legal fees		2,651			2,182			15,311
Registration fees		66,659			64,111			81,496
Shareholder reporting expenses		15,158			20,771			48,327
Miscellaneous expenses (Note 7)		15,326			10,365			32,743

Total expenses		1,648,308			674,106			6,546,157
Less waiver and/or expense reimbursement (Note 6)		(67,553	)		(96,550	)		—

Net expenses		1,580,755			577,556			6,546,157

Net investment income		8,583,675			2,750,862			9,196,702

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(5,386,807	)		1,570,969			2,246,153
Futures contracts		(176,542	)		—			—
Foreign currency transactions		217,666			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		13,492,650			1,160,767			(2,140,764	)
Futures contracts		160,868			—			—
Foreign currency translations		(247,496	)		—			—

Net realized and unrealized gain on investments, futures contracts and foreign currency transactions		8,060,339			2,731,736			105,389

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	16,644,014		$	5,482,598		$	9,302,091

See accompanying notes to financial statements.

61 |

Statements of Changes in Net Assets


	High Income Fund						Intermediate Duration Bond Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	8,583,675		$	8,768,344		$	2,750,862		$	1,895,908
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(5,345,683	)		1,420,418			1,570,969			453,061
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		13,406,022			(19,080,751	)		1,160,767			(279,129	)

Net increase (decrease) in net assets resulting from operations		16,644,014			(8,891,989	)		5,482,598			2,069,840	��

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,391,187	)		(1,926,317	)		(390,657	)		(195,269	)
Class B(a)		(14	)		(2,085	)		—			—
Class C		(384,341	)		(515,596	)		(1	)		—
Class Y		(4,855,484	)		(6,296,139	)		(2,556,145	)		(1,890,490	)
Net realized capital gains
Class A		(81,866	)		(1,004,492	)		(64,649	)		(2,801	)
Class B(a)		(3	)		(2,711	)		—			—
Class C		(29,530	)		(348,393	)		—			—
Class Y		(273,287	)		(3,159,866	)		(284,383	)		(35,990	)

Total distributions		(7,015,712	)		(13,255,599	)		(3,295,835	)		(2,124,550	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(670,213	)		6,973,865			52,609,062			34,383,012

Net increase (decrease) in net assets		8,958,089			(15,173,723	)		54,795,825			34,328,302
NET ASSETS
Beginning of the year		167,318,372			182,492,095			107,017,699			72,689,397

End of the year	$	176,276,461		$	167,318,372		$	161,813,524		$	107,017,699

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(462,119	)	$	61,927		$	(46,973	)	$	(64,773	)

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

See accompanying notes to financial statements.

| 62

Statements of Changes in Net Assets (continued)


	Limited Term Government and Agency Fund
	Year Ended September 30, 2016			Year Ended September 30, 2015
FROM OPERATIONS:
Net investment income	$	9,196,702		$	9,761,506
Net realized gain on investments		2,246,153			4,686,019
Net change in unrealized appreciation (depreciation) on investments		(2,140,764	)		(4,747,808	)

Net increase in net assets resulting from operations		9,302,091			9,699,717

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(5,792,542	)		(5,253,842	)
Class B(a)		(5,359	)		(29,227	)
Class C		(543,862	)		(503,848	)
Class Y		(7,311,896	)		(6,898,857	)

Total distributions		(13,653,659	)		(12,685,774	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		88,093,679			141,117,260

Net increase in net assets		83,742,111			138,131,203
NET ASSETS
Beginning of the year		843,854,125			705,722,922

End of the year	$	927,596,236		$	843,854,125

UNDISTRIBUTED NET INVESTMENT INCOME	$	206,971		$	38,911

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

See accompanying notes to financial statements.

63 |

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	3.99		$	4.49		$	4.59		$	4.60		$	4.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.19			0.21			0.24			0.24
Net realized and unrealized gain (loss)		0.21			(0.39	)		0.17			0.03			0.59

Total from Investment Operations		0.41			(0.20	)		0.38			0.27			0.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.19	)		(0.22	)		(0.27	)		(0.30	)
Net realized capital gains		(0.01	)		(0.11	)		(0.26	)		(0.01	)		(0.39	)

Total Distributions		(0.17	)		(0.30	)		(0.48	)		(0.28	)		(0.69	)

Net asset value, end of the period	$	4.23		$	3.99		$	4.49		$	4.59		$	4.60

Total return(b)		10.66	%(c)		(4.78	)%(c)		8.42	%		6.27	%		20.90	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34,820		$	37,870		$	42,630		$	45,791		$	95,876
Net expenses		1.10	%(d)		1.11	%(d)(e)		1.14	%		1.15	%(f)		1.15	%(d)
Gross expenses		1.14	%		1.13	%		1.14	%		1.15	%(f)		1.19	%
Net investment income		5.16	%		4.41	%		4.57	%		5.11	%		5.50	%
Portfolio turnover rate		38	%		69	%		59	%		47	%		34	%

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

(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)	Effective July 1, 2015, the expense limit decreased to 1.10%.

(f)	Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	4.00		$	4.50		$	4.61		$	4.61		$	4.47

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.16			0.18			0.21			0.21
Net realized and unrealized gain (loss)		0.20			(0.39	)		0.16			0.04			0.59

Total from Investment Operations		0.38			(0.23	)		0.34			0.25			0.80

LESS DISTRIBUTIONS FROM:
Net investment income		(0.13	)		(0.16	)		(0.19	)		(0.24	)		(0.27	)
Net realized capital gains		(0.01	)		(0.11	)		(0.26	)		(0.01	)		(0.39	)

Total Distributions		(0.14	)		(0.27	)		(0.45	)		(0.25	)		(0.66	)

Net asset value, end of the period	$	4.24		$	4.00		$	4.50		$	4.61		$	4.61

Total return(b)		9.81	%(c)		(5.48	)%(c)		7.60	%		5.46	%		19.96	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	12,288		$	12,609		$	14,555		$	15,233		$	16,863
Net expenses		1.85	%(d)		1.86	%(d)(e)		1.89	%		1.90	%(f)		1.90	%(d)
Gross expenses		1.89	%		1.88	%		1.89	%		1.90	%(f)		1.94	%
Net investment income		4.43	%		3.68	%		3.84	%		4.36	%		4.78	%
Portfolio turnover rate		38	%		69	%		59	%		47	%		34	%

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

(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)	Effective July 1, 2015, the expense limit decreased to 1.85%.

(f)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	3.98		$	4.48		$	4.59		$	4.59		$	4.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.21			0.20			0.22			0.25			0.26
Net realized and unrealized gain (loss)		0.21			(0.39	)		0.16			0.04			0.57

Total from Investment Operations		0.42			(0.19	)		0.38			0.29			0.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.20	)		(0.23	)		(0.28	)		(0.31	)
Net realized capital gains		(0.01	)		(0.11	)		(0.26	)		(0.01	)		(0.39	)

Total Distributions		(0.18	)		(0.31	)		(0.49	)		(0.29	)		(0.70	)

Net asset value, end of the period	$	4.22		$	3.98		$	4.48		$	4.59		$	4.59

Total return		10.98	%(b)		(4.54	)%(b)		8.72	%		6.56	%		20.93	%(b)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	129,169		$	116,837		$	125,185		$	108,170		$	110,917
Net expenses		0.85	%(c)		0.86	%(c)(d)		0.89	%		0.90	%(e)		0.90	%(c)
Gross expenses		0.89	%		0.88	%		0.89	%		0.90	%(e)		0.95	%
Net investment income		5.43	%		4.67	%		4.83	%		5.37	%		5.78	%
Portfolio turnover rate		38	%		69	%		59	%		47	%		34	%

(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)	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)	Effective July 1, 2015, the expense limit decreased to 0.85%.

(e)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

| 66

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class A*
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.39		$	10.39		$	10.34		$	10.80		$	10.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.20			0.22			0.18			0.20
Net realized and unrealized gain (loss)		0.17			0.03			0.11			(0.23	)		0.39

Total from Investment Operations		0.37			0.23			0.33			(0.05	)		0.59

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.22	)		(0.25	)		(0.24	)		(0.26	)
Net realized capital gains		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)

Total Distributions		(0.24	)		(0.23	)		(0.28	)		(0.41	)		(0.34	)

Net asset value, end of the period	$	10.52		$	10.39		$	10.39		$	10.34		$	10.80

Total return(b)(c)		3.64	%		2.17	%		3.24	%		(0.46	)%		5.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	19,327		$	18,425		$	5,931		$	5,601		$	3,084
Net expenses(d)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		0.72	%		0.71	%		0.85	%		0.79	%		0.84	%
Net investment income		1.89	%		1.93	%		2.07	%		1.71	%		1.91	%
Portfolio turnover rate		151	%		151	%		134	%		124	%		82	%

*	Effective August 31, 2016, Retail Class shares were redesignated as Class A shares. See Note 1 of Notes to Financial Statements.

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

(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.

See accompanying notes to financial statements.

67 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class C
	Period Ended September 30, 2016*
Net asset value, beginning of the period	$	10.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01
Net realized and unrealized gain (loss)		0.00	(g)

Total from Investment Operations		0.01

LESS DISTRIBUTIONS FROM:
Net investment income		(0.01	)
Net realized capital gains		—

Total Distributions		(0.01	)

Net asset value, end of the period	$	10.53

Total return(b)(c)(d)		0.08	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,088
Net expenses(e)(f)		1.40	%
Gross expenses(f)		1.56	%
Net investment income(f)		0.86	%
Portfolio turnover rate		151	%

*	From commencement of Class operations on August 31, 2016 through September 30, 2016.

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

(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)	Amount rounds to less than $0.01 per share.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class Y*
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	10.39		$	10.39		$	10.33		$	10.80		$	10.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.22			0.24			0.21			0.22
Net realized and unrealized gain (loss)		0.18			0.04			0.12			(0.24	)		0.40

Total from Investment Operations		0.40			0.26			0.36			(0.03	)		0.62

LESS DISTRIBUTIONS FROM:
Net investment income		(0.24	)		(0.25	)		(0.27	)		(0.27	)		(0.28	)
Net realized capital gains		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)

Total Distributions		(0.27	)		(0.26	)		(0.30	)		(0.44	)		(0.36	)

Net asset value, end of the period	$	10.52		$	10.39		$	10.39		$	10.33		$	10.80

Total return(b)		3.90	%		2.42	%		3.60	%		(0.30	)%		6.06	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	139,398		$	88,592		$	66,759		$	66,424		$	75,588
Net expenses(c)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.47	%		0.47	%		0.57	%		0.48	%		0.51	%
Net investment income		2.11	%		2.15	%		2.31	%		1.97	%		2.12	%
Portfolio turnover rate		151	%		151	%		134	%		124	%		82	%

*	Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares. See Note 1 of Notes to Financial Statements.

(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)	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.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class A
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	11.57		$	11.61		$	11.68		$	12.04		$	11.87

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.14			0.16			0.13			0.18
Net realized and unrealized gain (loss)		0.00	(b)		0.01	(c)		0.01			(0.23	)		0.28

Total from Investment Operations		0.11			0.15			0.17			(0.10	)		0.46

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.19	)		(0.24	)		(0.26	)		(0.29	)
Net realized capital gains		—			—			—			(0.00	)(b)		(0.00	)(b)
Paid-in capital		—			—			—			(0.00	)(b)		—

Total Distributions		(0.17	)		(0.19	)		(0.24	)		(0.26	)		(0.29	)

Net asset value, end of the period	$	11.51		$	11.57		$	11.61		$	11.68		$	12.04

Total return(d)		0.93	%		1.26	%		1.44	%		(0.81	)%		3.94	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	442,671		$	346,317		$	314,360		$	355,212		$	357,870
Net expenses		0.77	%		0.77	%		0.80	%(f)		0.87	%(g)		0.85	%(h)
Gross expenses		0.77	%		0.77	%		0.80	%(f)		0.87	%(g)		0.90	%
Net investment income		0.96	%		1.21	%		1.35	%		1.11	%		1.54	%
Portfolio turnover rate		109	%(i)		48	%		24	%		39	%		56	%

(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)	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.

(d)	A sales charge for Class A shares is not reflected in total return calculations.

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

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.84%.

(h)	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.

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class C
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	11.58		$	11.62		$	11.69		$	12.05		$	11.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.02			0.05			0.07			0.04			0.10
Net realized and unrealized gain (loss)		0.00	(b)		0.01	(c)		0.01			(0.23	)		0.27

Total from Investment Operations		0.02			0.06			0.08			(0.19	)		0.37

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(0.10	)		(0.15	)		(0.17	)		(0.20	)
Net realized capital gains		—			—			—			(0.00	)(b)		(0.00	)(b)
Paid-in capital		—			—			—			(0.00	)(b)		—

Total Distributions		(0.08	)		(0.10	)		(0.15	)		(0.17	)		(0.20	)

Net asset value, end of the period	$	11.52		$	11.58		$	11.62		$	11.69		$	12.05

Total return(d)		0.18	%		0.51	%		0.69	%		(1.55	)%		3.17	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	73,027		$	63,167		$	56,936		$	71,963		$	75,522
Net expenses		1.52	%		1.53	%		1.55	%(f)		1.62	%(g)		1.60	%(h)
Gross expenses		1.52	%		1.53	%		1.55	%(f)		1.62	%(g)		1.65	%
Net investment income		0.21	%		0.47	%		0.61	%		0.36	%		0.80	%
Portfolio turnover rate		109	%(i)		48	%		24	%		39	%		56	%

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

(b)	Amount rounds to less than $0.01 per share.

(c)	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.

(d)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

(f)	Includes fee/expense recovery of less than 0.01%.

(g)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 1.59%.

(h)	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.

(i)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class Y
	Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013			Year Ended September 30, 2012
Net asset value, beginning of the period	$	11.61		$	11.65		$	11.72		$	12.08		$	11.91

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.17			0.18			0.16			0.21
Net realized and unrealized gain (loss)		0.00	(b)		0.01	(c)		0.02			(0.23	)		0.28

Total from Investment Operations		0.14			0.18			0.20			(0.07	)		0.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.22	)		(0.27	)		(0.29	)		(0.32	)
Net realized capital gains		—			—			—			(0.00	)(b)		(0.00	)(b)
Paid-in capital		—			—			—			(0.00	)(b)		—

Total Distributions		(0.20	)		(0.22	)		(0.27	)		(0.29	)		(0.32	)

Net asset value, end of the period	$	11.55		$	11.61		$	11.65		$	11.72		$	12.08

Total return		1.19	%		1.51	%		1.70	%		(0.56	)%		4.19	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	411,898		$	431,727		$	330,224		$	252,127		$	220,444
Net expenses		0.52	%		0.52	%		0.55	%(e)		0.62	%(f)		0.60	%(g)
Gross expenses		0.52	%		0.52	%		0.55	%(e)		0.62	%(f)		0.65	%
Net investment income		1.20	%		1.45	%		1.58	%		1.35	%		1.77	%
Portfolio turnover rate		109	%(h)		48	%		24	%		39	%		56	%

(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)	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.

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

(e)	Includes fee/expense recovery of less than 0.01%.

(f)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.59%.

(g)	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.

(h)	The variation in the Fund’s turnover rate from 2015 to 2016 was primarily due to fluctuation in the level of fund assets due to shareholder flows.

See accompanying notes to financial statements.

| 72

Notes to Financial Statements

September 30, 2016

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

Loomis Sayles Funds II:

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

Loomis Sayles Limited Term Government and Agency Fund (the “Limited Term Government and Agency Fund”)

Each Fund is a diversified investment company.

The Funds each offer Class A, Class C and Class Y shares. Prior to August 31, 2016, Intermediate Duration Bond Fund offered Retail Class and Institutional Class shares. Effective August 31, 2016, Retail Class shares were redesignated as Class A shares and Institutional Class shares were redesignated as Class Y shares. In addition, the Fund began offering Class C shares. As of the close of business on January 11, 2016, Class B shares of High Income Fund and Limited Term Government and Agency Fund were converted into Class A shares and are no longer offered.

Class A shares of Intermediate Duration Bond Fund and High Income Fund are sold with a maximum front-end sales charge of 4.25% (4.50% prior to November 2, 2015 for High Income Fund). Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 2.25% (3.00% prior to November 2, 2015). Class C shares do not pay a front-end sales charge, do not convert to any other class of shares, pay higher Rule 12b-1 fees than Class A shares and may be subject to a CDSC of 1.00% if those shares are redeemed within one year of acquisition, except for reinvested distributions. Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class Y shares are generally 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 Funds’ prospectus.

73 |

Notes to Financial Statements (continued)

September 30, 2016

class (such as the Rule 12b-1 fees applicable to Class A and Class C). 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 year-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.

| 74

Notes to Financial Statements (continued)

September 30, 2016

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 the Fund.

Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.

As of September 30, 2016, securities of the funds were fair valued as follows:


Fund	Securities classified as fair valued		Percentage of Net Assets			Securities fair valued by the Fund’s adviser		Percentage of Net Assets
High Income Fund	$	1,828,035		1.0	%	$	1,097,873		0.6	%
Intermediate Duration Bond Fund		—		—			23,756		Less than 0.1	%
Limited Term Government and Agency Fund		3,037,018		0.3	%		1,488,611		0.2	%

75 |

Notes to Financial Statements (continued)

September 30, 2016

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.

| 76

Notes to Financial Statements (continued)

September 30, 2016

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.

For the year ended September 30, 2016, the amount of income available to be distributed by High Income Fund has been reduced by $2,868,074 as a result of losses arising from changes in exchange rates.

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.

77 |

Notes to Financial Statements (continued)

September 30, 2016

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.

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 Statement of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statement 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 OTC market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap

| 78

Notes to Financial Statements (continued)

September 30, 2016

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.

No swap agreements were held by the Funds during the year ended September 30, 2016.

h. 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

79 |

Notes to Financial Statements (continued)

September 30, 2016

income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined 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 gains and losses, contingent payment debt instruments, basis tracking from corporate actions, premium amortization, defaulted and/or non-income producing securities, paydown gains and losses, return of capital distributions received, convertible bonds and distribution re-designations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, forward foreign currency contracts mark-to-market, basis tracking from corporate actions, contingent payment debt instruments, convertible bonds, defaulted and/or non-income producing securities and return of capital

| 80

Notes to Financial Statements (continued)

September 30, 2016

distributions received. 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 years ended September 30, 2016 and 2015 were as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	6,619,464	$	396,248	$	7,015,712
Intermediate Duration Bond Fund		3,295,835		—		3,295,835
Limited Term Government and Agency Fund		13,653,659		—		13,653,659


	2015 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	9,843,443	$	3,412,156	$	13,255,599
Intermediate Duration Bond Fund		2,124,550		—		2,124,550
Limited Term Government and Agency Fund		12,685,774		—		12,685,774

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2016, the components of distributable earnings on a tax basis were as follows:


	High Income Fund			Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
Undistributed ordinary income	$	156,678		$	1,283,403	$	766,853

Capital loss carryforward:
Short-term:
No expiration date		(251,066	)		—		(848,283	)
Long-term:
No expiration date		(2,330,822	)		—		(11,847,451	)

Total capital loss carryforward		(2,581,888	)		—		(12,695,734	)

Unrealized appreciation (depreciation)		(3,172,250	)		1,012,166		(3,267,212	)

Total accumulated earnings (losses)	$	(5,597,460	)	$	2,295,569	$	(15,196,093	)

81 |

Notes to Financial Statements (continued)

September 30, 2016

As of September 30, 2016, unrealized appreciation (depreciation) on a tax basis was as follows:


	High Income Fund			Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
Unrealized appreciation (depreciation)
Investments	$	(984,705	)	$	1,012,166	$	(3,267,212	)
Foreign currency translations		(2,187,545	)		—		—

Total unrealized appreciation (depreciation)	$	(3,172,250	)	$	1,012,166	$	(3,267,212	)

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 counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 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 from Brokers. Transactions and positions in certain forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from broker balance in the Statement of Assets and Liabilities for High Income Fund represents cash pledged as collateral for forward foreign currency 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

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Notes to Financial Statements (continued)

September 30, 2016

loaned securities for non-U.S. equities; and at least 100% of the market value (including accrued interest) of loaned securities for U.S. Government securities, sovereign debt issued by non-U.S. Governments and non-U.S. corporate debt. In the event that the market value of the collateral falls below the required percentages described above, the borrower will deliver additional collateral on the next business day. As with other extensions of credit, the Funds may bear the risk of loss with respect to the investment of the collateral. The Funds invest cash collateral in short-term investments, a portion of the income from which is remitted to the borrowers and the remainder allocated between the Funds and State Street Bank as lending agent.

For the year ended September 30, 2016, none of the Funds had loaned securities under this agreement.

m. 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.

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.

83 |

Notes to Financial Statements (continued)

September 30, 2016

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 September 30, 2016, at value:

High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	3,251,090	$	98,704	(b)	$	3,349,794
Government Owned - No Guarantee		—		3,508,812		594,150	(c)		4,102,962
Home Construction		—		2,304,681		23	(b)		2,304,704
Non-Agency Commercial Mortgage-Backed Securities		—		2,555,459		908,874	(c)		3,464,333
All Other Non-Convertible Bonds(a)		—		136,438,387		—			136,438,387

Total Non-Convertible Bonds		—		148,058,429		1,601,751			149,660,180

Convertible Bonds(a)		—		5,681,081		—			5,681,081

Total Bonds and Notes		—		153,739,510		1,601,751			155,341,261

Senior Loans
Wirelines		—		1,205,599		150,561	(c)		1,356,160
All Other Senior Loans(a)		—		1,859,129		—			1,859,129

Total Senior Loans		—		3,064,728		150,561			3,215,289

| 84

Notes to Financial Statements (continued)

September 30, 2016

High Income Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3			Total
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	—	$	604,306	$	—		$	604,306
Pharmaceuticals		729,608		1,165,014		—			1,894,622
REITs - Mortgage		—		103,095		—			103,095
All Other Convertible Preferred Stocks(a)		811,876		—		—			811,876

Total Convertible Preferred Stocks		1,541,484		1,872,415		—			3,413,899

Non-Convertible Preferred Stocks(a)		510,774		—		—			510,774

Total Preferred Stocks		2,052,258		1,872,415		—			3,924,673

Other Investments(a)		—		—		985,586	(d)		985,586
Common Stocks
Internet Software & Services		—		—		8,177	(b)		8,177
All Other Common Stocks(a)		1,213,118		—		—			1,213,118

Total Common Stocks		1,213,118		—		8,177			1,221,295

Warrants(e)		349		—		5,383	(b)		5,732
Short-Term Investments		—		9,639,758		—			9,639,758

Total Investments		3,265,725		168,316,411		2,751,458			174,333,594

Forward Foreign Currency Contracts (unrealized appreciation)		—		233		—			233

Total	$	3,265,725	$	168,316,644	$	2,751,458		$	174,333,827

(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.

(c)	Valued using broker-dealer bid prices.

(d)	Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(e)	Includes a security fair valued at zero using Level 2 inputs.

85 |

Notes to Financial Statements (continued)

September 30, 2016

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	11,162,715	$	439,742	(b)	$	11,602,457
ABS Home Equity		—		1,949,177		23,756	(c)		1,972,933
All Other Non-Convertible Bonds(a)		—		141,767,274		—			141,767,274

Total Non-Convertible Bonds		—		154,879,166		463,498			155,342,664

Municipals(a)		—		276,326		—			276,326

Total Bonds and Notes		—		155,155,492		463,498			155,618,990

Short-Term Investments		—		6,065,192		—			6,065,192

Total	$	—	$	161,220,684	$	463,498		$	161,684,182

(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.

(c)	Fair valued by the Fund’s adviser.

For the year ended September 30, 2016 there were no transfers among Levels 1, 2 and 3.

Limited Term Government and Agency Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
ABS Student Loan	$	—	$	—	$	400,000	(b)	$	400,000
Agency Commercial Mortgage-Backed Securities		—		150,152,212		11,781,022	(b)		161,933,234
Collateralized Mortgage Obligations		—		132,419,280		1,488,611	(c)		133,907,891
Non-Agency Commercial Mortgage-Backed Securities		—		51,293,185		3,037,018	(b)		54,330,203
All Other Bonds and Notes(a)		—		559,256,816		—			559,256,816

Total Bonds and Notes		—		893,121,493		16,706,651			909,828,144

Short-Term Investments		—		19,857,087		—			19,857,087

Total	$	—	$	912,978,580	$	16,706,651		$	929,685,231

(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.

(c)	Fair valued by the Fund’s adviser.

| 86

Notes to Financial Statements (continued)

September 30, 2016

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 September 30, 2016:

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
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—	$	—	$	9,906	$	(5,788	)	$	—
ABS Other		750,966		—		—		—			—
Government Owned - No Guarantee		—		—		—		84,150			510,000
Home Construction		—		27,009		—		(95,096	)		—
Non-Agency Commercial Mortgage-Backed Securities		935,000		—		—		(26,126	)		—
Senior Loans
Wirelines		—		128		—		(7,763	)		—
Other Investments
Aircraft ABS		1,000,000		—		—		(14,414	)		—
Common Stocks
Internet Software & Services		—		—		—		(11,863	)		20,040
Warrants		—		—		—		5,383			—

Total	$	2,685,966	$	27,137	$	9,906	$	(71,517	)	$	530,040

87 |

Notes to Financial Statements (continued)

September 30, 2016

High Income Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2016		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(44,737	)	$	139,323	$	—		$	98,704	$	(5,788	)
ABS Other		—			—		(750,966	)		—		—
Government Owned - No Guarantee		—			—		—			594,150		84,150
Home Construction		—			68,110		—			23		(95,096	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		—			908,874		(26,126	)
Senior Loans
Wirelines		—			158,196		—			150,561		(7,763	)
Other Investments
Aircraft ABS		—			—		—			985,586		(14,414	)
Common Stocks
Internet Software & Services		—			—		—			8,177		(11,863	)
Warrants		—			—		—			5,383		5,383

Total	$	(44,737	)	$	365,629	$	(750,966	)	$	2,751,458	$	(71,517	)

Debt securities valued at $207,433 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

Debt securities valued at $750,966 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 2016,

| 88

Notes to Financial Statements (continued)

September 30, 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 debt security valued at $158,196 was transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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.

Intermediate Duration Bond

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 Car Loan	$	—		$	—	$	—	$	(184	)	$	439,926
ABS Home Equity		35,366			—		2,597		(1,314	)		—

Total	$	35,366		$	—	$	2,597	$	(1,498	)	$	439,926


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	—	$	439,742		$	(184	)
ABS Home Equity		(12,893	)		—		—		23,756			(1,628	)

Total	$	(12,893	)	$	—	$	—	$	463,498		$	(1,812	)

89 |

Notes to Financial Statements (continued)

September 30, 2016

Limited Term Government and Agency 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
Bonds and Notes
Non-Convertible Bonds
ABS Student Loan	$	—		$	—	$	—		$	—		$	400,000
Agency Commercial Mortgage-Backed Securities		14,113,679			—		(341,631	)		(93,072	)		—
Collateralized Mortgage Obligations		20,837			—		(149,996	)		42,763			—
Non-Agency Commercial Mortgage-Backed Securities		3,037,972			—		—			(954	)		—

Total	$	17,172,488		$	—	$	(491,627	)	$	(51,263	)	$	400,000


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2016			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016
Bonds and Notes
Non-Convertible Bonds
ABS Student Loan	$	—		$	—	$	—		$	400,000		$	—
Agency Commercial Mortgage-Backed Securities		(1,897,954	)		—		—			11,781,022			(312,513	)
Collateralized Mortgage Obligations		(2,485,345	)		4,060,352		—			1,488,611			42,766
Non-Agency Commercial Mortgage-Backed Securities		—			—		—			3,037,018			(954	)

Total	$	(4,383,299	)	$	4,060,352	$	—		$	16,706,651		$	(270,701	)

| 90

Notes to Financial Statements (continued)

September 30, 2016

Debt securities valued at $4,060,352 were transferred from Level 2 to Level 3 during the period ended September 30, 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 September 30, 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 High Income Fund used during the period include forward foreign currency contracts and futures contracts.

High Income 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 contracts for hedging purposes to protect the value of the Fund’s 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 year ended September 30, 2016, High Income Fund engaged in forward foreign currency transactions for hedging purposes.

High Income Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s 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 Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the year ended September 30, 2016, High Income Fund used futures contracts to manage duration.

The following is a summary of derivative instruments for High Income Fund as of September 30, 2016, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	233

91 |

Notes to Financial Statements (continued)

September 30, 2016

Transactions in derivative instruments for High Income Fund during the year ended September 30, 2016, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts			Foreign currency transactions¹
Interest rate contracts	$	(176,542	)	$	—
Foreign exchange contracts		—			281,234

Total	$	(176,542	)	$	281,234


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations¹
Interest rate contracts	$	160,868		$	—
Foreign exchange contracts		—			(263,174	)

Total	$	160,868		$	(263,174	)

¹	Represents realized gain 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 volume of forward foreign currency contract and futures contract 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 year ended September 30, 2016:


High Income Fund	Forwards			Futures
Average Notional Amount Outstanding		1.18	%		2.28	%
Highest Notional Amount Outstanding		2.03	%		7.49	%
Lowest Notional Amount Outstanding		0.11	%		0.00	%
Notional Amount Outstanding as of September 30, 2016		0.11	%		0.00	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

| 92

Notes to Financial Statements (continued)

September 30, 2016

Over-the-counter derivatives, including forward foreign currency contracts, 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.

High Income Fund


Counterparty	Gross Amounts of Assets		Offset Amount		Net Asset Balance		Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	233	$	—	$	233	$	—	$	233

93 |

Notes to Financial Statements (continued)

September 30, 2016

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 September 30, 2016:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
High Income Fund	$	7,233	$	7,233

5. Purchases and Sales of Securities. For the year ended September 30, 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 Fund	$	9,985,547	$	13,851,481	$	49,568,649	$	52,338,522
Intermediate Duration Bond Fund		77,188,897		51,415,612		177,222,785		142,480,422
Limited Term Government and Agency Fund		919,322,168		900,410,968		140,894,958		67,739,496

| 94

Notes to Financial Statements (continued)

September 30, 2016

6. Management Fees and Other Transactions with Affiliates.


	Percentage of Average Daily Net Assets
Fund	First $100 million			Next $400 million			Next $1.5 billion			Over $2 billion
High Income Fund		0.6000	%		0.6000	%		0.6000	%		0.6000	%
Intermediate Duration Bond Fund		0.2500	%		0.2500	%		0.2500	%		0.2500	%
Limited Term Government and Agency Fund		0.3750	%		0.3750	%		0.3500	%		0.3000	%

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 (January 31, 2018 for Intermediate Duration Bond Fund), 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 year ended September 30, 2016 (period ending close of business January 11, 2016, for Class B) 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	Class A			Class B			Class C			Class Y
High Income Fund		1.10	%		1.85	%		1.85	%		0.85	%
Intermediate Duration Bond Fund		0.65	%		—			1.40	%		0.40	%
Limited Term Government and Agency Fund		0.80	%		1.55	%		1.55	%		0.55	%

Loomis Sayles shall be permitted to recover expenses 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.

95 |

Notes to Financial Statements (continued)

September 30, 2016

For the year ended September 30, 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
High Income Fund	$	971,664	$	67,553	$	904,111		0.600	%		0.558	%
Intermediate Duration Bond Fund		330,657		96,550		234,107		0.250	%		0.177	%
Limited Term Government and Agency Fund		3,309,940		—		3,309,940		0.364	%		0.364	%

¹	Management fee waivers are subject to possible recovery until September 30, 2017.

No expenses were recovered for any of the Funds during the year ended September 30, 2016 under the terms of the expense limitation agreements.

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 Trusts. Pursuant to this agreement, NGAM Distribution serves as principal underwriter of the Funds of the Trusts.

Pursuant to Rule 12b-1 under the 1940 Act, the Trusts have adopted a Service Plan relating to each Fund’s Class A shares (the “Class A Plans”) (effective August 31, 2016 for Intermediate Duration Bond Fund), and a Distribution and Service Plan relating to each Fund’s Class B and Class C shares (the “Class B and Class C Plans”).

Under the Class A Plans, each Fund pays NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class A shares, as reimbursement for expenses incurred by NGAM Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class B and Class C Plans, each Fund pays (or paid) NGAM Distribution a monthly service fee at an annual rate not to exceed 0.25% of the average daily net assets attributable to the Fund’s Class B and Class C shares, as compensation for services provided by NGAM Distribution in providing personal services to investors in Class B and Class C shares and/or the maintenance of shareholder accounts.

Also under the Class B and Class C Plans, each Fund pays (or paid) NGAM Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets

| 96

Notes to Financial Statements (continued)

September 30, 2016

attributable to the Fund’s Class B and Class C shares, as compensation for services provided by NGAM Distribution in connection with the marketing or sale of Class B and Class C shares.

For the year ended September 30, 2016, the service and distribution fees for each Fund were as follows:


	Service Fees							Distribution Fees
Fund	Class A		Class B		Class C			Class B		Class C
High Income Fund	$	85,726	$	1	$	29,545		$	2	$	88,636
Intermediate Duration Bond Fund		4,001		—		—	(a)		—		1
Limited Term Government and Agency Fund		1,002,251		1,734		193,399			5,201		580,197

(a)	Less than $1.

Prior to August 31, 2016, pursuant to Rule 12b-1 under the 1940 Act, Intermediate Duration Bond Fund had adopted a Distribution Plan relating to the Fund’s Retail Class shares (the “Retail Class Plan”). Under the Retail Class Plan, the Fund paid 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 period ended August 31, 2016, Retail Class shares of Intermediate Duration Bond Fund paid $44,480 in distribution fees.

97 |

Notes to Financial Statements (continued)

September 30, 2016

For the year ended September 30, 2016, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	71,381
Intermediate Duration Bond Fund		58,358
Limited Term Government and Agency Fund		401,349

For the year ended September 30, 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
High Income Fund	$	166,948
Intermediate Duration Bond Fund		37,313
Limited Term Government and Agency Fund		403,560


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	2,170
Intermediate Duration Bond Fund		670
Limited Term Government and Agency Fund		5,346

| 98

Notes to Financial Statements (continued)

September 30, 2016

e. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the year ended September 30, 2016 were as follows:


Fund	Commissions
High Income Fund	$	2,704
Limited Term Government and Agency Fund		49,660

f. 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.

99 |

Notes to Financial Statements (continued)

September 30, 2016

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.

g. Affiliated Ownership. As of September 30, 2016, Natixis US held shares of Intermediate Duration Bond Fund representing less than 0.01% of the Fund’s net assets. 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
Intermediate Duration Bond Fund		0.76	%
Limited Term Government and Agency Fund		0.49	%

Investment activities of affiliated shareholders could have material impacts on the Funds.

h. Payment by Affiliates. For the year ended September 30, 2016, Loomis Sayles reimbursed High Income Fund $2,130 in connection with a trading error.

7. Line of Credit. Effective April 14, 2016, each Fund, 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 at a rate equal to the greater of the eurodollar or the federal funds rate plus 1.00%. In addition, a commitment fee of 0.10% per annum, payable on the last business day of each month, 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, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

| 100

Notes to Financial Statements (continued)

September 30, 2016

For the year ended September 30, 2016, none of the Funds had borrowings under these agreements.

8. Concentration of Risk. Limited Term Government and Agency 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.

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.

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 September 30, 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 Fund		2		19.34	%
Intermediate Duration Bond Fund		5		44.13	%

101 |

Notes to Financial Statements (continued)

September 30, 2016

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:


	Year Ended September 30, 2016					Year Ended September 30, 2015
High Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	5,509,748		$	22,242,447		7,165,895		$	31,113,644
Issued in connection with the reinvestment of distributions	299,177			1,169,586		580,589			2,471,372
Redeemed	(7,071,447	)		(28,018,252	)	(7,757,369	)		(33,308,895	)

Net change	(1,262,522	)	$	(4,606,219	)	(10,885	)	$	276,121

Class B(a)
Issued in connection with the reinvestment of distributions	4			17		790			3,364
Redeemed	(623	)		(2,485	)	(27,193	)		(117,824	)

Net change	(619	)	$	(2,468	)	(26,403	)	$	(114,460	)

Class C
Issued from the sale of shares	799,861		$	3,141,922		649,877		$	2,832,749
Issued in connection with the reinvestment of distributions	88,851			345,998		166,683			709,594
Redeemed	(1,144,474	)		(4,485,915	)	(900,836	)		(3,893,227	)

Net change	(255,762	)	$	(997,995	)	(84,276	)	$	(350,884	)

Class Y
Issued from the sale of shares	14,901,804		$	58,204,609		28,556,251		$	124,963,285
Issued in connection with the reinvestment of distributions	1,041,928			4,056,961		1,781,224			7,571,272
Redeemed	(14,689,863	)		(57,325,101	)	(28,942,559	)		(125,371,469	)

Net change	1,253,869		$	4,936,469		1,394,916		$	7,163,088

Increase (decrease) from capital share transactions	(265,034	)	$	(670,213	)	1,273,352		$	6,973,865

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

| 102

Notes to Financial Statements (continued)

September 30, 2016

10. Capital Shares (continued).


	Year Ended September 30, 2016					Year Ended September 30, 2015
Intermediate Duration Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	525,035		$	5,443,679		1,537,057		$	16,023,946
Issued in connection with the reinvestment of distributions	43,720			453,187		18,774			195,640
Redeemed	(505,357	)		(5,247,036	)	(353,439	)		(3,689,833	)

Net change	63,398		$	649,830		1,202,392		$	12,529,753

Class C*
Issued from the sale of shares	293,283		$	3,088,274		—		$	—
Issued in connection with the reinvestment of distributions	—	(a)		1		—			—

Net change	293,283		$	3,088,275		—		$	—

Class Y
Issued from the sale of shares	7,746,460		$	80,334,377		4,218,161		$	44,085,723
Issued in connection with the reinvestment of distributions	231,356			2,401,500		164,768			1,719,664
Redeemed	(1,681,603	)		(17,455,864	)	(2,280,808	)		(23,952,128	)
Redeemed in-kind (Note 11)	(1,574,765	)		(16,409,056	)	—			—

Net change	4,721,448		$	48,870,957		2,102,121		$	21,853,259

Increase (decrease) from capital share transactions	5,078,129		$	52,609,062		3,304,513		$	34,383,012

*	From commencement of Class operations on August 31, 2016 through September 30, 2016.

(a)	Amount rounds to less than one share.

103 |

Notes to Financial Statements (continued)

September 30, 2016

10. Capital Shares (continued).


	Year Ended September 30, 2016					Year Ended September 30, 2015
Limited Term Government and Agency Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	23,688,131		$	272,639,541		9,649,293		$	111,950,383
Issued in connection with the reinvestment of distributions	418,361			4,816,572		375,777			4,361,038
Redeemed	(15,575,978	)		(179,339,659	)	(7,161,541	)		(83,105,890	)

Net change	8,530,514		$	98,116,454		2,863,529		$	33,205,531

Class B(a)
Issued from the sale of shares	1,448		$	16,709		4,412		$	51,055
Issued in connection with the reinvestment of distributions	426			4,887		2,463			28,567
Redeemed	(230,595	)		(2,644,555	)	(140,481	)		(1,628,030	)

Net change	(228,721	)	$	(2,622,959	)	(133,606	)	$	(1,548,408	)

Class C
Issued from the sale of shares	4,330,687		$	49,825,855		2,240,435		$	26,003,916
Issued in connection with the reinvestment of distributions	29,632			341,361		27,082			314,602
Redeemed	(3,475,708	)		(40,028,796	)	(1,711,009	)		(19,866,952	)

Net change	884,611		$	10,138,420		556,508		$	6,451,566

Class Y
Issued from the sale of shares	22,122,240		$	255,439,801		24,653,312		$	286,964,981
Issued in connection with the reinvestment of distributions	391,770			4,524,155		339,019			3,946,537
Redeemed	(24,037,266	)		(277,502,192	)	(16,140,773	)		(187,902,947	)

Net change	(1,523,256	)	$	(17,538,236	)	8,851,558		$	103,008,571

Increase (decrease) from capital share transactions	7,663,148		$	88,093,679		12,137,989		$	141,117,260

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

11. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital. The Intermediate Duration Bond Fund realized a loss of $16,464 on redemptions in-kind during the year ended September 30, 2016. This amount is included in realized gain (loss) on the Statements of Operations.

| 104

Notes to Financial Statements (continued)

September 30, 2016

12. Subsequent Event. Effective November 30, 2016, High Income Fund will begin offering Class N shares to investors. Class N shares are offered with no initial minimum investment to certain retirement plans held in an omnibus fashion and fund of funds that are distributed by NGAM Distribution and with an initial minimum investment of $1,000,000 to other categories of investors.

105 |

Report of Independent Registered Public

Accounting Firm

To the Trustees of Loomis Sayles Funds Trust I and Loomis Sayles Funds Trust II and Shareholders of Loomis Sayles Intermediate Duration Fixed Income Fund, Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Intermediate Duration Fixed Income Fund, a series of Loomis Sayles Funds Trust I, and Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund, each a series of Loomis Sayles Funds Trust II (collectively, the “Funds”) at September 30, 2016, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at September 30, 2016 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion expressed above.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2016

| 106

2016 U.S. Tax Distribution Information To Shareholders (Unaudited)


Fund	Qualifying Percentage
High Income		2.39	%


Fund	Amount
High Income	$	396,248

Fund

High Income

107 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Trustee since 2008 Chairperson of the Audit Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Chief Executive Officer of Bob’s Discount Furniture (retail)	44 Director, Burlington Stores, Inc. (retail); Formerly, Director, BJ’s Wholesale Club (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

| 108

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	44 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	44 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

109 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	44 None	Experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Sandra O. Moose (1942)	Chairperson of the Board of Trustees since November 2005 Trustee since 2003 Ex Officio member of the Audit Committee, the Contract Review Committee and the Governance Committee	President, Strategic Advisory Services (management consulting)	44 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

| 110

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	44 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Audit Committee Member	Professor of Finance at Babson College	44 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	44 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

111 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INDEPENDENT TRUSTEES continued

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Contract Review Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	44 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston³ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Director; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	44 None	Experience on the Board; continuing service as President, Chief Executive Officer and Director of Loomis, Sayles & Company, L.P.

David L. Giunta⁴(1965)	Trustee since 2011 President since 2008 and Chief Executive Officer since 2015 of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008	President and Chief Executive Officer, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer of NGAM Advisors, L.P.

| 112

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership

INTERESTED TRUSTEES continued

John T. Hailer⁵ (1960)	Trustee since 2003	President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.	44 None	Significant experience on the Board; continuing experience as President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

³	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of Loomis, Sayles & Company, L.P.

⁴	Mr. Giunta is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer of NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

⁵	Mr. Hailer is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President and Chief Executive Officer – U.S. and Asia, Natixis Global Asset Management, L.P.

113 |

Trustee and Officer Information


Name and Year of Birth	Position(s) Held with the Trusts	Term of Office¹ and Length of Time Served	Principal Occupation(s) During Past 5 Years²

OFFICERS OF THE TRUST

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

Russell L. Kane (1969)	Secretary, Clerk and Chief Legal Officer	Since July 2016	Executive Vice President, General Counsel, Secretary and Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Chief Compliance Officer for Mutual Funds, Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Michael C. Kardok (1959)	Treasurer, Principal Financial and Accounting Officer	Since October 2004	Senior Vice President, NGAM Advisors, L.P. and NGAM Distribution, L.P.

Rosa Licea-Mailloux (1976)	Chief Compliance Officer, Assistant Secretary and Anti-Money Laundering Officer	Since July 2016	Senior Vice President, Deputy General Counsel, Assistant Secretary and Assistant Clerk, NGAM Distribution Corporation, NGAM Advisors, L.P. and NGAM Distribution, L.P.; formerly, Associate General Counsel, NGAM Distribution, L.P.

¹	Each officer of the Trusts serves for an indefinite term in accordance with the Trusts’ current by-laws until the date his or her successor is elected and qualified, or until he or she sooner dies, retires, is removed or becomes disqualified.

| 114

Item 2.

Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3.

Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee Mr. Kenneth A. Drucker, Mr. Edmond J. English, Mr. Richard A. Goglia, and Mr. Erik R. Sirri are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4.

Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements and but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.


	Audit fees				Audit-related fees¹				Tax fees²				All other fees
	10/1/14- 9/30/15		10/1/15- 9/30/16		10/1/14- 9/30/15		10/1/15- 9/30/16		10/1/14- 9/30/15		10/1/15- 9/30/16		10/1/14- 9/30/15		10/1/15- 9/30/16
Loomis Sayles Funds I	$	428,778	$	435,208	$	3,970	$	13,478	$	142,086	$	80,676	$	—	$	—

1.	Audit-related fees consist of:

2015 & 2016 - performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2.	Tax fees consist of:

2015 & 2016 – review of Registrant’s tax returns and tax consulting services.

Aggregate fees billed to the Registrant for non-audit services during 2015 and 2016 were $146,056 and $94,154, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

10/1/14-
9/30/15

10/1/15-
9/30/16

10/1/14-
9/30/15

10/1/15-
9/30/16

10/1/14-
9/30/15

10/1/15-
9/30/16

Control Affiliates

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.


	Aggregate Non-Audit Fees
	10/1/14-9/30/15		10/1/15-9/30/16
Control Affiliates	$	50,066	$	119,120

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11.

Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Exhibits.


(a)	(1)	Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).

(a)	(2)	Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(a)	(3)	Not applicable.

(b)		Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Loomis Sayles Funds I

By:		/s/ Kevin Charleston

Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		November 21, 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:		November 21, 2016

By:		/s/ Michael C. Kardok

Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 21, 2016

Loomis Sayles Funds I N-CSR/ACertified annual shareholder report (management investment company) (amended)