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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-08282

Loomis Sayles Funds I

(Exact name of Registrant as specified in charter)

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

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: March 31, 2017

Item 1.

Reports to Stockholders.

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

LOGO

Loomis Sayles Core Disciplined Alpha Bond Fund

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

Semiannual Report

March 31, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			10
Financial Statements			52
Notes to Financial Statements			66

LOOMIS SAYLES CORE DISCIPLINED ALPHA BOND FUND


Managers	Symbols
Lynne Royer	Institutional Class	LSABX
William Stevens¹

Effective on June 1, 2017, William Stevens, portfolio manager of the Fund, intends to retire.

Investment Objective

The Fund seeks to outperform the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”) consistently over time while maintaining a risk profile similar to that of the Index.

Total Returns — March 31, 2017²



				Expense Ratios³
	Life of Fund			Gross			Net
Institutional Class (Inception 11/30/16)		0.58	%		0.85	%		0.45	%
Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index¹		0.96

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.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. The Bloomberg Barclays U.S. Aggregate Bond Index rolls up into other Bloomberg Barclays flagship indices, such as the multi-currency Bloomberg Barclays Global Aggregate Index and the Bloomberg Barclays U.S. Universal Index, which includes high yield and emerging markets debt. Barclays U.S. Aggregate Bond Index was created in 1986, with index history backfilled to January 1, 1976.

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.

1 |

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.

Average Annual Total Returns — March 31, 2017²



													Expense Ratios³
	6 months			1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 1/17/95)		2.59	%		10.08	%		5.26	%		6.75	%		0.57	%		0.57	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		-2.46			0.54			2.46			4.34

Bloomberg Barclays U.S. Government/Credit Bond Index is a component of the Bloomberg Barclays U.S. Aggregate Bond Index and includes securities in the Government and Credit Indices. The Bloomberg Barclays U.S. Government Bond Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and Agencies (i.e., publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You may not invest directly in an index.

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 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.

Average Annual Total Returns — March 31, 2017²



													Life of Class N			Expense Ratios³
	6 months			1 year			5 years			10 years			Life of Class N			Gross			Net
Institutional Class (Inception 5/10/91)		-4.33	%		0.81	%		0.61	%		3.64	%		—	%		0.83	%		0.75	%

Retail Class (Inception 12/31/96)		-4.41			0.61			0.38			3.35			—			1.08			1.00

Class N (Inception 2/1/13)		-4.24			0.96			—			—			-0.13			0.66			0.66

Comparative Performance
Bloomberg Barclays Global Aggregate Bond Index¹		-5.43			-1.90			0.38			3.34			-0.10

Bloomberg Barclays Global Aggregate Bond Index provides a broad-based measure of the global investment-grade fixed income markets. The three major components of this index are the US Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. Indices are unmanaged.

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

3 |

LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND


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

Investment Objective

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

Average Annual Total Returns — March 31, 2017³



													Life of Class N			Expense Ratios⁴
	6 months			1 year			5 years			10 years			Life of Class N			Gross			Net
Institutional Class (Inception 5/20/91)		-1.24	%		1.13	%		0.63	%		3.82	%		—	%		0.86	%		0.40	%

Retail Class (Inception 5/28/10)¹		-1.28			0.83			0.35			3.53			—			1.07			0.65

Class N (Inception 2/1/17)		—			—			—			—			0.54			0.75			0.35
Comparative Performance
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index²		-1.18			1.48			0.97			4.24			0.51

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 covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The liquidity constraint for all securities in the index is $300 million. Indices are unmanaged.

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 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.

Average Annual Total Returns — March 31, 2017²



													Expense Ratios³
	6 months			1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 6/5/96)		5.77	%		20.05	%		7.79	%		7.63	%		0.68	%		0.68	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		4.50			16.39			6.82			7.46

Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB /BB or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. You may not invest directly in an index.

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

5 |

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND


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

Investment Objective

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

Average Annual Total Returns — March 31, 2017²



													Expense Ratios³
	6 months			1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 7/1/94)		1.25	%		5.64	%		3.75	%		6.14	%		0.48	%		0.48	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		-2.46			0.54			2.46			4.34

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

| 6

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

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 fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in each Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Funds and help you compare these with the ongoing costs of investing in other mutual funds.

The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.60) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.

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

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

Loomis Sayles Core Disciplined Alpha Bond Fund

Institutional Class

Beginning
Account Value
10/1/2016

Ending
Account Value
3/31/2017

Expenses Paid
During Period
10/1/2016 – 3/31/2017

Actual

$1,000.00

$1,005.80

$1.50¹

Hypothetical (5% return before expenses)

$1,000.00

$1,022.69

$2.27^*

¹Fund commenced operations on November 30, 2016. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.45%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (121), divided by 365 (to reflect the partial period).

^*Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.45%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

7 |

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period^* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,025.90		$2.88
Hypothetical (5% return before expenses)		$1,000.00		$1,022.09		$2.87
^*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 (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period^* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$956.70		$3.66
Hypothetical (5% return before expenses)		$1,000.00		$1,021.19		$3.78

Retail Class
Actual		$1,000.00		$955.90		$4.88
Hypothetical (5% return before expenses)		$1,000.00		$1,019.95		$5.04

Class N
Actual		$1,000.00		$957.60		$3.42
Hypothetical (5% return before expenses)		$1,000.00		$1,021.44		$3.53
^*Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.75%, 1.00% and 0.70% 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 (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund

Institutional Class

Beginning
Account Value
10/1/2016

Ending
Account Value
3/31/2017

Expenses Paid
During Period
10/1/2016 – 3/31/2017

Actual

$1,000.00

$987.60

$1.98¹

Hypothetical (5% return before expenses)

$1,000.00

$1,022.94

$2.02^*

Retail Class

Actual

$1,000.00

$987.20

$3.22¹

Hypothetical (5% return before expenses)

$1,000.00

$1,021.69

$3.28^*

Class N

Actual

$1,000.00

$1,005.40

$0.56²

Hypothetical (5% return before expenses)

$1,000.00

$1,023.19

$1.77^*

^*Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40%, 0.65% and 0.35% 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 (182), divided by 365 (to reflect the half-year period).

¹Actual expenses for Institutional Class and Retail Class are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.40% and 0.65%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

²Class N commenced operations on February 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio of: 0.35%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period^* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,057.70		$3.49
Hypothetical (5% return before expenses)		$1,000.00		$1,021.54		$3.43
^*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 (182), divided by 365 (to reflect the half-year period).

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Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period^* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,012.50		$2.46
Hypothetical (5% return before expenses)		$1,000.00		$1,022.49		$2.47
^*Expenses are equal to the Fund’s annualized expense ratio of 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

9 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 107.0% of Net Assets

	Non-Convertible Bonds – 106.2%

		ABS Car Loan – 5.7%
$	17,340	AmeriCredit Automobile Receivables Trust, Series 2015-4, Class A2B, 1.597%, 4/08/2019(b)	$	17,351
	36,377	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class A2B, 1.597%, 6/10/2019(b)(c)		36,425
	17,000	AmeriCredit Automobile Receivables Trust, Series 2016-3, Class D, 2.710%, 9/08/2022		16,875
	40,000	Americredit Automobile Receivables Trust, Series 2016-4, Class C, 2.410%, 7/08/2022		39,635
	50,000	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A2A, 1.510%, 5/18/2020(c)		49,973
	36,191	Capital Auto Receivables Asset Trust, Series 2016-3, Class A2A, 1.360%, 4/22/2019(c)		36,184
	6,897	CarFinance Capital Auto Trust, Series 2015-1A, Class A, 1.750%, 6/15/2021, 144A		6,899
	72,000	CarMax Auto Owner Trust, Series 2016-4, Class A3, 1.400%, 8/15/2021(c)		71,423
	1,788	CPS Auto Receivables Trust, Series 2014-D, Class A, 1.490%, 4/15/2019, 144A		1,788
	3,986	CPS Auto Receivables Trust, Series 2015-A, Class A, 1.530%, 7/15/2019, 144A		3,985
	2,043	CPS Auto Receivables Trust, Series 2015-B, Class A, 1.650%, 11/15/2019, 144A		2,042
	11,421	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		11,439
	22,351	CPS Auto Receivables Trust, Series 2016-C, Class A, 1.620%, 1/15/2020, 144A		22,325
	35,408	CPS Auto Trust, Series 2016-D, Class A, 1.500%, 6/15/2020, 144A(c)		35,329
	166,000	Drive Auto Receivables Trust, Series 2017-AA, Class A2A, 1.480%, 3/15/2019, 144A(c)		165,948
	84,000	Drive Auto Receivables Trust, Series 2017-BA, Class A2, 1.590%, 12/17/2018, 144A		83,998
	27,000	Drive Auto Receivables Trust, Series 2017-BA, Class B, 2.200%, 5/15/2020, 144A		26,997
	48,984	DT Auto Owner Trust, Series 2016-4A, Class A, 1.440%, 11/15/2019, 144A(c)		48,997
	3,745	Flagship Credit Auto Trust, Series 2016-2, Class A1, 2.280%, 5/15/2020, 144A		3,753
	159,000	Ford Credit Auto Owner Trust, Series 2017-A, Class A4, 1.920%, 4/15/2022(c)		158,803
	36,000	Ford Credit Floorplan Master Owner Trust, Series 2016-5, Class A1, 1.950%, 11/15/2021		35,987
	106,000	Honda Auto Receivables Owner Trust, Series 2017-1, Class A3, 1.720%, 7/21/2021		106,046
	32,000	Honda Auto Receivables Owner Trust, Series 2017-1, Class A4, 2.050%, 6/21/2023		32,070
	62,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A3, 1.740%, 8/16/2021		61,993

		ABS Car Loan – continued
$	66,000	Nissan Auto Receivables Owner Trust, Series 2017-A, Class A4, 2.110%, 5/15/2023	$	65,990
	1,345	Santander Drive Auto Receivables Trust, Series 2014-4, Class B, 1.820%, 5/15/2019		1,345
	47,000	Santander Drive Auto Receivables Trust, Series 2015-2, Class B, 1.830%, 1/15/2020(c)		47,063
	67,000	Santander Drive Auto Receivables Trust, Series 2017-1, Class A2, 1.490%, 2/18/2020(c)		66,963
	100,000	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A3, 1.230%, 10/15/2020(c)		99,295
	85,000	Toyota Auto Receivables Owner Trust, Series 2017-A, Class A2A, 1.420%, 9/16/2019(c)		84,992

				1,441,913

		ABS Credit Card – 3.4%
	100,000	American Express Credit Account Master Trust, Series 2017-1, Class A, 1.930%, 9/15/2022(c)		100,202
	73,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022		73,095
	108,000	Capital One Multi-Asset Execution Trust, Series 2016-A1, Class A1, 1.362%, 2/15/2022(b)(c)		108,627
	92,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023		92,303
	61,000	Capital One Multi-Asset Execution Trust, Series 2017-A2, Class A2, 1.393%, 1/15/2025(b)		61,116
	66,000	Capital One Multi-Asset Execution Trust, Series 2017-A3, Class A3, 2.430%, 1/15/2025		66,000
	111,000	Chase Issuance Trust, Series 2016-A3, Class A3, 1.462%, 6/15/2023(b)(c)		112,142
	128,000	Citibank Credit Card Issuance Trust, Series 2017-A2, Class A2, 1.740%, 1/19/2021(c)		128,204
	125,000	Discover Card Execution Note Trust, Series 2016-A4, Class A4, 1.390%, 3/15/2022(c)		123,878

				865,567

		ABS Home Equity – 1.7%
	48,011	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034		48,935
	55,821	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034		57,332
	97,145	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL1, Class A1, 3.598%, 1/28/2032, 144A(b)		96,885
	62,704	Federal Home Loan Mortgage Corp., REMIC, Series 4664, Class GA, 3.500%, 9/15/2043		64,585
	60,624	VOLT XXVII LLC, Series 2014-NPL7, Class A1, 3.375%, 8/27/2057, 144A(b)		60,554
	40,290	VOLT XXXI LLC, Series 2015-NPL2, Class A1, 3.375%, 2/25/2055, 144A(b)		40,162

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Home Equity – continued
$	59,811	VOLT XXXIII LLC, Series 2015-NPL5, Class A1, 3.500%, 3/25/2055, 144A(b)	$	60,034

				428,487

		ABS Other – 0.4%
	101,000	Verizon Owner Trust, Series 2017-1A, Class A, 2.060%, 9/20/2021, 144A(c)		101,325

		Aerospace & Defense – 0.3%
	34,000	Rockwell Collins, Inc., 3.200%, 3/15/2024		33,961
	33,000	Rockwell Collins, Inc., 4.350%, 4/15/2047		32,956

				66,917

		Automotive – 1.2%
	94,000	BMW U.S. Capital LLC, 2.700%, 4/06/2022, 144A		94,091
	40,000	Ford Motor Co., 5.291%, 12/08/2046		39,908
	73,000	Hyundai Capital America, 3.100%, 4/05/2022, 144A		72,840
	90,000	Toyota Motor Credit Corp., MTN, 1.550%, 10/18/2019(c)		89,267

				296,106

		Banking – 6.6%
	82,000	American Express Credit Corp., MTN, 2.700%, 3/03/2022		81,902
	66,000	Bank of America Corp., MTN, 3.248%, 10/21/2027(c)		62,821
	99,000	Bank of America Corp., MTN, 4.125%, 1/22/2024(c)		103,409
	48,000	Bank of America Corp., MTN, (fixed rate to 1/20/2027, variable rate thereafter), 3.824%, 1/20/2028		48,081
	21,000	Bank of America NA, 2.050%, 12/07/2018		21,114
	129,000	Bank of Nova Scotia (The), 2.700%, 3/07/2022(c)		129,368
	10,000	Barclays PLC, 4.950%, 1/10/2047		9,989
	96,000	Capital One NA, 1.650%, 2/05/2018(c)		95,984
	69,000	Citigroup, Inc., 3.200%, 10/21/2026		66,003
	54,000	Citigroup, Inc., 4.125%, 7/25/2028		53,101
	146,000	Commonwealth Bank of Australia, 2.750%, 3/10/2022, 144A(c)		146,292
	34,000	Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023		34,855
	38,000	Goldman Sachs Group, Inc. (The), 4.750%, 10/21/2045		40,065
	33,000	HSBC Holdings PLC, 4.375%, 11/23/2026		33,256
	74,000	HSBC Holdings PLC, (fixed rate to 3/13/2027, variable rate thereafter), 3.262%, 3/13/2023		74,412
	69,000	JPMorgan Chase & Co., 3.625%, 12/01/2027(c)		66,942
	39,000	JPMorgan Chase & Co., (fixed rate to 2/22/2047, variable rate thereafter), 4.260%, 2/22/2048		38,887
	80,000	Morgan Stanley, MTN, 2.625%, 11/17/2021(c)		79,473
	41,000	Morgan Stanley, MTN, 3.125%, 7/27/2026		39,133
	80,000	Royal Bank of Canada, GMTN, 2.125%, 3/02/2020(c)		80,003

		Banking – continued
$	253,000	UBS AG, 1.375%, 6/01/2017(c)	$	253,051
	23,000	Wells Fargo & Co., GMTN, 4.900%, 11/17/2045		23,980
	17,000	Wells Fargo & Co., MTN, 4.750%, 12/07/2046		17,368
	52,000	Westpac Banking Corp., 2.000%, 8/19/2021		50,766

				1,650,255

		Cable Satellite – 0.7%
	69,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.579%, 7/23/2020		70,976
	15,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035		17,051
	14,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.484%, 10/23/2045		16,119
	54,000	Comcast Corp., 3.000%, 2/01/2024		53,977
	8,000	Time Warner Cable LLC, 7.300%, 7/01/2038		9,913

				168,036

		Chemicals – 0.6%
	51,000	Dow Chemical Co. (The), 8.550%, 5/15/2019		57,814
	39,000	LYB International Finance II BV, 3.500%, 3/02/2027		38,273
	15,000	LyondellBasell Industries NV, 4.625%, 2/26/2055		14,058
	31,000	Westlake Chemical Corp., 5.000%, 8/15/2046, 144A		31,832

				141,977

		Collateralized Mortgage Obligations – 0.6%
	10,866	Federal Home Loan Mortgage Corp., REMIC, Series 3629, Class CZ, 5.000%, 1/15/2040		11,884
	53,107	Federal Home Loan Mortgage Corp., REMIC, Series 4646, Class DA, 3.500%, 1/15/2042(c)		55,037
	64,349	Federal National Mortgage Association, REMIC, Series 2017-20, Class PA, 3.000%, 8/25/2044		65,284
	11,649	Federal National Mortgage Association, REMIC,Series 2005-35, Class DZ, 5.000%, 4/25/2035		12,657

				144,862

		Construction Machinery – 0.3%
	38,000	John Deere Capital Corp., MTN, 2.200%, 3/13/2020		38,109
	29,000	John Deere Capital Corp., MTN, 2.650%, 1/06/2022		29,105

				67,214

		Consumer Products – 0.1%
	28,000	Newell Brands, Inc., 5.500%, 4/01/2046		31,778

		Diversified Manufacturing – 1.4%
	30,000	Johnson Controls International PLC, 4.500%, 2/15/2047		30,449

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Diversified Manufacturing – continued
$	95,000	Siemens Financieringsmaatschappij NV, 2.700%, 3/16/2022, 144A	$	95,083
	41,000	Siemens Financieringsmaatschappij NV, 3.400%, 3/16/2027, 144A		41,364
	8,000	Siemens Financieringsmaatschappij NV, 4.200%, 3/16/2047, 144A		8,114
	183,000	United Technologies Corp., 1.778%, 5/04/2018		182,948

				357,958

		Electric – 3.8%
	34,000	Delmarva Power & Light Co., 4.150%, 5/15/2045		34,892
	108,000	Dominion Resources, Inc., 2.962%, 7/01/2019		109,534
	41,000	Exelon Corp., 1.550%, 6/09/2017		41,001
	13,000	Exelon Corp., 5.625%, 6/15/2035		14,847
	36,000	FirstEnergy Transmission LLC, 5.450%, 7/15/2044, 144A		39,323
	28,000	Fortis, Inc., 2.100%, 10/04/2021, 144A		27,130
	81,000	Fortis, Inc., 3.055%, 10/04/2026, 144A		75,770
	29,000	ITC Holdings Corp., 5.300%, 7/01/2043		32,267
	58,000	Jersey Central Power & Light Co., 4.700%, 4/01/2024, 144A		61,926
	49,000	NextEra Energy Capital Holdings, Inc., 2.700%, 9/15/2019		49,684
	75,000	NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017(c)		75,242
	5,000	Progress Energy, Inc., 7.000%, 10/30/2031		6,585
	20,000	Progress Energy, Inc., 7.050%, 3/15/2019		21,849
	84,000	Progress Energy, Inc., 7.750%, 3/01/2031		116,976
	49,000	Southern Co. (The), 2.350%, 7/01/2021		48,112
	29,000	Southern Co. (The), 4.400%, 7/01/2046		27,718
	26,000	Virginia Electric & Power Co., Series C, 4.000%, 11/15/2046		25,674
	52,000	WEC Energy Group, Inc., 1.650%, 6/15/2018		51,977
	56,000	Xcel Energy, Inc., 1.200%, 6/01/2017		55,960
	38,000	Xcel Energy, Inc., 2.600%, 3/15/2022		37,822

				954,289

		Finance Companies – 0.7%
	167,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021		175,059

		Food & Beverage – 1.1%
	80,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046		86,458
	37,000	Kraft Heinz Foods Co., 2.000%, 7/02/2018		37,092
	60,000	Mondelez International Holdings Netherlands BV, 1.625%, 10/28/2019, 144A		59,095
	84,000	Mondelez International Holdings Netherlands BV, 2.000%, 10/28/2021, 144A(c)		80,825
	18,000	Raizen Fuels Finance S.A., 5.300%, 1/20/2027, 144A		18,225

				281,695


		Government Owned – No Guarantee – 1.5%
	10,000	DP World Ltd., 6.850%, 7/02/2037, 144A		11,545

		Government Owned – No Guarantee – continued
$	87,000	Federal Home Loan Mortgage Corp., 2.375%, 1/13/2022(c)	$	88,573
	33,000	Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032(c)		45,958
	47,000	Federal National Mortgage Association, 2.625%, 9/06/2024(c)		47,718
	79,000	Petroleos Mexicanos, 5.500%, 1/21/2021		83,621
	23,000	Petroleos Mexicanos, 5.625%, 1/23/2046		20,564
	36,000	Tennessee Valley Authority, 3.500%, 12/15/2042		36,158
	39,000	Tennessee Valley Authority, 4.250%, 9/15/2065(c)		40,923

				375,060

		Healthcare – 0.7%
	74,000	Abbott Laboratories, 2.900%, 11/30/2021		74,324
	35,000	Abbott Laboratories, 4.900%, 11/30/2046		36,255
	17,000	Cleveland Clinic Foundation (The), 4.858%, 1/01/2114(c)		16,459
	25,000	Medtronic, Inc., 4.625%, 3/15/2045		26,843
	23,000	New York-Presbyterian Hospital (The), 4.763%, 8/01/2116(c)		21,234

				175,115

		Independent Energy – 1.1%
	32,000	Anadarko Petroleum Corp., 6.600%, 3/15/2046		38,711
	108,000	Anadarko Petroleum Corp., 6.950%, 6/15/2019		118,767
	26,000	Canadian Natural Resources Ltd., 5.900%, 2/01/2018		26,851
	18,000	Devon Energy Corp., 5.600%, 7/15/2041		19,036
	12,000	Encana Corp., 6.500%, 5/15/2019		12,961
	63,000	Noble Energy, Inc., 8.250%, 3/01/2019		70,081

				286,407

		Industrial Other – 0.1%
	28,000	Wesleyan University, 4.781%, 7/01/2116(c)		25,927

		Integrated Energy – 0.6%
	36,000	BP Capital Markets PLC, 3.245%, 5/06/2022		36,774
	11,000	Cenovus Energy, Inc., 6.750%, 11/15/2039		12,545
	106,000	Suncor Energy, Inc., 6.100%, 6/01/2018(c)		111,570

				160,889

		Life Insurance – 1.2%
	12,000	AIA Group Ltd., 2.250%, 3/11/2019, 144A		12,031
	15,000	American International Group, Inc., 4.500%, 7/16/2044		14,314
	125,000	Metropolitan Life Global Funding I, 1.300%, 4/10/2017, 144A(c)		125,002
	105,000	Metropolitan Life Global Funding I, 3.450%, 12/18/2026, 144A(c)		105,760
	37,000	Pricoa Global Funding I, 1.900%, 9/21/2018, 144A		37,075

				294,182

		Media Entertainment – 0.2%
	33,000	Viacom, Inc., 3.125%, 6/15/2022		32,658
	24,000	Viacom, Inc., 3.450%, 10/04/2026		22,828
	8,000	Viacom, Inc., 4.375%, 3/15/2043		6,934

				62,420

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – 0.7%
$	59,000	Glencore Funding LLC, 4.000%, 3/27/2027, 144A	$	58,247
	37,000	Southern Copper Corp., 6.750%, 4/16/2040		41,727
	37,000	Vale Overseas Ltd., 5.875%, 6/10/2021		39,650
	39,000	Vale Overseas Ltd., 6.875%, 11/21/2036		41,929

				181,553

		Midstream – 2.1%
	23,000	Dominion Gas Holdings LLC, 2.500%, 12/15/2019		23,258
	52,000	Energy Transfer Partners LP, 6.625%, 10/15/2036		57,791
	37,000	EnLink Midstream Partners LP, 2.700%, 4/01/2019		37,085
	7,000	EnLink Midstream Partners LP, 5.600%, 4/01/2044		7,031
	64,000	Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024		64,840
	34,000	Kinder Morgan, Inc., 3.050%, 12/01/2019		34,572
	66,000	MPLX LP, 4.500%, 7/15/2023		68,641
	37,000	Plains All American Pipeline LP/PAA Finance Corp., 6.650%, 1/15/2037		41,475
	26,000	Sabine Pass Liquefaction LLC, 5.750%, 5/15/2024		28,335
	84,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		93,222
	34,000	TransCanada PipeLines Ltd., 1.625%, 11/09/2017		34,002
	44,000	Williams Partners LP, 6.300%, 4/15/2040		49,311

				539,563

		Mortgage Related – 27.5%
	230,051	FHLMC, 3.000%, with various maturities from 2046 to 2047(c)(d)		228,074
	169,760	FHLMC, 3.500%, with various maturities in 2046(c)(d)		174,402
	201,977	FHLMC, 4.000%, with various maturities from 2042 to 2046(c)(d)		213,194
	208,286	FHLMC, 4.500%, with various maturities from 2043 to 2046(c)(d)		225,677
	9,427	FHLMC, 6.000%, 5/01/2040		10,642
	230,000	FHLMC (TBA), 3.000%, 4/01/2047(e)		227,880
	290,000	FHLMC (TBA), 3.500%, 4/01/2047(e)		296,570
	150,000	FHLMC (TBA), 4.000%, 5/01/2047(e)		156,996
	271,932	FNMA, 3.000%, with various maturities from 2045 to 2047(c)(d)		270,331
	663,918	FNMA, 3.500%, with various maturities from 2045 to 2046(c)(d)		682,093
	387,945	FNMA, 4.000%, with various maturities from 2044 to 2046(c)(d)		409,042
	83,962	FNMA, 5.000%, with various maturities from 2033 to 2040(d)		91,975
	136,405	FNMA, 5.500%, with various maturities from 2032 to 2041(c)(d)		152,693
	280,000	FNMA (TBA), 2.500%, 4/01/2032(e)		280,131
	975,000	FNMA (TBA), 3.000%, with various maturities from 2032 to 2047(d)(e)		972,603
	840,000	FNMA (TBA), 3.500%, with various maturities in 2047(d)(e)		857,675
	540,000	FNMA (TBA), 4.000%, 4/01/2047(e)		566,409

		Mortgage Related – continued
$	145,000	FNMA (TBA), 4.500%, 4/01/2047(e)	$	155,467
	430,000	GNMA (TBA), 3.500%, 4/01/2047(e)		445,856
	375,000	GNMA (TBA), 4.000%, 4/01/2047(e)		396,065
	100,000	GNMA (TBA), 4.500%, 4/01/2047(e)		106,777

				6,920,552

		Natural Gas – 0.6%
	139,000	Sempra Energy, 9.800%, 2/15/2019		158,542

		Non-Agency Commercial Mortgage-Backed Securities – 1.7%
	43,000	Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/2030, 144A(c)		43,359
	18,000	Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class A4, 4.131%, 11/10/2046		19,208
	4,162	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		4,338
	20,600	Commercial Mortgage Pass Through Certificates, Series 2013-CR9, Class A4, 4.232%, 7/10/2045(b)		22,216
	4,000	Commercial Mortgage Trust, Series 2013-CR11, Class A3, 3.983%, 8/10/2050		4,247
	24,000	Commercial Mortgage Trust, Series 2013-LC6, Class A4, 2.941%, 1/10/2046		24,292
	1,000	Commercial Mortgage Trust, Series 2015-PC1, Class A5, 3.902%, 7/10/2050		1,041
	14,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		14,342
	22,000	CSAIL Commercial Mortgage Trust, Series 2016-C7, Class A5, 3.502%, 11/15/2049		22,202
	1,000	GS Mortgage Securities Corp. II, Series 2013-GC16, Class A4, 4.271%, 11/10/2046		1,076
	56,000	GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Class A, 2.933%, 6/05/2031, 144A(c)		56,843
	8,000	GS Mortgage Securities Trust, Series 2013-GC12, Class A4, 3.135%, 6/10/2046		8,140
	15,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A5, 3.723%, 3/15/2050		15,498
	14,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.084%, 7/15/2046(b)		15,000
	5,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A4, 4.259%, 10/15/2046(b)		5,374
	11,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A4, 3.787%, 2/15/2047		11,504
	7,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A5, 4.064%, 2/15/2047		7,431

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	23,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4, 3.249%, 2/15/2048	$	23,115
	40,000	Morgan Stanley Capital I Trust, Series 2014-CPT, Class A, 3.350%, 7/13/2029, 144A		41,401
	4,000	Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617%, 9/15/2057		4,097
	17,000	Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class A4, 3.789%, 9/15/2048		17,576
	20,000	Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class A4, 3.640%, 12/15/2059		20,433
	16,000	Wells Fargo Commercial Mortgage Trust, Series 2017-RB1, Class A5, 3.635%, 3/15/2050		16,411
	22,000	WFRBS Commercial Mortgage Trust, Series 2013-C14, Class A4, 3.073%, 6/15/2046		22,234
	2,077	WFRBS Commercial Mortgage Trust, Series 2013-C14, Class A5, 3.337%, 6/15/2046		2,130

				423,508

		Pharmaceuticals – 1.9%
	88,000	AbbVie, Inc., 1.800%, 5/14/2018(c)		88,099
	136,000	Actavis Funding SCS, 3.450%, 3/15/2022		138,867
	47,000	Gilead Sciences, Inc., 2.950%, 3/01/2027		44,575
	74,000	Johnson & Johnson, 3.625%, 3/03/2037		73,384
	100,000	Novartis Capital Corp. (The), 2.400%, 5/17/2022(c)		99,463
	31,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		28,567

				472,955

		Property & Casualty Insurance – 0.3%
	60,000	Berkshire Hathaway Finance Corp., 1.300%, 8/15/2019(c)		59,426
	26,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A		26,363

				85,789

		Railroads – 0.6%
	60,000	Burlington Northern Santa Fe LLC, 4.125%, 6/15/2047		59,831
	26,000	CSX Corp., 3.800%, 11/01/2046		23,718
	53,000	Union Pacific Corp., 3.000%, 4/15/2027		52,407
	20,000	Union Pacific Corp., 4.000%, 4/15/2047		19,737

				155,693

		REITs – Shopping Centers – 0.1%
	21,000	Brixmor Operating Partnership LP, 3.900%, 3/15/2027		20,604

		Retailers – 0.4%
	12,000	CVS Health Corp., 5.125%, 7/20/2045		13,240
	30,988	CVS Pass Through Trust, 4.704%, 1/10/2036, 144A		32,364
	48,982	CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		48,910

				94,514


		Sovereigns – 0.7%
$	40,000	Mexico Government International Bond, 4.350%, 1/15/2047	$	36,800
	19,000	Qatar Government International Bond, 2.375%, 6/02/2021, 144A		18,790
	80,000	Republic of Oman, 3.875%, 3/08/2022, 144A		80,900
	39,000	State of Kuwait, 2.750%, 3/20/2022, 144A		39,095

				175,585

		Technology – 0.9%
	5,000	Apple, Inc., 2.500%, 2/09/2022		5,022
	43,000	Apple, Inc., 3.850%, 8/04/2046		41,019
	23,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		25,074
	11,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.100%, 7/15/2036, 144A		13,815
	15,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.350%, 7/15/2046, 144A		19,373
	107,000	Microsoft Corp., Series 30Y, 4.250%, 2/06/2047(c)		109,680

				213,983

		Tobacco – 0.5%
	116,000	Reynolds American, Inc., 2.300%, 6/12/2018		116,697

		Transportation Services – 0.3%
	41,000	FedEx Corp., 4.550%, 4/01/2046		40,969
	33,000	TTX Co., 2.250%, 2/01/2019, 144A		33,015

				73,984

		Treasuries – 32.3%
	713,000	U.S. Treasury Bond, 2.250%, 8/15/2046(c)		603,432
	135,000	U.S. Treasury Bond, 2.875%, 11/15/2046		130,987
	350,000	U.S. Treasury Bond, 4.750%, 2/15/2037(c)		456,982
	82,000	U.S. Treasury Bond, 5.000%, 5/15/2037		110,284
	2,470,000	U.S. Treasury Note, 1.000%, 11/30/2018(c)		2,461,508
	13,000	U.S. Treasury Note, 1.125%, 1/31/2019		12,974
	73,000	U.S. Treasury Note, 1.125%, 2/28/2019		72,835
	140,000	U.S. Treasury Note, 1.250%, 3/31/2019		139,973
	1,000	U.S. Treasury Note, 1.375%, 1/15/2020		998
	51,000	U.S. Treasury Note, 1.375%, 2/15/2020		50,839
	168,000	U.S. Treasury Note, 1.500%, 8/15/2026		155,452
	2,735,000	U.S. Treasury Note, 1.750%, 11/30/2021		2,717,160
	37,000	U.S. Treasury Note, 1.875%, 2/28/2022		36,920
	141,000	U.S. Treasury Note, 1.875%, 3/31/2022		140,636
	662,000	U.S. Treasury Note, 2.000%, 11/15/2026		639,503
	298,000	U.S. Treasury Note, 2.125%, 11/30/2023(c)		296,975
	15,000	U.S. Treasury Note, 2.125%, 2/29/2024		14,919
	81,000	U.S. Treasury Note, 2.250%, 2/15/2027		79,965

				8,122,342


		Wirelines – 1.6%
	162,000	AT&T, Inc., 3.600%, 2/17/2023(c)		164,074
	19,000	AT&T, Inc., 4.300%, 12/15/2042		16,893
	20,000	AT&T, Inc., 4.500%, 3/09/2048		17,785
	9,000	AT&T, Inc., 5.150%, 3/15/2042		8,929
	19,000	AT&T, Inc., 5.250%, 3/01/2037		19,370
	61,000	Verizon Communications, Inc., 4.272%, 1/15/2036		56,486
	85,000	Verizon Communications, Inc., 5.150%, 9/15/2023(c)		93,551

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	15,000	Verizon Communications, Inc., 5.250%, 3/16/2037	$	15,508

				392,596


		Total Non-Convertible Bonds
		(Identified Cost $26,618,126)		26,701,898


	Municipals – 0.8%

		Alabama – 0.2%
	50,000	AL Economic Settlement Authority, BP Settlement, Revenue Bonds, Series B, 3.163%, 9/15/2025		50,289

		California – 0.2%
	30,000	State of California, Build America Bonds, GO, 7.300%, 10/01/2039		42,391

		Illinois – 0.1%
	45,000	State of Illinois, 5.100%, 6/01/2033		41,059

		New Jersey – 0.3%
	65,000	New Jersey Transportation Trust Fund Authority, Build America Bonds, Revenue, Series C, 5.754%, 12/15/2028(c)		67,537


		Total Municipals
		(Identified Cost $201,015)		201,276


		Total Bonds and Notes
		(Identified Cost $26,819,141)		26,903,174


	Short-Term Investments – 14.5%
	1,000,000	Federal Home Loan Bank Discount Notes, 0.720%-0.750%, 4/11/2017(f)		999,866
	500,000	Federal Home Loan Bank Discount Notes, 0.725%, 4/13/2017(f)		499,904
	500,000	Federal Home Loan Bank Discount Notes, 0.750%, 4/18/2017(f)		499,856
	500,000	Federal Home Loan Bank Discount Notes, 0.750%, 4/21/2017(f)		499,828
	1,136,025	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $1,136,046 on 4/03/2017 collateralized by $1,190,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $1,161,093 including accrued interest (Note 2 of Notes to Financial Statements)		1,136,025


		Total Short-Term Investments
		(Identified Cost $3,635,356)		3,635,479


		Total Investments – 121.5%
		(Identified Cost $30,454,497)(a)		30,538,653
		Other assets less liabilities—(21.5)%		(5,405,318	)


		Net Assets – 100.0%	$	25,133,335

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $30,466,286 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	$	109,542
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(37,175	)

		Net unrealized appreciation	$	72,367

	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open TBA transactions.
	(d)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(e)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(f)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $2,467,674 or 9.8% of net assets.
	ABS	Asset-Backed Securities
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	GO	General Obligation
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit
	TBA	To Be Announced

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	32.3	%
Mortgage Related	27.5
Banking	6.6
ABS Car Loan	5.7
Electric	3.8
ABS Credit Card	3.4
Midstream	2.1
Other Investments, less than 2% each	25.6
Short-Term Investments	14.5

Total Investments	121.5
Other assets less liabilities	(21.5	)

Net Assets	100.0	%

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 83.0% of Net Assets

	Non-Convertible Bonds – 75.2%

		ABS Other – 0.2%
$	1,069,986	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(c)	$	676,231
	420,164	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(c)		121,091
	1,855,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(c)(d)		4,081
	836,615	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(e)		802,975

				1,604,378

		Aerospace & Defense – 2.5%
	60,000	Arconic, Inc., 5.900%, 2/01/2027		64,233
	9,800,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		9,660,350
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		170,187
	1,265,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		1,304,822
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		646,500
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,004,500
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,929,500
	245,000	Textron, Inc., 5.600%, 12/01/2017		251,161
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,629,115
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,442,815
	1,468,000	TransDigm, Inc., 6.500%, 7/15/2024		1,488,185

				26,591,368

		Airlines – 2.5%
	604,076	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		622,199
	2,130,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		2,215,200
	322,788	American Airlines Pass Through Certificates, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		327,232
	10,861,785	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		11,214,793
	2,175,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		2,226,656
	990,749	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		1,021,056
	8,020	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		8,362
	177,448	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		186,321

		Airlines – continued
$	185,013	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022	$	193,642
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,812,881
	698,397	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		755,142
	1,546,713	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		1,602,781
	1,149,128	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,327,243
	781,520	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		870,645
	407,846	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		440,474
	1,896,142	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		1,990,949
	252,779	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		256,580
	357,022	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		362,434

				27,434,590

		Automotive – 3.5%
	690,000	Ford Motor Co., 4.346%, 12/08/2026		703,609
	2,835,000	Ford Motor Co., 5.291%, 12/08/2046		2,828,479
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,774,204
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,091,094
	165,000	Ford Motor Co., 6.625%, 2/15/2028		191,669
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		4,985,977
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,249,831
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		1,995,229
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		619,904
	9,685,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		9,891,862
	1,325,000	General Motors Co., 5.200%, 4/01/2045		1,298,782
	2,175,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,287,165
	2,865,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		3,078,188
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		408,750
	515,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		531,738

				37,936,481

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – 11.7%
$	6,735,000	Ally Financial, Inc., 5.125%, 9/30/2024	$	6,928,631
	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031		1,360,875
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		2,010,911
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,102,843
	4,570,000	Bank of America Corp., 6.110%, 1/29/2037		5,338,980
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,135,924
	1,700,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		1,706,178
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,504,933
	14,790,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		11,357,666
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(f)		1,653,202
	2,150,000	BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(f)		2,295,225
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(f)		1,103,750
	3,340,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		2,434,166
	14,170,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		10,004,835
	6,560,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,189,792
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,119,371
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,388,030
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,564,040
	8,450,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045		8,956,163
	50,000	Merrill Lynch & Co., Inc., EMTN, 0.221%, 9/14/2018, (EUR)(g)		53,394
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		332,958
	5,125,000	Morgan Stanley, 2.125%, 4/25/2018		5,144,578
	1,360,000	Morgan Stanley, 2.500%, 1/24/2019		1,373,416
	2,120,000	Morgan Stanley, 3.950%, 4/23/2027		2,099,625
	300,000	Morgan Stanley, 4.350%, 9/08/2026		307,283
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,187,110
	3,115,000	Morgan Stanley, 5.750%, 1/25/2021		3,457,824
	4,900,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		3,765,401
	13,040,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		13,467,595
	3,950,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		3,088,833
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(f)		192,917

		Banking – continued
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(f)	$	2,622,551
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		2,029,448
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(f)		2,144,750
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		738,423
	1,225,000	Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(f)		1,225,000
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,448,055

				125,834,676

		Brokerage – 1.5%
	549,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		524,295
	2,890,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		2,915,288
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,283,998
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,465,582
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		3,210,719
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		2,041,818
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,888,230

				16,329,930

		Building Materials – 0.9%
	4,135,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,902,406
	800,000	Masco Corp., 6.500%, 8/15/2032		944,170
	1,410,000	Masco Corp., 7.125%, 3/15/2020		1,588,422
	815,000	Masco Corp., 7.750%, 8/01/2029		1,047,890
	2,050,000	Owens Corning, 7.000%, 12/01/2036		2,507,507

				9,990,395

		Cable Satellite – 1.0%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		691,600
	3,035,000	DISH DBS Corp., 5.000%, 3/15/2023		3,050,175
	375,000	Time Warner Cable LLC, 4.500%, 9/15/2042		339,857
	1,500,000	Time Warner Cable LLC, 6.550%, 5/01/2037		1,720,039
	3,400,000	UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR)		3,809,346
	800,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		829,000

				10,440,017

		Chemicals – 2.5%
	1,180,000	Chemours Co. (The), 6.625%, 5/15/2023		1,250,800
	9,550,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		9,621,625

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Chemicals – continued
$	5,240,000	Hexion, Inc., 7.875%, 2/15/2023(b)(c)	$	2,672,400
	905,000	Hexion, Inc., 9.200%, 3/15/2021(b)(c)		488,700
	7,395,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		5,546,250
	6,830,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		7,017,825
	620,000	Methanex Corp., 5.250%, 3/01/2022		649,574

				27,247,174

		Construction Machinery – 0.1%
	965,000	Toro Co. (The), 6.625%, 5/01/2037(b)(e)		1,076,101
	414,000	United Rentals North America, Inc., 7.625%, 4/15/2022		431,078

				1,507,179

		Consumer Products – 0.1%
	880,000	Avon Products, Inc., 8.950%, 3/15/2043		777,040

		Diversified Manufacturing – 0.0%
	45,000	General Electric Co., GMTN, 3.100%, 1/09/2023		46,252

		Electric – 2.7%
	2,385,000	AES Corp. (The), 4.875%, 5/15/2023		2,373,075
	180,000	AES Corp. (The), 5.500%, 4/15/2025		182,700
	2,198,486	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,409,978
	2,957,287	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(e)		979,601
	4,120,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		4,231,240
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,670,250
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,002,002
	1,589,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		1,947,498
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,330,944
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		123,742
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,250,262
	1,628,300	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)(e)		1,719,241

				29,220,533

		Finance Companies – 4.3%
	1,800,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.500%, 5/26/2022		1,813,723
	1,200,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.950%, 2/01/2022		1,232,384
	300,000	AGFC Capital Trust I, 2.772%, 1/15/2067, 144A(g)		147,375
	1,680,000	International Lease Finance Corp., 4.625%, 4/15/2021		1,771,501

		Finance Companies – continued
$	4,695,000	International Lease Finance Corp., 6.250%, 5/15/2019	$	5,058,820
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,242,209
	945,000	iStar, Inc., 4.875%, 7/01/2018		950,906
	3,903,000	Navient Corp., 5.875%, 10/25/2024		3,640,758
	31,725(††)	Navient Corp., 6.000%, 12/15/2043		716,879
	5,900,000	Navient Corp., MTN, 6.125%, 3/25/2024		5,619,750
	145,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		145,544
	4,668,000	Navient LLC, 5.500%, 1/25/2023		4,457,940
	726,000	Navient LLC, MTN, 5.500%, 1/15/2019		752,136
	5,185,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(e)		4,031,338
	2,681,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		2,855,265
	1,950,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,915,875
	1,105,000	Springleaf Finance Corp., 5.250%, 12/15/2019		1,114,669
	3,770,000	Springleaf Finance Corp., 6.000%, 6/01/2020		3,826,550
	1,350,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		1,373,625

				46,667,247

		Food & Beverage – 0.2%
	2,445,000	Constellation Brands, Inc., 4.750%, 11/15/2024		2,633,558

		Government Owned – No Guarantee – 0.4%
	1,715,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		1,935,057
	1,605,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,520,737
	965,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		796,318

				4,252,112

		Healthcare – 3.2%
	650,000	BioScrip, Inc., 8.875%, 2/15/2021		558,785
	1,470,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		1,264,200
	610,000	HCA, Inc., 5.875%, 3/15/2022		671,000
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		5,356,800
	2,932,000	HCA, Inc., 7.050%, 12/01/2027		3,221,535
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,685,187
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,575,000
	2,660,000	HCA, Inc., 7.690%, 6/15/2025		3,029,075
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,616,825
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,292,587
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		473,538
	1,425,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,425,000
	2,245,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,245,000
	3,685,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		3,690,638
	1,285,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,262,513

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – continued
$	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031	$	1,522,063
	465,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		502,200

				34,391,946

		Home Construction – 1.1%
	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		567,875
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(e)		218,025
	4,276,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		3,549,080
	835,000	KB Home, 8.000%, 3/15/2020		926,850
	3,920,000	PulteGroup, Inc., 6.000%, 2/15/2035		3,841,600
	3,020,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,095,500
	15,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		15,450

				12,214,380

		Independent Energy – 1.9%
	2,920,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		3,022,200
	644,000	California Resources Corp., 5.500%, 9/15/2021		476,560
	86,000	California Resources Corp., 6.000%, 11/15/2024		60,200
	3,105,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,794,500
	335,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		304,850
	1,135,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		1,100,950
	720,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		719,100
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		992,513
	980,000	Continental Resources, Inc., 3.800%, 6/01/2024		911,400
	185,000	Continental Resources, Inc., 4.500%, 4/15/2023		180,027
	350,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		343,700
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		6,275,081
	345,000	QEP Resources, Inc., 5.250%, 5/01/2023		338,235
	285,000	Rice Energy, Inc., 6.250%, 5/01/2022		293,550
	385,000	RSP Permian, Inc., 6.625%, 10/01/2022		405,213
	575,000	SM Energy Co., 5.625%, 6/01/2025		550,275
	1,471,000	SM Energy Co., 6.125%, 11/15/2022		1,482,032
	155,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		154,225

				20,404,611

		Industrial Other – 0.1%
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,184,500


		Life Insurance – 1.5%
$	160,000	American International Group, Inc., 4.125%, 2/15/2024	$	164,123
	130,000	American International Group, Inc., 4.875%, 6/01/2022		140,713
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(f)		4,026,044
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)		237,664
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(e)		4,937,993
	690,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		567,525
	495,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		412,087
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,722,675
	2,270,000	Metlife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		3,135,437
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,337,116

				16,681,377

		Local Authorities – 2.2%
	830,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		653,182
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		7,625,912
	19,825,000	Province of Ontario Canada, 4.200%, 3/08/2018, (CAD)		15,375,202

				23,654,296

		Media Entertainment – 0.8%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		971,167
	3,805,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		2,858,506
	500,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		517,500
	1,250,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		1,309,375
	2,475,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		2,304,844
	120,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		116,400
	306,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		310,590
	295,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		317,125

				8,705,507

		Metals & Mining – 1.7%
	2,602,232	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(c)(h)(i)		1,041
	6,630,000	ArcelorMittal, 7.500%, 3/01/2041		7,420,296
	3,300,000	ArcelorMittal, 7.750%, 10/15/2039		3,745,500
	2,015,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(e)(h)		226,688

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – continued
$	2,525,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A	$	2,603,906
	1,400,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		1,457,750
	1,580,000	United States Steel Corp., 6.650%, 6/01/2037		1,398,300
	1,760,000	United States Steel Corp., 7.500%, 3/15/2022		1,828,200

				18,681,681

		Midstream – 1.9%
	575,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		609,500
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		312,978
	2,860,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		3,487,716
	3,000,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		2,963,907
	1,410,000	Enterprise Products Operating LLC, 6.300%, 9/15/2017		1,438,980
	300,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		332,813
	1,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,401,257
	95,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		106,400
	115,000	ONEOK Partners LP, 6.200%, 9/15/2043		128,757
	7,195,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026		9,238,689

				20,020,997

		Non-Agency Commercial Mortgage-Backed Securities – 0.3%
	530,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(g)		530,410
	860,436	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		648,874
	62,017	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(g)		61,940
	2,135,637	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(e)		2,162,333

				3,403,557

		Oil Field Services – 1.3%
	6,230,000	FTS International, Inc., 6.250%, 5/01/2022		5,373,375
	3,050,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(b)(e)(h)		549,000
	1,317,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(b)(e)(h)		237,060
	7,170,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		7,403,025

		Oil Field Services – continued
$	400,000	Transocean, Inc., 5.550%, 10/15/2022	$	376,250

				13,938,710

		Packaging – 1.3%
	11,450,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		11,621,750
	1,910,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		2,024,600

				13,646,350

		Paper – 1.2%
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,664,093
	5,492,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,625,060
	350,000	WestRock MWV LLC, 7.950%, 2/15/2031		473,674
	1,035,000	WestRock MWV LLC, 8.200%, 1/15/2030		1,400,950

				13,163,777

		Property & Casualty Insurance – 0.7%
	1,630,000	MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(d)(g)		766,100
	3,275,000	Old Republic International Corp., 4.875%, 10/01/2024		3,479,622
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,682,518
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,324,425

				7,252,665

		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(e)		464,985

		REITs – Apartments – 0.1%
	1,495,000	Camden Property Trust, 5.700%, 5/15/2017		1,501,968

		REITs – Office Property – 0.0%
	475,000	Highwoods Realty LP, 7.500%, 4/15/2018		501,615

		REITs – Single Tenant – 0.1%
	275,000	Realty Income Corp., 5.750%, 1/15/2021		302,733
	725,000	Realty Income Corp., 6.750%, 8/15/2019		801,579

				1,104,312

		Restaurants – 0.1%
	450,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		587,062

		Retailers – 0.7%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,187,862
	1,100,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,293,875
	440,000	GameStop Corp., 5.500%, 10/01/2019, 144A		447,700
	155,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		153,450
	793,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		604,663

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Retailers – continued
$	1,525,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019	$	1,647,000
	2,121,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		1,871,782

				7,206,332

		Sovereigns – 1.1%
	2,265,000	Kingdom of Saudi Arabia, 2.375%, 10/26/2021, 144A		2,225,363
	5,040,000	Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A		4,898,880
	4,485,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		4,346,862

				11,471,105

		Supermarkets – 1.6%
	760,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024, 144A		777,100
	690,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		669,300
	7,670,000	New Albertson’s, Inc., 7.450%, 8/01/2029		7,267,325
	2,445,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,383,875
	3,780,000	New Albertson’s, Inc., 8.000%, 5/01/2031		3,657,150
	560,000	New Albertson’s, Inc., 8.700%, 5/01/2030		554,400
	2,105,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,883,975

				17,193,125

		Supranational – 1.3%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		14,188,746

		Technology – 1.3%
	860,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		915,900
	2,415,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,656,500
	80,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		87,400
	1,175,000	Corning, Inc., 7.250%, 8/15/2036		1,416,772
	2,095,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045		2,157,341
	166,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		174,102
	636,900	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		748,071
	5,585,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		6,122,556

				14,278,642

		Transportation Services – 0.2%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)(e)		1,828,125


		Treasuries – 11.8%
	29,780,000	Canadian Government International Bond, 0.250%, 5/01/2017, (CAD)	$	22,389,024
	13,195,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		9,856,288
	10,950,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		8,296,096
	8,305,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		6,385,329
	107,395,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		708,935
	271,710,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		1,724,873
	414,800(†††)	Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN)		2,210,118
	424,300(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		2,237,846
	200,000(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,110,230
	595,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		3,266,672
	847,500(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,771,413
	150,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		884,998
	1,455,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		9,142,084
	21,085,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		15,575,982
	10,220,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,325,784
	63,235,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		7,397,130
	14,660,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		1,847,411
	10,150,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		3,080,080
	14,635,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		4,744,945
	20,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		19,872,660

				126,827,898

		Wireless – 0.7%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		3,604,097
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,774,769
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		360,750

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wireless – continued
$	735,000	Sprint Communications, Inc., 6.000%, 11/15/2022	$	751,537
	285,000	Sprint Corp., 7.125%, 6/15/2024		304,237

				7,795,390

		Wirelines – 2.9%
	195,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		184,775
	690,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		697,731
	210,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		193,070
	2,085,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,186,644
	990,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		950,400
	200,000	Embarq Corp., 7.995%, 6/01/2036		199,000
	3,585,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		3,710,475
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(h)		307,238
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(h)		591,674
	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		6,835,744
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		360,938
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		726,562
	4,484,000	Qwest Corp., 6.875%, 9/15/2033		4,464,988
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,333,478
	2,290,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,261,375
	1,395,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,409,815
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		643,280
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		479,763
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		438,652
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,507,395
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,254,492

				30,737,489


		Total Non-Convertible Bonds
		(Identified Cost $825,407,575)		811,544,078


	Convertible Bonds – 7.2%

		Building Materials – 0.5%
	5,140,000	KB Home, 1.375%, 2/01/2019		5,265,287

		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		399,438


		Consumer Products – 0.0%
$	270,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018	$	255,150

		Diversified Manufacturing – 0.1%
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		619,331

		Finance Companies – 0.3%
	2,840,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		3,590,825

		Healthcare – 0.0%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		292,425

		Leisure – 0.3%
	2,800,000	Rovi Corp., 0.500%, 3/01/2020		2,719,108

		Midstream – 0.0%
	21,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		20,685
	240,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		248,550

				269,235

		Pharmaceuticals – 0.1%
	205,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		231,522
	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		336,478

				568,000

		Property & Casualty Insurance – 2.2%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		555,500
	17,245,000	Old Republic International Corp., 3.750%, 3/15/2018		22,946,628

				23,502,128

		Technology – 3.7%
	3,455,000	Ciena Corp., 3.750%, 10/15/2018, 144A		4,508,775
	3,859,000	Intel Corp., 3.250%, 8/01/2039		6,741,191
	305,101	Liberty Interactive LLC, 3.500%, 1/15/2031		297,344
	9,900,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		11,094,187
	110,000	Nuance Communications, Inc., 1.000%, 12/15/2035		104,641
	495,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		494,072
	9,404,000	Nuance Communications, Inc., 1.500%, 11/01/2035		9,644,977
	4,095,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		4,604,316
	2,020,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		2,247,250

				39,736,753


		Total Convertible Bonds
		(Identified Cost $60,709,970)		77,217,680

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Municipals – 0.6%

		Michigan – 0.2%
$	2,135,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034	$	2,089,653

		Virginia – 0.4%
	5,825,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		4,881,466


		Total Municipals
		(Identified Cost $7,942,026)		6,971,119


		Total Bonds and Notes
		(Identified Cost $894,059,571)		895,732,877


	Senior Loans – 0.1%

		Media Entertainment – 0.0%
	21,467	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(g)		21,789

		Other Utility – 0.1%
	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(g)		786,050


		Total Senior Loans
		(Identified Cost $836,106)		807,839


	Shares

	Common Stocks – 3.1%

		Automobiles – 0.4%
	341,305	Ford Motor Co.		3,972,790

		Diversified Telecommunication Services – 0.0%
	6,123	Hawaiian Telcom Holdco, Inc.(d)		140,278

		Electronic Equipment, Instruments & Components – 0.5%
	205,167	Corning, Inc.		5,539,509

		Energy Equipment & Services – 0.0%
	170,674	Hercules Offshore, Inc.(b)(d)(e)(l)		—

		Internet Software & Services – 0.0%
	6,787	Dex Media, Inc.(b)(c)(d)		18,325

		Oil, Gas & Consumable Fuels – 0.0%
	54,259	Chesapeake Energy Corp.(d)		322,298

		Pharmaceuticals – 0.8%
	160,000	Bristol-Myers Squibb Co.		8,700,800

		Semiconductors & Semiconductor Equipment – 1.4%
	400,524	Intel Corp.		14,446,901


		Total Common Stocks
		(Identified Cost $33,271,817)		33,140,901


	Preferred Stocks – 1.7%

	Convertible Preferred Stocks – 1.2%

		Banking – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%	$	3,398,751

		Communications – 0.0%
	2,083	Cincinnati Bell, Inc., 6.750%		103,150

		Electric – 0.2%
	50,764	AES Trust III, 6.750%		2,594,040

		Energy – 0.5%
	96,065	El Paso Energy Capital Trust I, 4.750%		4,803,250

		Midstream – 0.2%
	10,213	Chesapeake Energy Corp., 4.500%		616,763
	12,055	Chesapeake Energy Corp., 5.000%		771,520
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A		427,350

				1,815,633

		REITs – Health Care – 0.0%
	7,400	Welltower, Inc., 6.500%		467,088

		REITs – Mortgage – 0.0%
	3,106	iStar, Inc., Series J, 4.500%		157,319


		Total Convertible Preferred Stocks
		(Identified Cost $11,692,904)		13,339,231


	Non-Convertible Preferred Stocks – 0.5%

		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		8,471
	2,876	Entergy New Orleans, Inc., 4.750%		298,745
	4,670	Union Electric Co., 4.500%		454,064

				761,280

		Finance Companies – 0.1%
	25,100	SLM Corp., Series A, 6.970%		1,272,570

		Metals & Mining – 0.3%
	68,395	Arconic, Inc., 5.375%		2,807,615


		Total Non-Convertible Preferred Stocks
		(Identified Cost $4,655,859)		4,841,465


		Total Preferred Stocks
		(Identified Cost $16,348,763)		18,180,696


	Principal Amount (‡)

	Short-Term Investments – 11.2%
$	17,955,000	Federal Home Loan Bank Discount Notes, 0.550%, 4/04/2017(k)		17,954,659
	56,045,000	Federal Home Loan Bank Discount Notes, 0.520-0.560%, 4/10/2017(k)		56,037,490

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – continued
$	23,793	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $23,793 on 4/03/2017 collateralized by $24,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $24,339 including accrued interest (Note 2 of Notes to Financial Statements)	$	23,793
	37,610,488	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $37,611,178 on 4/03/2017 collateralized by $39,230,000 U.S. Treasury Note, 1.250% due 3/31/2021 valued at $38,365,724 including accrued interest (Note 2 of Notes to Financial Statements)		37,610,488
	10,000,000	U.S. Treasury Bills, 0.642%, 06/22/2017(k)		9,983,280


		Total Short-Term Investments
		(Identified Cost $121,611,434)		121,609,710


		Total Investments – 99.1%
		(Identified Cost $1,066,127,691)(a)		1,069,472,023
		Other assets less liabilities—0.9%		9,960,578


		Net Assets – 100.0%	$	1,079,432,601


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 25.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $1,068,903,362 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	$	82,952,371
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(82,383,710	)

		Net unrealized appreciation	$	568,661

	(b)	Illiquid security.
	(c)	Fair valued by the Fund's adviser. At March 31, 2017, the value of these securities amounted to $3,981,869 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Non-income producing security.
	(e)	Securities classified as fair valued pursuant to the Fund's pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $19,233,465 or 1.8% 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 March 31, 2017 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.
	(k)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(l)	Escrow shares.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $188,345,822 or 17.4% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	GMTN	Global Medium Term Note
	MTN	Medium Term Note
	PIK	Payment-in-Kind
	SLM	Sallie Mae
	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 March 31, 2017 (Unaudited)


Banking	12.0	%
Treasuries	11.8
Technology	5.0
Finance Companies	4.7
Automotive	3.5
Healthcare	3.2
Electric	3.0
Property & Casualty Insurance	2.9
Wirelines	2.9
Chemicals	2.5
Airlines	2.5
Aerospace & Defense	2.5
Local Authorities	2.2
Midstream	2.1
Metals & Mining	2.0
Other Investments, less than 2% each	25.1
Short-Term Investments	11.2

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 97.4% of Net Assets

		Australia – 3.7%
$	4,695,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A(b)	$	4,880,720
	14,770,000	Australia Government International Bond, Series 142, 4.250%, 4/21/2026, (AUD)(b)		12,728,697
	25,475,000	Queensland Treasury Corp., Series 23, 4.250%, 7/21/2023, 144A, (AUD)(b)		21,168,504

				38,777,921

		Barbados – 0.3%
	912,500	Global SC Finance II S.r.l., Series 2013-1A, Class A, 2.980%, 4/17/2028, 144A(b)		888,425
	2,676,667	Global SC Finance II S.r.l., Series 2014-1A, Class A1, 3.190%, 7/17/2029, 144A(b)		2,605,887

				3,494,312

		Belgium – 1.0%
	2,530,000	Anheuser-Busch InBev Finance, Inc., 3.650%, 2/01/2026(b)		2,558,336
	470,000	Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036(b)		497,241
	3,720,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046(b)		4,020,293
	2,150,000	Solvay Finance (America) LLC, 3.400%, 12/03/2020, 144A(b)		2,212,047
	1,120,000	Solvay Finance (America) LLC, 4.450%, 12/03/2025, 144A(b)		1,168,016

				10,455,933

		Bermuda – 0.2%
	1,600,000	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b)		1,562,043

		Brazil – 2.0%
	33,200(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)		10,600,894
	3,855,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		3,962,940
	920,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		948,962
	1,275,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,208,062
	1,910,000	Petrobras Global Finance BV, EMTN, 6.250%, 12/14/2026, (GBP)		2,442,710
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,124,193

				21,287,761

		Canada – 2.3%
	1,985,000	Alimentation Couche-Tard, Inc., 1.875%, 5/06/2026, (EUR)(b)		2,155,323
	1,250,000	BMW Canada Auto Trust, Series 2017-1A, Class A2, 1.677%, 5/20/2020, 144A, (CAD)(b)		940,905
	4,525,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)(b)		3,428,295

		Canada – continued
	4,399,000	Canadian Government International Bond, 4.000%, 6/01/2041, (CAD)(b)	$	4,311,639
	3,139,269	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)(b)		2,367,394
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)(b)		6,661,864
	3,210,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(b)		2,784,808
	2,610,000	Province of Ontario Canada, 1.950%, 1/27/2023, (CAD)(b)		1,969,712

				24,619,940

		Cayman Islands – 0.1%
	630,707	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.993%, 4/15/2032, 144A(b)(c)		630,496

		Chile – 0.7%
	5,420,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(b)		5,706,140
	1,375,000	Itau CorpBanca, 3.875%, 9/22/2019, 144A(b)		1,417,941

				7,124,081

		Colombia – 1.0%
	3,910,000	Republic of Colombia, 3.875%, 4/25/2027		3,894,360
	17,000,000,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(b)		6,239,162

				10,133,522

		Denmark – 1.0%
	66,250,000	Denmark Government Bond, 1.750%, 11/15/2025, (DKK)(b)		10,661,409

		France – 2.7%
	1,800,000	AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)		2,390,248
	3,670,000	BNP Paribas S.A., 3.800%, 1/10/2024, 144A(b)		3,652,112
	5,370,000	BNP Paribas S.A., 4.625%, 3/13/2027, 144A		5,368,609
	885,000	BNP Paribas S.A., (fixed rate to 10/14/2022, variable rate thereafter), 2.625%, 10/14/2027, (EUR)(b)		972,186
	3,280,000	Credit Agricole S.A., 4.125%, 1/10/2027, 144A(b)		3,253,881
	8,505,000	France Government Bond OAT, 0.500%, 5/25/2026, (EUR)(b)		8,765,481
	1,315,000	France Government Bond OAT, 4.500%, 4/25/2041, (EUR)(b)		2,133,863
	2,190,000	Societe Generale S.A., 4.000%, 1/12/2027, 144A(b)		2,140,594
	200,000	Veolia Environnement S.A., (fixed rate to 4/16/2018, variable rate thereafter), 4.850% , (GBP)(d)		257,972

				28,934,946

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Germany – 5.9%
	6,500,000	Allianz Finance II BV, EMTN, (fixed rate to 7/08/2021, variable rate thereafter), 5.750%, 7/08/2041, (EUR)(b)	$	8,131,076
	12,360,000	Bundesrepublik Deutschland, 0.500%, 2/15/2025, (EUR)(b)		13,693,293
	6,865,000	Bundesrepublik Deutschland, 0.500%, 2/15/2026, (EUR)(b)		7,541,838
	24,860,000	Bundesrepublik Deutschland, 1.000%, 8/15/2025, (EUR)(b)		28,566,260
	805,000	Schaeffler Finance BV, 3.250%, 5/15/2025, (EUR)		917,943
	3,100,000	Vonovia Finance BV, EMTN, 1.500%, 6/10/2026, (EUR)		3,317,027

				62,167,437

		Hong Kong – 0.6%
	3,450,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(b)		3,382,066
	3,285,000	CK Hutchison International 16 Ltd., 1.875%, 10/03/2021, 144A(b)		3,164,345

				6,546,411

		Hungary – 1.0%
	3,161,640,000	Hungary Government International Bond, Series 22/B, 1.750%, 10/26/2022, (HUF)		10,667,856

		Indonesia – 1.5%
	202,531,000,000	Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)		15,958,692
	200,000	Pertamina Persero PT, MTN, 5.625%, 5/20/2043		205,404

				16,164,096

		Ireland – 1.5%
	875,000	Bank of Ireland Mortgage Bank, 1.750%, 3/19/2019, (EUR)		968,745
	2,495,000	Bank of Ireland Mortgage Bank, EMTN, 3.625%, 10/02/2020, (EUR)(b)		2,996,982
	2,625,000	Bank of Ireland Mortgage Bank, Series 47, 0.500%, 1/20/2020, (EUR)(b)		2,847,199
	8,995,000	Ireland Government Bond, 2.000%, 2/18/2045, (EUR)(b)		9,438,492

				16,251,418

		Israel – 0.3%
	3,215,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023(b)		3,053,636

		Italy – 5.0%
	2,719,596	Asti RMBS S.r.l., Series 1, Class A, 0.920%, 12/27/2060, (EUR)(b)(c)		2,936,739
	870,050	Berica ABS S.r.l., Series 3, Class A, 0.720%, 6/30/2061, (EUR)(b)(c)		933,823

		Italy – continued
	899,370	Berica Residential S.r.l., Series 8, Class A, 0.066%, 3/31/2048, (EUR)(b)(c)	$	951,731
	135,000	Buzzi Unicem SpA, 2.125%, 4/28/2023, (EUR)		148,065
	1,082,716	Claris Finance S.r.l., Series 2014-1, Class A1, 0.820%, 12/28/2061, (EUR)(b)(c)		1,164,591
	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A(b)		3,647,110
	1,660,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)(b)		2,742,336
	650,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		611,475
	1,645,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A(b)		1,594,161
	870,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		955,198
	4,800,000	Italy Buoni Poliennali Del Tesoro, 1.250%, 12/01/2026, (EUR)(b)		4,731,880
	6,910,000	Italy Buoni Poliennali Del Tesoro, 3.750%, 5/01/2021, (EUR)(b)		8,285,892
	6,585,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(b)		8,345,273
	2,000,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,270,000
	4,751,000	Republic of Italy, 6.875%, 9/27/2023(b)		5,538,136
	4,882,348	Siviglia SPV S.r.l., Series 2012-1, Class A, 0.173%, 10/25/2055, (EUR)(b)(c)		5,158,502
	1,307,352	Vela Home S.r.l., Series 4, Class A2, 0.044%, 10/25/2042, (EUR)(b)(c)		1,384,139
	1,621,881	Voba N 3 S.r.l., Series 2011-3, Class A2, 0.671%, 11/23/2047, (EUR)(b)(c)		1,741,587

				53,140,638

		Japan – 11.8%
	423,074,000(††††)	Japan Government CPI Linked Bond, Series 19, 0.100%, 9/10/2024, (JPY)(b)		3,982,431
	2,246,839,200(††††)	Japan Government CPI Linked Bond, Series 20, 0.100%, 3/10/2025, (JPY)(b)		21,200,129
	448,983,675(††††)	Japan Government CPI Linked Bond, Series 21, 0.100%, 3/10/2026, (JPY)(b)		4,251,342
	917,500,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)(b)		8,654,894
	1,616,100,000	Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)		14,947,002
	163,600,000	Japan Government Ten Year Bond, 1.300%, 12/20/2019, (JPY)(b)		1,528,932

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Japan – continued
	575,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2021, (JPY)(b)	$	5,462,577
	572,450,000	Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)(b)		6,271,549
	1,688,950,000	Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)(b)		18,956,655
	1,083,100,000	Japan Government Thirty Year Bond, Series 26, 2.400%, 3/20/2037, (JPY)(b)		12,920,343
	715,100,000	Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)(b)		7,498,754
	174,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		1,896,136
	1,545,300,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)(b)		17,288,261

				124,859,005

		Korea – 0.6%
	56,100,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(b)		6,635,379

		Malaysia – 0.4%
	16,625,000	Malaysia Government Bond, 3.795%, 9/30/2022, (MYR)(b)		3,725,623

		Mexico – 4.6%
	3,120,000	America Movil SAB de CV, 3.125%, 7/16/2022(b)		3,143,547
	145,000	America Movil SAB de CV, 5.000%, 3/30/2020		155,422
	1,835,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		2,064,760
	2,824,219(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b)		14,895,512
	371,150,456(†††††)	Mexican Udibonos, CPI Linked Bond, Series S, 4.500%, 12/04/2025, (MXN)(b)		21,613,383
	2,080,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A(b)		2,038,400
	660,000	Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)		722,246
	4,430,000	Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026, 144A(b)		4,330,325

				48,963,595

		Morocco – 0.2%
	1,015,000	OCP S.A., 6.875%, 4/25/2044, 144A		1,089,598
	1,135,000	OCP S.A., 6.875%, 4/25/2044		1,218,418

				2,308,016

		Netherlands – 1.0%
	4,000,000	ING Bank NV, EMTN, (fixed rate to 4/11/2023, variable rate thereafter), 3.000%, 4/11/2028, (EUR)(b)	$	4,500,529
	2,115,000	Mylan NV, 3.950%, 6/15/2026		2,070,213
	3,445,000	Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A		3,427,775

				9,998,517

		Norway – 1.7%
	147,380,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)(b)		17,982,756


		Poland – 0.2%
	2,855,000	Poland Government International Bond, 3.250%, 7/25/2019, (PLN)		738,425
	5,195,000	Poland Government International Bond, Series 0421, 2.000%, 4/25/2021, (PLN)(b)		1,276,841

				2,015,266

		Portugal – 1.0%
	3,625,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		3,722,875
	550,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		577,500
	1,910,000	EDP Finance BV, EMTN, 1.125%, 2/12/2024, (EUR)		1,948,451
	3,885,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)(b)		4,131,338

				10,380,164

		Romania – 0.1%
	1,010,000	Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)		1,105,310

		Singapore – 0.3%
	3,630,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)(b)		2,656,230

		South Africa – 1.2%
	214,610,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(b)		13,156,183

		Spain – 2.4%
	1,000,000	Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)(b)		1,093,929
	2,600,000	Santander Issuances SAU, 5.179%, 11/19/2025(b)		2,697,674
	1,500,000	Santander Issuances SAU, EMTN, 3.125%, 1/19/2027, (EUR)		1,640,971
	5,165,000	Spain Government Bond, 4.200%, 1/31/2037, 144A, (EUR)(b)		6,969,626
	9,300,000	Spain Government Bond, 5.850%, 1/31/2022, 144A, (EUR)(b)		12,509,907

				24,912,107

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)			Description	Value (†)

	Bonds and Notes – continued

			Supranationals – 1.0%
	2,665,000		Inter-American Development Bank, 4.400%, 1/26/2026, (CAD)(b)	$	2,308,010
	67,150,000		Nordic Investment Bank, GMTN, 1.375%, 7/15/2020, (NOK)(b)		7,887,165

					10,195,175

			Switzerland – 0.4%
	4,150,000		Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A(b)		4,552,708

			United Arab Emirates – 0.5%
	1,560,000		DP World Ltd., 3.250%, 5/18/2020, 144A		1,581,840
	975,000		DP World Ltd., EMTN, 3.250%, 5/18/2020		988,650
	2,525,000		JAFZ Sukuk 2019 Ltd., 7.000%, 6/19/2019		2,759,067

					5,329,557
		��
			United Kingdom – 7.9%
	534,316		Auburn Securities PLC, Series 4, Class A2, 0.658%, 10/01/2041, (GBP)(b)(c)		660,146
	4,135,000		Aviva PLC, EMTN, (fixed rate to 7/05/2023, variable rate thereafter), 6.125%, 7/05/2043, (EUR)(b)		5,207,618
	690,000		Barclays PLC, 4.375%, 9/11/2024		693,633
	610,000		Barclays PLC, 5.200%, 5/12/2026(b)		623,979
	675,000		Barclays PLC, EMTN, (fixed rate to 11/11/2020, variable rate thereafter), 2.625%, 11/11/2025, (EUR)(b)		726,009
	2,268,000		Co-Operative Bank PLC, 4.750%, 11/11/2021, (GBP)(b)		3,172,258
	362,509		Eurosail PLC, Series 2007-1X, Class A3C, 0.504%, 3/13/2045, (GBP)(b)(c)		444,120
	178,559		Eurosail PLC, Series 2007-2X, Class A3C, 0.494%, 3/13/2045, (GBP)(c)		217,695
	2,240,000		FCE Bank PLC, EMTN, 1.528%, 11/09/2020, (EUR)(b)		2,467,364
	168,925		Great Hall Mortgages PLC, Series 2006-1, Class A2A, 0.492%, 6/18/2038, (GBP)(c)		205,918
	460,000		HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)(b)		557,645
	3,190,000		HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(b)		4,784,680
	1,810,000		Imperial Brands Finance PLC, 4.250%, 7/21/2025, 144A(b)		1,872,843
	205,000		ITV PLC, 2.000%, 12/01/2023, (EUR)		223,003
	1,030,000		Lloyds Banking Group PLC, 4.650%, 3/24/2026		1,049,482
	420,000		Noble Holding International Ltd., 5.250%, 3/15/2042		281,400
	200,000		Noble Holding International Ltd., 6.050%, 3/01/2041		144,000
	305,000		Noble Holding International Ltd., 6.200%, 8/01/2040		221,125

			United Kingdom – continued
	686,589		Precise Mortgage Funding, Series 2014-1, Class A, 1.144%, 9/12/2047, (GBP)(b)(c)	$	860,707
	313,558		Precise Mortgage Funding PLC, Series 2015-1, Class A, 1.294%, 3/12/2048, (GBP)(b)(c)		393,814
	636,164		Residential Mortgage Securities PLC, Series 20X, Class A2A, 0.622%, 8/10/2038, (GBP)(b)(c)		781,170
	545,925		Residential Mortgage Securities PLC, Series 21X, Class A3A, 0.762%, 11/12/2038, (GBP)(b)(c)		666,130
	545,072		Residential Mortgage Securities PLC, Series 22X, Class A3A, 0.718%, 11/14/2039, (GBP)(b)(c)		661,428
	418,554		Residential Mortgage Securities PLC, Series 28, Class A, 1.494%, 6/15/2046, (GBP)(b)(c)		527,861
	706,224		RMAC PLC, Series 2005-NS3X, Class A2C, 0.031%, 6/12/2043, (EUR)(b)(c)		728,269
	2,170,409		RMAC PLC, Series 2005-NS4X, Class A3A, 0.684%, 12/12/2043, (GBP)(b)(c)		2,620,370
	208,523		RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, 0.494%, 6/12/2044, (GBP)(c)		247,469
	5,830,000		Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024(b)		5,895,331
	425,000		Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter), 3.625%, 3/25/2024, (EUR)		463,228
	3,778,000		Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(b)		3,769,787
	3,245,000		Sky PLC, 3.750%, 9/16/2024, 144A		3,277,674
	315,000		Sky PLC, EMTN, 2.500%, 9/15/2026, (EUR)		360,741
	2,195,000		Standard Chartered PLC, EMTN, 5.125%, 6/06/2034, (GBP)(b)		2,769,546
	4,410,000		Tesco PLC, EMTN, 5.000%, 3/24/2023, (GBP)		6,100,551
	1,290,000		Towd Point Mortgage Funding PLC, Series 16-GR1A, Class B, 1.760%, 7/20/2046, 144A, (GBP)(b)(c)		1,621,107
	5,380,000		United Kingdom Gilt, 2.000%, 9/07/2025, (GBP)(b)		7,330,313
	3,385,000		United Kingdom Gilt, 3.500%, 1/22/2045, (GBP)(b)		5,852,865
	1,435,000		United Kingdom Gilt, 4.250%, 6/07/2032, (GBP)(b)		2,472,755
	4,705,000		United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(b)		8,501,207
	1,640,000		Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)		2,065,031
	1,530,000		Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, 144A, (GBP)		1,931,315

					83,451,587

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – 31.3%
$	504,958	A10 Securitization LLC, Series 2013-2, Class A, 2.620%, 11/15/2027, 144A(b)	$	503,785
	390,000,000	Aflac, Inc., 0.932%, 1/25/2027, (JPY)(b)		3,503,099
	3,140,000	Aircastle Ltd., 4.125%, 5/01/2024		3,143,925
	4,175,000	Ally Financial, Inc., 4.125%, 2/13/2022		4,175,000
	2,705,556	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,965,828
	3,740,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		3,828,825
	2,285,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024(b)		2,227,948
	2,745,000	Anadarko Petroleum Corp., 5.550%, 3/15/2026(b)		3,046,352
	520,000	Antero Resources Corp., 5.000%, 3/01/2025, 144A		509,922
	2,350,000	AT&T, Inc., 4.350%, 6/15/2045(b)		2,068,425
	2,120,000	AT&T, Inc., 4.750%, 5/15/2046(b)		1,978,144
	295,000	AT&T, Inc., 4.800%, 6/15/2044(b)		276,536
	3,140,000	Aviation Capital Group Corp., 4.875%, 10/01/2025, 144A(b)		3,377,685
	4,510,000	Bank of America Corp., 4.100%, 7/24/2023(b)		4,724,094
	1,079,920	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A(b)		1,106,322
	1,855,518	Bayview Opportunity Master Fund IVb Trust, Series 2017-RN1, Class A1, 3.598%, 2/28/2032, 144A(c)		1,852,805
	3,860,000	BLCP Hotel Trust, Series 2014-CLRN, Class D, 3.412%, 8/15/2029, 144A(c)		3,870,910
	1,560,000	Celgene Corp., 4.625%, 5/15/2044		1,547,194
	3,650,433	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A(b)		3,594,373
	2,930,000	Citigroup, Inc., 4.090%, 6/09/2025, (CAD)(b)		2,290,020
	1,520,000	Citigroup, Inc., 4.400%, 6/10/2025		1,548,754
	3,104,785	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 2.591%, 5/13/2031, 144A(c)(e)(f)		3,097,049
	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A(b)		2,616,754
	2,800,000	Commercial Mortgage Trust, Series 2014-PAT, Class D, 3.031%, 8/13/2027, 144A(c)		2,800,003

		United States – continued
$	3,700,000	Commercial Mortgage Trust, Series 2016-SAVA, Class A, 2.632%, 10/15/2034, 144A(b)(c)	$	3,718,546
	98,531	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		102,729
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,506,170
	2,520,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class B, 2.940%, 10/15/2024, 144A(b)		2,533,486
	1,282,524	Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 3.072%, 11/26/2036, 144A(c)		1,261,270
	1,885,000	Credit Suisse Mortgage Trust, Series 2010-RR1, Class 2B, 5.695%, 9/15/2040, 144A(b)(c)		1,885,877
	2,500,000	Delphi Automotive PLC, 1.500%, 3/10/2025, (EUR)(b)		2,689,754
	2,942,914	Delta Air Lines Pass Through Trust, Series 2015-1, Class B, 4.250%, 1/30/2025(b)		3,016,486
	680,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		493,000
	3,150,000	Enable Midstream Partners LP, 4.400%, 3/15/2027		3,126,485
	2,755,000	Energy Transfer Partners LP, 5.150%, 3/15/2045		2,607,707
	1,710,000	Energy Transfer Partners LP, 6.125%, 12/15/2045		1,829,517
	179,512	FHLMC, 4.500%, 8/01/2044		193,978
	10,376,315	FNMA, 2.500%, 10/01/2046(b)		9,894,807
	2,945,282	FNMA, 3.500%, with various maturities from 2045 to 2046(b)(g)		3,023,439
	3,571,262	FNMA, 4.500%, with various maturities from 2043 to 2046(b)(g)		3,866,839
	7,040,000	FNMA (TBA), 3.000%, 5/01/2047(h)		6,965,200
	6,695,000	FNMA (TBA), 3.500%, 5/01/2047(h)		6,834,392
	7,585,000	FNMA (TBA), 4.000%, 5/01/2047(h)		7,940,547
	6,270,000	Ford Motor Credit Co. LLC, 4.050%, 12/10/2018, (AUD)(b)		4,869,600
	185,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		160,950
	915,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		774,319
	50,000,000	General Electric Co., EMTN, 4.208%, 12/06/2021, (SEK)(b)		6,365,498
	3,900,000	General Motors Financial Co., Inc., 4.000%, 1/15/2025		3,919,555
	3,100,000	General Motors Financial Co., Inc., 4.300%, 7/13/2025		3,148,248
	2,330,000	Gilead Sciences, Inc., 4.150%, 3/01/2047(b)		2,172,895
	625,000	Gilead Sciences, Inc., 4.750%, 3/01/2046(b)		637,495

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	1,247,707	GNMA, 2.555%, 5/20/2064(b)(c)	$	1,296,053
	1,386,285	GNMA, 2.791%, 11/20/2064(b)(c)		1,472,744
	1,630,854	GNMA, 2.915%, 11/20/2064(b)(c)		1,735,882
	2,629,223	GNMA, 3.080%, 10/20/2063(b)(c)		2,803,580
	537,900	GNMA, 4.448%, 4/20/2065(b)(c)		580,714
	1,673,343	GNMA, 4.518%, 1/20/2063(b)(c)		1,760,497
	3,655,124	GNMA, 4.539%, 12/20/2061(b)(c)		3,772,926
	663,699	GNMA, 4.544%, 6/20/2062(b)(c)		690,165
	1,697,250	GNMA, 4.561%, 2/20/2065(b)(c)		1,834,750
	1,803,692	GNMA, 4.638%, 7/20/2064(b)(c)		1,943,931
	3,235,293	GNMA, 4.668%, 5/20/2064(b)(c)		3,494,965
	1,783,851	GNMA, 4.670%, 7/20/2064(b)(c)		1,925,111
	2,030,000	Goldman Sachs Group, Inc. (The), MTN, 3.850%, 7/08/2024(b)		2,079,392
	2,560,000	HCA Holdings, Inc., 6.250%, 2/15/2021		2,763,200
	225,000	HCA, Inc., 4.750%, 5/01/2023		234,563
	575,000	HCA, Inc., 5.000%, 3/15/2024		603,031
	215,000	HCA, Inc., 5.250%, 4/15/2025		228,438
	1,795,000	HCA, Inc., 5.375%, 2/01/2025		1,871,288
	1,401,881	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A(b)		1,397,268
	1,400,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027, 144A		1,414,000
	1,401,803	Honor Automobile Trust Securitization, Series 2016-1A, Class A, 2.940%, 11/15/2019, 144A(b)		1,406,649
	3,810,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A(b)		3,914,775
	3,174,000	JPMorgan Chase & Co., 3.875%, 2/01/2024(b)		3,299,271
	3,800,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A, 2.112%, 8/15/2027, 144A(b)(c)		3,800,016
	584,816	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.461%, 9/26/2035, 144A(b)(c)		585,930
	4,270,000	Kraft Heinz Foods Co., 3.000%, 6/01/2026(b)		4,012,703
	1,180,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		1,107,316
	1,590,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A		1,601,925
	5,210,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A(b)		5,282,825
	4,280,528	Longtrain Leasing III LLC, Series 2015-1A, Class A1, 2.980%, 1/15/2045, 144A(b)		4,186,465
	1,190,093	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A(b)		1,201,468
	835,000	MetLife, Inc., 6.400%, 12/15/2066		916,413

		United States – continued
$	1,900,000	Morgan Stanley, 3.950%, 4/23/2027(b)	$	1,881,739
	1,400,000	Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.949%, 8/12/2045, 144A(b)(c)		1,400,459
	1,500,000	Morgan Stanley Re-REMIC Trust, Series 2010-GG10, Class A4B, 5.949%, 8/15/2045, 144A(b)(c)		1,499,505
	1,370,000	MPLX LP, 4.500%, 7/15/2023		1,424,827
	960,000	MPLX LP, 4.875%, 12/01/2024		1,009,860
	1,030,000	MPLX LP, 4.875%, 6/01/2025		1,078,904
	265,000	MPLX LP, 5.200%, 3/01/2047		266,661
	1,220,000	MPLX LP, 5.500%, 2/15/2023		1,257,820
	685,000	Newfield Exploration Co., 5.375%, 1/01/2026		715,414
	3,540,000	OneMain Financial Issuance Trust, Series 2016-2A, Class A, 4.100%, 3/20/2028, 144A(b)		3,625,241
	409,955	Orange Lake Timeshare Trust, Series 2012-AA, Class B, 4.870%, 3/10/2027, 144A		416,876
	850,000,000	Procter & Gamble Co. (The), 0.275%, 5/08/2020, (JPY)(b)		7,672,141
	2,015,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		1,979,738
	2,670,000	RBSCF Trust, Series 2010-RR4, Class CSCB, 5.695%, 9/16/2040, 144A(b)(c)		2,670,225
	203,956	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A(b)(i)		202,480
	435,000	SM Energy Co., 6.750%, 9/15/2026		438,534
	695,000	Southwestern Energy Co., 4.100%, 3/15/2022		649,825
	3,800,000	Southwestern Energy Co., 6.700%, 1/23/2025		3,743,000
	3,594,763	Spirit Airlines Pass Through Certificates, Series 2015-1, Class B, 4.450%, 10/01/2025(b)		3,675,645
	3,324,532	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(b)		3,344,921
	1,130,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,130,000
	3,605,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		3,605,000
	7,628,229	Trinity Rail Leasing LLC, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(b)		7,825,127
	2,710,000	U.S. Treasury Bond, 2.500%, 5/15/2046(b)		2,427,038
	11,730,000	U.S. Treasury Bond, 2.875%, 5/15/2043(b)(j)		11,420,715
	1,045,000	U.S. Treasury Bond, 3.125%, 2/15/2042(b)		1,069,125
	21,964,737	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(b)(k)		21,429,324
	7,075,000	U.S. Treasury Note, 1.625%, 10/31/2023		6,837,322

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	4,995,000	U.S. Treasury Note, 1.875%, 3/31/2022	$	4,982,123
	1,299,750	United Airlines Pass Through Trust, Series 2013-1, Class B, 5.375%, 2/15/2023		1,355,601
	1,280,000	Verizon Communications, Inc., 2.625%, 8/15/2026(b)		1,168,823
	565,000	Verizon Communications, Inc., 3.850%, 11/01/2042		473,052
	345,000	Verizon Communications, Inc., 4.272%, 1/15/2036		319,472
	1,075,000	Verizon Communications, Inc., 4.400%, 11/01/2034(b)		1,017,264
	2,045,000	Verizon Owner Trust, Series 2016-2A, Class A, 1.680%, 5/20/2021, 144A(b)		2,038,180
	655,000	Virginia Electric & Power Co., 4.450%, 2/15/2044(b)		691,056
	1,011,306	VOLT XXXV, Series 2016-NPL9, Class A1, 3.500%, 9/25/2046, 144A(c)		1,011,076
	4,605,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		4,558,950
	2,875,000	Zimmer Biomet Holdings, Inc., 2.425%, 12/13/2026, (EUR)		3,183,904

				330,907,762


		Total Bonds and Notes
		(Identified Cost $1,059,072,558)		1,028,808,796


	Short-Term Investments – 2.3%
	4,633,102	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $4,633,187 on 4/03/2017 collateralized by $4,845,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $4,727,305 including accrued interest (Note 2 of Notes to Financial Statements)		4,633,102
	19,640,000	U.S. Treasury Bills, 0.890%, 09/28/2017(l)		19,553,565


		Total Short-Term Investments
		(Identified Cost $24,185,704)		24,186,667


		Total Investments – 99.7%
		(Identified Cost $1,083,258,262)(a)		1,052,995,463
		Other assets less liabilities—0.3%		2,723,633


		Net Assets – 100.0%	$	1,055,719,096


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 1,000.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(††††)	Amount shown represents principal amount including inflation adjustments.
	(†††††)	Security held in units. One unit represents a principal amount of 100. Amount shown represents principal amount including inflation adjustments.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $1,088,470,687 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	$	18,047,366
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(53,522,590	)

		Net unrealized depreciation	$	(35,475,224	)

	(b)	Security (or a portion thereof) has been designated to cover the Fund's obligations under open derivative contracts or TBA transactions.
	(c)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(d)	Perpetual bond with no specified maturity date.
	(e)	Illiquid security.
	(f)	Securities classified as fair valued pursuant to the Fund's pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $3,097,049 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	The Fund’s investment in mortgage related securities of Federal National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(h)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(i)	Fair valued by the Fund's adviser. At March 31, 2017, the value of this security amounted to $202,480 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(j)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.
	(k)	Treasury Inflation Protected Security (TIPS).
	(l)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $242,916,366 or 23.0% of net assets.
	ABS	Asset-Backed Securities
	CPI	Consumer Price Index
	EMTN	Euro Medium Term Note
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REMIC	Real Estate Mortgage Investment Conduit
	TBA	To Be Announced

	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	COP	Colombian Peso
	DKK	Danish Krone
	EUR	Euro
	GBP	British Pound
	HUF	Hungarian Forint
	IDR	Indonesian Rupiah
	JPY	Japanese Yen
	MXN	Mexican Peso
	MYR	Malaysian Ringgit
	NOK	Norwegian Krone
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	ZAR	South African Rand

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued

At March 31, 2017, 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	6/21/2017	Brazilian Real		6,025,000	$	1,890,758	$	(3,817	)
Sell²	6/21/2017	Brazilian Real		33,470,000		10,503,512		(16,280	)
Sell³	6/21/2017	British Pound		4,030,000		5,058,618		(144,783	)
Buy⁴	6/21/2017	Colombian Peso		17,000,000,000		5,851,550		233,108
Buy⁵	6/21/2017	Euro		9,845,000		10,541,394		(147,165	)
Sell⁵	6/21/2017	Euro		30,360,000		32,507,539		(259,132	)
Buy⁶	6/21/2017	Japanese Yen		8,073,000,000		72,734,050		2,047,109
Sell⁷	6/21/2017	Mexican Peso		422,590,000		22,304,807		(1,256,029	)
Sell⁵	6/21/2017	South African Rand		168,000,000		12,355,158		227,426
Buy⁶	6/21/2017	South Korean Won		2,293,469,000		2,052,713		73,810
Sell⁷	6/21/2017	Swedish Krona		15,530,000		1,739,666		(3,739	)
Buy⁶	6/21/2017	Swiss Franc		7,320,000		7,341,793		52,553

Total							$	803,061

At March 31, 2017, the Fund had the following open forward cross currency contracts:


Settlement Date	Deliver/Units of Currency		Receive/Units of Currency		Unrealized Appreciation (Depreciation)
6/21/2017	Australian Dollar	33,235,000	Euro⁶	23,955,916	$	294,976
6/21/2017	British Pound	3,605,000	Euro⁴	4,158,006		(73,015	)
6/21/2017	Euro	7,181,121	Norwegian Krone⁶	65,820,000		(17,169	)
6/21/2017	Hungarian Forint	1,366,740,000	Euro⁸	4,425,350		1,176
6/21/2017	Hungarian Forint	1,641,695,000	Euro⁸	5,305,930		(8,966	)
6/21/2017	Japanese Yen	3,015,000,000	Euro⁴	25,020,705		(373,211	)
6/21/2017	Norwegian Krone	65,820,000	Euro⁶	7,342,008		189,437

Total					$	13,228

¹ Counterparty is Deutsche Bank AG

² Counterparty is Bank of America, N.A.

³ Counterparty is State Street Bank and Trust Company

⁴ Counterparty is Morgan Stanley & Co.

⁵ Counterparty is Citibank N.A.

⁶ Counterparty is Credit Suisse International

⁷ Counterparty is UBS AG

⁸ Counterparty is HSBC Bank USA

At March 31, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
German Euro Bund		6/08/2017		165	$	28,413,466	$	(51,287	)
Ultra Long U.S. Treasury Bond		6/21/2017		142		22,808,750		283,796
5 Year U.S. Treasury Note		6/30/2017		824		97,006,688		(169,437	)

Total							$	63,072

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Global Bond Fund – continued

At March 31, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2017		902	$	112,355,375	$	(173,293	)
30 Year U.S. Treasury Bond		6/21/2017		265		39,973,594		295,812

Total							$	122,519

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	42.4	%
Banking	7.8
Mortgage Related	6.0
Local Authorities	3.1
Non-Agency Commercial Mortgage-Backed Securities	3.1
ABS Home Equity	2.9
ABS Other	2.6
Government Owned - No Guarantee	2.2
Life Insurance	2.2
Sovereigns	2.0
Electric	2.0
Other Investments, less than 2% each	21.1
Short-Term Investments	2.3

Total Investments	99.7
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	0.3

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2017 (Unaudited)


United States Dollar	43.2	%
Euro	17.2
Japanese Yen	12.8
British Pound	5.8
Australian Dollar	3.7
Mexican Peso	3.4
Norwegian Krone	3.1
Canadian Dollar	2.5
Other, less than 2% each	8.0

Total Investments	99.7
Other assets less liabilities (including forward foreign currency contracts and futures contracts)	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 95.3% of Net Assets

		Banking – 2.0%
$	200,000	Credit Suisse AG, 6.500%, 8/08/2023, 144A	$	219,579
	200,000	Deutsche Bank AG, (fixed rate to 4/30/2020, variable rate thereafter), 6.250%(b)		189,500
	200,000	Societe Generale S.A., (fixed rate to 1/27/2020, variable rate thereafter), 6.000%(b)		190,748
	200,000	UBS Group AG, (fixed rate to 3/22/2021, variable rate thereafter), 6.875%(b)		207,750

				807,577

		Chemicals – 0.5%
	200,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		201,500

		Treasuries – 92.8%
	2,044,572	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(c)		1,946,285
	779,495	U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047(c)		767,536
	1,198,887	U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(c)		1,217,109
	2,694,665	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(c)		3,784,368
	3,523,857	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2018(c)(d)		3,553,496
	3,643,245	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020(c)(d)		3,697,569
	8,087,796	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2021(c)(d)		8,171,197
	4,365,599	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(c)(d)		4,259,183
	3,946,558	U.S. Treasury Inflation Indexed Note, 0.250%, 1/15/2025(c)(d)		3,912,989
	3,424,711	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2025(c)(d)		3,433,465
	2,010,220	U.S. Treasury Inflation Indexed Note, 0.375%, 1/15/2027(c)		2,001,492
	1,443,818	U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(c)		1,470,006

				38,214,695


		Total Bonds and Notes
		(Identified Cost $39,076,247)		39,223,772


	Short-Term Investments – 4.5%
$	1,851,908	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $1,851,942 on 4/03/2017 collateralized by $1,960,000 U.S. Treasury Note, 1.125% due 9/30/2021 valued at $1,893,697 including accrued interest (Note 2 of Notes to Financial Statements)	$	1,851,908
	20,000	U.S. Treasury Bills, 0.586%, 07/13/2017(e)(f)		19,956


		Total Short-Term Investments
		(Identified Cost $1,871,874)		1,871,864


		Total Investments – 99.8%
		(Identified Cost $40,948,121)(a)		41,095,636
		Other assets less liabilities—0.2%		72,845


		Net Assets – 100.0%	$	41,168,481


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $41,070,943 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	$	236,026
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(211,333	)

		Net unrealized appreciation	$	24,693

	(b)	Perpetual bond with no specified maturity date.
	(c)	Treasury Inflation Protected Security (TIPS).
	(d)	Security (or a portion thereof) has been designated to cover the Fund's obligations under open derivative contracts.
	(e)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(f)	Security (or a portion thereof) has been pledged as collateral for open derivative contracts.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $421,079 or 1.0% of net assets.

At March 31, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2017		7	$	871,938	$	207

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Inflation Protected Securities Fund – continued

At March 31, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/30/2017		24	$	5,194,875	$	(1,919	)
Ultra 10 Year U.S. Treasury Note		6/21/2017		17		2,276,141		(2,354	)
Ultra Long U.S. Treasury Bond		6/21/2017		7		1,124,375		1,857

Total							$	(2,416	)

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	92.8	%
Banking	2.0
Chemicals	0.5
Short-Term Investments	4.5

Total Investments	99.8
Other assets less liabilities (including futures contracts)	0.2

Net Assets	100.0	%

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 79.5% of Net Assets

	Non-Convertible Bonds – 67.7%
		Aerospace & Defense – 1.9%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	99,358
	2,175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		2,115,187
	115,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		118,620
	1,165,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		1,217,425
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,004,500
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		5,902,000
	2,610,000	Textron Financial Corp., 2.774%, 2/15/2067, 144A(b)		1,970,550
	625,000	TransDigm, Inc., 6.500%, 5/15/2025		630,469

				14,058,109

		Airlines – 1.8%
	4,080,000	Air Canada, 7.750%, 4/15/2021, 144A		4,590,000
	334,743	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		344,785
	810,000	Allegiant Travel Co., 5.500%, 7/15/2019		837,338
	160,737	Continental Airlines Pass Through Certificates, Series 2000-2, Class A-1, 7.707%, 10/02/2022		171,586
	21,655	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		22,578
	331,430	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		338,877
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,201,750
	196,924	US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018		197,542
	1,121,847	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,235,198
	234,134	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		252,865
	1,967,969	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,054,068
	1,750,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		1,841,875
	140,955	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		143,075
	199,139	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		202,158

				13,433,695


		Automotive – 0.9%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,030,000

		Automotive – continued
$	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028	$	2,278,100
	3,505,000	Lear Corp., 5.375%, 3/15/2024		3,698,494

				7,006,594

		Banking – 1.3%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(c)		942,450
	4,520,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		3,191,380
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(c)		168,000
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,631,781
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(c)		109,494
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(c)		1,620,737
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(c)		79,262

				9,743,104

		Brokerage – 0.3%
	350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		334,250
	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,697,320

				2,031,570

		Building Materials – 1.1%
	4,325,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		4,081,719
	670,000	Masco Corp., 6.500%, 8/15/2032		790,742
	3,245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		3,520,825

				8,393,286

		Cable Satellite – 1.6%
	125,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		128,438
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		61,800
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		71,838
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,303,600
	300,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		315,000
	3,215,000	CSC Holdings LLC, 5.250%, 6/01/2024		3,202,944
	1,390,000	DISH DBS Corp., 5.000%, 3/15/2023		1,396,950
	2,686,000	DISH DBS Corp., 5.875%, 11/15/2024		2,820,971
	1,720,000	DISH DBS Corp., 7.750%, 7/01/2026		1,999,500
	170,000	Time Warner Cable LLC, 4.500%, 9/15/2042		154,068

				12,455,109

		Chemicals – 2.7%
	1,025,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A		1,055,750
	1,060,000	GCP Applied Technologies, Inc., 9.500%, 2/01/2023, 144A		1,203,100

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Chemicals – continued
$	4,738,000	Hercules LLC, 6.500%, 6/30/2029(d)(e)	$	4,554,403
	2,564,000	Hexion, Inc., 7.875%, 2/15/2023(d)(f)		1,307,640
	2,641,000	Hexion, Inc., 9.200%, 3/15/2021(d)(f)		1,426,140
	3,190,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,392,500
	4,680,000	Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A		5,370,300
	2,971,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,704,204

				20,014,037

		Construction Machinery – 0.7%
	1,370,000	United Rentals North America, Inc., 5.500%, 7/15/2025		1,411,100
	2,320,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,418,600
	1,140,000	United Rentals North America, Inc., 5.875%, 9/15/2026		1,188,450

				5,018,150

		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		139,725
	1,902,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		2,077,935

				2,217,660

		Electric – 0.7%
	455,000	AES Corp. (The), 4.875%, 5/15/2023		452,725
	200,000	AES Corp. (The), 5.500%, 4/15/2025		203,000
	340,000	Dynegy, Inc., 5.875%, 6/01/2023		311,525
	665,000	Dynegy, Inc., 7.625%, 11/01/2024		635,075
	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,155,000
	2,430,000	NRG Energy, Inc., 7.250%, 5/15/2026		2,502,900

				5,260,225

		Finance Companies – 2.7%
	1,000,000	AGFC Capital Trust I, 2.772%, 1/15/2067, 144A(b)		491,250
	240,000	International Lease Finance Corp., 4.625%, 4/15/2021		253,072
	60,000	International Lease Finance Corp., 6.250%, 5/15/2019		64,649
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		354,061
	3,980,000	iStar, Inc., 4.875%, 7/01/2018		4,004,875
	1,190,000	iStar, Inc., 5.000%, 7/01/2019		1,197,438
	1,900,000	iStar, Inc., 6.500%, 7/01/2021		1,952,250
	1,984,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		2,003,840
	1,365,000	Navient Corp., MTN, 6.125%, 3/25/2024		1,300,162
	115,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		115,431
	325,000	Navient LLC, MTN, 7.250%, 1/25/2022		337,496

		Finance Companies – continued
$	5,550,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)(e)	$	4,315,125
	3,205,000	Springleaf Finance Corp., 5.250%, 12/15/2019		3,233,044
	805,000	Springleaf Finance Corp., 8.250%, 10/01/2023		848,269

				20,470,962

		Food & Beverage – 0.1%
	1,081,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,114,781

		Government Guaranteed – 0.4%
	4,720,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		3,381,593

		Government Owned – No Guarantee – 0.1%
	900,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		742,680
	75,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		379,041

				1,121,721

		Healthcare – 6.1%
	1,080,000	BioScrip, Inc., 8.875%, 2/15/2021		928,444
	6,945,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		5,972,700
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		3,051,000
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,170,169
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		5,096,875
	1,815,000	HCA, Inc., 7.690%, 6/15/2025		2,066,831
	375,000	HCA, Inc., 8.360%, 4/15/2024		442,031
	2,945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,309,444
	3,875,000	HCA, Inc., MTN, 7.750%, 7/15/2036		4,267,344
	2,475,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		2,595,656
	1,465,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		1,488,806
	540,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		540,826
	2,055,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		2,019,038
	10,334,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		8,861,405
	1,395,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,456,031
	2,554,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		2,624,235

				45,890,835

		Home Construction – 1.5%
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		309,750
	2,205,000	Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A		2,414,475
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(d)(e)		712,215
	595,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		493,850
	3,060,000	Lennar Corp., 4.500%, 6/15/2019		3,144,150
	400,000	PulteGroup, Inc., 6.000%, 2/15/2035		392,000
	2,425,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021		2,497,750

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Home Construction – continued
$	1,000,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024	$	1,030,000

				10,994,190

		Independent Energy – 8.3%
	530,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		516,767
	480,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		452,781
	2,840,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		2,939,400
	470,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		424,175
	870,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		765,600
	4,910,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		4,658,362
	647,000	California Resources Corp., 5.500%, 9/15/2021		478,780
	106,000	California Resources Corp., 6.000%, 11/15/2024		74,200
	2,505,000	California Resources Corp., 8.000%, 12/15/2022, 144A		2,035,312
	1,000,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		900,000
	2,835,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		2,835,000
	630,000	Continental Resources, Inc., 3.800%, 6/01/2024		585,900
	325,000	Continental Resources, Inc., 4.500%, 4/15/2023		316,264
	2,040,000	Continental Resources, Inc., 5.000%, 9/15/2022		2,060,400
	6,850,000	Eclipse Resources Corp., 8.875%, 7/15/2023		6,987,000
	1,230,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		1,207,860
	405,000	Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022		344,250
	1,270,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		1,135,063
	9,165,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		8,202,675
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(f)(g)		—
	400,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(f)(g)		—
	565,000	QEP Resources, Inc., 5.250%, 5/01/2023		553,920
	340,000	Range Resources Corp., 5.000%, 8/15/2022, 144A		336,600
	5,250,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		2,703,750
	538,000	RSP Permian, Inc., 6.625%, 10/01/2022		566,245
	1,140,000	Sanchez Energy Corp., 6.125%, 1/15/2023		1,057,350
	1,270,000	SM Energy Co., 5.000%, 1/15/2024		1,200,150

		Independent Energy – continued
$	545,000	SM Energy Co., 5.625%, 6/01/2025	$	521,565
	572,000	SM Energy Co., 6.125%, 11/15/2022		576,290
	145,000	SM Energy Co., 6.500%, 11/15/2021		148,625
	1,000,000	SM Energy Co., 6.500%, 1/01/2023		1,015,000
	2,495,000	Southwestern Energy Co., 4.100%, 3/15/2022		2,332,825
	660,000	Southwestern Energy Co., 5.800%, 1/23/2020		666,188
	6,345,000	Southwestern Energy Co., 6.700%, 1/23/2025		6,249,825
	4,526,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		4,514,685
	2,005,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		1,984,950
	1,690,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		1,681,550

				63,029,307

		Industrial Other – 0.3%
	1,340,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		1,400,300
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		654,050

				2,054,350

		Life Insurance – 0.4%
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069		2,363,850
	280,000	Metlife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		386,750

				2,750,600

		Local Authorities – 0.2%
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		1,657,291

		Media Entertainment – 0.4%
	1,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		760,000
	1,890,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		1,419,862
	739,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020		792,578

				2,972,440

		Metals & Mining – 6.1%
	4,146,853	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(d)(f)(g)(i)		1,659
	500,000	AK Steel Corp., 7.625%, 10/01/2021		521,875
	2,520,000	Allegheny Technologies, Inc., 7.875%, 8/15/2023		2,578,968
	3,000,000	ArcelorMittal, 6.000%, 8/05/2020		3,232,500
	5,685,000	Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A		5,969,250
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042		2,044,086
	945,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(d)(e)(g)		106,313
	4,530,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		4,671,562
	12,000,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		10,155,000

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – continued
$	785,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020, 144A	$	802,662
	3,960,000	Hecla Mining Co., 6.875%, 5/01/2021		4,049,100
	535,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		565,763
	1,860,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		2,034,375
	800,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		833,000
	4,000,000	United States Steel Corp., 6.650%, 6/01/2037		3,540,000
	750,000	United States Steel Corp., 7.375%, 4/01/2020		806,250
	3,680,000	United States Steel Corp., 7.500%, 3/15/2022		3,822,600

				45,734,963

		Midstream – 1.2%
	800,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		810,000
	2,545,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		1,930,495
	5,415,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		5,758,165
	764,273	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		822,167

				9,320,827

		Non-Agency Commercial Mortgage-Backed Securities – 0.2%
	320,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(b)		320,248
	1,423,758	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(d)(e)		1,441,555

				1,761,803

		Oil Field Services – 2.3%
	3,255,000	FTS International, Inc., 6.250%, 5/01/2022		2,807,438
	1,330,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(d)(e)(g)		239,400
	3,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(d)(e)(g)		552,960
	6,050,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		5,505,500
	1,797,317	Precision Drilling Corp., 6.625%, 11/15/2020		1,806,303
	5,675,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		5,859,437
	530,000	Transocean, Inc., 6.800%, 3/15/2038		435,925

				17,206,963

		Packaging – 0.3%
	335,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.000%, 6/30/2021, 144A		345,050

		Packaging – continued
$	1,830,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A	$	1,939,800

				2,284,850

		Property & Casualty Insurance – 0.6%
	1,920,000	MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(j)		902,400
	3,245,000	Sirius International Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(c)		3,309,900

				4,212,300

		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)(e)		292,010
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(d)(e)		29,595

				321,605

		Restaurants – 0.1%
	405,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		528,356

		Retailers – 1.5%
	1,679,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,974,924
	500,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		503,750
	1,925,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		1,905,750
	675,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		688,500
	165,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		125,813
	1,265,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		1,366,200
	3,005,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		634,806
	4,499,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		3,970,367

				11,170,110

		Supermarkets – 3.6%
	6,060,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,741,850
	2,865,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,793,375
	10,375,000	New Albertson’s, Inc., 8.000%, 5/01/2031		10,037,812
	5,625,000	New Albertson’s, Inc., 8.700%, 5/01/2030		5,568,750
	1,100,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		984,500
	825,000	Safeway, Inc., 3.950%, 8/15/2020		798,188
	1,570,000	SUPERVALU, Inc., 7.750%, 11/15/2022		1,540,563

				27,465,038

		Technology – 1.9%
	874,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		930,810
	1,499,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,648,900

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Technology – continued
$	4,210,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028	$	4,599,425
	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		1,037,500
	2,210,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		2,538,737
	12,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		12,586

				14,299,108

		Transportation Services – 0.3%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(d)(e)		2,402,156
	78,571	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(k)		78,571

				2,480,727

		Treasuries – 8.9%
	2,385,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		2,504,122
	350,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		300,369
	270,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		191,537
	170,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		119,817
	40,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		28,058
	490,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)		342,546
	635,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		443,167
	60,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		41,929
	1,540,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		1,073,262
	24,750,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		163,380
	50,205,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		318,712
	110,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		610,626

		Treasuries – continued
	310,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)	$	1,701,964
	1,595,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		8,979,827
	75,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		442,499
	490,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		3,078,777
	15,955,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		11,786,331
	1,575,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		204,316
	1,590,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		185,996
	2,260,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		284,799
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,351,993
	20,850,000	U.S. Treasury Note, 0.750%, 1/31/2018		20,799,501
	12,000,000	U.S. Treasury Note, 1.000%, 11/30/2018		11,958,744

				66,912,272

		Wireless – 1.4%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,491,917
	7,280,000	Sprint Capital Corp., 6.875%, 11/15/2028		7,689,500
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		258,538
	605,000	Sprint Communications, Inc., 6.000%, 11/15/2022		618,612
	760,000	Sprint Corp., 7.125%, 6/15/2024		811,300

				10,869,867

		Wirelines – 5.5%
	1,350,000	CenturyLink, Inc., 7.650%, 3/15/2042		1,186,313
	1,495,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,321,670
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		379,225
	2,460,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,579,925
	1,539,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		1,477,440
	1,945,000	Frontier Communications Corp., 6.875%, 1/15/2025		1,609,488
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		374,325
	4,851,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,983,059
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		874,940
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,236,000
	940,000	Frontier Communications Corp., 11.000%, 9/15/2025		914,150
	1,160,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		1,200,600

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	200,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(g)	$	66,250
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(g)		307,238
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(g)		730,891
	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		759,000
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,428,281
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		4,998,750
	645,000	Qwest Corp., 7.250%, 9/15/2025		704,995
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,395,976
	2,827,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,791,662
	2,140,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		2,162,727
	2,595,000	Uniti Group, Inc./CSL Capital LLC, 8.250%, 10/15/2023		2,737,725
	610,000	Windstream Services LLC, 7.500%, 6/01/2022		594,750
	4,740,000	Windstream Services LLC, 7.500%, 4/01/2023		4,455,600
	260,000	Windstream Services LLC, 7.750%, 10/15/2020		263,900
	375,000	Windstream Services LLC, 7.750%, 10/01/2021		369,375

				41,904,255


		Total Non-Convertible Bonds
		(Identified Cost $501,642,010)		511,542,653


	Convertible Bonds – 11.3%

		Aerospace & Defense – 0.3%
	1,895,000	RTI International Metals, Inc., 1.625%, 10/15/2019		2,200,569

		Automotive – 0.3%
	2,331,000	Navistar International Corp., 4.500%, 10/15/2018		2,291,664
	195,000	Navistar International Corp., 4.750%, 4/15/2019		187,200

				2,478,864

		Building Materials – 0.8%
	3,510,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		3,295,013
	2,050,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		2,117,906
	770,000	KB Home, 1.375%, 2/01/2019		788,769

				6,201,688

		Cable Satellite – 1.7%
	10,465,000	Dish Network Corp., 3.375%, 8/15/2026, 144A		12,643,028


		Consumer Products – 0.4%
$	3,622,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018	$	3,422,790

		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		2,811,278

		Finance Companies – 0.1%
	390,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		493,106

		Healthcare – 0.5%
	1,465,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		1,727,784
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		1,845,063

				3,572,847

		Leisure – 0.4%
	3,000,000	Rovi Corp., 0.500%, 3/01/2020		2,913,330

		Midstream – 0.5%
	26,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		25,610
	3,590,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		3,717,894

				3,743,504

		Pharmaceuticals – 0.2%
	225,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		254,109
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		365,994
	750,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		698,906
	255,000	Ironwood Pharmaceuticals, Inc., 2.250%, 6/15/2022		316,997

				1,636,006

		Property & Casualty Insurance – 1.1%
	6,242,000	Old Republic International Corp., 3.750%, 3/15/2018		8,305,761

		Technology – 4.6%
	3,565,000	Ciena Corp., 0.875%, 6/15/2017		3,549,403
	4,140,000	Ciena Corp., 3.750%, 10/15/2018, 144A		5,402,700
	1,984,000	Intel Corp., 3.250%, 8/01/2039		3,465,800
	41,605	Liberty Interactive LLC, 3.500%, 1/15/2031		40,547
	9,900,000	Micron Technology, Inc., Series G, 3.000%, 11/15/2043		11,094,188
	9,615,000	Nuance Communications, Inc., 1.000%, 12/15/2035		9,146,557
	425,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		424,203
	989,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,014,343
	830,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		923,375

				35,061,116


		Total Convertible Bonds
		(Identified Cost $72,151,140)		85,483,887

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Municipals – 0.5%

		District of Columbia – 0.1%
$	540,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047	$	731,052

		Puerto Rico – 0.4%
	4,260,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(g)		2,641,200


		Total Municipals
		(Identified Cost $4,113,030)		3,372,252


		Total Bonds and Notes
		(Identified Cost $577,906,180)		600,398,792


	Loan Participations – 0.1%

		ABS Other – 0.1%
	557,885	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(b)(d)(e) (Identified Cost $562,070)		554,399


	Senior Loans – 0.5%

		Chemicals – 0.2%
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(b)		1,605,975

		Financial Other – 0.1%
	725,200	DBRS Ltd., Term Loan, 6.304%, 3/04/2022(b)		690,151

		Media Entertainment – 0.0%
	6,813	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)		6,915

		Oil Field Services – 0.1%
	436,364	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b)		378,637
	155,974	Petroleum Geo-Services ASA, New Term Loan B, 3.647%, 3/19/2021(b)		128,289

				506,926

		Other Utility – 0.1%
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(b)		323,375

		Retailers – 0.0%
	301,886	Toys “R” Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b)		288,301

		Technology – 0.0%
	128,399	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(d)(e)		112,243

		Transportation Services – 0.0%
	139,839	OSG Bulk Ships, Inc., OBS Term Loan, 5.290%, 8/05/2019(b)		138,441


		Total Senior Loans
		(Identified Cost $3,788,325)		3,672,327

Shares		Description	Value (†)

	Common Stocks – 6.7%

		Automobiles – 1.3%
	876,900	Ford Motor Co.	$	10,207,116

		Electronic Equipment, Instruments & Components – 4.0%
	1,119,766	Corning, Inc.		30,233,682

		Energy Equipment & Services – 0.0%
	142,224	Hercules Offshore, Inc.(d)(e)(j)(m)		—

		Internet Software & Services – 0.0%
	2,154	Dex Media, Inc.(d)(f)(j)		5,816

		Oil, Gas & Consumable Fuels – 0.0%
	2,846	Chesapeake Energy Corp.(j)		16,905
	588	Pacific Exploration and Production Corp.(j)		18,792
	78,750	Rex Energy Corp.(j)		36,973

				72,670

		Pharmaceuticals – 0.5%
	64,900	Bristol-Myers Squibb Co.		3,529,262

		Semiconductors & Semiconductor Equipment – 0.9%
	183,447	Intel Corp.		6,616,933


		Total Common Stocks
		(Identified Cost $44,335,333)		50,665,479


	Preferred Stocks – 1.8%

	Convertible Preferred Stocks – 1.5%

		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		171,120

		Communications – 0.0%
	942	Cincinnati Bell, Inc., 6.750%		46,648

		Electric – 0.1%
	17,119	AES Trust III, 6.750%		874,781

		Energy – 0.7%
	98,558	El Paso Energy Capital Trust I, 4.750%		4,927,900

		Midstream – 0.4%
	12,537	Chesapeake Energy Corp., 5.000%		802,368
	3,000	Chesapeake Energy Corp., 5.750%, 144A		1,942,500
	160	Chesapeake Energy Corp., Series A, 5.750%, 144A		103,600
	30	Chesapeake Energy Corp., 5.750%		19,425

				2,867,893

		REITs – Mortgage – 0.2%
	37,475	iStar, Inc., Series J, 4.500%		1,898,108

		Technology – 0.1%
	9,507	Belden, Inc., 6.750%		922,179


		Total Convertible Preferred Stocks
		(Identified Cost $10,423,635)		11,708,629

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

	Non-Convertible Preferred Stocks – 0.3%

		Banking – 0.1%
	18,000	Bank of America Corp., 6.375%	$	464,760

		Finance Companies – 0.1%
	5,300	iStar, Inc., Series F, 7.800%		130,009
	2,575	iStar, Inc., Series G, 7.650%		62,573
	12,475	SLM Corp., Series A, 6.970%		632,482

				825,064

		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(j)		678,209

		REITs – Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		255,252


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,818,099)		2,223,285


		Total Preferred Stocks
		(Identified Cost $12,241,734)		13,931,914


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


	Principal Amount (‡)

	Short-Term Investments – 10.6%
$	52,291	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $52,291 on 4/03/2017 collateralized by $53,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $53,406 including accrued interest (Note 2 of Notes to Financial Statements)		52,291
	68,297,985	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $68,299,237 on 4/03/2017 collateralized by $68,940,000 U.S. Treasury Note, 2.125% due 6/30/2022 valued at $69,666,214 including accrued interest (Note 2 of Notes to Financial Statements)		68,297,985
	12,000,000	U.S. Treasury Bills, 0.642%, 06/22/2017(l)		11,979,936


		Total Short-Term Investments
		(Identified Cost $80,332,742)		80,330,212


		Total Investments – 99.2%
		(Identified Cost $719,166,384)(a)		749,553,123
		Other assets less liabilities—0.8%		5,829,900


		Net Assets – 100.0%	$	755,383,023


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $720,124,859 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	$	80,694,520
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(51,266,256	)

		Net unrealized appreciation	$	29,428,264

	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Perpetual bond with no specified maturity date.
	(d)	Illiquid security.
	(e)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $15,312,374 or 2.0% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $2,819,826 or 0.4% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(i)	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)	Non-income producing security.
	(k)	Maturity has been extended under the terms of a plan of reorganization.
	(l)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(m)	Escrow shares.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $154,745,233 or 20.5% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	GO	General Obligation
	MTN	Medium Term Note
	PIK	Payment-in-Kind
	SLM	Sallie Mae
	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.

43 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Institutional High Income Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	8.9	%
Independent Energy	8.3
Technology	6.6
Healthcare	6.6
Metals & Mining	6.1
Wirelines	5.5
Electronic Equipment, Instruments & Components	4.0
Supermarkets	3.6
Cable Satellite	3.3
Finance Companies	2.9
Chemicals	2.9
Oil Field Services	2.4
Aerospace & Defense	2.2
Midstream	2.1
Other Investments, less than 2% each	23.2
Short-Term Investments	10.6

Total Investments	99.2
Other assets less liabilities	0.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 83.2% of Net Assets

	Non-Convertible Bonds – 78.8%

		ABS Home Equity – 0.0%
$	42,160	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 3.065%, 7/25/2035(b)(c)	$	38,908

		ABS Other – 3.4%
	2,773,340	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(d)(e)		2,741,447
	9,498,613	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		9,675,843
	544,588	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		559,665
	316,017	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		304,120
	721,931	Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A		726,800

				14,007,875

		Aerospace & Defense – 0.3%
	480,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		495,110
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		579,682

				1,074,792

		Airlines – 1.8%
	292,419	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		301,192
	495,375	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		510,528
	122,101	Continental Airlines Pass Through Certificates, Series 2000-2, Class A-1, 7.707%, 10/02/2022		130,343
	78,077	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		81,981
	85,614	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		89,607
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		871,637
	626,947	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		689,642
	720,741	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		825,249
	1,559,898	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		1,719,054
	736,162	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		773,890

		Airlines – continued
$	455,197	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025	$	525,752
	864,732	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		907,969

				7,426,844

		Automotive – 3.0%
	840,000	Cummins, Inc., 5.650%, 3/01/2098		890,970
	10,935,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		11,168,561
	540,000	General Motors Co., 5.200%, 4/01/2045		529,315

				12,588,846

		Banking – 9.0%
	2,875,000	Ally Financial, Inc., 4.125%, 2/13/2022		2,875,000
	800,000	Bank of America Corp., 5.490%, 3/15/2019		846,699
	400,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		406,168
	683,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		685,482
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		836,093
	1,045,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		761,588
	3,545,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		2,502,974
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,135,472
	6,050,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		4,786,317
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		715,491
	4,110,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		4,187,700
	300,000	JPMorgan Chase & Co., EMTN, 0.817%, 5/30/2017, (GBP)(b)		375,678
	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,432,829
	665,000	Morgan Stanley, 2.500%, 1/24/2019		671,560
	615,000	Morgan Stanley, 3.950%, 4/23/2027		609,089
	1,215,000	Morgan Stanley, 4.350%, 9/08/2026		1,244,494
	840,000	Morgan Stanley, 5.750%, 1/25/2021		932,447
	1,518,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		1,166,506
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,619,832
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		432,056
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		956,589
	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		2,853,797
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		345,355
	1,500,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(f)		1,999,159

				37,378,375

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Brokerage – 1.2%
$	3,223,000	Jefferies Group LLC, 5.125%, 1/20/2023	$	3,463,433
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		981,608
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		494,335
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		91,327

				5,030,703

		Building Materials – 0.9%
	1,010,000	Masco Corp., 6.500%, 8/15/2032		1,192,015
	285,000	Masco Corp., 7.750%, 8/01/2029		366,440
	1,712,000	Owens Corning, 7.000%, 12/01/2036		2,094,074

				3,652,529

		Cable Satellite – 0.1%
	15,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		14,124
	185,000	Time Warner Cable LLC, 5.500%, 9/01/2041		189,726

				203,850

		Chemicals – 0.8%
	2,995,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		3,077,362
	140,000	Methanex Corp., 5.250%, 3/01/2022		146,678

				3,224,040

		Collateralized Mortgage Obligations – 0.1%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		564,426
	4,279	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020(c)		4,454

				568,880

		Consumer Products – 0.1%
	459,000	Hasbro, Inc., 6.600%, 7/15/2028		515,444

		Diversified Manufacturing – 2.5%
	65,000	General Electric Co., GMTN, 3.100%, 1/09/2023		66,809
	12,895,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		9,147,865
	286,000	General Electric Co., Series A, MTN, 1.323%, 5/13/2024(b)		276,774
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		645,240

				10,136,688

		Electric – 2.2%
	985,000	Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039, 144A		1,420,862
	818,032	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(d)(e)		270,973
	468,000	Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017		468,000
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,710,050
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		750,751

		Electric – continued
$	1,322,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A	$	1,506,712
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		657,073
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,458,640

				9,243,061

		Finance Companies – 2.6%
	889,000	International Lease Finance Corp., 4.625%, 4/15/2021		937,419
	2,080,000	International Lease Finance Corp., 6.250%, 5/15/2019		2,241,181
	875,000	Navient Corp., MTN, 6.125%, 3/25/2024		833,437
	490,000	Navient LLC, 4.875%, 6/17/2019		501,638
	4,297,000	Navient LLC, 5.500%, 1/25/2023		4,103,635
	129,000	Navient LLC, MTN, 4.625%, 9/25/2017		129,968
	159,000	Navient LLC, MTN, 5.500%, 1/15/2019		164,724
	507,000	Navient LLC, MTN, 7.250%, 1/25/2022		526,494
	983,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(d)(e)		764,283
	611,000	Springleaf Finance Corp., 5.250%, 12/15/2019		616,346

				10,819,125

		Government Guaranteed – 1.1%
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		4,029,466
	736,000	Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD)		527,299

				4,556,765

		Government Owned – No Guarantee – 0.5%
	780,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		880,084
	705,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		667,988
	625,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		515,750

				2,063,822

		Health Insurance – 0.0%
	15,000	Cigna Corp., 7.875%, 5/15/2027		20,073

		Healthcare – 0.6%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		711,054
	1,520,000	HCA, Inc., 4.500%, 2/15/2027		1,520,000
	42,000	HCA, Inc., 5.875%, 3/15/2022		46,200
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		255,490

				2,532,744

		Home Construction – 0.9%
	2,536,000	PulteGroup, Inc., 6.000%, 2/15/2035		2,485,280
	1,105,000	PulteGroup, Inc., 6.375%, 5/15/2033		1,132,625

				3,617,905

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Hybrid ARMs – 0.0%
$	22,950	FNMA, 2.802%, 2/01/2037(b)	$	23,875
	30,708	FNMA, 3.123%, 9/01/2036(b)		32,720

				56,595

		Independent Energy – 1.6%
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		45,942
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		41,895
	450,000	Continental Resources, Inc., 3.800%, 6/01/2024		418,500
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		77,850
	1,632,000	EQT Corp., 6.500%, 4/01/2018		1,703,403
	2,277,000	EQT Corp., 8.125%, 6/01/2019		2,542,227
	1,805,000	Noble Energy, Inc., 3.900%, 11/15/2024		1,829,552

				6,659,369

		Integrated Energy – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		545,594

		Life Insurance – 2.5%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		51,288
	71,000	American International Group, Inc., 4.875%, 6/01/2022		76,851
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(d)(e)		2,032,021
	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(d)(e)		2,902,714
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(d)(e)		2,419,816
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		2,855,175

				10,337,865

		Local Authorities – 1.1%
	2,407,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		1,894,228
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		2,699,446

				4,593,674

		Media Entertainment – 0.5%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		253,669
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		737,277
	50,000	Viacom, Inc., 4.375%, 3/15/2043		43,339
	845,000	Viacom, Inc., 5.250%, 4/01/2044		828,746
	305,000	Viacom, Inc., 5.850%, 9/01/2043		321,234

				2,184,265

		Metals & Mining – 1.7%
	319,000	ArcelorMittal, 7.000%, 2/25/2022		362,824
	1,750,000	ArcelorMittal, 7.500%, 3/01/2041		1,958,600
	387,000	ArcelorMittal, 7.750%, 10/15/2039		439,245
	1,717,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020, 144A		1,755,633

		Metals & Mining – continued
$	1,571,000	United States Steel Corp., 7.500%, 3/15/2022	$	1,631,876
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		963,950

				7,112,128

		Midstream – 2.2%
	159,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		168,540
	1,265,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		1,542,644
	1,330,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		1,313,999
	152,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		168,625
	607,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		654,279
	3,760,000	ONEOK Partners LP, 4.900%, 3/15/2025		3,980,148
	55,000	ONEOK Partners LP, 6.200%, 9/15/2043		61,579
	615,000	Southern Natural Gas Co., 5.900%, 4/01/2017, 144A		615,000
	500,000	Williams Partners LP, 3.350%, 8/15/2022		499,154

				9,003,968

		Mortgage Related – 0.0%
	277	FHLMC, 10.000%, with various maturities in 2018(g)		286
	736	FNMA, 6.000%, 12/01/2018		831
	252	GNMA, 10.000%, 5/15/2018		253

				1,370

		Natural Gas – 0.4%
	1,518,000	NiSource Finance Corp., 6.125%, 3/01/2022		1,738,741

		Non-Agency Commercial Mortgage-Backed Securities – 1.5%
	298,567	Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.715%, 6/15/2039(b)		298,411
	699,630	Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4, 5.958%, 9/15/2039(b)		702,996
	306,789	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		308,129
	741,296	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049		745,167
	87,873	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.949%, 8/10/2045(b)		87,783
	381,763	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		287,896
	391,578	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.841%, 6/15/2049(b)		391,706

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	454,687	Morgan Stanley Capital I Trust, Series 2008-T29, Class A4, 6.301%, 1/11/2043(b)	$	465,821
	3,515,000	Original Wempi, Inc., 4.309%, 2/13/2024, (CAD)		2,766,115
	94,890	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.641%, 3/15/2044, 144A(b)		97,137

				6,151,161

		Packaging – 0.4%
	1,660,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,759,600

		Paper – 0.3%
	704,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		913,074
	175,000	WestRock MWV LLC, 7.550%, 3/01/2047(d)(e)		217,449
	133,000	WestRock MWV LLC, 8.200%, 1/15/2030		180,025

				1,310,548

		Property & Casualty Insurance – 0.9%
	87,000	MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(h)		40,890
	1,640,000	Old Republic International Corp., 4.875%, 10/01/2024		1,742,467
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,800,177

				3,583,534

		Railroads – 0.0%
	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(d)(e)		133,916

		REITs – Office Property – 0.2%
	816,000	Highwoods Realty LP, 7.500%, 4/15/2018		861,721

		REITs – Single Tenant – 0.1%
	109,000	Realty Income Corp., 5.750%, 1/15/2021		119,992
	270,000	Realty Income Corp., 6.750%, 8/15/2019		298,519

				418,511

		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		504,799

		Retailers – 0.0%
	66,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		50,325

		Sovereigns – 2.3%
	2,429,000	Republic of Iceland, 5.875%, 5/11/2022, 144A		2,743,505
	2,806,000	U.S. Department of Housing and Urban Development, 1.980%, 8/01/2020		2,824,435
	1,851,000	U.S. Department of Housing and Urban Development, 2.350%, 8/01/2021		1,879,228

		Sovereigns – continued
$	2,244,000	U.S. Department of Housing and Urban Development, 2.450%, 8/01/2022	$	2,272,319

				9,719,487

		Supermarkets – 0.7%
	171,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		194,938
	272,000	New Albertson’s, Inc., 7.450%, 8/01/2029		257,720
	230,000	New Albertson’s, Inc., 7.750%, 6/15/2026		224,250
	1,017,000	New Albertson’s, Inc., 8.000%, 5/01/2031		983,947
	167,000	New Albertson’s, Inc., 8.700%, 5/01/2030		165,330
	65,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		58,175
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		1,057,685

				2,942,045

		Supranational – 0.6%
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,387,678

		Technology – 1.4%
	2,706,000	Corning, Inc., 7.250%, 8/15/2036		3,262,795
	990,000	KLA-Tencor Corp., 5.650%, 11/01/2034		1,058,549
	37,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		38,806
	209,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		245,481
	1,125,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		1,233,281

				5,838,912

		Transportation Services – 0.2%
	76,000	APL Ltd., 8.000%, 1/15/2024(d)(e)		55,575
	717,000	ERAC USA Finance LLC, 6.700%, 6/01/2034, 144A		870,221

				925,796

		Treasuries – 23.3%
	30,366,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		22,682,536
	26,800,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		20,605,277
	51,425,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		339,466
	87,450,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		555,151
	255,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,415,543
	265,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,454,905
	737,400(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,151,552
	175,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,032,497
	1,165,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		7,319,950
	1,675,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		1,237,362

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	10,896,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)	$	1,413,478
	28,844,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		3,374,125
	15,641,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		1,971,033
	3,986,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,209,576
	10,035,000	U.S. Treasury Note, 0.750%, 10/31/2017		10,023,239
	13,000,000	U.S. Treasury Note, 0.750%, 4/30/2018		12,949,729
	5,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		4,968,165

				96,703,584

		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		529,165
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		188,012
	66,000	Sprint Communications, Inc., 6.000%, 11/15/2022		67,485
	25,000	Sprint Corp., 7.125%, 6/15/2024		26,688

				811,350

		Wirelines – 5.4%
	1,985,000	AT&T, Inc., 2.625%, 12/01/2022		1,939,587
	1,585,000	AT&T, Inc., 3.000%, 2/15/2022		1,581,342
	1,860,000	AT&T, Inc., 3.950%, 1/15/2025		1,875,691
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,523,677
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		180,420
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,519,699
	926,000	Embarq Corp., 7.995%, 6/01/2036		921,370
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(i)		77,834
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(i)		34,804
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		400,900
	1,856,000	Qwest Corp., 6.875%, 9/15/2033		1,848,131
	1,427,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,409,162
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		438,652
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,507,395
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		627,246
	6,725,000	Verizon Communications, Inc., 2.450%, 11/01/2022		6,486,848

				22,372,758


		Total Non-Convertible Bonds
		(Identified Cost $334,534,950)		327,410,563


	Convertible Bonds – 3.8%

		Midstream – 0.0%
$	8,000	Chesapeake Energy Corp., 2.500%, 5/15/2037	$	7,880

		Property & Casualty Insurance – 2.1%
	6,526,000	Old Republic International Corp., 3.750%, 3/15/2018		8,683,659

		Technology – 1.7%
	1,967,000	Intel Corp., 3.250%, 8/01/2039		3,436,103
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		851,486
	2,615,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		2,940,241

				7,227,830


		Total Convertible Bonds
		(Identified Cost $11,399,940)		15,919,369


	Municipals – 0.6%

		Illinois – 0.1%
	315,000	State of Illinois, 5.100%, 6/01/2033		287,412

		Michigan – 0.2%
	715,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		699,814

		Virginia – 0.3%
	1,595,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,336,642


		Total Municipals
		(Identified Cost $2,549,780)		2,323,868


		Total Bonds and Notes
		(Identified Cost $348,484,670)		345,653,800


	Shares

	Common Stocks – 5.0%

		Automobiles – 0.3%
	91,715	Ford Motor Co.		1,067,563

		Electronic Equipment, Instruments & Components – 4.7%
	721,200	Corning, Inc.		19,472,400


		Total Common Stocks
		(Identified Cost $10,079,758)		20,539,963


	Preferred Stocks – 0.8%

	Convertible Preferred Stocks – 0.4%

		Banking – 0.2%
	714	Bank of America Corp., Series L, 7.250%		853,273

		Energy – 0.1%
	15,775	El Paso Energy Capital Trust I, 4.750%		788,750

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Midstream – 0.1%
	4,353	Chesapeake Energy Corp., 5.000%	$	278,592


		Total Convertible Preferred Stocks
		(Identified Cost $1,679,488)		1,920,615


	Non-Convertible Preferred Stocks – 0.4%

		Electric – 0.1%
	213	Connecticut Light & Power Co. (The), 2.200%		10,523
	2,360	Union Electric Co., 4.500%		229,463

				239,986

		Metals & Mining – 0.3%
	31,440	Arconic, Inc., 5.375%		1,290,612


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,585,757)		1,530,598


		Total Preferred Stocks
		(Identified Cost $3,265,245)		3,451,213


	Principal Amount (‡)

	Short-Term Investments – 10.0%
$	20,000,000	Federal Home Loan Bank Discount Notes, 0.520%, 4/10/2017(j)		19,997,320
	3,221	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $3,221 on 4/03/2017 collateralized by $3,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,319 including accrued interest (Note 2 of Notes to Financial Statements)		3,221
	14,069,717	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $14,069,975 on 4/03/2017 collateralized by $14,675,000 U.S. Treasury Note, 1.250% due 3/31/2021 valued at $14,351,695 including accrued interest (Note 2 of Notes to Financial Statements)		14,069,717
	7,500,000	U.S. Treasury Bills, 0.642%, 06/22/2017(j)		7,487,460


		Total Short-Term Investments
		(Identified Cost $41,559,376)		41,557,718


		Total Investments – 99.0%
		(Identified Cost $403,389,049)(a)		411,202,694
		Other assets less liabilities—1.0%		4,085,473


		Net Assets – 100.0%	$	415,288,167


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $404,949,500 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	$	33,538,860
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(27,285,666	)

		Net unrealized appreciation	$	6,253,194

	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Fair valued by the Fund's adviser. At March 31, 2017, the value of these securities amounted to $43,362 or less than 0.1% of net assets.
	(d)	Illiquid security.
	(e)	Securities classified as fair valued pursuant to the Fund's pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $11,538,194 or 2.8% 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.
	(i)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(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 March 31, 2017, the value of Rule 144A holdings amounted to $53,256,677 or 12.8% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	EMTN	Euro Medium Term Note
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit

	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	EUR	Euro
	GBP	British Pound
	ISK	Icelandic Krona
	MXN	Mexican Peso
	NOK	Norwegian Krone
	NZD	New Zealand Dollar

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Investment Grade Fixed Income Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	23.3	%
Banking	9.2
Wirelines	5.4
Electronic Equipment, Instruments & Components	4.7
ABS Other	3.4
Technology	3.1
Automotive	3.0
Property & Casualty Insurance	3.0
Finance Companies	2.6
Life Insurance	2.5
Diversified Manufacturing	2.5
Sovereigns	2.3
Electric	2.3
Midstream	2.3
Metals & Mining	2.0
Other Investments, less than 2% each	17.4
Short-Term Investments	10.0

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2017 (Unaudited)


United States Dollar	71.5	%
Canadian Dollar	14.1
New Zealand Dollar	4.0
Mexican Peso	3.9
Other, less than 2% each	5.5

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

See accompanying notes to financial statements.

51 |

Statements of Assets and Liabilities

March 31, 2017 (Unaudited)


	Core Disciplined Alpha Bond Fund			Fixed Income Fund		Global Bond Fund
ASSETS
Investments at cost	$	30,454,497		$	1,066,127,691	$	1,083,258,262
Net unrealized appreciation (depreciation)		84,156			3,344,332		(30,262,799	)

Investments at value		30,538,653			1,069,472,023		1,052,995,463
Cash		204,955			87,860		—
Due from brokers (Note 2)		—			—		2,220,000
Foreign currency at value (identified cost $0, $0 and $13,134,361, respectively)		—			—		13,092,000
Receivable for Fund shares sold		—			220,000		1,904,858
Receivable from investment adviser (Note 6)		1,679			—		—
Receivable for securities sold		614,401			1,629,640		9,989,173
Receivable for when-issued/delayed delivery securities sold (Note 2)		1,920,882			—		21,757,573
Collateral received for open forward foreign currency contracts (Note 4)		—			—		2,820,000
Dividends and interest receivable		124,281			13,500,281		8,484,543
Unrealized appreciation on forward foreign currency contracts (Note 2)		—			—		3,119,595
Tax reclaims receivable		406			22,309		—
Receivable from distributor (Note 6d)		—			—		23,261
Prepaid expenses (Note 8)		4			507		596

TOTAL ASSETS		33,405,261			1,084,932,620		1,116,407,062


LIABILITIES
Payable for securities purchased		1,878,173			3,159,069		9,467,279
Payable for when-issued/delayed delivery securities purchased (Note 2)		6,359,087			—		43,494,707
Payable for Fund shares redeemed		—			1,610,000		1,519,953
Unrealized depreciation on forward foreign currency contracts (Note 2)		—			—		2,303,306
Foreign taxes payable (Note 2)		—			—		58,452
Due to brokers (Note 2)		—			—		2,820,000
Payable for variation margin on futures contracts (Note 2)		—			—		60,239
Management fees payable (Note 6)		—			468,144		529,463
Deferred Trustees’ fees (Note 6)		1,381			172,827		264,121
Administrative fees payable (Note 6)		953			41,311		40,603
Other accounts payable and accrued expenses		32,332			48,668		129,843

TOTAL LIABILITIES		8,271,926			5,500,019		60,687,966

NET ASSETS	$	25,133,335		$	1,079,432,601	$	1,055,719,096

NET ASSETS CONSIST OF:
Paid-in capital	$	25,143,807		$	1,055,173,009	$	1,119,369,723
Undistributed (Distributions in excess of) net investment income		(7,158	)		5,390,873		4,594,391
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(87,470	)		15,497,117		(38,908,496	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		84,156			3,371,602		(29,336,522	)

NET ASSETS	$	25,133,335		$	1,079,432,601	$	1,055,719,096


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	25,133,335		$	1,079,432,601	$	511,357,715

Shares of beneficial interest		2,514,415			80,627,080		32,601,764

Net asset value, offering and redemption price per share	$	10.00		$	13.39	$	15.68

Retail Class:
Net assets	$	—		$	—	$	288,546,337

Shares of beneficial interest		—			—		18,673,814

Net asset value, offering and redemption price per share	$	—		$	—	$	15.45

Class N shares:
Net assets	$	—		$	—	$	255,815,044

Shares of beneficial interest		—			—		16,271,890

Net asset value, offering and redemption price per share	$	—		$	—	$	15.72

See accompanying notes to financial statements.

| 52

Statements of Assets and Liabilities – continued

March 31, 2017 (Unaudited)


	Inflation Protected Securities Fund			Institutional High Income Fund		Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	40,948,121		$	719,166,384	$	403,389,049
Net unrealized appreciation		147,515			30,386,739		7,813,645

Investments at value		41,095,636			749,553,123		411,202,694
Cash		—			965,217		—
Due from brokers (Note 2)		67,000			—		—
Foreign currency at value (identified cost $0, $11 and $108,919, respectively)		—			11		106,945
Receivable for Fund shares sold		51,237			—		—
Receivable for securities sold		—			290,863		373,065
Dividends and interest receivable		86,544			9,220,590		3,931,201
Tax reclaims receivable		—			5,882		6,146
Receivable for variation margin on futures contracts (Note 2)		754			—		—
Prepaid expenses (Note 8)		11			292		199

TOTAL ASSETS		41,301,182			760,035,978		415,620,250


LIABILITIES
Payable for securities purchased		—			3,707,372		—
Payable for Fund shares redeemed		1,309			348,506		—
Management fees payable (Note 6)		9,827			396,312		147,942
Deferred Trustees’ fees (Note 6)		89,144			124,189		127,925
Administrative fees payable (Note 6)		1,536			28,928		15,649
Payable to distributor (Note 6d)		404			76		—
Other accounts payable and accrued expenses		30,481			47,572		40,567

TOTAL LIABILITIES		132,701			4,652,955		332,083

NET ASSETS	$	41,168,481		$	755,383,023	$	415,288,167

NET ASSETS CONSIST OF:
Paid-in capital	$	43,346,813		$	720,007,813	$	407,548,359
Undistributed (Distributions in excess of) net investment income		(136,841	)		523,824		6,819
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(2,186,797	)		4,442,398		(99,305	)
Net unrealized appreciation on investments, futures contracts and foreign currency translations		145,306			30,408,988		7,832,294

NET ASSETS	$	41,168,481		$	755,383,023	$	415,288,167


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	38,541,872		$	755,383,023	$	415,288,167

Shares of beneficial interest		3,693,946			111,171,330		34,319,386

Net asset value, offering and redemption price per share	$	10.43		$	6.79	$	12.10

Retail Class:
Net assets	$	1,391,512		$	—	$	—

Shares of beneficial interest		133,532			—		—

Net asset value, offering and redemption price per share	$	10.42		$	—	$	—

Class N shares:
Net assets	$	1,235,097		$	—	$	—

Shares of beneficial interest		118,353			—		—

Net asset value, offering and redemption price per share	$	10.44		$	—	$	—

See accompanying notes to financial statements.

53 |

Statements of Operations

For the Six Months Ended March 31, 2017 (Unaudited)


	Core Disciplined Alpha Bond Fund(a)			Fixed Income Fund			Global Bond Fund
INVESTMENT INCOME
Interest	$	173,932		$	26,343,524		$	14,598,082
Dividends		—			1,654,111			—
Less net foreign taxes withheld		—			(17,612	)		(25,424	)

		173,932			27,980,023			14,572,658

Expenses
Management fees (Note 6)		24,835			2,802,240			3,269,771
Distribution fees (Note 6)		—			—			387,638
Administrative fees (Note 6)		3,707			250,561			247,776
Trustees’ fees and expenses (Note 6)		4,185			30,857			35,597
Transfer agent fees and expenses (Notes 6 and 7)		131			2,635			678,575
Audit and tax services fees		21,344			27,369			26,331
Custodian fees and expenses		10,680			32,847			72,439
Legal fees		164			11,811			11,129
Registration fees		5,323			14,198			53,924
Shareholder reporting expenses		1,176			5,714			63,826
Miscellaneous expenses (Note 8)		4,092			27,091			47,952

Total expenses		75,637			3,205,323			4,894,958
Less waiver and/or expense reimbursement (Note 6)		(38,354	)		—			(364,183	)

Net expenses		37,283			3,205,323			4,530,775

Net investment income		136,649			24,774,700			10,041,883


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(87,470	)		19,958,191			(22,508,756	)
Futures contracts		—			—			1,406,954
Foreign currency transactions		—			(179,160	)		(11,238,096	)
Net change in unrealized appreciation (depreciation) on:
Investments		84,156			(18,527,060	)		(31,703,648	)
Futures contracts		—			—			(162,605	)
Foreign currency translations		—			63,700			185,934

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(3,314	)		1,315,671			(64,020,217	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	133,335		$	26,090,371		$	(53,978,334	)

(a)	From commencement of operations on November 30, 2016 through March 31, 2017.

See accompanying notes to financial statements.

| 54

Statements of Operations – continued

For the Six Months Ended March 31, 2017 (Unaudited)


	Inflation Protected Securities Fund			Institutional High Income Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	348,680		$	20,485,534		$	9,006,782
Dividends		—			1,583,212			411,201
Less net foreign taxes withheld		—			(8,548	)		(3,725	)

		348,680			22,060,198			9,414,258

Expenses
Management fees (Note 6)		43,618			2,193,028			829,296
Distribution fees (Note 6)		1,849			—			—
Administrative fees (Note 6)		7,802			163,430			92,686
Trustees’ fees and expenses (Note 6)		13,374			23,514			20,138
Transfer agent fees and expenses (Note 6)		15,585			6,521			1,565
Audit and tax services fees		22,291			25,329			27,176
Custodian fees and expenses		4,841			31,744			15,840
Legal fees		341			7,629			4,293
Registration fees		38,422			14,223			9,823
Shareholder reporting expenses		2,863			2,599			1,921
Miscellaneous expenses (Note 8)		6,623			18,311			12,943

Total expenses		157,609			2,486,328			1,015,681
Less waiver and/or expense reimbursement (Note 6)		(86,022	)		—			—

Net expenses		71,587			2,486,328			1,015,681

Net investment income		277,093			19,573,870			8,398,577


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		65,370			9,116,044			3,444,424
Futures contracts		128,554			—			—
Foreign currency transactions		—			(84,668	)		(58,270	)
Net change in unrealized appreciation (depreciation) on:
Investments		(770,503	)		13,465,695			(7,224,871	)
Futures contracts		3,506			—			—
Foreign currency translations		—			35,906			37,614

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(573,073	)		22,532,977			(3,801,103	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	(295,980	)	$	42,106,847		$	4,597,474

See accompanying notes to financial statements.

55 |

Statements of Changes in Net Assets


	Core Disciplined Alpha Bond Fund(a)			Fixed Income Fund
	Period Ended March 31, 2017 (Unaudited)			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	136,649		$	24,774,700		$	54,193,709
Net realized gain (loss) on investments and foreign currency transactions		(87,470	)		19,779,031			(14,733,139	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		84,156			(18,463,360	)		71,351,050

Net increase in net assets resulting from operations		133,335			26,090,371			110,811,620

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(143,807	)		(38,594,289	)		(55,935,164	)
Net realized capital gains
Institutional Class		—			(668,776	)		(20,555,156	)

Total distributions		(143,807	)		(39,263,065	)		(76,490,320	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		25,143,807			(108,903,410	)		(103,275,850	)

Net increase (decrease) in net assets		25,133,335			(122,076,104	)		(68,954,550	)
NET ASSETS
Beginning of the period		—			1,201,508,705			1,270,463,255

End of the period	$	25,133,335		$	1,079,432,601		$	1,201,508,705

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(7,158	)	$	5,390,873		$	19,210,462

(a)	From commencement of operations on November 30, 2016 through March 31, 2017.

See accompanying notes to financial statements.

| 56

Statements of Changes in Net Assets – continued


	Global Bond Fund						Inflation Protected Securities Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	10,041,883		$	31,167,541		$	277,093		$	265,586
Net realized gain (loss) on investments, futures contracts and foreign currency transactions		(32,339,898	)		(71,540,046	)		193,924			(340,246	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(31,680,319	)		174,257,302			(766,997	)		1,886,004

Net increase (decrease) in net assets resulting from operations		(53,978,334	)		133,884,797			(295,980	)		1,811,344

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(2,561,646	)		—			(270,009	)		(347,784	)
Retail Class		(872,650	)		—			(8,717	)		(16,091	)
Class N		(303,406	)		—			(5,491	)		—
Net realized capital gains
Institutional Class		(1,021,283	)		—			—			—
Retail Class		(429,328	)		—			—			—
Class N		(53,368	)		—			—			—
Paid-in capital
Institutional Class		—			—			—			(21,528	)
Retail Class		—			—			—			(575	)

Total distributions		(5,241,681	)		—			(284,217	)		(385,978	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(106,863,936	)		(681,545,914	)		10,571,544			(13,146,542	)

Net increase (decrease) in net assets		(166,083,951	)		(547,661,117	)		9,991,347			(11,721,176	)
NET ASSETS
Beginning of the period		1,221,803,047			1,769,464,164			31,177,134			42,898,310

End of the period	$	1,055,719,096		$	1,221,803,047		$	41,168,481		$	31,177,134

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME/)/ACCUMULATED NET INVESTMENT LOSS	$	4,594,391		$	(1,709,790	)	$	(136,841	)	$	(129,717	)

See accompanying notes to financial statements.

57 |

Statements of Changes in Net Assets – continued


	Institutional High Income Fund						Investment Grade Fixed Income Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	19,573,870		$	38,101,822		$	8,398,577		$	18,546,966
Net realized gain (loss) on investments and foreign currency transactions		9,031,376			1,121,332			3,386,154			(1,495,230	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		13,501,601			43,640,612			(7,187,257	)		19,812,531

Net increase in net assets resulting from operations		42,106,847			82,863,766			4,597,474			36,864,267

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(39,328,553	)		(38,822,138	)		(7,361,589	)		(9,226,102	)
Net realized capital gains
Institutional Class		(2,039,258	)		(20,172,827	)		(8,204,071	)		(5,935,580	)

Total distributions		(41,367,811	)		(58,994,965	)		(15,565,660	)		(15,161,682	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		40,455,823			59,897,205			(35,172,431	)		(121,681,227	)

Net increase (decrease) in net assets		41,194,859			83,766,006			(46,140,617	)		(99,978,642	)
NET ASSETS
Beginning of the period		714,188,164			630,422,158			461,428,784			561,407,426

End of the period	$	755,383,023		$	714,188,164		$	415,288,167		$	461,428,784

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	523,824		$	20,278,507		$	6,819		$	(1,030,169	)

See accompanying notes to financial statements.

| 58

Financial Highlights

For a share outstanding throughout each period.


	Core Disciplined Alpha Bond Fund – Institutional Class
	Period Ended March 31, 2017 (Unaudited)(a)
Net asset value, beginning of the period	$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(b)		0.05
Net realized and unrealized gain (loss)		0.01	(g)

Total from Investment Operations		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)
Net realized capital gains		—

Total Distributions		(0.06	)

Net asset value, end of the period	$	10.00

Total return		0.58	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,133
Net expenses		0.45	%(e)(f)
Gross expenses		0.91	%(e)
Net investment income		1.65	%(e)
Portfolio turnover rate		296	%

(a)

From commencement of operations on November 30, 2016 through March 31, 2017.

(b)

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

(c)

Periods less than one year are not annualized.

(d)

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

(e)

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

(f)

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

(g)

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


	Fixed Income Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	13.52		$	13.16		$	15.22		$	14.97		$	14.83		$	13.69

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.58			0.60			0.65			0.69			0.72
Net realized and unrealized gain (loss)		0.05			0.61			(1.46	)		0.57			0.27			1.31

Total from Investment Operations		0.34			1.19			(0.86	)		1.22			0.96			2.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.46	)		(0.61	)		(0.65	)		(0.76	)		(0.74	)		(0.84	)
Net realized capital gains		(0.01	)		(0.22	)		(0.55	)		(0.21	)		(0.08	)		(0.05	)

Total Distributions		(0.47	)		(0.83	)		(1.20	)		(0.97	)		(0.82	)		(0.89	)

Net asset value, end of the period	$	13.39		$	13.52		$	13.16		$	15.22		$	14.97		$	14.83

Total return		2.59	%(b)		9.72	%		(5.96	)%		8.51	%		6.71	%		15.79	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,079,433		$	1,201,509		$	1,270,463		$	1,403,927		$	1,192,028		$	1,134,935
Net expenses		0.57	%(c)		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Gross expenses		0.57	%(c)		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Net investment income		4.42	%(c)		4.48	%		4.29	%		4.31	%		4.64	%		5.10	%
Portfolio turnover rate		6	%		14	%		15	%		26	%		18	%		17	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

See accompanying notes to financial statements.

59 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	16.47		$	15.00		$	16.13		$	16.56		$	17.36		$	16.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.14			0.33			0.32			0.34			0.33			0.44
Net realized and unrealized gain (loss)		(0.85	)		1.14			(1.16	)		(0.08	)		(0.70	)		1.05

Total from Investment Operations		(0.71	)		1.47			(0.84	)		0.26			(0.37	)		1.49
						��
LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		—			(0.14	)		(0.51	)		(0.43	)		(0.65	)
Net realized capital gains		(0.02	)		—			(0.15	)		(0.18	)		—			—

Total Distributions		(0.08	)		—			(0.29	)		(0.69	)		(0.43	)		(0.65	)

Net asset value, end of the period	$	15.68		$	16.47		$	15.00		$	16.13		$	16.56		$	17.36

Total return		(4.33	)%(b)(c)		9.80	%(c)		(5.31	)%(c)		1.57	%(c)		(2.14	)%(c)		9.45	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	511,358		$	822,993		$	1,289,885		$	1,553,641		$	1,669,103		$	1,629,719
Net expenses		0.75	%(d)(e)		0.75	%(e)		0.75	%(e)		0.75	%(e)		0.75	%(e)		0.72	%
Gross expenses		0.83	%(d)		0.83	%		0.78	%		0.77	%		0.78	%		0.72	%
Net investment income		1.84	%(d)		2.13	%		2.07	%		2.03	%		1.96	%		2.64	%
Portfolio turnover rate		71	%		120	%		117	%		143	%		185	%(f)		102	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

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

(f)

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


	Global Bond Fund – Retail Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	16.23		$	14.82		$	15.97		$	16.40		$	17.20		$	16.37

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.12			0.29			0.28			0.29			0.29			0.40
Net realized and unrealized gain (loss)		(0.84	)		1.12			(1.15	)		(0.07	)		(0.70	)		1.04

Total from Investment Operations		(0.72	)		1.41			(0.87	)		0.22			(0.41	)		1.44

LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)		—			(0.13	)		(0.47	)		(0.39	)		(0.61	)
Net realized capital gains		(0.02	)		—			(0.15	)		(0.18	)		—			—

Total Distributions		(0.06	)		—			(0.28	)		(0.65	)		(0.39	)		(0.61	)

Net asset value, end of the period	$	15.45		$	16.23		$	14.82		$	15.97		$	16.40		$	17.20

Total return		(4.41	)%(b)(c)		9.51	%(c)		(5.56	)%(c)		1.35	%		(2.39	)%		9.20	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	288,546		$	350,915		$	447,304		$	682,624		$	798,335		$	995,211
Net expenses		1.00	%(d)(e)		1.00	%(e)		1.00	%(e)		0.98	%		0.98	%		0.97	%
Gross expenses		1.07	%(d)		1.08	%		1.03	%		0.98	%		0.98	%		0.97	%
Net investment income		1.62	%(d)		1.87	%		1.81	%		1.80	%		1.72	%		2.43	%
Portfolio turnover rate		71	%		120	%		117	%		143	%		185	%(f)		102	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

(d)

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

(e)

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

(f)

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

See accompanying notes to financial statements.

| 60

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Class N
	Six Months Ended March 31, 2017 (Unaudited)			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	$	16.50		$	15.01		$	16.13		$	16.56		$	17.18

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.16			0.34			0.34			0.36			0.22
Net realized and unrealized gain (loss)		(0.86	)		1.15			(1.17	)		(0.08	)		(0.56	)

Total from Investment Operations		(0.70	)		1.49			(0.83	)		0.28			(0.34	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		—			(0.14	)		(0.53	)		(0.28	)
Net realized capital gains		(0.02	)		—			(0.15	)		(0.18	)		—

Total Distributions		(0.08	)		—			(0.29	)		(0.71	)		(0.28	)

Net asset value, end of the period	$	15.72		$	16.50		$	15.01		$	16.13		$	16.56

Total return		(4.24	)%(b)(c)		9.93	%		(5.22	)%		1.70	%		(1.97	)%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	255,815		$	47,895		$	32,275		$	27,993		$	550
Net expenses		0.70	%(d)(e)		0.66	%		0.63	%		0.63	%(f)		0.70	%(d)(e)
Gross expenses		0.72	%(d)		0.66	%		0.63	%		0.63	%(f)		0.83	%(d)
Net investment income		2.11	%(d)		2.19	%		2.20	%		2.16	%		2.01	%(d)
Portfolio turnover rate		71	%		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)

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

(e)

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

(f)

Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

61 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Institutional Class
	Six Months Ended March 31,2017 (Unaudited)			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	$	10.64		$	10.17		$	10.33		$	10.64		$	12.18		$	11.58

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.12			0.06			0.15			0.09			0.11
Net realized and unrealized gain (loss)		(0.21	)		0.49			(0.15	)		(0.16	)		(0.74	)		0.92

Total from Investment Operations		(0.13	)		0.61			(0.09	)		(0.01	)		(0.65	)		1.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.08	)		(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		(0.08	)		(0.14	)		(0.07	)		(0.30	)		(0.89	)		(0.43	)

Net asset value, end of the period	$	10.43		$	10.64		$	10.17		$	10.33		$	10.64		$	12.18

Total return(b)		(1.24	)%(c)		6.00	%		(0.92	)%		(0.02	)%		(5.70	)%		9.01	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	38,542		$	29,655		$	23,696		$	24,480		$	18,434		$	23,771
Net expenses(d)		0.40	%(e)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.89	%(e)		0.86	%		0.80	%		0.91	%		0.91	%		0.85	%
Net investment income		1.58	%(e)		1.16	%		0.62	%		1.41	%		0.75	%		0.95	%
Portfolio turnover rate		146	%		61	%		135	%		206	%(f)		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)

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.

(f)

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.

See accompanying notes to financial statements.

| 62

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Retail Class
	Six Months Ended March 31, 2017 (Unaudited)			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		$	10.14		$	10.31		$	10.61		$	12.15		$	11.56

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.06			(0.05	)		0.08			0.14			(0.05	)		0.04
Net realized and unrealized gain (loss)		(0.20	)		0.60			(0.20	)		(0.16	)		(0.64	)		0.96

Total from Investment Operations		(0.14	)		0.55			(0.12	)		(0.02	)		(0.69	)		1.00

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		(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	)(b)		—			—			—			—

Total Distributions		(0.06	)		(0.07	)		(0.05	)		(0.28	)		(0.85	)		(0.41	)

Net asset value, end of the period	$	10.42		$	10.62		$	10.14		$	10.31		$	10.61		$	12.15

Total return(c)		(1.28	)%(d)		5.47	%		(1.17	)%		(0.15	)%		(6.04	)%		8.71	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,392		$	1,522		$	19,203		$	5,700		$	3,499		$	3,169
Net expenses(e)		0.65	%(f)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		1.11	%(f)		1.07	%		1.03	%		1.19	%		1.23	%		1.23	%
Net investment income (loss)		1.22	%(f)		(0.47	)%		0.75	%		1.36	%		(0.44	)%		0.35	%
Portfolio turnover rate		146	%		61	%		135	%		206	%(g)		56	%		166	%

(a)

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

(b)

Amount rounds to less than $0.01 per share.

(c)

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

(d)

Periods less than one year are not annualized.

(e)

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

(f)

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

(g)

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

See accompanying notes to financial statements.

63 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Class N
	Period Ended March 31, 2017 (Unaudited)*
Net asset value, beginning of the period	$	10.43

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09
Net realized and unrealized gain (loss)		(0.03	)

Total from Investment Operations		0.06

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)
Net realized capital gains		—

Total Distributions		(0.05	)

Net asset value, end of the period	$	10.44

Total return(b)		0.54	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,235
Net expenses(c)(d)		0.35	%
Gross expenses(c)		1.00	%
Net investment income(c)		5.44	%
Portfolio turnover rate		146	%

From commencement of Class operations on February 1, 2017 through March 31, 2017.

(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. Periods less than one year are not annualized.

(c)

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

(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.


	Institutional High Income Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	6.81		$	6.72		$	8.15		$	8.24		$	7.74		$	7.15

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.37			0.40			0.42			0.46			0.46
Net realized and unrealized gain (loss)		0.20			0.36			(1.04	)		0.43			0.57			0.75

Total from Investment Operations		0.38			0.73			(0.64	)		0.85			1.03			1.21

LESS DISTRIBUTIONS FROM:
Net investment income		(0.38	)		(0.42	)		(0.43	)		(0.52	)		(0.50	)		(0.45	)
Net realized capital gains		(0.02	)		(0.22	)		(0.36	)		(0.42	)		(0.03	)		(0.17	)

Total Distributions		(0.40	)		(0.64	)		(0.79	)		(0.94	)		(0.53	)		(0.62	)

Net asset value, end of the period	$	6.79		$	6.81		$	6.72		$	8.15		$	8.24		$	7.74

Total return		5.77	%(b)		12.53	%		(8.38	)%		11.14	%		14.17	%		18.37	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	755,383		$	714,188		$	630,422		$	693,333		$	664,866		$	652,767
Net expenses		0.68	%(c)		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Gross expenses		0.68	%(c)		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Net investment income		5.36	%(c)		5.87	%		5.45	%		5.16	%		5.76	%		6.30	%
Portfolio turnover rate		7	%		17	%		19	%		29	%		28	%		21	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

See accompanying notes to financial statements.

| 64

Financial Highlights – continued

For a share outstanding throughout each period.


	Investment Grade Fixed Income Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	12.42		$	11.81		$	12.82		$	12.82		$	13.21		$	12.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.24			0.45			0.42			0.46			0.49			0.56
Net realized and unrealized gain (loss)		(0.09	)		0.50			(0.88	)		0.21			(0.21	)		0.97

Total from Investment Operations		0.15			0.95			(0.46	)		0.67			0.28			1.53

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.22	)		(0.44	)		(0.51	)		(0.54	)		(0.66	)
Net realized capital gains		(0.25	)		(0.12	)		(0.11	)		(0.16	)		(0.13	)		(0.18	)

Total Distributions		(0.47	)		(0.34	)		(0.55	)		(0.67	)		(0.67	)		(0.84	)

Net asset value, end of the period	$	12.10		$	12.42		$	11.81		$	12.82		$	12.82		$	13.21

Total return		1.25	%(b)		8.27	%		(3.74	)%		5.36	%		2.14	%		12.78	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	415,288		$	461,429		$	561,407		$	611,607		$	739,886		$	690,693
Net expenses		0.49	%(c)		0.48	%		0.48	%		0.48	%		0.47	%		0.48	%
Gross expenses		0.49	%(c)		0.48	%		0.48	%		0.48	%		0.47	%		0.48	%
Net investment income		4.05	%(c)		3.72	%		3.34	%		3.52	%		3.72	%		4.44	%
Portfolio turnover rate		2	%		23	%		26	%		23	%		25	%		19	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

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

See accompanying notes to financial statements.

65 |

Notes to Financial Statements

March 31, 2017 (Unaudited)

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

Loomis Sayles Core Disciplined Alpha Bond Fund (the “Core Disciplined Alpha Bond Fund”)

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”)

Core Disciplined Alpha Bond Fund commenced operations on November 30, 2016 via contribution to the Fund by Natixis Global Asset Management L.P. (“Natixis US”) and affiliates of $25,000,000.

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 and Inflation Protected Securities Fund (effective February 1, 2017) 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 an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Global Bond Fund and Inflation Protected Securities Fund and $3,000,000 for Fixed Income Fund, Institutional High Income Fund and Investment Grade Fixed Income Fund. Certain investors are exempted from the minimum investment amounts for Class N and Institutional Class as outlined in the relevant 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 and Natixis ETF 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 and Inflation Protected Securities 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.

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

a. Valuation. Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Senior loans are valued at bid prices supplied by an independent pricing service, if available. Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Broker-dealer bid prices may be used to value debt and unlisted equity securities and senior loans where an independent pricing service is unable to price a security or where

| 66

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service. Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively. Swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available. Other swaptions not priced through an 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 March 31, 2017, 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	$	19,233,465		1.8%	$	3,981,869		0.4%
Global Bond Fund		3,097,049		0.3%		202,480		Less than 0.1%
Institutional High Income Fund		15,312,374		2.0%		2,819,826		0.4%
Investment Grade Fixed Income Fund		11,538,194		2.8%		43,362		Less than 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.

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Funds have net losses, reduce or eliminate the amount of income available to be distributed by the Funds.

67 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

During the six months ended March 31, 2017, 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:


Global Bond Fund	$	8,342,750
Investment Grade Fixed Income Fund		715,636

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

d. Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

e. Futures Contracts. The Funds may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.

When a Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by a Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Funds are reduced; however, in the event that a counterparty enters into bankruptcy, a Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

f. Swaptions. Certain Funds may enter into interest rate swaptions. An interest rate swaption gives the holder the right, but not the obligation, to enter into or cancel an interest rate swap agreement at a future date. Interest rate swaptions may be either purchased or written. The buyer of an interest rate swaption may purchase either the right to receive a fixed rate in the underlying swap (known as a “receiver swaption”) or to pay a fixed rate (known as a “payer swaption”), based on the notional amount of the swap agreement, in exchange for a floating rate. The notional amounts of swaptions are not recorded in the financial statements.

When a Fund purchases an interest rate swaption, it pays a premium and the swaption is subsequently marked-to-market to reflect current value. Premiums paid for purchasing interest rate swaptions which expire are treated as realized losses. Premiums paid for purchasing interest rate swaptions which are exercised are added to the cost or deducted from the proceeds on the underlying swap to determine the realized gain or loss. If a Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing interest rate swaptions is limited to the premium paid.

When a Fund writes an interest rate swaption, an amount equal to the premium received is recorded as a liability and is subsequently adjusted to the current value. Premiums received for written interest rate swaptions which expire are treated as realized gains. Premiums received for written interest rate swaptions which are exercised are deducted from the cost or added to the proceeds on the underlying swap to determine

| 68

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

For the six months ended March 31, 2017, no swaptions were held by the Funds.

g. Swap Agreements. The Funds may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily and fluctuations in the value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (“centrally cleared swaps”). Bilateral swap agreements are traded between counterparties and, as such, are subject to the risk that a party to the agreement will not be able to meet its obligations. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as “variation margin,” are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Fund’s counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty. The Funds cover their net obligations under outstanding swap agreements by segregating or earmarking cash or securities.

For the six months ended March 31, 2017, no swap agreements were held by the Funds.

h. When-Issued and Delayed Delivery Transactions. The Funds may enter into when-issued or delayed delivery transactions. When-issued refers to transactions made conditionally because a security, although authorized, has not been issued. Delayed delivery refers to transactions for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of when-issued and delayed delivery securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Funds at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Funds take delivery of the security. No interest accrues to the Funds until the transaction settles.

Delayed delivery transactions include those designated as To Be Announced (“TBAs”) in the Portfolios of Investments. For TBAs, the actual security that will be delivered to fulfill the transaction is not designated at the time of the trade. The security is “to be announced” 48 hours prior to the established trade settlement date. Certain transactions require the Funds or counterparty to post cash and/or securities as collateral for the net mark-to-market exposure to the other party. The Funds cover their net obligations under outstanding delayed delivery commitments by segregating or earmarking cash or securities at the custodian.

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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 March 31, 2017, as applicable, and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statements of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution redesignations, foreign currency gains and losses, convertible bonds, paydown gains and losses, premium amortization, capital gain 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 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 year ended September 30, 2016 was as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Fixed Income Fund	$	57,108,952	$	19,381,368	$	—	$	76,490,320
Global Bond Fund		—		—		—		—
Inflation Protected Securities Fund		363,875		—		22,103		385,978
Institutional High Income Fund		39,304,593		19,690,372		—		58,994,965
Investment Grade Fixed Income Fund		9,885,081		5,276,601		—		15,161,682

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.

| 70

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As of September 30, 2016, the capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Fixed Income Fund			Global Bond Fund		Inflation Protected Securities Fund			Institutional High Income Fund			Investment Grade Fixed Income Fund
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	)*	$	—

* 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.

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	Core Disciplined Alpha Bond Fund		Fixed Income Fund			Global Bond Fund			Inflation Protected Securities Fund		Institutional High Income Fund			Investment Grade Fixed Income Fund
Unrealized appreciation (depreciation)
Investments	$	72,367	$	41,133,732		$	(1,415,368	)	$	21,948	$	42,989,806		$	28,804,762
Foreign currency translations		—		(40,557,898	)		(33,133,579	)		—		(13,539,293	)		(22,532,919	)

Total unrealized appreciation (depreciation)	$	72,367	$	575,834		$	(34,548,947	)	$	21,948	$	29,450,513		$	6,271,843

k. Loan Participations. Each Fund may invest in loans to corporate, governmental or other borrowers. The Funds’ investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

l. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of March 31, 2017, 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 futures and forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between a Fund and the various broker/dealers. 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. 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 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.

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March 31, 2017 (Unaudited)

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 six months ended March 31, 2017, 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.

p. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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

•

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

•

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

•

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

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

The Funds’ pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Funds by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds’ adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

| 72

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

Core Disciplined Alpha Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	1,117,943	$	323,970	(b)	$	1,441,913
ABS Credit Card		—		799,567		66,000	(b)		865,567
ABS Home Equity		—		363,902		64,585	(b)		428,487
Collateralized Mortgage Obligations		—		79,578		65,284	(b)		144,862
Non-Agency Commercial Mortgage-Backed Securities		—		407,097		16,411	(b)		423,508
All Other Non-Convertible Bonds(a)		—		23,397,561		—			23,397,561

Total Non-Convertible Bonds		—		26,165,648		536,250			26,701,898

Municipals(a)		—		201,276		—			201,276

Total Bonds and Notes		—		26,366,924		536,250			26,903,174

Short-Term Investments		—		3,635,479		—			3,635,479

Total	$	—	$	30,002,403	$	536,250		$	30,538,653

(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 period ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	802,975	$	801,403	(b)	$	1,604,378
Chemicals		—		24,086,074		3,161,100	(c)		27,247,174
Finance Companies		716,879		45,950,368		—			46,667,247
Metals & Mining		—		18,680,640		1,041	(c)		18,681,681
All Other Non-Convertible Bonds(a)		—		717,343,598		—			717,343,598

Total Non-Convertible Bonds		716,879		806,863,655		3,963,544			811,544,078

Convertible Bonds(a)		—		77,217,680		—			77,217,680
Municipals(a)		—		6,971,119		—			6,971,119

Total Bonds and Notes		716,879		891,052,454		3,963,544			895,732,877

Senior Loans(a)		—		807,839		—			807,839
Common Stocks
Internet Software & Services		—		—		18,325	(c)		18,325
All Other Common Stocks(a)		33,122,576		—		—			33,122,576

Total Common Stocks		33,122,576		—		18,325			33,140,901

Preferred Stocks
Convertible Preferred Stocks
Midstream		616,763		1,198,870		—			1,815,633
REITs—Mortgage		—		157,319		—			157,319
All Other Convertible Preferred Stocks(a)		11,366,279		—		—			11,366,279

Total Convertible Preferred Stocks		11,983,042		1,356,189		—			13,339,231

73 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Non-Convertible Preferred Stocks
Electric	$	—	$	761,280	$	—	$	761,280
All Other Non-Convertible Preferred Stocks(a)		4,080,185		—		—		4,080,185

Total Non-Convertible Preferred Stocks		4,080,185		761,280		—		4,841,465

Total Preferred Stocks		16,063,227		2,117,469		—		18,180,696

Short-Term Investments		—		121,609,710		—		121,609,710

Total	$	49,902,682	$	1,015,587,472	$	3,981,869	$	1,069,472,023

(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.

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

Global Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
United States	$	—	$	330,705,282	$	202,480	(b)	$	330,907,762
All Other Bonds and Notes(a)		—		697,901,034		—			697,901,034

Total Bonds and Notes		—		1,028,606,316		202,480			1,028,808,796

Short-Term Investments		—		24,186,667		—			24,186,667

Total Investments		—		1,052,792,983		202,480			1,052,995,463

Forward Foreign Currency Contracts (unrealized appreciation)		—		3,119,595		—			3,119,595
Futures Contracts (unrealized appreciation)		579,608		—		—			579,608

Total	$	579,608	$	1,055,912,578	$	202,480		$	1,056,694,666

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,303,306	)	$	—	$	(2,303,306	)
Futures Contracts (unrealized depreciation)		(394,017	)		—			—		(394,017	)

Total	$	(394,017	)	$	(2,303,306	)	$	—	$	(2,697,323	)

(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.

Inflation Protected Securities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	39,223,772	$	—	$	39,223,772
Short-Term Investments		—		1,871,864		—		1,871,864

Total Investments		—		41,095,636		—		41,095,636

Futures Contracts (unrealized appreciation)		2,064		—		—		2,064

Total	$	2,064	$	41,095,636	$	—	$	41,097,700

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(4,273	)	$	—	$	—	$	(4,273	)

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

| 74

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Institutional High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—	$	13,262,109		$	171,586	(b)	$	13,433,695
Chemicals		—		17,280,257			2,733,780	(c)		20,014,037
Metals & Mining		—		43,698,929			1,659	(c)		43,700,588
Independent Energy		—		—			—	(d)		—
Transportation Services		—		2,402,156			78,571	(c)		2,480,727
All Other Non-Convertible Bonds(a)		—		431,913,606			—			431,913,606

Total Non-Convertible Bonds		—		508,557,057			2,985,596			511,542,653

Convertible Bonds(a)		—		85,483,887			—			85,483,887
Municipals(a)		—		3,372,252			—			3,372,252

Total Bonds and Notes		—		597,413,196			2,985,596			600,398,792

Loan Participations(a)		—		—			554,399	(b)		554,399
Senior Loans(a)		—		3,672,327			—			3,672,327
Common Stocks
Internet Software & Services		—		—			5,816	(c)		5,816
All Other Common Stocks(a)		50,659,663		—			—			50,659,663

Total Common Stocks		50,659,663		—			5,816			50,665,479

Preferred Stocks
Convertible Preferred Stocks
Midstream		—		2,867,893			—			2,867,893
REITs—Mortgage		—		1,898,108			—			1,898,108
All Other Convertible Preferred Stocks(a)		6,942,628		—			—			6,942,628

Total Convertible Preferred Stocks		6,942,628		4,766,001			—			11,708,629

Non-Convertible Preferred Stocks
REITs—Warehouse/Industrials		—		255,252			—			255,252
All Other Non-Convertible Preferred Stocks(a)		1,968,033		—			—			1,968,033

Total Non-Convertible Preferred Stocks		1,968,033		255,252			—			2,223,285

Total Preferred Stocks		8,910,661		5,021,253			—			13,931,914

Warrants		—		—	(e)		—	(d)		—
Short-Term Investments		—		80,330,212			—			80,330,212

Total	$	59,570,324	$	686,436,988		$	3,545,811		$	749,553,123

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

(b) Valued using broker-dealer bid prices.

(d) Includes securities fair valued at zero using Level 3 inputs.

(e) Included a security 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	$	—	$	—	$	38,908	(c)	$	38,908
ABS Other		—		10,962,308		3,045,567	(b)		14,007,875
Airlines		—		7,296,501		130,343	(b)		7,426,844
Collateralized Mortgage Obligations		—		564,426		4,454	(c)		568,880
All Other Non-Convertible Bonds(a)		—		305,368,056		—			305,368,056

Total Non-Convertible Bonds		—		324,191,291		3,219,272			327,410,563

75 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Investment Grade Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Convertible Bonds(a)	$	—	$	15,919,369	$	—	$	15,919,369
Municipals(a)		—		2,323,868		—		2,323,868

Total Bonds and Notes		—		342,434,528		3,219,272		345,653,800

Common Stocks(a)		20,539,963		—		—		20,539,963

Preferred Stocks
Convertible Preferred Stocks
Midstream		—		278,592		—		278,592
All Other Convertible Preferred Stocks(a)		1,642,023		—		—		1,642,023

Total Convertible Preferred Stocks		1,642,023		278,592		—		1,920,615

Non-Convertible Preferred Stocks
Electric		—		239,986		—		239,986
All Other Non-Convertible Preferred Stocks(a)		1,290,612		—		—		1,290,612

Total Non-Convertible Preferred Stocks		1,290,612		239,986		—		1,530,598

Total Preferred Stocks		2,932,635		518,578		—		3,451,213

Short-Term Investments		—		41,557,718		—		41,557,718

Total	$	23,472,598	$	384,510,824	$	3,219,272	$	411,202,694

(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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

Core Disciplined Alpha Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	27	$	—		$	383,964	$	(60,021	)	$	—	$	—	$	323,970	$	—
ABS Credit Card		—		—		—		30			65,970		—			—		—		66,000		30
ABS Home Equity		—		—		—		191			64,394		—			—		—		64,585		191
Collateralized Mortgage Obligations		—		—		—		(342	)		65,626		—			—		—		65,284		(342	)
Non-Agency Commercial Mortgage-Backed Securities		—		—		—		(68	)		16,479		—			—		—		16,411		(68	)

Total	$	—	$	—	$	27	$	(189	)	$	596,433	$	(60,021	)	$	—	$	—	$	536,250	$	(189	)

| 76

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Fixed Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	793,720	$	—	$	—	$	(39,279	)	$	46,962	$	—		$	—	$	—	$	801,403	$	(39,279	)
Chemicals		2,239,350		29,665		—		892,085			—		—			—		—		3,161,100		892,085
Metals & Mining		1,041		8,172		—		(8,172	)		—		—			—		—		1,041		(8,172	)
Transportation Services		525,427		—		142,452		(135,989	)		—		(531,890	)		—		—		—		—
Senior Loans
Wirelines		1,099,188		421		4,053		59,500			—		(1,163,162	)		—		—		—		—
Common Stocks
Internet Software & Services		13,493		—		—		4,832			—		—			—		—		18,325		4,832
Warrants		17,909		—		25,009		(17,909	)		—		(25,009	)		—		—		—		—

Total	$	4,690,128	$	38,258	$	171,514	$	755,068		$	46,962	$	(1,720,061	)	$	—	$	—	$	3,981,869	$	849,466

Global Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
United States	$	1,874,325	$	—	$	(8,022	)	$	3,352	$	—	$	(200,548	)	$	407,698	$	(1,874,325	)	$	202,480	$	3,352

A debt security valued at $407,698 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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.

A debt security valued at $1,874,325 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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 was unable to price the security. At March 31, 2017, 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.

77 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Institutional High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
Airlines	$	—		$	—	$	6,823		$	(13,232	)	$	—	$	(31,017	)	$	209,012	$	—	$	171,586		$	(13,232	)
Chemicals		1,953,030			54,868		—			725,882			—		—			—		—		2,733,780			725,882
Independent Energy		—	(a)		40,984		—			(40,984	)		—		—			—		—		—	(a)		—
Metals & Mining		1,659			14,522		—			(14,522	)		—		—			—		—		1,659			(14,522	)
Transportation Services		691,478			—		142,064			(148,709	)		71,063		(677,325	)		—		—		78,571			(1,768	)
Loan Participations
ABS Other		642,558			—		(690	)		4,514			—		(91,983	)		—		—		554,399			2,790
Senior Loans
Wirelines		503,243			192		1,835			27,262			—		(532,532	)		—		—		—			—
Common Stocks
Internet Software & Services		4,282			—		—			1,534			—		—			—		—		5,816			1,534
Warrants
Pharmaceuticals		4,451			—		6,215			(4,451	)		—		(6,215	)		—		—		—			—

Total	$	3,800,701		$	110,566	$	156,247		$	537,294		$	71,063	$	(1,339,072	)	$	209,012	$	—	$	3,545,811		$	700,684

(a) Fair Valued at zero.

A debt security valued at $209,012 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	43,515	$	—	$	(20	)	$	766		$	—	$	(5,353	)	$	—	$	—		$	38,908	$	395
ABS Other		3,413,077		—		890			(8,097	)		—		(91,579	)		339,264		(607,988	)		3,045,567		(7,831	)
Airlines		—		—		5,184			(10,051	)		—		(23,562	)		158,772		—			130,343		(10,051	)
Collateralized Mortgage Obligations		5,603		—		(32	)		27			—		(1,144	)		—		—			4,454		33
Non-Agency Commercial Mortgage-Backed Securities		2,738,247		—		(3,436	)		5,189			—		(2,740,000	)		—		—			—		—
Transportation Services		426,481		—		12,190			(7,336	)		—		(431,335	)		—		—			—		—

Total	$	6,626,923	$	—	$	14,776		$	(19,502	)	$	—	$	(3,292,973	)	$	498,036	$	(607,988	)	$	3,219,272	$	(17,454	)

A debt security valued at $158,772 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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.

A debt security valued at $607,988 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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 was unable to price the security. At March 31, 2017, 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.

| 78

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

A debt security valued at $339,264 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.

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

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 and futures contracts.

Global Bond Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the six months ended March 31, 2017, 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 to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the six months ended March 31, 2017, Global Bond Fund used futures contracts to manage duration. Inflation Protected Securities Fund used futures contracts to hedge against changes in interest rates.

The following is a summary of derivative instruments for Global Bond Fund as of March 31, 2017, 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	$	3,119,595		$	—
Exchange-traded/cleared asset derivatives
Interest rate contracts		—			579,608

Total asset derivatives	$	3,119,595		$	579,608


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,303,306	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(394,017	)

Total liability derivatives	$	(2,303,306	)	$	(394,017	)

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 six months ended March 31, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Foreign currency transactions²
Interest rate contracts	$	1,406,954	$	—
Foreign exchange contracts		—		(10,498,175	)

Total	$	1,406,954	$	(10,498,175	)

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts			Foreign currency translations²
Interest rate contracts	$	(162,605	)	$	—
Foreign exchange contracts		—			150,270

Total	$	(162,605	)	$	150,270

² Represents realized loss and change in unrealized appreciation (depreciation), respectively, for forward foreign currency contracts during the period. Does not include other foreign currency gains or losses included in the Statements of Operations.

The following is a summary of derivative instruments for Inflation Protected Securities Fund as of March 31, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded asset derivatives
Interest rate contracts	$	2,064


Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded liability derivatives
Interest rate contracts	$	(4,273	)

Transactions in derivative instruments for Inflation Protected Securities Fund during the six months ended March 31, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	128,554

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	3,506

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets for Global Bond Fund and Inflation Protected Securities Fund based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2017:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		27.78%		27.52%
Highest Notional Amount Outstanding		33.21%		28.30%
Lowest Notional Amount Outstanding		24.46%		27.24%
Notional Amount Outstanding as of March 31, 2017		33.21%		28.30%

Inflation Protected Fund			Futures
Average Notional Amount Outstanding				52.15%
Highest Notional Amount Outstanding				131.81%
Lowest Notional Amount Outstanding				9.49%
Notional Amount Outstanding as of March 31, 2017				23.00%

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.

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

As of March 31, 2017, 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.	$	227,426	$	(227,426	)	$	—	$	—		$	—
Credit Suisse International		2,657,885		(17,169	)		2,640,716		(2,640,716	)		—
HSBC Bank USA		1,176		(1,176	)		—		—			—
Morgan Stanley & Co.		233,108		(233,108	)		—		—			—

	$	3,119,595	$	(478,879	)	$	2,640,716	$	(2,640,716	)	$	—


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(16,280	)	$	—	$	(16,280	)	$	—	$	(16,280	)
Citibank N.A.		(406,297	)		227,426		(178,871	)		178,871		—
Credit Suisse International		(17,169	)		17,169		—			—		—
Deutsche Bank AG		(3,817	)		—		(3,817	)		—		(3,817	)
HSBC Bank USA		(8,966	)		1,176		(7,790	)		—		(7,790	)
Morgan Stanley & Co.		(446,226	)		233,108		(213,118	)		—		(213,118	)
State Street Bank and Trust Company		(144,783	)		—		(144,783	)		—		(144,783	)
UBS AG		(1,259,768	)		—		(1,259,768	)		1,120,000		(139,768	)

	$	(2,303,306	)	$	478,879	$	(1,824,427	)	$	1,298,871	$	(525,556	)

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

81 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2017:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Bond Fund	$	10,207,760	$	5,789,294
Inflation Protected Securities Fund		87,711		87,711

These amounts include cash received as collateral for Global Bond Fund of $2,820,000.

5. Purchases and Sales of Securities. For the six months ended March 31, 2017, 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
Core Disciplined Alpha Bond Fund	$	36,572,242	$	69,996,926	$	66,458,369	$	6,120,339
Fixed Income Fund		24,962,891		72,170,449		39,066,512		187,086,409
Global Bond Fund		501,346,616		542,826,613		264,425,152		302,080,423
Inflation Protected Securities Fund		57,573,244		49,606,450		981,180		—
Institutional High Income Fund		11,968,594		—		36,265,828		98,312,578
Investment Grade Fixed Income Fund		—		9,969,671		7,829,498		71,958,257

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the six months ended March 31, 2017, 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
Core Disciplined Alpha Bond Fund		0.30%		0.30%		0.30%		0.30%		0.30%
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, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2017, 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
Core Disciplined Alpha Bond Fund		0.45%		—		—
Fixed Income Fund		0.65%		—		—
Global Bond Fund		0.75%		1.00%		0.70%
Inflation Protected Securities Fund		0.40%		0.65%		0.35%
Institutional High Income Fund		0.75%		—		—
Investment Grade Fixed Income Fund		0.55%		—		—

| 82

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

For the six months ended March 31, 2017, the management fees and waivers of management fees for each Fund were as follows:


Fund	Gross Management Fees		Contractual Waivers of Management¹ Fees		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management¹ Fees		Net Management Fees		Gross			Net
Core Disciplined Alpha Bond Fund	$	24,835	$	24,835	$	—		0.30	%		—
Fixed Income Fund		2,802,240		—		2,802,240		0.50	%		0.50	%
Global Bond Fund		3,269,771		70,046		3,199,725		0.59	%		0.58	%
Inflation Protected Securities Fund		43,618		35,484		8,134		0.25	%		0.05	%
Institutional High Income Fund		2,193,028		—		2,193,028		0.60	%		0.60	%
Investment Grade Fixed Income Fund		829,296		—		829,296		0.40	%		0.40	%

¹ Management fee waivers are subject to possible recovery until September 30, 2018.

For the six months ended March 31, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Class N		Total
Global Bond Fund	$	202,805	$	91,332	$	—	$	294,137

In addition, the investment adviser reimbursed non-class-specific expenses of Core Disciplined Alpha Bond Fund and Inflation Protected Securities Fund in the amounts of $13,519 and $50,522, respectively, for the six months ended March 31, 2017².

²Expense reimbursements are subject to possible recovery until September 30, 2018.

No expenses were recovered for any of the Funds during the six months ended March 31, 2017 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”).

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

For the six months ended March 31, 2017, the distribution fees for each Fund were as follows:


Fund	Retail Class
Global Bond Fund	$	387,638
Inflation Protected Securities Fund		1,849

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.

83 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Core Disciplined Alpha Bond Fund	$	3,707
Fixed Income Fund		250,561
Global Bond Fund		247,776
Inflation Protected Securities Fund		7,802
Institutional High Income Fund		163,430
Investment Grade Fixed Income Fund		92,686

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Funds and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Funds primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Funds. These services would have been provided by the Funds’ transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Funds’ transfer agent. Accordingly, the Funds have agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended March 31, 2017, 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	$	653,574
Inflation Protected Securities Fund		13,615
Institutional High Income Fund		3,056

As of March 31, 2017, 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
Inflation Protected Securities Fund	$	404
Institutional High Income Fund		76

As of March 31, 2017, NGAM Distribution owes the Funds the following for overpayments of sub-transfer agent fees:


Fund	Overpayments of Sub-Transfer Agent Fees
Global Bond Fund	$	23,261

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

March 31, 2017 (Unaudited)

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

f. Affiliated Ownership. As of March 31, 2017, Natixis US and affiliates held shares of Core Disciplined Alpha Bond Fund representing 100% of Fund’s net assets, Loomis Sayles owned shares equating to 6.26% 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
Core Disciplined Alpha Bond Fund		—
Global Bond Fund		0.63%
Inflation Protected Securities Fund		11.35%
Institutional High Income Fund		2.29%

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

g. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors has given a binding contractual undertaking to the Inflation Protected Securities Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2017, NGAM Advisors reimbursed the Fund $16 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2017, Global Bond Fund 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		Class N
Global Bond Fund	$	470,222	$	207,974	$	379
Inflation Protected Securities Fund	$	15,002	$	567	$	16

Transfer agent fees and expenses attributable to Institutional Class and Retail Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, 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. Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

9. Concentration of Risk. Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

85 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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 March 31, 2017, 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 6)			Total Percentage of Ownership
Core Disciplined Alpha Bond Fund		—		—			100.00	%		100.00	%
Fixed Income Fund		4		28.62	%		—			28.62	%
Global Bond Fund		1		20.34	%		—			20.34	%
Inflation Protected Securities Fund		2		20.30	%		17.61	%		37.91	%
Institutional High Income Fund		2		12.63	%		—			12.63	%
Investment Grade Fixed Income Fund		4		32.69	%		—			32.69	%

Omnibus shareholder accounts for which NGAM Advisors understands that the intermediary has discretion over the underlying shareholder accounts or investment models where a shareholder account may be invested for a non-discretionary customer are included in the table above. For other omnibus accounts, the Funds do not have information on the individual shareholder accounts underlying the omnibus accounts; therefore, there could be other 5% shareholders in addition to those disclosed in the table above.

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


	Core Disciplined Alpha Bond Fund

	Period Ended March 31, 2017(a)

Institutional Class	Shares			Amount
Issued from the sale of shares		2,500,000		$	25,000,000
Issued in connection with the reinvestment of distributions		14,415			143,807

Net change		2,514,415		$	25,143,807

Increase (decrease) from capital share transactions		2,514,415		$	25,143,807


(a) From commencement of operations on November 30, 2016 through March 31, 2017.

	Fixed Income Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,866,458		$	24,873,932			4,891,553		$	62,806,285
Issued in connection with the reinvestment of distributions		2,755,885			35,633,586			5,631,834			68,539,429
Redeemed		(12,857,084	)		(169,410,928	)		(18,212,948	)		(234,621,564	)

Net change		(8,234,741	)	$	(108,903,410	)		(7,689,561	)	$	(103,275,850	)

Increase (decrease) from capital share transactions		(8,234,741	)	$	(108,903,410	)		(7,689,561	)	$	(103,275,850	)

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

11. Capital Shares – continued


	Global Bond Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		5,070,408		$	79,329,259			12,012,824		$	185,937,871
Issued in connection with the reinvestment of distributions		215,847			3,336,980			—			—
Redeemed		(22,658,206	)		(351,019,043	)		(48,030,491	)		(748,675,574	)

Net change		(17,371,951	)	$	(268,352,804	)		(36,017,667	)	$	(562,737,703	)


Retail Class
Issued from the sale of shares		998,018		$	15,316,165			3,051,116		$	46,513,165
Issued in connection with the reinvestment of distributions		83,316			1,268,803			—			—
Redeemed		(4,029,044	)		(61,838,978	)		(11,614,502	)		(176,898,846	)

Net change		(2,947,710	)	$	(45,254,010	)		(8,563,386	)	$	(130,385,681	)


Class N
Issued from the sale of shares		14,535,319		$	224,946,775			919,910		$	14,173,535
Issued in connection with the reinvestment of distributions		23,012			356,774			—			—
Redeemed		(1,189,416	)		(18,560,671	)		(166,839	)		(2,596,065	)

Net change		13,368,915		$	206,742,878			753,071		$	11,577,470

Increase (decrease) from capital share transactions		(6,950,746	)	$	(106,863,936	)		(43,827,982	)	$	(681,545,914	)


	Inflation Protected Securities Fund

	Six Months EndedMarch 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,245,205		$	12,960,671			1,087,435		$	11,405,849
Issued in connection with the reinvestment of distributions		18,271			189,139			27,761			292,974
Redeemed		(357,666	)		(3,717,323	)		(656,052	)		(6,793,970	)

Net change		905,810		$	9,432,487			459,144		$	4,904,853


Retail Class
Issued from the sale of shares		22,312		$	232,640			475,636		$	4,848,867
Issued in connection with the reinvestment of distributions		827			8,548			1,606			16,580
Redeemed		(32,877	)		(343,622	)		(2,228,362	)		(22,916,842	)

Net change		(9,738	)	$	(102,434	)		(1,751,120	)	$	(18,051,395	)


Class N(a)
Issued from the sale of shares		117,837		$	1,236,100			—		$	—
Issued in connection with the reinvestment of distributions		526			5,491			—			—
Redeemed		(10	)		(100	)		—			—

Net change		118,353		$	1,241,491			—		$	—

Increase (decrease) from capital share transactions		1,014,425		$	10,571,544			(1,291,976	)	$	(13,146,542	)

(a) From commencement of Class operations on February 1, 2017 through March 31, 2017.

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

11. Capital Shares – continued


	Institutional High Income Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		6,179,551		$	41,337,171			16,969,729		$	103,359,817
Issued in connection with the reinvestment of distributions		5,749,113			37,599,200			9,032,268			52,567,796
Redeemed		(5,674,315	)		(38,480,548	)		(14,850,839	)		(96,030,408	)

Net change		6,254,349		$	40,455,823			11,151,158		$	59,897,205

Increase (decrease) from capital share transactions		6,254,349		$	40,455,823			11,151,158		$	59,897,205


	Investment Grade Fixed Income Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,046,357		$	12,638,776			4,197,598		$	50,532,659
Issued in connection with the reinvestment of distributions		1,210,590			14,411,531			1,199,344			14,138,073
Redeemed		(5,082,022	)		(62,222,738	)		(15,778,562	)		(186,351,959	)

Net change		(2,825,075	)	$	(35,172,431	)		(10,381,620	)	$	(121,681,227	)

Increase (decrease) from capital share transactions		(2,825,075	)	$	(35,172,431	)		(10,381,620	)	$	(121,681,227	)

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LOGO

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund

Semiannual Report

March 31, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			5
Financial Statements			25
Notes to Financial Statements			29

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.

Average Annual Total Returns — March 31, 2017



													Expense Ratios²
	6 Months			1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 4/12/04)		4.38	%		16.40	%		7.76	%		7.90	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		4.50			16.39			6.82			7.46

Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below, excluding emerging market debt. The U.S. Corporate High-Yield Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Barclays U.S. Universal and Global High-Yield Indices.

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.

1 |

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.

Average Annual Total Returns — March 31, 2017



													Expense Ratios²
	6 Months			1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 3/2/06)		-0.88	%		1.86	%		3.62	%		5.79	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Securitized Bond Index¹		-1.52			0.22			2.09			4.12

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.

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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 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

3 |

UNDERSTANDING FUND EXPENSES

Typically, mutual fund shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.

You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and NGAM Advisors, L.P. (“NGAM Advisors”) and to participants in “wrap fee” programs sponsored by broker-dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or NGAM Advisors. The institutional investment advisory clients of Loomis Sayles and NGAM Advisors pay Loomis Sayles or NGAM Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to NGAM Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to NGAM Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.

The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017.

The second line in each Fund’s table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio (0%) and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Funds to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Loomis Sayles High Income Opportunities Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,043.80		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,024.93		$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 (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$991.20		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,024.93		$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 (182), divided by 365 (to reflect the half-year period).

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PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 90.8% of Net Assets

	Non-Convertible Bonds – 85.3%

		ABS Home Equity – 1.9%
$	165,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.443%, 6/17/2031, 144A(b)	$	165,000
	175,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A		185,057
	51,986	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		52,978
	56,558	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		57,912
	56,175	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		55,840
	86,946	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 1.192%, 5/25/2035(b)		72,373
	55,554	Countrywide Asset-Backed Certificates Trust, Series 2004-13, Class AF5B, 4.860%, 5/25/2035(b)		56,555
	201,210	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.308%, 9/19/2045(b)		150,040
	320,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.232%, 11/25/2023(b)		346,971
	270,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 4.282%, 10/25/2027(b)		289,481
	69,342	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.574%, 7/19/2035(b)		66,983
	56,057	GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 3.204%, 12/25/2034(b)		55,637
	110,072	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.622%, 7/25/2045(b)		92,487
	89,459	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.482%, 1/25/2036(b)		56,289
	290,397	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.126%, 3/25/2035(b)		224,442
	68,060	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		68,799
	175,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		172,300
	233,047	VOLT XXVII LLC, Series 2014-NPL7, Class A2, 4.750%, 8/27/2057, 144A(b)		232,787

		ABS Home Equity – continued
$	107,101	WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.116%, 9/25/2046(b)	$	103,263

				2,505,194

		ABS Other – 0.2%
	212,798	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		208,542

		Aerospace & Defense – 2.4%
	35,000	Arconic, Inc., 5.900%, 2/01/2027		37,469
	40,000	Arconic, Inc., 6.750%, 1/15/2028		43,875
	90,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		92,520
	75,000	Engility Corp., 8.875%, 9/01/2024, 144A		79,406
	690,000	KLX, Inc., 5.875%, 12/01/2022, 144A		711,563
	1,425,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,503,375
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		454,000
	350,000	Oshkosh Corp., 5.375%, 3/01/2025		361,375

				3,283,583

		Airlines – 2.1%
	1,129,756	American Airlines Pass Through Certificates, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A		1,145,313
	369,614	American Airlines Pass Through Certificates, Series 2014-1, Class B, 4.375%, 4/01/2024		371,462
	1,349,056	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		1,315,330
	43,636	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		44,297

				2,876,402

		Automotive – 1.0%
	150,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		151,500
	225,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		226,969
	65,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		66,625
	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		348,800
	500,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		516,250

				1,372,694

		Banking – 4.3%
	600,000	Ally Financial, Inc., 3.500%, 1/27/2019		604,500
	20,000	Ally Financial, Inc., 4.125%, 3/30/2020		20,400
	20,000	Ally Financial, Inc., 4.125%, 2/13/2022		20,000
	980,000	Ally Financial, Inc., 5.125%, 9/30/2024		1,008,175

See accompanying notes to financial statements.

5 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	1,125,000	Commerzbank AG, 8.125%, 9/19/2023, 144A	$	1,317,510
	1,335,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		1,255,876
	265,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		280,106
	1,210,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		1,281,297

				5,787,864

		Brokerage – 0.7%
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		191,000
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		147,136
	515,000	Jefferies Group LLC, 6.450%, 6/08/2027		582,569

				920,705

		Building Materials – 1.3%
	350,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		330,313
	300,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		311,250
	300,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		337,563
	265,000	HD Supply, Inc., 5.250%, 12/15/2021, 144A		278,581
	15,000	Masco Corp., 7.750%, 8/01/2029		19,286
	150,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		162,750
	160,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		165,600
	100,000	USG Corp., 5.500%, 3/01/2025, 144A		104,000

				1,709,343

		Cable Satellite – 7.7%
	690,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		718,290
	150,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		157,875
	400,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		411,000
	605,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		629,200
	575,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		603,750
	540,000	CSC Holdings LLC, 5.250%, 6/01/2024		537,975
	45,000	CSC Holdings LLC, 6.750%, 11/15/2021		48,797
	300,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		348,000
	745,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		895,862
	625,000	DISH DBS Corp., 5.000%, 3/15/2023		628,125
	440,000	DISH DBS Corp., 5.125%, 5/01/2020		458,700
	480,000	DISH DBS Corp., 5.875%, 7/15/2022		504,298
	500,000	DISH DBS Corp., 5.875%, 11/15/2024		525,125
	245,000	DISH DBS Corp., 7.750%, 7/01/2026		284,813
	1,320,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,389,300
	875,000	Virgin Media Secured Finance PLC, 5.250%, 1/15/2026, 144A		879,375

		Cable Satellite – continued
	200,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		204,000
	565,000	Ziggo Bond Finance BV, 5.875%, 1/15/2025, 144A		569,237
	660,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		659,934

				10,453,656

		Chemicals – 0.6%
	805,000	Hercules LLC, 6.500%, 6/30/2029(c)(d)		773,806

		Construction Machinery – 0.5%
	115,000	United Rentals North America, Inc., 4.625%, 7/15/2023		118,450
	290,000	United Rentals North America, Inc., 5.750%, 11/15/2024		302,325
	255,000	United Rentals North America, Inc., 6.125%, 6/15/2023		266,475

				687,250

		Consumer Cyclical Services – 1.1%
	460,000	Interval Acquisition Corp., 5.625%, 4/15/2023		466,900
	285,000	Realogy Group LLC/Realogy Co-Issuer Corp., 5.250%, 12/01/2021, 144A		296,400
	645,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		704,662

				1,467,962

		Consumer Products – 0.2%
	225,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		237,375

		Diversified Manufacturing – 0.1%
	75,000	Entegris, Inc., 6.000%, 4/01/2022, 144A		78,281

		Electric – 1.2%
	300,000	AES Corp. (The), 5.500%, 4/15/2025		304,500
	220,000	AES Corp. (The), 6.000%, 5/15/2026		227,700
	16,650	CE Generation LLC, 7.416%, 12/15/2018		15,651
	925,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,063,750

				1,611,601

		Environmental – 0.3%
	195,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		202,312
	175,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		189,438

				391,750

		Finance Companies – 5.0%
	535,000	Aircastle Ltd., 4.125%, 5/01/2024		535,669
	375,000	Aircastle Ltd., 5.125%, 3/15/2021		397,500
	410,000	Aircastle Ltd., 5.500%, 2/15/2022		439,725
	30,000	Aircastle Ltd., 7.625%, 4/15/2020		33,638
	135,000	iStar, Inc., 4.000%, 11/01/2017		135,337
	195,000	iStar, Inc., 4.875%, 7/01/2018		196,219
	585,000	iStar, Inc., 5.000%, 7/01/2019		588,656
	245,000	iStar, Inc., 6.500%, 7/01/2021		251,737
	55,000	iStar, Inc., 7.125%, 2/15/2018		56,925

See accompanying notes to financial statements.

| 6

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	615,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A	$	621,150
	210,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017		210,000
	30,000	Navient Corp., MTN, 6.125%, 3/25/2024		28,575
	65,000	Navient LLC, 4.875%, 6/17/2019		66,544
	185,000	Navient LLC, 5.500%, 1/25/2023		176,675
	835,000	Navient LLC, MTN, 5.500%, 1/15/2019		865,060
	145,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		147,900
	550,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		540,375
	395,000	Springleaf Finance Corp., 5.250%, 12/15/2019		398,456
	255,000	Springleaf Finance Corp., 7.750%, 10/01/2021		271,575
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		115,913
	200,000	Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017		203,500
	102,000	Stearns Holdings LLC, 9.375%, 8/15/2020, 144A		103,020
	320,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		324,000

				6,708,149

		Financial Other – 0.8%
	645,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		654,675
	388,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		395,275

				1,049,950

		Food & Beverage – 1.0%
	730,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		758,288
	225,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		227,250
	20,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		20,550
	120,000	TreeHouse Foods, Inc., 4.875%, 3/15/2022		122,700
	265,000	WhiteWave Foods Co. (The), 5.375%, 10/01/2022		287,856

				1,416,644

		Gaming – 0.9%
	150,000	Boyd Gaming Corp., 6.375%, 4/01/2026		160,500
	80,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		82,600
	925,000	MGM Resorts International, 6.000%, 3/15/2023		999,000

				1,242,100


		Government Owned – No Guarantee – 1.1%
	610,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		626,165
	155,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		158,953
	25,000	Petrobras Global Finance BV, 6.750%, 1/27/2041		23,400
	80,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		76,160
	155,000	Petrobras Global Finance BV, 7.375%, 1/17/2027		164,106
	340,000	Petrobras Global Finance BV, 8.375%, 5/23/2021		384,030

				1,432,814

		Healthcare – 4.8%
	185,000	CHS/Community Health Systems, Inc., 6.250%, 3/31/2023		188,238
	750,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		645,000
	135,000	Envision Healthcare Corp., 5.625%, 7/15/2022		138,375
	300,000	HCA Holdings, Inc., 6.250%, 2/15/2021		323,813
	235,000	HCA, Inc., 4.500%, 2/15/2027		235,000
	90,000	HCA, Inc., 5.250%, 4/15/2025		95,625
	20,000	HCA, Inc., 5.250%, 6/15/2026		21,050
	655,000	HCA, Inc., 5.375%, 2/01/2025		682,837
	430,000	HCA, Inc., 7.050%, 12/01/2027		472,462
	35,000	HCA, Inc., 7.500%, 12/15/2023		39,988
	790,000	HCA, Inc., 7.500%, 11/06/2033		864,062
	40,000	HCA, Inc., 7.690%, 6/15/2025		45,550
	40,000	HCA, Inc., 8.360%, 4/15/2024		47,150
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		230,369
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		22,025
	135,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		141,581
	70,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		71,138
	190,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		190,475
	140,000	LifePoint Health, Inc., 5.500%, 12/01/2021		145,250
	50,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		51,000
	330,000	Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		331,237
	490,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		481,425
	1,145,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		981,837
	85,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		91,800

				6,537,287

		Home Construction – 1.6%
	200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(e)(f)		2
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(d)		209,950
	385,000	Lennar Corp., 4.750%, 11/15/2022		396,550
	720,000	PulteGroup, Inc., 6.000%, 2/15/2035		705,600
	495,000	PulteGroup, Inc., 6.375%, 5/15/2033		507,375
	380,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		388,550

				2,208,027

See accompanying notes to financial statements.

7 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – 9.4%
$	1,035,000	Antero Resources Corp., 5.125%, 12/01/2022	$	1,048,584
	75,000	Antero Resources Corp., 5.375%, 11/01/2021		77,032
	250,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		258,750
	595,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		523,600
	220,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(f)		176,000
	500,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(f)		402,500
	68,000	California Resources Corp., 5.500%, 9/15/2021		50,320
	33,000	California Resources Corp., 6.000%, 11/15/2024		23,100
	360,000	California Resources Corp., 8.000%, 12/15/2022, 144A		292,500
	110,000	Callon Petroleum Co., 6.125%, 10/01/2024, 144A		114,400
	103,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		92,700
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,280
	12,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		11,640
	21,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		20,974
	110,000	Concho Resources, Inc., 5.500%, 10/01/2022		113,713
	300,000	Concho Resources, Inc., 5.500%, 4/01/2023		310,500
	600,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		593,250
	310,000	Continental Resources, Inc., 3.800%, 6/01/2024		288,300
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		77,850
	630,000	Continental Resources, Inc., 5.000%, 9/15/2022		636,300
	445,000	Eclipse Resources Corp., 8.875%, 7/15/2023		453,900
	670,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		657,940
	85,000	Matador Resources Co., 6.875%, 4/15/2023		88,825
	250,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		223,437
	240,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		240,000
	465,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		416,175
	135,000	Newfield Exploration Co., 5.625%, 7/01/2024		142,256
	834,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		854,850
	75,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		76,875
	580,000	QEP Resources, Inc., 5.250%, 5/01/2023		568,626

		Independent Energy – continued
	220,000	QEP Resources, Inc., 5.375%, 10/01/2022		216,700
	5,000	QEP Resources, Inc., 6.875%, 3/01/2021		5,313
	380,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		195,700
	660,000	Rice Energy, Inc., 6.250%, 5/01/2022		679,800
	370,000	RSP Permian, Inc., 6.625%, 10/01/2022		389,425
	200,000	Sanchez Energy Corp., 6.125%, 1/15/2023		185,500
	280,000	SM Energy Co., 5.000%, 1/15/2024		264,600
	230,000	SM Energy Co., 5.625%, 6/01/2025		220,110
	170,000	SM Energy Co., 6.125%, 11/15/2022		171,275
	135,000	SM Energy Co., 6.500%, 11/15/2021		138,375
	40,000	SM Energy Co., 6.500%, 1/01/2023		40,600
	75,000	SM Energy Co., 6.750%, 9/15/2026		75,609
	250,000	Southwestern Energy Co., 6.700%, 1/23/2025		246,250
	270,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		269,325
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		747,450

				12,688,209

		Industrial Other – 0.1%
	130,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		135,850

		Life Insurance – 0.3%
	430,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		441,021

		Local Authorities – 0.8%
	185,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		187,349
	260,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		260,216
	655,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		676,746

				1,124,311

		Lodging – 0.9%
	115,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		113,562
	595,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025, 144A		602,259
	550,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027, 144A		555,500

				1,271,321

		Media Entertainment – 2.1%
	660,000	AMC Networks, Inc., 4.750%, 12/15/2022		663,300
	830,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		836,225
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		86,275
	540,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		561,600
	620,000	Viacom, Inc., 4.375%, 3/15/2043		537,399
	35,000	Viacom, Inc., 4.850%, 12/15/2034		33,861
	85,000	Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		85,680

				2,804,340

See accompanying notes to financial statements.

| 8

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – 2.7%
$	395,000	Anglo American Capital PLC, 4.875%, 5/14/2025, 144A	$	402,979
	150,000	ArcelorMittal, 7.500%, 3/01/2041		167,880
	930,000	ArcelorMittal, 7.750%, 10/15/2039		1,055,550
	160,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(c)(d)(f)		18,000
	355,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		366,094
	870,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		810,187
	75,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		63,469
	165,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		171,915
	340,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		359,550
	215,000	Vale Overseas Ltd., 6.250%, 8/10/2026		233,544

				3,649,168

		Midstream – 4.2%
	365,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		375,459
	150,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		148,875
	40,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		41,800
	80,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		78,737
	35,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		31,740
	150,000	MPLX LP, 4.500%, 7/15/2023		156,003
	430,000	MPLX LP, 4.875%, 12/01/2024		452,333
	340,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		341,275
	375,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		381,563
	160,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		158,101
	175,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 11/15/2023		171,500
	160,000	Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023		173,584
	335,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		363,188
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		216,407
	985,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		1,001,006
	50,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		48,875
	670,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		685,075
	105,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		108,281
	80,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		84,400

		Midstream – continued
	525,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		554,531
	135,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		145,125

				5,717,858

		Non-Agency Commercial Mortgage-Backed Securities – 1.1%
	590,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 9.142%, 5/15/2020, 144A(b)(c)(d)		574,233
	380,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		325,889
	650,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(b)		650,504

				1,550,626

		Oil Field Services – 0.9%
	370,000	Ensco PLC, 5.750%, 10/01/2044		279,350
	20,000	Global Marine, Inc., 7.000%, 6/01/2028		17,700
	90,000	Noble Holding International Ltd., 5.250%, 3/15/2042		60,300
	185,000	Noble Holding International Ltd., 6.050%, 3/01/2041		133,200
	330,000	Noble Holding International Ltd., 7.750%, 1/15/2024	��	316,800
	155,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(c)(d)(f)		27,900
	310,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(c)(d)(f)		55,800
	15,000	Parker Drilling Co., 6.750%, 7/15/2022		13,294
	85,000	Rowan Cos., Inc., 5.850%, 1/15/2044		64,812
	220,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		227,150

				1,196,306

		Packaging – 1.1%
	330,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(h)		339,900
	345,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		347,588
	350,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		374,500
	360,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		369,223

				1,431,211

		Pharmaceuticals – 2.0%
	1,065,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		963,825
	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		319,688
	220,000	Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/2020, 144A		196,625
	95,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		73,150

See accompanying notes to financial statements.

9 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Pharmaceuticals – continued
$	115,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A	$	92,575
	1,390,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,078,987
	5,000	Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018, 144A		5,006

				2,729,856

		Property & Casualty Insurance – 0.4%
	555,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		578,587

		Refining – 0.3%
	335,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		333,325
	115,000	Western Refining, Inc., 6.250%, 4/01/2021		118,881

				452,206

		REITs – Hotels – 0.3%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023		399,437

		REITs – Mortgage – 0.1%
	85,000	Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A		88,187

		Retailers – 1.2%
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		543,163
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		329,350
	125,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		125,938
	535,000	Group 1 Automotive, Inc., 5.250%, 12/15/2023, 144A		540,350
	225,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		47,531

				1,586,332

		Sovereigns – 0.2%
	230,000	Republic of Argentina, 5.625%, 1/26/2022, 144A		235,520

		Supermarkets – 1.3%
	730,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		708,100
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		418,112
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,738
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		9,900
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		550,425

				1,691,275

		Technology – 7.4%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		112,888
	2,305,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		2,535,500
	290,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		316,825

		Technology – continued
	260,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		260,000
	135,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		142,088
	70,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		73,325
	140,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		143,850
	165,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A		173,470
	1,265,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		1,379,079
	475,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A		525,103
	150,000	Equinix, Inc., 5.375%, 1/01/2022		157,875
	140,000	Equinix, Inc., 5.375%, 4/01/2023		145,775
	695,000	First Data Corp., 7.000%, 12/01/2023, 144A		745,387
	320,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		328,701
	175,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		201,031
	190,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		199,975
	655,000	Open Text Corp., 5.625%, 1/15/2023, 144A		681,200
	20,000	Open Text Corp., 5.875%, 6/01/2026, 144A		20,950
	575,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		587,937
	235,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		240,287
	205,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		224,731
	660,000	Western Digital Corp., 10.500%, 4/01/2024		777,975

				9,973,952

		Transportation Services – 0.4%
	185,000	APL Ltd., 8.000%, 1/15/2024(c)(d)		135,281
	94,284	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(i)		94,284
	335,000	Rumo Luxembourg S.a.r.l., 7.375%, 2/09/2024, 144A		344,632

				574,197

		Treasuries – 1.5%
	2,050,000	U.S. Treasury Note, 0.625%, 9/30/2017		2,047,118

		Wireless – 3.6%
	220,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		232,513
	970,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		1,029,412
	690,000	SFR Group S.A., 6.000%, 5/15/2022, 144A		715,013
	496,000	Sprint Capital Corp., 6.875%, 11/15/2028		523,900
	1,205,000	Sprint Corp., 7.250%, 9/15/2021		1,300,797

See accompanying notes to financial statements.

| 10

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Wireless – continued
$	585,000	T-Mobile USA, Inc., 6.125%, 1/15/2022	$	617,906
	395,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		401,419

				4,820,960

		Wirelines – 2.2%
	20,000	CenturyLink, Inc., 5.625%, 4/01/2020		20,968
	245,000	CenturyLink, Inc., 6.450%, 6/15/2021		260,286
	25,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		26,063
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		216,700
	15,000	Frontier Communications Corp., 7.000%, 11/01/2025		12,075
	235,000	Frontier Communications Corp., 7.450%, 7/01/2035		170,081
	480,000	Frontier Communications Corp., 10.500%, 9/15/2022		486,000
	95,000	Level 3 Financing, Inc., 5.125%, 5/01/2023		97,137
	520,000	Level 3 Financing, Inc., 5.250%, 3/15/2026		522,600
	35,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		35,612
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		455,400
	5,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		4,938
	320,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		339,277
	290,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		321,175

				2,968,312


		Total Non-Convertible Bonds
		(Identified Cost $110,567,804)		115,117,139


	Convertible Bonds – 5.5%

		Cable Satellite – 0.3%
	330,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		337,631

		Consumer Cyclical Services – 0.3%
	470,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		460,600

		Diversified Manufacturing – 0.2%
	205,000	Aerojet Rocketdyne Holdings, Inc., 2.250%, 12/15/2023, 144A		221,016

		Diversified Operations – 0.4%
	485,000	RWT Holdings, Inc., 5.625%, 11/15/2019		497,731

		Healthcare – 0.2%
	270,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		318,431

		Leisure – 0.1%
	125,000	Rovi Corp., 0.500%, 3/01/2020		121,389


		Media Entertainment – 0.2%
	205,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		220,888

		Midstream – 0.6%
	805,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		833,678

		Oil Field Services – 0.4%
	205,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A		209,869
	335,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		313,015

				522,884

		Pharmaceuticals – 1.4%
	386,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		455,721
	345,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		313,950
	420,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		338,888
	365,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		340,134
	415,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		399,697
	80,000	Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A		82,850

				1,931,240

		Technology – 1.4%
	555,000	Finisar Corp., 0.500%, 12/15/2036, 144A		541,125
	420,000	MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A		570,675
	830,000	Nuance Communications, Inc., 1.000%, 12/15/2035		789,563

				1,901,363


		Total Convertible Bonds
		(Identified Cost $7,104,721)		7,366,851


		Total Bonds and Notes
		(Identified Cost $117,672,525)		122,483,990


	Senior Loans – 0.5%

		Chemicals – 0.2%
	100,355	Chemours Co. (The), 2017 USD Term Loan B, 5/12/2022(j)		100,857
	146,353	Chemours Co. (The), Term Loan B, 6.000%, 5/12/2022(b)		147,084

				247,941

		Independent Energy – 0.3%
	407,467	Chesapeake Energy Corp., Term Loan, 8.553%, 8/23/2021(b)		433,443


		Total Senior Loans
		(Identified Cost $653,638)		681,384

See accompanying notes to financial statements.

11 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – 1.6%

		Food & Beverage – 0.3%
	4,092	Bunge Ltd., 4.875%	$	438,867

		Midstream – 0.3%
	641	Chesapeake Energy Corp., 5.750%		415,047
	13	Chesapeake Energy Corp., 5.750%, 144A		8,418
	90	Chesapeake Energy Corp., 5.750%		58,275

				481,740

		Pharmaceuticals – 1.0%
	1,187	Allergan PLC, Series A, 5.500%		1,008,689
	510	Teva Pharmaceutical Industries Ltd., 7.000%		293,403

				1,302,092


		Total Preferred Stocks
		(Identified Cost $2,454,132)		2,222,699


	Common Stocks – 0.4%

		Energy Equipment & Services – 0.0%
	2,515	Hercules Offshore, Inc.(c)(d)(k)(l)		—

		Oil, Gas & Consumable Fuels – 0.2%
	8,051	Halcon Resources Corp.(k)		61,993
	5,700	Rex Energy Corp.(k)		2,676
	25,834	Whiting Petroleum Corp.(k)		244,390

				309,059

		Pharmaceuticals – 0.2%
	4,298	Bristol-Myers Squibb Co.		233,725


		Total Common Stocks
		(Identified Cost $1,279,889)		542,784


	Warrants – 0.0%
	2,186	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(k)		3,847
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(e)(k)		—


		Total Warrants
		(Identified Cost $—)		3,847


	Principal Amount

	Short-Term Investments – 5.7%
$	880	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $880 on 4/03/2017 collateralized by $900 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $905 including accrued interest (Note 2 of Notes to Financial Statements)		880

	Short-Term Investments – continued
	7,621,481	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $7,621,621 on 4/03/2017 collateralized by $7,970,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $7,776,393 including accrued interest (Note 2 of Notes to Financial Statements)		7,621,481


		Total Short-Term Investments
		(Identified Cost $7,622,361)		7,622,361


		Total Investments – 99.0%
		(Identified Cost $129,682,545)(a)		133,557,065
		Other assets less liabilities—1.0%		1,375,147


		Net Assets – 100.0%	$	134,932,212


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At March 31, 2017, the net unrealized appreciation on investments based on a cost of $129,846,349 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	$	6,840,006
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(3,129,290	)

		Net unrealized appreciation	$	3,710,716

	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Illiquid security.
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $1,794,970 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $94,286 or 0.1% 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. For the period ended March 31, 2017, interest payments were made in cash.
	(i)	Maturity has been extended under the terms of a plan of reorganization.
	(j)	Position is unsettled. Contract rate was not determined at March 31, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(k)	Non-income producing security.
	(l)	Escrow shares.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $49,722,113 or 36.8% 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.

| 12

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Opportunities Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Independent Energy	9.7	%
Technology	8.8
Cable Satellite	8.0
Midstream	5.1
Healthcare	5.0
Finance Companies	5.0
Pharmaceuticals	4.6
Banking	4.3
Wireless	3.6
Metals & Mining	2.7
Aerospace & Defense	2.4
Media Entertainment	2.3
Wirelines	2.2
Airlines	2.1
Other Investments, less than 2% each	27.5
Short-Term Investments	5.7

Total Investments	99.0
Other assets less liabilities	1.0

Net Assets	100.0	%

See accompanying notes to financial statements.

13 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 115.5% of Net Assets

		ABS Car Loan – 12.0%
$	1,070,000	AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019	$	1,070,713
	1,840,000	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021(b)		1,855,561
	1,440,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		1,455,804
	5,060,000	Americredit Automobile Receivables Trust, Series 2016-4, Class C, 2.410%, 7/08/2022		5,013,772
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		647,167
	2,630,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A(b)		2,642,721
	300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/2021, 144A		301,159
	4,395,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/2021, 144A(b)		4,392,055
	3,480,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.630%, 12/20/2021, 144A(b)		3,483,529
	2,430,000	California Republic Auto Receivables Trust, Series 2016-2, Class B, 2.520%, 5/16/2022		2,400,086
	3,100,000	California Republic Auto Receivables Trust, Series 2017-1, Class C, 3.760%, 12/15/2023		3,086,607
	1,907,730	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A(b)		1,906,205
	1,835,000	CarNow Auto Receivables Trust, Series 2015-1A, Class C, 3.880%, 4/15/2020, 144A		1,824,399
	2,475,561	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		2,437,543
	2,225,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		2,270,446
	1,610,000	CPS Auto Receivables Trust, Series 2015-B, Class C, 4.200%, 5/17/2021, 144A		1,613,425
	1,745,000	CPS Auto Receivables Trust, Series 2016-A, Class D, 5.000%, 12/15/2021, 144A		1,765,187
	4,025,000	CPS Auto Trust, Series 2016-D, Class D, 4.530%, 1/17/2023, 144A		4,077,319
	300,958	Credit Acceptance Auto Loan Trust, Series 2014-1A, Class B, 2.290%, 4/15/2022, 144A		301,047

		ABS Car Loan – continued
	1,369,126	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A(b)		1,370,759
	4,000,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A(b)		4,015,445
	6,770,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		6,836,904
	2,010,000	Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.910%, 5/17/2021, 144A(b)		2,043,681
	7,550,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A		7,641,931
	191,585	DT Auto Owner Trust, Series 2014-2A, Class C, 2.460%, 1/15/2020, 144A		191,656
	1,240,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		1,264,417
	2,340,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		2,394,633
	5,040,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		5,054,392
	49,867	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		49,880
	3,334,774	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A(b)		3,347,366
	2,000,000	First Investors Auto Owner Trust, Series 2014-1A, Class B, 2.260%, 1/15/2020, 144A		2,005,288
	1,915,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		1,932,473
	2,245,000	First Investors Auto Owner Trust, Series 2017-1A, Class C, 2.950%, 4/17/2023, 144A		2,244,180
	5,530,000	Flagship Credit Auto Trust, Series 2014-2, Class B, 2.840%, 11/16/2020, 144A(b)		5,569,594
	1,535,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		1,540,427
	710,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		729,470
	3,900,000	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A(b)		3,932,994
	1,390,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		1,401,527
	3,210,000	Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.270%, 7/25/2020, 144A(b)		3,185,396

See accompanying notes to financial statements.

| 14

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Car Loan – continued
$	2,250,672	Honor Automobile Trust Securitization, Series 2016-1A, Class A, 2.940%, 11/15/2019, 144A	$	2,258,453
	8,605,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A(b)		8,613,857
	2,912,203	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A(b)		2,913,495
	1,940,000	Santander Drive Auto Receivables Trust, Series 2015-2, Class C, 2.440%, 4/15/2021(b)		1,950,889
	1,820,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021		1,830,014
	5,060,000	Santander Drive Auto Receivables Trust, Series 2016-3, Class C, 2.460%, 3/15/2022		5,066,392
	1,515,000	Westlake Automobile Receivables Trust, Series 2016-1A, Class C, 3.290%, 9/15/2021, 144A		1,533,355
	2,795,000	Westlake Automobile Receivables Trust, Series 2016-2A, Class C, 2.830%, 5/17/2021, 144A		2,812,377

				126,275,990

		ABS Credit Card – 1.2%
	2,000,000	Barclays Dryrock Issuance Trust, Series 2015-1, Class A, 2.200%, 12/15/2022(b)		2,011,151
	9,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(b)		9,443,377
	1,000,000	World Financial Network Credit Card Master Trust, Series 2012-C, Class M, 3.320%, 8/15/2022		1,015,280

				12,469,808

		ABS Home Equity – 3.6%
	2,890,510	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A(b)		2,961,176
	2,377,503	Bayview Opportunity Master Fund IVb Trust, Series 2016-SPL2, Class A, 4.000%, 6/28/2053, 144A(b)(c)		2,437,702
	1,612,614	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL1, Class A1, 3.598%, 1/28/2032, 144A(c)		1,608,288
	1,254,192	Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1, 3.475%, 7/28/2031, 144A(c)		1,249,940
	1,385,000	Bayview Opportunity Master Fund Trust, Series 2017-SPL2, Class B1, 4.250%, 6/28/2054, 144A(c)		1,426,880
	2,784,805	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A(b)		2,769,496
	1,500,000	Colony American Homes, Series 2014-1A, Class B, 2.293%, 5/17/2031, 144A(c)		1,496,864

		ABS Home Equity – continued
	105,627	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.746%, 7/25/2021(c)(d)		97,364
	111,330	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c)		112,721
	361,626	Countrywide Home Equity Loan Trust, Series 2006-S7, Class A3, 5.712%, 11/25/2035(c)(d)		356,542
	6,025,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.832%, 10/25/2027(b)(c)		6,160,097
	3,765,986	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 3.076%, 5/19/2034(b)(c)		3,784,247
	2,025,000	Home Partners of America Trust, Series 2016-1, Class D, 4.243%, 3/17/2033, 144A(c)		2,043,474
	593,012	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(c)		595,083
	662,190	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(c)		657,807
	137,154	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 3.065%, 7/25/2035(c)(d)		126,573
	1,417,000	Progress Residential Trust, Series 2015-SFR3, 4.673%, 11/12/2032, 144A		1,453,388
	91,184	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(d)		88,086
	408,219	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021(d)		377,240
	17,641	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(d)		17,101
	2,023,360	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)(c)		2,018,342
	2,015,162	Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250%, 4/25/2056, 144A(b)(c)		1,995,520
	3,746,051	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 3.007%, 11/25/2036(c)		3,480,781

				37,314,712

		ABS Other – 3.9%
	2,008,854	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(c)		2,023,375
	1,124,282	CLI Funding V LLC, Series 2014-1A, Class A, 3.290%, 6/18/2029, 144A		1,097,525
	2,111,900	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		2,122,992
	374,907	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		367,306

See accompanying notes to financial statements.

15 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Other – continued
$	1,607,000	GreatAmerica Leasing Receivables Funding LLC, Series 2017-1, Class A4, 2.360%, 1/20/2023, 144A	$	1,602,060
	1,510,385	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(c)		1,476,165
	9,265,000	OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(b)		9,421,031
	4,160,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A		4,363,993
	2,072,136	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		2,089,796
	4,118,402	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b)		4,195,246
	158,570	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		158,152
	2,646,588	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A		2,662,819
	831,668	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		823,180
	1,511,292	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		1,482,004
	617,622	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		604,799
	3,733,667	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A(b)		3,615,516
	2,053,966	Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 3.412%, 7/15/2041, 144A(c)		2,053,961
	635,000	Verizon Owner Trust, Series 2016-1A, Class A, 1.420%, 1/20/2021, 144A		631,105

				40,791,025

		ABS Student Loan – 2.8%
	2,102,115	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 1.948%, 7/01/2024(b)(c)		2,113,289
	7,850,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 3.320%, 3/15/2033(c)		7,840,187
	106,476	SoFi Professional Loan Program LLC, Series 2014-A, Class A2, 3.020%, 10/25/2027, 144A		107,684
	539,900	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 2.028%, 8/25/2032, 144A(c)		547,434

		ABS Student Loan – continued
	7,829,500	SoFi Professional Loan Program LLC, Series 2015-C, Class B, 3.580%, 8/25/2036, 144A(b)		7,845,744
	3,220,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A(b)		3,228,304
	7,913,973	South Carolina Student Loan Corp., Series 2010-1, Class A2, 2.038%, 7/25/2025(b)(c)		7,970,004

				29,652,646

		Agency Commercial Mortgage-Backed Securities – 6.6%
	1,435,393	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.912%, 11/25/2022(c)		1,441,479
	408,047,416	FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, 0.345%, 2/25/2023(b)(c)(e)		6,610,735
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)(c)		6,409,720
	85,946,745	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.250%, 4/25/2023(b)(c)(e)		1,088,696
	34,659,988	FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, 0.774%, 10/25/2023(c)(e)		1,431,430
	12,146,197	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, 1.186%, 3/25/2024(c)(e)		802,482
	39,654,294	FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, 0.736%, 9/25/2024(b)(c)(e)		1,800,472
	45,900,675	FHLMC Multifamily Structured Pass Through Certificates, Series K046, Class X1, 0.377%, 3/25/2025(c)(e)		1,190,962
	74,923,407	FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, 0.164%, 5/25/2025(c)(e)		938,843
	37,521,622	FHLMC Multifamily Structured Pass Through Certificates, Series K049, Class X1, 0.613%, 7/25/2025(c)(e)		1,575,773
	21,758,486	FHLMC Multifamily Structured Pass Through Certificates, Series K050, Class X1, 0.333%, 8/25/2025(c)(e)		532,974
	42,914,991	FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, 0.552%, 9/25/2025(b)(c)(e)		1,661,986

See accompanying notes to financial statements.

| 16

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	17,711,086	FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, 0.676%, 11/25/2025(c)(e)	$	820,588
	9,773,481	FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, 0.893%, 12/25/2025(c)(e)		625,076
	17,112,399	FHLMC Multifamily Structured Pass Through Certificates, Series K054, Class X1, 1.180%, 1/25/2026(c)(e)		1,452,009
	7,720,432	FHLMC Multifamily Structured Pass Through Certificates, Series K055, Class X1, 1.368%, 3/25/2026(c)(e)		763,991
	8,728,542	FHLMC Multifamily Structured Pass Through Certificates, Series K057, Class X1, 1.193%, 7/25/2026(c)(e)		768,269
	8,748,437	FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class X1, 0.931%, 8/25/2026(c)(e)		615,956
	26,133,008	FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class X1, 0.318%, 9/25/2026(c)(e)		660,028
	95,074,531	FHLMC Multifamily Structured Pass Through Certificates, Series K060, Class X1, 0.081%, 10/25/2026(c)(e)		809,845
	15,751,460	FHLMC Multifamily Structured Pass Through Certificates, Series K152, Class X1, 0.952%, 1/25/2031(c)(e)		1,442,068
	3,466,126	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.373%, 1/25/2023(c)(d)(e)		188,297
	52,519,725	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, 0.309%, 8/25/2025(c)(e)		851,061
	3,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS07, Class A2, 2.735%, 9/25/2025		2,963,594
	35,659,000	FHLMC Multifamily Structured Pass Through Certificates, Series KW02, Class X1, 0.447%, 12/25/2026(c)(e)		770,234
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(b)(c)		4,679,734
	2,000,000	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(b)(c)		2,183,165
	2,142,558	Government National Mortgage Association, Series 2011-121, Class ZA, 6.500%, 8/16/2051(b)		2,668,497
	12,230,203	Government National Mortgage Association, Series 2014-101, Class IO, 0.863%, 4/16/2056(c)(e)		726,502
	18,437,787	Government National Mortgage Association, Series 2014-86, Class IO, 0.806%, 4/16/2056(c)(e)		943,255
	72,817,542	Government National Mortgage Association, Series 2015-146, Class IB, 0.866%, 7/16/2055(b)(c)(e)		4,168,506

		Agency Commercial Mortgage-Backed Securities – continued
	17,762,659	Government National Mortgage Association, Series 2015-171, Class IO, 0.894%, 11/16/2055(c)(e)		1,160,850
	27,442,927	Government National Mortgage Association, Series 2015-189, Class IG, 0.933%, 1/16/2057(b)(c)(e)		1,810,624
	19,356,492	Government National Mortgage Association, Series 2015-21, Class IO, 1.072%, 7/16/2056(c)(e)		1,326,109
	38,299,505	Government National Mortgage Association, Series 2015-32, Class IO, 0.918%, 9/16/2049(b)(c)(e)		2,352,371
	13,697,189	Government National Mortgage Association, Series 2015-68, Class IO, 0.811%, 7/16/2057(c)(e)		822,459
	46,267,803	Government National Mortgage Association, Series 2015-70, Class IO, 1.113%, 12/16/2049(b)(c)(e)		3,007,912
	36,293,691	Government National Mortgage Association, Series 2015-73, Class IO, 0.830%, 11/16/2055(b)(c)(e)		2,114,931
	56,620,642	Government National Mortgage Association, Series 2016-6, Class IO, 0.754%, 2/16/2051(b)(c)(e)		2,952,183

				69,133,666

		Collateralized Mortgage Obligations – 23.2%
	136,830	Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(c)(d)		151,207
	105,534	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(b)		117,471
	1,235,568	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 12.720%, 6/15/2023(c)		1,436,630
	503,221	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class MH, 5.000%, 7/15/2033		537,316
	227,543	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(b)(d)(e)		61,041
	240,003	Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 7.898%, 11/15/2033(c)(d)		246,346
	3,567,015	Federal Home Loan Mortgage Corp., REMIC, Series 2882, Class TF, 1.162%, 10/15/2034(b)(c)		3,575,286
	7,444,567	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(b)		8,199,913
	3,775,090	Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, 16.054%, 5/15/2035(b)(c)		4,991,209
	8,571,654	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 6.288%, 5/15/2036(b)(c)(e)		1,909,184
	2,477,761	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, 5.338%, 2/15/2038(c)(d)(e)		365,172

See accompanying notes to financial statements.

17 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	1,706,898	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, 13.870%, 2/15/2038(b)(c)	$	2,111,342
	1,695,392	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.166%, 6/15/2048(b)(c)		1,635,206
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		503,536
	1,882,466	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.180%, 12/15/2036(b)(c)		1,951,205
	1,373,074	Federal Home Loan Mortgage Corp., REMIC, Series 3752, Class KF, 1.412%, 12/15/2037(c)		1,379,820
	1,937,290	Federal Home Loan Mortgage Corp., REMIC, Series 3785, Class LS, 8.076%, 1/15/2041(b)(c)		2,203,897
	369,538	Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 7.631%, 2/15/2041(c)		357,470
	2,233,981	Federal Home Loan Mortgage Corp., REMIC, Series 3828, Class EF, 1.312%, 5/15/2037(b)(c)		2,242,829
	1,800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, 19.439%, 8/15/2040(b)(c)		3,101,334
	5,374,145	Federal Home Loan Mortgage Corp., REMIC, Series 4097, 5.238%, 8/15/2032(c)(e)		708,998
	1,820,000	Federal Home Loan Mortgage Corp., REMIC, Series 4204, Class QP, 3.000%, 5/15/2043(b)		1,761,062
	1,813,679	Federal Home Loan Mortgage Corp., REMIC, Series 4238, Class FD, 1.212%, 2/15/2042(b)(c)		1,809,345
	18,033,613	Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, 1.742%, 6/15/2039(c)(e)		1,088,803
	800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4395, Class PE, 2.500%, 4/15/2037		701,517
	357,917	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class NT, 6.500%, 8/15/2043(c)(d)		376,300
	425,382	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class TN, 5.000%, 8/15/2043(c)(d)		439,700
	1,399,000	Federal Home Loan Mortgage Corp., REMIC, Series 4480, Class NB, 3.500%, 6/15/2045		1,386,781
	703,006	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(b)(d)(e)		124,152
	1,111,913	Federal Home Loan Mortgage Corp., Series 3792, Class DF, 1.312%, 11/15/2040(c)		1,112,616
	296,472	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 6.268%, 1/25/2024(c)(d)(e)		35,992

		Collateralized Mortgage Obligations – continued
	1,679,506	Federal National Mortgage Association, REMIC, Series 2005-22, Class DG, 5.902%, 4/25/2035(b)(c)		1,760,303
	1,676,624	Federal National Mortgage Association, REMIC, Series 2005-62, Class GZ, 5.750%, 7/25/2035(b)		2,040,646
	3,246,921	Federal National Mortgage Association, REMIC, Series 2006-46, Class SK, 20.601%, 6/25/2036(b)(c)		4,627,860
	177,537	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 6.318%, 8/25/2036(c)(d)(e)		30,365
	847,513	Federal National Mortgage Association, REMIC, Series 2008-15, Class AS, 28.092%, 8/25/2036(c)		1,463,538
	1,000,000	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(b)		1,016,533
	2,318,515	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.486%, 8/25/2038(b)(c)		2,405,339
	567,423	Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, 4.674%, 11/25/2038(c)		595,532
	1,449,985	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 2.750%, 3/25/2039(b)(c)		1,441,903
	130,921	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		137,882
	342,665	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 4.645%, 12/25/2039(c)		336,404
	4,310,649	Federal National Mortgage Association, REMIC, Series 2010-95, Class FB, 1.382%, 9/25/2040(b)(c)		4,317,001
	458,025	Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, 6.916%, 11/25/2040(c)		522,174
	7,513,412	Federal National Mortgage Association, REMIC, Series 2012-112, Class DA, 3.000%, 10/25/2042(b)		7,488,315
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 9.759%, 7/25/2043(b)(c)		1,808,564
	939,818	Federal National Mortgage Association, REMIC, Series 2013-23, Class TS, 4.973%, 3/25/2043(c)		854,607
	722,847	Federal National Mortgage Association, REMIC, Series 2013-26, Class SJ, 4.519%, 4/25/2033(c)		721,958
	5,647,793	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 5.168%, 8/25/2042(b)(c)(e)		895,064
	166,108	Federal National Mortgage Association, REMIC, Series 2014-67, Class PT, 6.000%, 10/25/2044(c)(d)		170,013
	1,845,566	Federal National Mortgage Association, REMIC, Series 2015-1, Class SN, 6.000%, 7/25/2043(b)(c)		2,012,322

See accompanying notes to financial statements.

| 18

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

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)	$	693,879
	2,878,441	Federal National Mortgage Association, REMIC, Series 2016-26, Class KL, 4.500%, 11/25/2042(b)(c)		2,632,731
	20,368,077	Federal National Mortgage Association, REMIC, Series 2016-32, Class SA, 5.118%, 10/25/2034(b)(c)(e)		3,178,463
	2,255,251	Federal National Mortgage Association, REMIC, Series 2016-32, Class TG, 4.500%, 1/25/2043(b)(c)		2,099,290
	932,558	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(b)(d)(e)		217,508
	204,719	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(b)(c)(d)(e)		51,305
	988,020	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(b)(d)(e)		227,334
	186,463	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(b)(d)(e)		36,505
	2,106,394	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(b)(d)(e)		388,431
	877,947	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(b)(d)(e)		181,001
	521,040	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(b)(d)(e)		112,013
	1,057,142	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(b)(d)(e)		229,928
	495,683	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(b)(d)(e)		106,763
	595,328	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(b)(d)(e)		135,786
	735,596	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(b)(d)(e)		166,118
	684,503	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(b)(d)(e)		134,351
	320,592	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(b)(c)(d)(e)		60,726
	433,428	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(b)(d)(e)		93,876
	278,799	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(b)(c)(d)(e)		58,543
	82,281	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(b)(d)(e)		16,934

		Collateralized Mortgage Obligations – continued
	2,452,403	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(b)(c)(d)(e)		465,792
	795,444	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(b)(d)(e)		170,051
	778,258	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(b)(c)(d)(e)		161,358
	706,571	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(b)(c)(d)(e)		98,777
	424,615	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(b)(d)(e)		80,304
	66,661	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(d)(e)		12,891
	10,850,828	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class X1, 1.365%, 12/25/2021(c)(e)		569,330
	5,039,317	Government National Mortgage Association, Series 2006-46, Class IO, 0.456%, 4/16/2046(c)(d)(e)		76,538
	2,755,687	Government National Mortgage Association, Series 2006-51, Class IO, 0.957%, 8/16/2046(b)(c)(d)(e)		86,851
	7,314,964	Government National Mortgage Association, Series 2009-114, Class IO, Zero Coupon, 10/16/2049(c)(d)(e)		76,774
	251,670	Government National Mortgage Association, Series 2009-65, Class NZ, 5.500%, 8/20/2039(d)		287,827
	11,387,718	Government National Mortgage Association, Series 2010-124, Class X, 0.370%, 12/16/2052(b)(c)(d)(e)		191,184
	399,231	Government National Mortgage Association, Series 2010-49, Class IA, 1.509%, 10/16/2052(c)(d)(e)		23,191
	743,744	Government National Mortgage Association, Series 2010-H20, Class AF, 1.110%, 10/20/2060(c)		736,691
	2,768,298	Government National Mortgage Association, Series 2010-H22, Class FE, 1.130%, 5/20/2059(b)(c)		2,754,211
	8,357,921	Government National Mortgage Association, Series 2011-119, Class IO, 0.554%, 8/16/2051(c)(d)(e)		214,177
	38,054,618	Government National Mortgage Association, Series 2011-121, Class IO, 0.758%, 6/16/2043(b)(c)(d)(e)		774,255
	22,266,015	Government National Mortgage Association, Series 2011-161, Class IO, 0.702%, 4/16/2045(c)(e)		589,230
	9,874,160	Government National Mortgage Association, Series 2011-38, Class IO, 0.066%, 4/16/2053(b)(c)(d)(e)		178,932
	3,546,980	Government National Mortgage Association, Series 2011-53, Class IO, 0.379%, 5/16/2051(b)(c)(d)(e)		92,256

See accompanying notes to financial statements.

19 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	1,342,418	Government National Mortgage Association, Series 2011-H01, Class AF, 1.230%, 11/20/2060(c)	$	1,334,970
	619,639	Government National Mortgage Association, Series 2011-H21, Class FT, 1.510%, 10/20/2061(c)		624,972
	17,000,000	Government National Mortgage Association, Series 2012-100, Class IC, 1.358%, 9/16/2050(c)(e)		1,185,436
	12,925,139	Government National Mortgage Association, Series 2012-111, Class IC, 1.258%, 9/16/2050(c)(d)(e)		839,624
	60,878,688	Government National Mortgage Association, Series 2012-142, Class IO, 1.055%, 4/16/2054(b)(c)(e)		2,793,394
	20,981,207	Government National Mortgage Association, Series 2012-23, Class IO, 0.987%, 6/16/2053(b)(c)(d)(e)		711,100
	38,896,629	Government National Mortgage Association, Series 2012-55, Class IO, 0.879%, 4/16/2052(b)(c)(e)		1,167,972
	22,426,647	Government National Mortgage Association, Series 2012-70, Class IO, 0.556%, 8/16/2052(b)(c)(d)(e)		630,530
	20,287,616	Government National Mortgage Association, Series 2012-79, Class IO, 0.813%, 3/16/2053(c)(d)(e)		897,511
	8,199,424	Government National Mortgage Association, Series 2012-H08, Class FA, 1.380%, 1/20/2062(b)(c)		8,195,218
	872,222	Government National Mortgage Association, Series 2012-H16, Class HA, 2.000%, 7/20/2062		868,917
	2,375,183	Government National Mortgage Association, Series 2012-H20, Class BA, 1.340%, 9/20/2062(b)(c)		2,370,987
	2,923,239	Government National Mortgage Association, Series 2012-H24, Class FD, 1.370%, 9/20/2062(b)(c)		2,929,015
	326,929	Government National Mortgage Association, Series 2012-H24, Class FE, 1.380%, 10/20/2062(c)		325,562
	18,661,103	Government National Mortgage Association, Series 2012-H24, Class HI, 1.187%, 10/20/2062(c)(d)(e)		774,378
	4,612,589	Government National Mortgage Association, Series 2012-H26, Class BA, 1.130%, 10/20/2062(b)(c)		4,571,852
	2,023,294	Government National Mortgage Association, Series 2012-H27, Class FA, 1.180%, 10/20/2062(b)(c)		2,008,501
	2,262,430	Government National Mortgage Association, Series 2012-H27, Class FB, 1.280%, 10/20/2062(b)(c)		2,265,509
	2,819,655	Government National Mortgage Association, Series 2012-H30, Class GA, 1.130%, 12/20/2062(b)(c)		2,794,528
	5,475,291	Government National Mortgage Association, Series 2013-175, Class IO, 0.721%, 5/16/2055(c)(d)(e)		208,438

		Collateralized Mortgage Obligations – continued
	4,703,619	Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(b)		4,652,843
	23,438,929	Government National Mortgage Association, Series 2013-H16, Class AI, 1.615%, 7/20/2063(c)(e)		1,420,985
	16,405,909	Government National Mortgage Association, Series 2013-H18, Class EI, 1.716%, 7/20/2063(c)(e)		1,212,430
	2,748,813	Government National Mortgage Association, Series 2013-H18, Class JI, 1.377%, 8/20/2063(c)(d)(e)		135,113
	312,967	Government National Mortgage Association, Series 2013-H22, Class FT, 1.460%, 4/20/2063(c)		315,259
	44,163,631	Government National Mortgage Association, Series 2014-130, Class IB, 0.910%, 8/16/2054(b)(c)(e)		2,369,573
	232,042	Government National Mortgage Association, Series 2014-160, Class ST, 6.500%, 10/20/2044(c)(d)		229,921
	40,706,677	Government National Mortgage Association, Series 2014-24, Class IX, 0.808%, 1/16/2054(b)(c)(e)		1,800,188
	27,166,366	Government National Mortgage Association, Series 2014-70, Class IO, 0.995%, 3/16/2049(b)(c)(e)		1,379,323
	14,669,472	Government National Mortgage Association, Series 2014-H03, Class FS, 1.430%, 2/20/2064(b)(c)		14,695,882
	4,384,499	Government National Mortgage Association, Series 2014-H05, Class FB, 1.380%, 12/20/2063(b)(c)		4,382,209
	3,677,299	Government National Mortgage Association, Series 2014-H06, Class FA, 1.350%, 3/20/2064(b)(c)		3,671,801
	8,113,280	Government National Mortgage Association, Series 2014-H12, Class HZ, 4.601%, 6/20/2064(b)(c)		8,920,917
	3,414,737	Government National Mortgage Association, Series 2014-H14, Class FA, 1.280%, 7/20/2064(b)(c)		3,398,829
	2,494,865	Government National Mortgage Association, Series 2014-H15, Class FA, 1.280%, 7/20/2064(b)(c)		2,482,027
	45,200,453	Government National Mortgage Association, Series 2015-120, Class IO, 0.924%, 3/16/2057(b)(c)(e)		2,884,413
	1,896,130	Government National Mortgage Association, Series 2015-39, Class SN, 3.301%, 3/20/2045(b)(c)		1,935,013
	4,355,344	Government National Mortgage Association, Series 2015-H05, Class FA, 1.080%, 4/20/2061(b)(c)		4,352,899
	6,283,540	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(b)		6,148,449
	5,652,675	Government National Mortgage Association, Series 2015-H13, Class FL, 1.060%, 5/20/2063(b)(c)		5,648,191

See accompanying notes to financial statements.

| 20

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	1,797,492	Government National Mortgage Association, Series 2015-H29, Class FA, 1.480%, 10/20/2065(b)(c)	$	1,803,767
	106,300	Government National Mortgage Association, Series 2015-H29, Class HZ, 4.589%, 9/20/2065(c)(d)		114,002
	1,322,232	Government National Mortgage Association, Series 2015-H30, Class FA, 1.460%, 8/20/2061(c)		1,326,459
	1,770,000	Government National Mortgage Association, Series 2016-17, Class GT, 5.000%, 8/20/2045(c)		1,618,652
	1,871,291	Government National Mortgage Association, Series 2016-23, Class PA, 5.722%, 7/20/2037(b)(c)		2,065,316
	4,515,122	Government National Mortgage Association, Series 2016-H06, Class FC, 1.700%, 2/20/2066(b)(c)		4,545,258
	29,207,885	Government National Mortgage Association, Series 2016-H09, Class JI, 2.032%, 4/20/2066(b)(c)(e)		3,190,049
	5,693,226	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.380%, 4/20/2066(b)(c)		5,702,920
	2,892,268	Government National Mortgage Association, Series 2016-H13, Class FT, 1.360%, 5/20/2066(b)(c)		2,889,438
	517,361	Government National Mortgage Association, Series 2016-H14, Class JZ, 4.557%, 8/20/2063(c)(d)		537,315
	511,376	Government National Mortgage Association, Series 2016-H19, Class CZ, 4.505%, 8/20/2066(c)(d)		559,293
	512,759	Government National Mortgage Association, Series 2016-H19, Class EZ, 5.054%, 6/20/2061(c)(d)		537,912
	2,747,005	Government National Mortgage Association, Series 2016-H19, Class FC, 1.180%, 8/20/2066(b)(c)		2,741,262
	4,079,444	Government National Mortgage Association, Series 2016-H19, Class FE, 1.150%, 6/20/2061(b)(c)		4,079,478
	2,837,827	Government National Mortgage Association, Series 2016-H19, Class FJ, 1.180%, 9/20/2063(b)(c)		2,822,785

				243,799,693

		Hybrid ARMs – 1.4%
	103,183	FHLMC, 2.785%, 1/01/2035(b)(c)		109,133
	1,822,651	FHLMC, 2.798%, 6/01/2035(b)(c)		1,920,208
	223,350	FHLMC, 2.807%, 1/01/2036(b)(c)		236,966
	1,507,364	FHLMC, 3.815%, 2/01/2037(b)(c)		1,613,490
	233,235	FNMA, 2.670%, 10/01/2035(b)(c)		239,101
	898,496	FNMA, 2.796%, 9/01/2034(b)(c)		945,811
	580,901	FNMA, 2.802%, 2/01/2037(b)(c)		604,305
	2,372,057	FNMA, 2.875%, 6/01/2034(b)(c)		2,504,441
	1,936,090	FNMA, 3.032%, 8/01/2038(b)(c)		2,049,824
	3,875,742	FNMA, 3.095%, 9/01/2037(b)(c)		4,111,875
	393,778	FNMA, 3.123%, 9/01/2036(b)(c)		419,573

				14,754,727


		Mortgage Related – 48.2%
	1,813,120	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS, 15.154%, 2/15/2038(b)(c)		2,385,500
	4,084,412	FHLMC, 3.500%, with various maturities from 2042 to 2046(b)(f)		4,191,220
	869,440	FHLMC, 4.000%, 9/01/2045		912,674
	68,581	FHLMC, 5.000%, 9/01/2035		74,966
	4,074,682	FNMA, 4.000%, with various maturities from 2041 to 2052(f)		4,272,064
	1,768,751	FNMA, 4.500%, 5/01/2045(b)		1,897,907
	528,003	FNMA, 5.500%, 8/01/2034(b)		596,113
	6,182	FNMA, 6.000%, 10/01/2034		7,040
	28,000,000	FNMA (TBA), 2.500%, 5/01/2032(g)		27,978,126
	48,295,000	FNMA (TBA), 3.000%, 5/01/2047(g)		47,781,866
	74,545,000	FNMA (TBA), 3.500%, 5/01/2047(g)		76,097,049
	121,695,000	FNMA (TBA), 4.000%, 5/01/2047(g)		127,399,447
	748,996	GNMA, 1.290%, 8/20/2063(c)		749,876
	1,933,435	GNMA, 2.472%, 2/20/2061(b)(c)		2,010,035
	460,123	GNMA, 2.496%, 7/20/2060(c)		478,147
	329,105	GNMA, 2.527%, 9/20/2060(c)		343,055
	2,676,611	GNMA, 2.782%, 2/20/2063(b)(c)		2,802,470
	1,148,997	GNMA, 3.126%, 6/20/2065(c)		1,233,066
	1,397,658	GNMA, 4.296%, 3/20/2063(c)		1,467,964
	1,800,557	GNMA, 4.431%, 5/20/2063(b)(c)		1,900,321
	3,716,741	GNMA, 4.439%, 2/20/2063(b)(c)		3,902,489
	2,106,115	GNMA, 4.479%, 4/20/2063(b)(c)		2,221,652
	1,556,879	GNMA, 4.482%, 2/20/2062(b)(c)		1,622,406
	2,050,153	GNMA, 4.483%, 4/20/2063(b)(c)		2,156,350
	1,386,272	GNMA, 4.501%, 8/20/2063(c)		1,462,065
	2,273,498	GNMA, 4.502%, 2/20/2067(b)(c)		2,490,080
	912,940	GNMA, 4.507%, 7/20/2062(c)		952,191
	1,663,574	GNMA, 4.512%, 1/20/2062(b)(c)		1,729,120
	1,540,980	GNMA, 4.513%, 4/20/2066(b)(c)		1,665,641
	1,201,143	GNMA, 4.518%, 1/20/2063(c)		1,258,038
	3,227,897	GNMA, 4.525%, with various maturities in 2061(b)(c)(f)		3,348,904
	4,828,047	GNMA, 4.529%, with various maturities from 2061 to 2064(b)(c)(f)		5,166,099
	722,090	GNMA, 4.532%, 1/20/2064(c)		754,603
	482,864	GNMA, 4.534%, 1/20/2063(c)		507,270
	1,329,066	GNMA, 4.539%, 12/20/2061(c)		1,371,901
	3,432,866	GNMA, 4.544%, with various maturities from 2062 to 2066(b)(c)(f)		3,702,942
	8,515,902	GNMA, 4.558%, with various maturities from 2063 to 2064(b)(c)(f)		9,050,083
	531,026	GNMA, 4.562%, 2/20/2066(c)		572,773
	1,895,083	GNMA, 4.565%, with various maturities from 2063 to 2067(c)(f)		2,059,516
	6,309,328	GNMA, 4.567%, 7/20/2065(b)(c)		6,835,730
	1,682,890	GNMA, 4.572%, 1/20/2067(c)		1,772,833
	4,347,166	GNMA, 4.576%, 6/20/2063(b)(c)		4,591,474
	4,137,540	GNMA, 4.584%, 3/20/2062(b)(c)		4,290,729
	1,550,162	GNMA, 4.587%, 1/20/2067(b)(c)		1,703,171
	1,059,022	GNMA, 4.595%, 6/20/2061(c)		1,091,513
	903,267	GNMA, 4.609%, 7/20/2062(c)		943,269
	3,970,222	GNMA, 4.614%, 8/20/2066(b)(c)		4,365,489
	826,771	GNMA, 4.615%, 10/20/2061(c)		851,541
	876,327	GNMA, 4.625%, 6/20/2062(c)		914,456
	546,122	GNMA, 4.626%, 3/20/2062(c)		567,644
	779,483	GNMA, 4.633%, 12/20/2063(c)		835,583
	1,432,748	GNMA, 4.640%, 8/20/2061(c)		1,477,079

See accompanying notes to financial statements.

21 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	923,822	GNMA, 4.655%, 3/20/2062(c)	$	958,831
	4,215,229	GNMA, 4.663%, 10/20/2061(b)(c)		4,352,781
	1,104,976	GNMA, 4.672%, 10/20/2064(c)		1,196,706
	8,261,377	GNMA, 4.673%, 2/20/2062(b)(c)		8,598,166
	809,665	GNMA, 4.682%, 11/20/2063(c)		875,283
	9,961,851	GNMA, 4.683%, 12/20/2061(b)(c)		10,347,042
	2,579,399	GNMA, 4.685%, with various maturities from 2061 to 2064(b)(c)(f)		2,740,620
	560,910	GNMA, 4.686%, 1/20/2062(c)		580,468
	527,897	GNMA, 4.689%, 11/20/2063(c)		548,829
	2,745,764	GNMA, 4.694%, 7/20/2063(b)(c)		2,857,593
	5,413,046	GNMA, 4.700%, with various maturities in 2061(b)(c)(f)		5,561,457
	611,739	GNMA, 4.718%, 12/20/2063(c)		658,001
	1,856,018	GNMA, 4.732%, 6/20/2061(b)(c)		1,910,786
	1,028,786	GNMA, 4.747%, 8/20/2062(c)		1,069,451
	659,251	GNMA, 4.797%, 5/20/2061(c)		676,391
	2,948,287	GNMA, 4.807%, 5/20/2061(b)(c)		3,022,068
	631,208	GNMA, 4.903%, 1/20/2062(c)		662,860
	122,030	GNMA, 5.500%, with various maturities in 2059(c)(f)		123,569
	298,760	GNMA, 6.572%, 5/20/2061(c)		316,155
	15,500,000	GNMA (TBA), 3.000%, 5/01/2047(g)		15,609,893
	15,600,000	GNMA (TBA), 3.500%, 5/01/2047(g)		16,147,219
	3,925,646	Government National Mortgage Association, Series 2012-H11, Class BA, 2.000%, 5/20/2062(b)		3,923,636
	2,361,314	Government National Mortgage Association, Series 2013-H13, Class SI, 1.287%, 6/20/2063(c)(d)(e)		118,959
	24,307,162	Government National Mortgage Association, Series 2014-H24, Class HI, 0.940%, 9/20/2064(c)(e)		1,125,422
	12,647,323	Government National Mortgage Association, Series 2015-H01, Class XZ, 4.625%, 10/20/2064(b)(c)		14,185,640
	16,388,865	Government National Mortgage Association, Series 2015-H04, Class FL, 1.250%, 2/20/2065(b)(c)		16,293,025
	2,461,730	Government National Mortgage Association, Series 2015-H12, Class FL, 1.010%, 5/20/2065(b)(c)		2,432,776
	4,923,555	Government National Mortgage Association, Series 2015-H19, Class FA, 0.980%, 4/20/2063(b)(c)		4,915,631
	748,346	Government National Mortgage Association, Series 2015-H28, Class JZ, 4.984%, 3/20/2065(c)		805,011
	21,377,477	Government National Mortgage Association, Series 2016-H01, Class AI, 2.141%, 1/20/2066(b)(c)(e)		2,097,665

				505,525,474

		Non-Agency Commercial Mortgage-Backed Securities – 12.6%
	1,077,701	Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051		1,083,885

		Non-Agency Commercial Mortgage-Backed Securities – continued
	8,547,074	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 2.312%, 12/15/2027, 144A(b)(c)		8,563,154
	140,150	COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047(b)(c)		139,973
	2,424,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		2,411,944
	3,010,000	Commercial Mortgage Pass Through Certificates, Series 2014-BBG, Class A, 1.712%, 3/15/2029, 144A(b)(c)		3,011,882
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		1,235,539
	2,670,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047(b)		2,801,093
	2,797,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 4.641%, 5/13/2031, 144A(c)(h)(i)		2,734,053
	1,300,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,365,614
	3,110,000	Commercial Mortgage Trust, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		3,124,475
	3,015,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 3.912%, 10/15/2034, 144A(c)		3,025,089
	785,233	Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.715%, 6/15/2039(b)(c)		784,821
	939,743	Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4, 5.958%, 9/15/2039(c)		944,265
	6,585,619	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)(c)		6,614,385
	2,258,773	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.062%, 2/15/2041(b)(c)		2,284,110
	2,450,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(b)		2,509,954
	2,296,776	GP Portfolio Trust, Series 2014-GPP, Class A, 1.862%, 2/15/2027, 144A(b)(c)		2,299,659
	8,918,403	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049(b)		8,964,983
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.436%, 12/10/2027, 144A(b)(c)		5,278,427
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)(c)		5,826,207
	4,133,956	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.949%, 8/10/2045(b)(c)		4,129,682

See accompanying notes to financial statements.

| 22

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046(b)(c)	$	3,778,234
	3,057,529	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047(b)		3,138,363
	6,465,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.812%, 10/15/2029, 144A(b)(c)		6,464,996
	1,174,518	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.841%, 6/15/2049(c)		1,174,903
	1,628,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047(b)		1,699,553
	3,445,097	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.892%, 7/15/2031, 144A(b)(c)		3,452,440
	3,025,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 5.412%, 7/15/2036, 144A(b)(c)		3,058,987
	466,676	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)(c)		466,099
	5,058,954	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049(b)		5,105,431
	3,390,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047(b)		3,528,291
	5,798,794	Morgan Stanley Capital I Trust, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044(b)		5,857,149
	1,000,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.503%, 6/15/2044, 144A(c)		1,025,679
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.584%, 3/11/2031, 144A(c)		3,340,597
	680,000	SCG Trust, Series 2013-SRP1, Class A, 2.562%, 11/15/2026, 144A(c)		678,715
	905,000	SCG Trust, Series 2013-SRP1, Class B, 3.412%, 11/15/2026, 144A(c)		868,980
	2,100,000	Starwood Retail Property Trust, Inc., 2.132%, 11/15/2027, 144A(b)(c)		2,088,093
	6,500,000	Starwood Retail Property Trust, Inc., 2.562%, 11/15/2027, 144A(b)(c)		6,317,740
	2,146,755	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046(b)		2,155,406

		Non-Agency Commercial Mortgage-Backed Securities – continued
	4,000,000	Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.400%, 6/15/2048(b)		4,137,231
	4,632,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(b)		4,846,389

				132,316,470


		Total Bonds and Notes
		(Identified Cost $1,236,568,498)		1,212,034,211


	Short-Term Investments – 13.6%
	15,000,000	Federal Home Loan Bank Discount Notes, 0.530%, 5/11/2017(j)		14,988,435
	15,000,000	Federal Home Loan Bank Discount Notes, 0.670%, 8/18/2017(b)(j)		14,954,910
	67,000,000	Federal Home Loan Bank Discount Notes, 0.765-0.850%, 8/25/2017(b)(j)		66,788,280
	23,500,000	Federal National Mortgage Association Discount Notes, 0.520%, 6/13/2017(j)		23,465,244
	23,111,165	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $23,111,589 on 4/03/2017 collateralized by $24,400,000 U.S. Treasury Note, 1.125% due 9/30/2021 valued at $23,574,597 including accrued interest (Note 2 of Notes to Financial Statements)		23,111,165


		Total Short-Term Investments
		(Identified Cost $143,322,263)		143,308,034


		Total Investments – 129.1%
		(Identified Cost $1,379,890,761)(a)		1,355,342,245
		Other assets less liabilities—(29.1)%		(305,896,223	)


		Net Assets – 100.0%	$	1,049,446,022


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $1,379,890,761 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	$	8,495,009
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(33,043,525	)

		Net unrealized depreciation	$	(24,548,516	)

	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
	(c)	Variable rate security. Rate as of March 31, 2017 is disclosed.

See accompanying notes to financial statements.

23 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Securitized Asset Fund – continued


	(d)			Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $14,753,867 or 1.4% 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 (interest-only or “IO” class). Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(f)			The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(g)			When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)			Illiquid security.
	(i)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $2,734,053 or 0.3% 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 March 31, 2017, the value of Rule 144A holdings amounted to $240,736,899 or 22.9% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	FHLMC			Federal Home Loan Mortgage Corp.
	FNMA			Federal National Mortgage Association
	GNMA			Government National Mortgage Association
	REMIC			Real Estate Mortgage Investment Conduit
	SLM			Sallie Mae
	TBA			To Be Announced

At March 31, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		6/21/2017		497	$	61,907,563	$	(202,890	)
30 Year U.S. Treasury Bond		6/21/2017		122		18,402,938		(136,577	)
Ultra 10 Year U.S. Treasury Note		6/21/2017		439		58,777,984		(148,319	)

Total							$	(487,786	)

At March 31, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		6/30/2017		218	$	47,186,782	$	40,209
5 Year U.S. Treasury Note		6/30/2017		498		58,627,828		167,719

Total							$	207,928

Industry Summary at March 31, 2017 (Unaudited)


Mortgage Related	48.2	%
Collateralized Mortgage Obligations	23.2
Non-Agency Commercial Mortgage-Backed Securities	12.6
ABS Car Loan	12.0
Agency Commercial Mortgage-Backed Securities	6.6
ABS Other	3.9
ABS Home Equity	3.6
ABS Student Loan	2.8
Other Investments, less than 2% each	2.6
Short-Term Investments	13.6

Total Investments	129.1
Other assets less liabilities (including futures contracts)	(29.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 24

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2017 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	129,682,545		$	1,379,890,761
Net unrealized appreciation (depreciation)		3,874,520			(24,548,516	)

Investments at value		133,557,065			1,355,342,245
Cash		13,081			—
Due from brokers (Note 2)		—			1,862,000
Receivable for Fund shares sold		197,103			1,595,714
Receivable for securities sold		355,561			—
Receivable for when-issued/delayed delivery securities sold (Note 2)		—			280,481,316
Collateral received for delayed delivery securities (Note 2)		—			210,000
Interest receivable		1,712,408			3,669,363
Receivable for variation margin on futures contracts (Note 2)		—			178,441

TOTAL ASSETS		135,835,218			1,643,339,079


LIABILITIES
Payable for securities purchased		874,407			1,747,099
Payable for when-issued/delayed delivery securities purchased (Note 2)		—			591,303,454
Payable for Fund shares redeemed		7,251			579,284
Due to brokers (Note 2)		—			210,000
Other accounts payable and accrued expenses		21,348			53,220

TOTAL LIABILITIES		903,006			593,893,057

NET ASSETS	$	134,932,212		$	1,049,446,022

NET ASSETS CONSIST OF:
Paid-in capital	$	131,479,819		$	1,087,557,651
Undistributed (Distributions in excess of) net investment income		500,719			(1,716,925	)
Accumulated net realized loss on investments and futures contracts		(922,846	)		(11,566,330	)
Net unrealized appreciation (depreciation) on investments and futures contracts		3,874,520			(24,828,374	)

NET ASSETS	$	134,932,212		$	1,049,446,022


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	134,932,212		$	1,049,446,022

Shares of beneficial interest		12,509,137			102,944,092

Net asset value, offering and redemption price per share	$	10.79		$	10.19

See accompanying notes to financial statements.

25 |

STATEMENTS OF OPERATIONS

For the Six Months Ended March 31, 2017 (Unaudited)


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	3,851,959		$	19,595,017
Dividends		137,436			—
Less net foreign taxes withheld		(4,402	)		—

Investment income		3,984,993			19,595,017


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain (loss) on:
Investments		538,571			(4,830,996	)
Futures contracts		—			(1,385,762	)
Net change in unrealized appreciation (depreciation) on:
Investments		1,150,576			(21,554,626	)
Futures contracts		—			(264,383	)

Net realized and unrealized gain (loss) on investments and futures contracts		1,689,147			(28,035,767	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	5,674,140		$	(8,440,750	)

See accompanying notes to financial statements.

| 26

STATEMENTS OF CHANGES IN NET ASSETS


	High Income Opportunities Fund						Securitized Asset Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	3,984,993		$	7,907,165		$	19,595,017		$	36,937,926
Net realized gain (loss) on investments and futures contracts		538,571			(1,280,168	)		(6,216,758	)		15,646,361
Net change in unrealized appreciation (depreciation) on investments and futures contracts		1,150,576			8,956,827			(21,819,009	)		(11,733,579	)

Net increase (decrease) in net assets resulting from operations		5,674,140			15,583,824			(8,440,750	)		40,850,708

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(4,106,267	)		(8,169,008	)		(28,235,678	)		(44,606,095	)
Net realized capital gains
Institutional Class		—			(452,100	)		—			—

Total distributions		(4,106,267	)		(8,621,108	)		(28,235,678	)		(44,606,095	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(2,341,349	)		8,574,679			70,263,907			74,405,757

Net increase (decrease) in net assets		(773,476	)		15,537,395			33,587,479			70,650,370
NET ASSETS
Beginning of the period		135,705,688			120,168,293			1,015,858,543			945,208,173

End of the period	$	134,932,212		$	135,705,688		$	1,049,446,022		$	1,015,858,543

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	500,719		$	621,993		$	(1,716,925	)	$	6,923,736

See accompanying notes to financial statements.

27 |

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.


	High Income Opportunities Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	10.66		$	10.11		$	10.92		$	10.53		$	10.35		$	9.36

Income (loss) from Investment Operations:
Net investment income(a)		0.32			0.60			0.55			0.62			0.67			0.72
Net realized and unrealized gain (loss)		0.14			0.60			(0.81	)		0.43			0.25			1.01

Total from Investment Operations		0.46			1.20			(0.26	)		1.05			0.92			1.73

Less Distributions From:
Net investment income		(0.33	)		(0.62	)		(0.55	)		(0.66	)		(0.74	)		(0.74	)
Net realized capital gains		—			(0.03	)		—			—			—			—

Total Distributions		(0.33	)		(0.65	)		(0.55	)		(0.66	)		(0.74	)		(0.74	)

Net asset value, end of the period	$	10.79		$	10.66		$	10.11		$	10.92		$	10.53		$	10.35

Total return		4.38	%(b)		12.55	%		(2.61	)%		10.01	%		9.19	%		19.24	%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	134,932		$	135,706		$	120,168		$	69,343		$	78,102		$	74,121
Net expenses(c)		—			—			—			—			—			—
Gross expenses(c)		—			—			—			—			—			—
Net investment income		5.97	%(d)		5.94	%		5.12	%		5.70	%		6.33	%		7.28	%
Portfolio turnover rate		13	%		36	%		28	%		41	%		41	%		30	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(d)

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


	Securitized Asset Fund – Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	10.57		$	10.62		$	10.73		$	10.73		$	11.39		$	11.13

Income (loss) from Investment Operations:
Net investment income(a)		0.20			0.40			0.37			0.41			0.41			0.45
Net realized and unrealized gain (loss)		(0.29	)		0.04			0.06			0.14			(0.33	)		0.55

Total from Investment Operations		(0.09	)		0.44			0.43			0.55			0.08			1.00

Less Distributions From:
Net investment income		(0.29	)		(0.49	)		(0.54	)		(0.55	)		(0.62	)		(0.54	)
Net realized capital gains		—			—			—			—			(0.12	)		(0.20	)

Total Distributions		(0.29	)		(0.49	)		(0.54	)		(0.55	)		(0.74	)		(0.74	)

Net asset value, end of the period	$	10.19		$	10.57		$	10.62		$	10.73		$	10.73		$	11.39

Total return		(0.88	)%(b)		4.27	%		4.13	%		5.25	%		0.75	%		9.42	%
Ratios to Average Net Assets:
Net assets, end of the period (000’s)	$	1,049,446		$	1,015,859		$	945,208		$	824,407		$	689,196		$	713,366
Net expenses(c)		—			—			—			—			—			—
Gross expenses(c)		—			—			—			—			—			—
Net investment income		3.85	%(d)		3.84	%		3.47	%		3.80	%		3.67	%		4.08	%
Portfolio turnover rate		155	%		306	%		272	%		260	%		244	%		230	%

(a)

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

(b)

Periods less than one year are not annualized.

(c)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

(d)

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

See accompanying notes to financial statements.

| 28

NOTES TO FINANCIAL STATEMENTS

March 31, 2017 (Unaudited)

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

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

Loomis Sayles Securitized Asset Fund (the “Securitized Asset Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by NGAM Advisors, L.P. (“NGAM Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of NGAM Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.

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

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.

29 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

As of March 31, 2017, 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	$	1,794,970		1.3%	$	94,286		0.1%
Securitized Asset Fund		2,734,053		0.3%		14,753,867		1.4%

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. 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.

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

d. Forward Foreign Currency Contracts. The Funds may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds’ investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Funds’ Statements of Assets and Liabilities. The U.S. dollar value of the currencies a Fund has committed to buy or sell represents the aggregate exposure to each currency a Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds’ or counterparty’s net obligations under the contracts.

No forward foreign currency contracts were held by the Funds during the six months ended March 31, 2017.

| 30

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

f. Swap Agreements. The Funds may enter into credit default swaps. A credit default swap is an agreement between two parties (the “protection buyer” and “protection seller”) to exchange the credit risk of an issuer (“reference obligation”) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Funds may be either the protection buyer or the protection seller. As a protection buyer, the Funds have the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Funds have the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (“fees”) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Funds may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.

Implied credit spreads, represented in absolute terms, are disclosed in the Portfolio of Investments for those agreements for which the Fund is the protection seller. Implied credit spreads serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular reference entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the reference entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

The notional amounts of swap agreements are not recorded in the financial statements. Swap agreements are valued daily, and fluctuations in value are recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on swap agreements. Fees are accrued in accordance with the terms of the agreement and are recorded in the Statements of Assets and Liabilities as fees receivable or payable. When received or paid, fees are recorded in the Statements of Operations as realized gain or loss. Upfront premiums paid or received by the Funds are recorded on the Statements of Assets and Liabilities as an asset or liability, respectively, and are amortized or accreted over the term of the agreement and recorded as realized gain or loss. Payments made or received by the Funds as a result of a credit event or termination of the agreement are recorded as realized gain or loss.

No swap agreements were held by the Funds during the six months ended March 31, 2017.

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.

31 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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 March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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, 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, 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 year ended September 30, 2016 was as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	8,164,479	$	456,629	$	8,621,108
Securitized Asset Fund		44,606,095		—		44,606,095

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

March 31, 2017 (Unaudited)

As of September 30, 2016, the capital loss carryforwards were as follows:


Capital loss carryforward:	High Income Opportunities Fund			Securitized Asset Fund
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	)

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 March 31, 2017, 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 from brokers balance in the Statement of Assets and Liabilities for Securitized Asset Fund represents cash pledged as initial margin for futures contracts. 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. 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 six months ended March 31, 2017, 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.

o. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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;

33 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

•

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

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	208,542	(b)	$	208,542
Home Construction		—		2,208,025		2	(c)		2,208,027
Non-Agency Commercial Mortgage-Backed Securities		—		976,393		574,233	(b)		1,550,626
Transportation Services		—		479,913		94,284	(c)		574,197
All Other Non-Convertible Bonds(a)		—		110,575,747		—			110,575,747

Total Non-Convertible Bonds		—		114,240,078		877,061			115,117,139

Convertible Bonds(a)		—		7,366,851		—			7,366,851

Total Bonds and Notes		—		121,606,929		877,061			122,483,990

Senior Loans(a)		—		681,384		—			681,384
Preferred Stocks
Pharmaceuticals		1,008,689		293,403		—			1,302,092
All Other Preferred Stocks(a)		—		920,607		—			920,607

Total Preferred Stocks		1,008,689		1,214,010		—			2,222,699

Common Stocks(a)		542,784		—		—			542,784

Warrants(d)		3,847		—		—			3,847
Short-Term Investments		—		7,621,481		—			7,621,481

Total	$	1,555,320	$	131,123,804	$	877,061		$	133,556,185

(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 a security fair valued at zero using Level 2 inputs.

A preferred stock valued at $285,512 was transferred from Level 1 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

| 34

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3			Total
Bonds and Notes
ABS Home Equity	$	—		$	34,824,926	$	2,489,786	(b)	$	37,314,712
ABS Student Loan		—			21,812,459		7,840,187	(c)		29,652,646
Agency Commercial Mortgage-Backed Securities		—			68,175,135		958,531	(d)		69,133,666
Collateralized Mortgage Obligations		—			224,592,524		19,207,169	(e)		243,799,693
Mortgage Related		—			502,183,428		3,342,046	(f)		505,525,474
All Other Non-Convertible Bonds(a)		—			326,608,020		—			326,608,020

Total Bonds and Notes		—			1,178,196,492		33,837,719			1,212,034,211

Short-Term Investments		—			143,308,034		—			143,308,034

Total Investments		—			1,321,504,526		33,837,719			1,355,342,245

Futures Contracts (unrealized appreciation)		207,928			—		—			207,928

Total	$	207,928		$	1,321,504,526	$	33,837,719		$	1,355,550,173

Liability Valuation Inputs
Description	Level 1			Level 2		Level 3			Total
Futures Contracts (unrealized depreciation)	$	(487,786	)	$	—	$	—		$	(487,786	)

(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 ($1,426,880) or fair valued by the Fund’s adviser ($1,062,906).

(d) Valued using broker-dealer bid prices ($770,234) or fair valued by the Fund’s adviser ($188,297).

(e) Valued using broker-dealer bid prices ($5,823,464) or fair valued by the Fund’s adviser ($13,383,705).

(f) Valued using broker-dealer bid prices ($3,223,087) or fair valued by the Fund’s adviser ($118,959).

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

High Income Opportunities Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	—	$	—		$	4,041		$	—	$	(8,928	)	$	213,429	$	—		$	208,542	$	4,041
Home Construction		4		91		(198,057	)		197,968			—		(4	)		—		—			2		—
Non-Agency Commercial Mortgage-Backed Securities		573,514		—		—			719			—		—			—		—			574,233		719
Transportation Services		113,265		—		2,657			(4,957	)		—		(16,681	)		—		—			94,284		(2,122	)
Warrants		3,336		—		—			—			—		—			—		(3,336	)		—		—

Total	$	690,119	$	91	$	(195,400	)	$	197,771		$	—	$	(25,613	)	$	213,429	$	(3,336	)	$	877,061	$	2,638

A debt security valued at $213,429 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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.

Warrants valued at $3,336 was transferred from Level 3 to Level 1 during the period ended March 31, 2017. At September 30, 2016, 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 March 31, 2017, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

35 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

Securitized Asset Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Purchases		Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,037,047	$	—	$	—		$	—		$	—	$	—		$	—	$	(5,037,047	)	$	—	$	—
ABS Home Equity		1,303,154		—		63,788			(45,330	)		1,426,880		(258,706	)		—		—			2,489,786		7,966
ABS Other		4,046,953		—		6,812			(7,518	)		—		(986,022	)		—		(3,060,225	)		—		—
ABS Student Loan		—		—		—			—			7,840,187		—			—		—			7,840,187		—
Agency Commercial Mortgage-Backed Securities		—		—		(15,277	)		(15,083	)		771,269		—			217,622		—			958,531		(15,083	)
Collateralized Mortgage Obligations		18,241,211		—		(1,930,896	)		(1,217,161	)		2,028,693		(917,210	)		4,311,789		(1,309,257	)		19,207,169		(1,231,077	)
Mortgage Related		3,754,871		—		(121,398	)		(291,427	)		—		—			—		—			3,342,046		(291,427	)
Non-Agency Commercial Mortgage-Backed Securities		5,374,722		—		(6,990	)		12,268			—		(5,380,000	)		—		—			—		—

Total	$	37,757,958	$	—	$	(2,003,961	)	$	(1,564,251	)	$	12,067,029	$	(7,541,938	)	$	4,529,411	$	(9,406,529	)	$	33,837,719	$	(1,529,621	)

Debt securities valued at $8,097,272 were transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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. At March 31, 2017, 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 $4,529,411 were transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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 $1,309,257 were transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2017, 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.

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 March 31, 2017, were as follows:

Description

Valuation
Technique(s)

Unobservable
Input

Unobservable
Input Value(s)

Value

Bonds and Notes

ABS Home Equity

Market Discount

Discount Rate¹

1.00%

1,062,906

Collateralized Mortgage Obligations

Market Discount

Discount Rate¹

2.00%

13,572,002

Mortgage Related

Market Discount

Discount Rate¹

2.00%

118,959

Total

14,753,867

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 Securitized Asset Fund used during the period include futures contracts.

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

The Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. The 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 six months ended March 31, 2017, Securitized Asset Fund used futures contracts to manage duration and to hedge against changes in interest rates.

The following is a summary of derivative instruments for Securitized Asset Fund as of March 31, 2017, as reflected within the Statements of Assets and Liabilities:


Assets		Unrealized appreciation on futures contracts¹
Exchange-traded/cleared asset derivatives
Interest rate contracts		$207,928


Liabilities		Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives
Interest rate contracts		$(487,786)

Transactions in derivative instruments for Securitized Asset Fund during the six months ended March 31, 2017 as reflected in the Statements of Operations were as follows:

Net Realized Gain (Loss) on:

Futures

contracts

Interest rate contracts

$(1,385,762)

Net Change in Unrealized

Appreciation (Depreciation) on:

Futures

contracts

Interest rate contracts

$(264,383)

The volume of 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 six months ended March 31, 2017:


Securitized Asset Fund	Futures
Average Notional Amount Outstanding		22.02%
Highest Notional Amount Outstanding		25.23%
Lowest Notional Amount Outstanding		17.51%
Notional Amount Outstanding as of March 31, 2017		23.34%

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 contracts is recorded in the Statements of Assets and Liabilities. The aggregate notional values of futures contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

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NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

instrument, the applicable Fund would incur if parties 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:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Securitized Asset Fund	$	2,033,441	$	2,033,441

5. Purchases and Sales of Securities. For the six months ended March 31, 2017, 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	$	2,048,879	$	—	$	14,705,831	$	20,044,134
Securitized Asset Fund		1,740,880,884		1,705,964,170		138,029,570		159,668,674

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis Sayles has agreed to pay, without reimbursement from the Funds or the Trust, the following expenses of the Funds: compensation to Trustees of the Trust who are not “interested persons” (as defined in the 1940 Act) of the Trust; registration, filing and other fees in connection with requirements of regulatory authorities; the charges and expenses of any entity appointed by the Funds for custodial, paying agent, shareholder servicing and plan agent services; charges and expenses of the independent registered public accounting firm retained by the Funds; charges and expenses of any transfer agents and registrars appointed by the Funds; any cost of certificates representing shares of the Funds; legal fees and expenses in connection with the day-to-day affairs of the Funds, including registering and qualifying its shares with Federal and State regulatory authorities; expenses of meetings of shareholders and Trustees of the Trust; the costs of services, including services of counsel, required in connection with the preparation of the Funds’ registration statements and prospectuses, including amendments and revisions thereto, annual, semi-annual and other periodic reports of the Funds, and notices and proxy solicitation material furnished to shareholders of the Funds or regulatory authorities, and any costs of printing or mailing these items; and the Funds’ expenses of bookkeeping, accounting and financial reporting, including related clerical expenses and all other expenses incurred; 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.

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

| 38

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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. 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. Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

8. Concentration of Risk. Securitized Asset Fund’s investments in mortgage-related and asset-backed securities are subject to certain risks not associated with investments in other securities. Mortgage-related and asset-backed securities are subject to the risk that unexpected changes in interest rates will have a direct effect on expected maturity. A shortened maturity may result in the reinvestment of prepaid amounts in securities with lower yields than the original obligations. An extended maturity may result in a reduction of a security’s value.

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2017, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 5% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 5% of an individual class of shares, and the aggregate percentage of net assets represented by such holdings were as follows:


Fund	Number of 5% Account Holders	Percentage of Ownership
High Income Opportunities Fund	2	19.74%

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


	High Income Opportunities Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,546,167		$	16,458,523			3,946,889		$	39,857,592
Issued in connection with the reinvestment of distributions		222,859			2,362,263			455,812			4,556,737
Redeemed		(1,985,276	)		(21,162,135	)		(3,569,068	)		(35,839,650	)

Increase (decrease) from capital share transactions		(216,250	)	$	(2,341,349	)		833,633		$	8,574,679

39 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)


	Securitized Asset Fund

	Six Months Ended March 31, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		18,465,166		$	189,268,078			24,907,012		$	261,801,082
Issued in connection with the reinvestment of distributions		512,914			5,261,845			657,888			6,909,793
Redeemed		(12,148,819	)		(124,266,016	)		(18,480,008	)		(194,305,118	)

Increase (decrease) from capital share transactions		6,829,261		$	70,263,907			7,084,892		$	74,405,757

| 40

LOGO

Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Semiannual Report

March 31, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			8
Financial Statements			27
Notes to Financial Statements			39

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.

Average Annual Total Returns — March 31, 2017²


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

Institutional Class (Inception 12/31/96)		10.62	%		20.11	%		11.28	%		9.18	%		—	%		0.95	%		0.95	%

Retail Class (Inception 12/31/96)		10.49			19.79			10.98			8.89			—			1.20			1.20

Class N (Inception 2/1/13)		10.67			20.19			—			—			12.22			0.83			0.83

Comparative Performance
Russell 2000^® Growth Index¹		9.11			23.03			12.10			8.06			12.42

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

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

1 |

LOOMIS SAYLES SMALL CAP VALUE FUND


Managers	Symbols
Joseph R. Gatz, CFA^®	Institutional Class	LSSCX
Jeffrey Schwartz, CFA^®	Retail Class	LSCRX
	Admin Class	LSVAX
	Class N	LSCNX

Investment Objective

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

| 2

LOOMIS SAYLES SMALL CAP VALUE FUND

Average Annual Total Returns — March 31, 2017³


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

Institutional Class (Inception 5/13/91)		12.54	%		23.27	%		12.72	%		8.15	%		—	%		0.99	%		0.96	%
Retail Class (Inception 12/31/96)		12.38			22.97			12.44			7.87			—			1.24			1.21
Admin Class (Inception 1/2/98)		12.24			22.64			12.16			7.61			—			1.48			1.45
Class N (Inception 2/1/13)		12.57			23.37			—			—			12.82			0.89			0.89

Comparative Performance
Russell 2000^® Value Index¹		13.93			29.37			12.54			6.09			11.89
Russell 2000^® Index²		11.52			26.22			12.35			7.12			12.18

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

3 |

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.

Average Annual Total Returns — March 31, 2017²


										Expense Ratios³
	6 months			1 year			Life of Fund			Gross			Net

Institutional Class (Inception 6/30/15)		10.68	%		18.73	%		4.32	%		1.75	%		0.85	%

Comparative Performance
Russell 2500^™ Growth Index¹		9.01			19.77			4.30

The Russell 2500^™ Growth Index measures the performance of the small-to-mid-cap growth segment of the US equity universe. It includes those Russell 2500 companies with higher growth earning potential as defined by Russell’s leading style methodology. The Russell 2500^™ Growth Index is constructed to provide a comprehensive and unbiased barometer of the small-to-mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-to-mid-cap opportunity set and that the represented companies continue to reflect growth characteristics. Indices are unmanaged.

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

| 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

UNDERSTANDING YOUR FUND’S EXPENSES

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

The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from October 1, 2016 through March 31, 2017. 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)

5 |

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.

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,106.20		$4.99
Hypothetical (5% return before expenses)		$1,000.00		$1,020.20		$4.78

Retail Class
Actual		$1,000.00		$1,104.90		$6.30
Hypothetical (5% return before expenses)		$1,000.00		$1,018.95		$6.04

Class N
Actual		$1,000.00		$1,106.70		$4.36
Hypothetical (5% return before expenses)		$1,000.00		$1,020.79		$4.18
* Expenses are equal to the Fund’s annualized expense ratio: 0.95%, 1.20% 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 (182), divided by 365 (to reflect the half-year period).

| 6

Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,125.40		$4.77
Hypothetical (5% return before expenses)		$1,000.00		$1,020.44		$4.53

Retail Class
Actual		$1,000.00		$1,123.80		$6.09
Hypothetical (5% return before expenses)		$1,000.00		$1,019.20		$5.79

Admin Class
Actual		$1,000.00		$1,122.40		$7.41
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.04

Class N
Actual		$1,000.00		$1,125.70		$4.40
Hypothetical (5% return before expenses)		$1,000.00		$1,020.79		$4.18
* 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 (182), divided by 365 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund


Institutional Class	Beginning Account Value 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,106.80		$4.46
Hypothetical (5% return before expenses)		$1,000.00		$1,020.69		$4.28
* 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 (182), divided by 365 (to reflect the half-year period).

7 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 98.1% of Net Assets

		Aerospace & Defense – 2.0%
	238,812	Hexcel Corp.	$	13,027,194
	226,957	Mercury Systems, Inc.(b)		8,862,671

				21,889,865

		Air Freight & Logistics – 0.8%
	426,374	Echo Global Logistics, Inc.(b)		9,103,085

		Auto Components – 3.0%
	160,188	Dorman Products, Inc.(b)		13,156,241
	313,659	Fox Factory Holding Corp.(b)		9,002,013
	112,124	LCI Industries		11,189,975

				33,348,229

		Banks – 3.9%
	216,143	Chemical Financial Corp.		11,055,714
	213,130	Pinnacle Financial Partners, Inc.		14,162,489
	118,939	PrivateBancorp, Inc.		7,061,408
	285,943	Renasant Corp.		11,349,078

				43,628,689

		Biotechnology – 3.8%
	282,327	Acorda Therapeutics, Inc.(b)		5,928,867
	318,673	Genomic Health, Inc.(b)		10,035,013
	647,928	Ironwood Pharmaceuticals, Inc.(b)		11,053,652
	498,630	Lexicon Pharmaceuticals, Inc.(b)		7,150,354
	142,308	Prothena Corp. PLC(b)		7,939,363

				42,107,249

		Building Products – 3.3%
	252,800	Apogee Enterprises, Inc.		15,069,408
	130,351	Patrick Industries, Inc.(b)		9,241,886
	175,827	Trex Co., Inc.(b)		12,200,635

				36,511,929

		Capital Markets – 2.9%
	328,770	Financial Engines, Inc.		14,317,934
	94,549	MarketAxess Holdings, Inc.		17,726,992

				32,044,926

		Commercial Services & Supplies – 1.6%
	294,788	Healthcare Services Group, Inc.		12,702,415
	190,069	Team, Inc.(b)		5,141,366

				17,843,781

		Construction & Engineering – 2.0%
	248,496	Granite Construction, Inc.		12,472,014

See accompanying notes to financial statements.

| 8

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Construction & Engineering – continued
	431,784	Primoris Services Corp.	$	10,026,025

				22,498,039

		Distributors – 1.2%
	111,048	Pool Corp.		13,251,358

		Diversified Consumer Services – 3.9%
	200,289	Bright Horizons Family Solutions, Inc.(b)		14,518,950
	211,767	Grand Canyon Education, Inc.(b)		15,164,635
	547,281	Nord Anglia Education, Inc.(b)		13,868,100

				43,551,685

		Diversified Telecommunication Services – 1.8%
	311,481	Cogent Communications Holdings, Inc.		13,409,257
	694,620	ORBCOMM, Inc.(b)		6,633,621

				20,042,878

		Electrical Equipment – 0.9%
	279,487	Generac Holdings, Inc.(b)		10,419,275

		Electronic Equipment, Instruments & Components – 2.9%
	257,243	II-VI, Inc.(b)		9,273,610
	119,728	IPG Photonics Corp.(b)		14,451,170
	287,378	Orbotech Ltd.(b)		9,267,940

				32,992,720

		Energy Equipment & Services – 1.6%
	162,197	Dril-Quip, Inc.(b)		8,847,846
	443,847	Forum Energy Technologies, Inc.(b)		9,187,633

				18,035,479

		Food Products – 1.1%
	297,421	Snyder’s-Lance, Inc.		11,989,041

		Health Care Equipment & Supplies – 9.4%
	419,468	AtriCure, Inc.(b)		8,032,812
	165,210	Inogen, Inc.(b)		12,813,688
	307,464	Insulet Corp.(b)		13,248,624
	437,128	Merit Medical Systems, Inc.(b)		12,632,999
	146,199	Neogen Corp.(b)		9,583,344
	95,768	Nevro Corp.(b)		8,973,462
	385,351	NxStage Medical, Inc.(b)		10,338,967
	471,980	Spectranetics Corp.(b)		13,746,418
	528,199	Wright Medical Group NV(b)		16,437,553

				105,807,867

		Health Care Providers & Services – 3.3%
	293,404	AMN Healthcare Services, Inc.(b)		11,912,202

See accompanying notes to financial statements.

9 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Health Care Providers & Services – continued
	362,271	HealthEquity, Inc.(b)	$	15,378,404
	402,754	Teladoc, Inc.(b)		10,068,850

				37,359,456

		Health Care Technology – 1.3%
	251,016	Medidata Solutions, Inc.(b)		14,481,113

		Hotels, Restaurants & Leisure – 4.1%
	316,503	Chuy’s Holdings, Inc.(b)		9,431,789
	567,696	Planet Fitness, Inc., Class A		10,939,502
	84,864	Vail Resorts, Inc.		16,285,402
	318,727	Wingstop, Inc.		9,013,599

				45,670,292

		Household Durables – 2.0%
	245,985	Installed Building Products, Inc.(b)		12,975,709
	141,178	iRobot Corp.(b)		9,337,513

				22,313,222

		Internet Software & Services – 7.2%
	363,108	2U, Inc.(b)		14,400,863
	286,445	Envestnet, Inc.(b)		9,252,173
	134,004	LogMeIn, Inc.		13,065,390
	274,917	Mimecast Ltd.(b)		6,155,392
	407,609	Q2 Holdings, Inc.(b)		14,205,174
	699,786	Quotient Technology, Inc.(b)		6,682,956
	256,733	Wix.com Ltd.(b)		17,432,171

				81,194,119

		IT Services – 3.4%
	333,767	Acxiom Corp.(b)		9,502,346
	180,561	Euronet Worldwide, Inc.(b)		15,441,577
	334,652	InterXion Holding NV(b)		13,238,833

				38,182,756

		Life Sciences Tools & Services – 2.0%
	370,651	Accelerate Diagnostics, Inc.(b)		8,969,754
	206,889	PRA Health Sciences, Inc.(b)		13,495,370

				22,465,124

		Machinery – 2.7%
	185,368	Astec Industries, Inc.		11,399,205
	40,555	Middleby Corp. (The)(b)		5,533,730
	133,072	RBC Bearings, Inc.(b)		12,919,960

				29,852,895

		Multiline Retail – 0.9%
	288,986	Ollie’s Bargain Outlet Holdings, Inc.(b)		9,681,031

See accompanying notes to financial statements.

| 10

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Oil, Gas & Consumable Fuels – 0.9%
	158,108	PDC Energy, Inc.(b)	$	9,858,034

		Pharmaceuticals – 2.3%
	216,819	Aclaris Therapeutics, Inc.(b)		6,465,543
	230,849	Dermira, Inc.(b)		7,874,259
	376,834	Supernus Pharmaceuticals, Inc.(b)		11,794,904

				26,134,706

		Professional Services – 1.5%
	233,862	WageWorks, Inc.(b)		16,908,223

		Semiconductors & Semiconductor Equipment – 5.9%
	230,060	Inphi Corp.(b)		11,231,529
	226,760	MKS Instruments, Inc.		15,589,750
	157,247	Monolithic Power Systems, Inc.		14,482,449
	300,811	Semtech Corp.(b)		10,167,412
	194,048	Silicon Laboratories, Inc.(b)		14,272,230

				65,743,370

		Software – 8.7%
	158,036	Blackbaud, Inc.		12,116,620
	549,361	Callidus Software, Inc.(b)		11,728,857
	190,246	CommVault Systems, Inc.(b)		9,664,497
	266,789	Guidewire Software, Inc.(b)		15,028,224
	183,096	HubSpot, Inc.(b)		11,086,463
	289,169	RealPage, Inc.(b)		10,091,998
	507,316	RingCentral, Inc., Class A(b)		14,357,043
	69,943	Ultimate Software Group, Inc. (The)(b)		13,653,573

				97,727,275

		Specialty Retail – 1.0%
	598,044	Tile Shop Holdings, Inc.		11,512,347

		Textiles, Apparel & Luxury Goods – 1.6%
	129,735	Columbia Sportswear Co.		7,621,931
	270,017	Steven Madden Ltd.(b)		10,409,156

				18,031,087

		Thrifts & Mortgage Finance – 1.0%
	321,811	Essent Group Ltd.(b)		11,639,904

		Trading Companies & Distributors – 2.2%
	209,758	Beacon Roofing Supply, Inc.(b)		10,311,703
	306,245	SiteOne Landscape Supply, Inc.(b)		14,825,321

				25,137,024


		Total Common Stocks (Identified Cost $837,484,970)		1,098,958,073

See accompanying notes to financial statements.

11 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – 2.7%
$	30,695,203	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $30,695,766 on 4/03/2017 collateralized by $32,015,000 U.S. Treasury Note, 1.250% due 3/31/2021 valued at $31,309,678 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $30,695,203)	$	30,695,203


		Total Investments – 100.8% (Identified Cost $868,180,173)(a)		1,129,653,276
		Other assets less liabilities—(0.8)%		(9,487,328	)

		Net Assets – 100.0%	$	1,120,165,948


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $868,180,173 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	$	276,320,850
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(14,847,747	)

		Net unrealized appreciation	$	261,473,103

	(b)	Non-income producing security.

See accompanying notes to financial statements.

| 12

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Growth Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Health Care Equipment & Supplies	9.4	%
Software	8.7
Internet Software & Services	7.2
Semiconductors & Semiconductor Equipment	5.9
Hotels, Restaurants & Leisure	4.1
Banks	3.9
Diversified Consumer Services	3.9
Biotechnology	3.8
IT Services	3.4
Health Care Providers & Services	3.3
Building Products	3.3
Auto Components	3.0
Electronic Equipment, Instruments & Components	2.9
Capital Markets	2.9
Machinery	2.7
Pharmaceuticals	2.3
Trading Companies & Distributors	2.2
Construction & Engineering	2.0
Life Sciences Tools & Services	2.0
Household Durables	2.0
Aerospace & Defense	2.0
Other Investments, less than 2% each	17.2
Short-Term Investments	2.7

Total Investments	100.8
Other assets less liabilities	(0.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

13 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)

	Common Stocks – 97.9% of Net Assets

		Aerospace & Defense – 2.2%
	292,757	Aerojet Rocketdyne Holdings, Inc.(b)	$	6,352,827
	257,814	BWX Technologies, Inc.		12,271,946
	185,385	DigitalGlobe, Inc.(b)		6,071,359

				24,696,132

		Auto Components – 2.9%
	121,341	Adient PLC		8,817,850
	136,200	Cooper Tire & Rubber Co.		6,040,470
	161,148	Fox Factory Holding Corp.(b)		4,624,948
	400,616	Horizon Global Corp.(b)		5,560,550
	75,666	LCI Industries		7,551,467

				32,595,285

		Banks – 18.4%
	319,894	BancorpSouth, Inc.		9,676,794
	203,931	Bank of the Ozarks, Inc.		10,606,451
	258,326	Bryn Mawr Bank Corp.		10,203,877
	322,640	Cathay General Bancorp		12,157,075
	185,322	CenterState Banks, Inc.		4,799,840
	217,763	Chemical Financial Corp.		11,138,578
	533,038	CVB Financial Corp.		11,774,809
	484,727	First Financial Bancorp		13,305,756
	150,066	First Financial Bankshares, Inc.		6,017,647
	411,049	Home BancShares, Inc.		11,127,096
	139,856	IBERIABANK Corp.		11,062,610
	168,106	LegacyTexas Financial Group, Inc.		6,707,429
	247,775	PacWest Bancorp		13,196,497
	124,735	Pinnacle Financial Partners, Inc.		8,288,641
	284,947	Popular, Inc.		11,605,891
	156,062	Prosperity Bancshares, Inc.		10,879,082
	91,261	Signature Bank(b)		13,542,220
	123,418	Texas Capital Bancshares, Inc.(b)		10,299,232
	255,353	Triumph Bancorp, Inc.(b)		6,588,107
	226,625	Wintrust Financial Corp.		15,664,320

				208,641,952

		Beverages – 0.5%
	439,837	Cott Corp.		5,436,385

		Building Products – 2.6%
	87,946	Apogee Enterprises, Inc.		5,242,461
	153,765	Armstrong World Industries, Inc.(b)		7,080,878
	146,902	Gibraltar Industries, Inc.(b)		6,052,362
	111,434	Masonite International Corp.(b)		8,831,145
	27,892	Patrick Industries, Inc.(b)		1,977,543

				29,184,389

See accompanying notes to financial statements.

| 14

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Capital Markets – 1.3%
	233,795	Donnelley Financial Solutions, Inc.(b)	$	4,509,906
	191,907	Stifel Financial Corp.(b)		9,631,812

				14,141,718

		Chemicals – 2.1%
	292,262	AdvanSix, Inc.(b)		7,984,598
	120,054	Cabot Corp.		7,192,435
	118,130	Minerals Technologies, Inc.		9,048,758

				24,225,791

		Commercial Services & Supplies – 4.5%
	94,019	Clean Harbors, Inc.(b)		5,229,337
	267,502	KAR Auction Services, Inc.		11,681,813
	294,782	Kimball International, Inc.		4,863,903
	102,095	Knoll, Inc.		2,430,882
	232,877	LSC Communications, Inc.		5,859,185
	365,020	R.R. Donnelley & Sons Co.		4,420,392
	238,745	Viad Corp.		10,791,274
	234,643	West Corp.		5,729,982

				51,006,768

		Communications Equipment – 1.6%
	243,219	ARRIS International PLC(b)		6,433,143
	343,605	Digi International, Inc.(b)		4,088,899
	709,626	Viavi Solutions, Inc.(b)		7,607,191

				18,129,233

		Construction & Engineering – 0.9%
	60,855	MYR Group, Inc.(b)		2,495,055
	219,918	Quanta Services, Inc.(b)		8,161,157

				10,656,212

		Construction Materials – 1.0%
	224,413	Summit Materials, Inc., Class A(b)		5,545,245
	94,184	U.S. Concrete, Inc.(b)		6,079,577

				11,624,822

		Consumer Finance – 0.5%
	165,854	PRA Group, Inc.(b)		5,498,060

		Distributors – 0.6%
	219,700	Core-Mark Holding Co., Inc.		6,852,443

		Diversified Consumer Services – 0.8%
	190,517	DeVry Education Group, Inc.		6,753,828
	277,662	Houghton Mifflin Harcourt Co.(b)		2,818,269

				9,572,097

See accompanying notes to financial statements.

15 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Financial Services – 0.7%
	577,201	FNFV Group(b)	$	7,647,913

		Electric Utilities – 1.2%
	200,898	ALLETE, Inc.		13,602,804

		Electrical Equipment – 0.2%
	45,465	AZZ, Inc.		2,705,167

		Electronic Equipment, Instruments & Components – 5.1%
	107,123	Belden, Inc.		7,411,840
	229,042	II-VI, Inc.(b)		8,256,964
	83,204	Kimball Electronics, Inc.(b)		1,410,308
	118,871	Littelfuse, Inc.		19,008,662
	213,702	Methode Electronics, Inc.		9,744,811
	58,638	Rogers Corp.(b)		5,035,245
	146,249	VeriFone Systems, Inc.(b)		2,739,244
	218,026	Vishay Intertechnology, Inc.		3,586,528

				57,193,602

		Energy Equipment & Services – 3.1%
	282,266	Bristow Group, Inc.		4,293,266
	202,307	C&J Energy Services, Inc.(b)		6,888,553
	240,094	Natural Gas Services Group, Inc.(b)		6,254,449
	326,184	RPC, Inc.		5,972,429
	240,166	U.S. Silica Holdings, Inc.		11,525,566

				34,934,263

		Food & Staples Retailing – 0.8%
	245,864	SpartanNash Co.		8,602,781

		Food Products – 1.8%
	311,985	Darling Ingredients, Inc.(b)		4,530,022
	27,071	J&J Snack Foods Corp.		3,669,745
	142,046	Post Holdings, Inc.(b)		12,431,866

				20,631,633

		Health Care Equipment & Supplies – 0.7%
	210,698	Halyard Health, Inc.(b)		8,025,487

		Health Care Providers & Services – 0.5%
	263,440	PharMerica Corp.(b)		6,164,496

		Hotels, Restaurants & Leisure – 3.4%
	278,250	Carrols Restaurant Group, Inc.(b)		3,937,238
	76,273	Churchill Downs, Inc.		12,115,966
	24,829	Cracker Barrel Old Country Store, Inc.		3,954,018
	130,415	Marriott Vacations Worldwide Corp.		13,032,371
	88,365	Six Flags Entertainment Corp.		5,256,834

				38,296,427

See accompanying notes to financial statements.

| 16

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Household Durables – 0.7%
	88,268	Helen of Troy Ltd.(b)	$	8,314,846

		Household Products – 0.5%
	295,958	HRG Group, Inc.(b)		5,717,909

		Industrial Conglomerates – 0.7%
	265,130	Raven Industries, Inc.		7,702,026

		Insurance – 3.6%
	125,076	Atlas Financial Holdings, Inc.(b)		1,707,287
	371,538	Employers Holdings, Inc.		14,099,867
	107,467	First American Financial Corp.		4,221,304
	172,223	ProAssurance Corp.		10,376,436
	78,516	Reinsurance Group of America, Inc., Class A		9,969,962

				40,374,856

		Internet & Direct Marketing Retail – 1.8%
	310,985	1-800-Flowers.com, Inc., Class A(b)		3,172,047
	81,135	HSN, Inc.		3,010,108
	101,668	Liberty Expedia Holdings, Inc., Series A(b)		4,623,861
	217,697	Liberty Ventures, Series A(b)		9,683,163

				20,489,179

		Internet Software & Services – 0.9%
	176,033	CommerceHub, Inc., Series C(b)		2,733,792
	92,993	IAC/InterActiveCorp(b)		6,855,444

				9,589,236

		IT Services – 4.0%
	305,516	Booz Allen Hamilton Holding Corp.		10,812,211
	92,476	CSG Systems International, Inc.		3,496,518
	90,390	DST Systems, Inc.		11,072,775
	136,906	Euronet Worldwide, Inc.(b)		11,708,201
	80,186	WEX, Inc.(b)		8,299,251

				45,388,956

		Leisure Products – 0.6%
	355,168	Nautilus, Inc.(b)		6,481,816

		Life Sciences Tools & Services – 1.2%
	336,621	Albany Molecular Research, Inc.(b)		4,722,793
	308,530	VWR Corp.(b)		8,700,546

				13,423,339

		Machinery – 4.1%
	72,415	Alamo Group, Inc.		5,517,299
	170,875	Albany International Corp., Class A		7,868,794
	65,445	Altra Industrial Motion Corp.		2,549,083

See accompanying notes to financial statements.

17 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Machinery – continued
	37,307	EnPro Industries, Inc.	$	2,654,766
	109,685	John Bean Technologies Corp.		9,646,796
	85,763	RBC Bearings, Inc.(b)		8,326,729
	98,424	Standex International Corp.		9,857,163

				46,420,630

		Marine – 0.4%
	60,154	Kirby Corp.(b)		4,243,865

		Media – 1.6%
	278,178	E.W. Scripps Co. (The), Class A(b)		6,520,492
	133,851	John Wiley & Sons, Inc., Class A		7,201,184
	353,515	National CineMedia, Inc.		4,464,895

				18,186,571

		Metals & Mining – 0.7%
	228,753	Ferroglobe PLC		2,363,019
	507,316	Ferroglobe R&W Trust(b)(c)		—
	135,487	Haynes International, Inc.		5,164,764

				7,527,783

		Multi-Utilities – 0.9%
	180,993	NorthWestern Corp.		10,624,289

		Oil, Gas & Consumable Fuels – 2.1%
	42,265	Arch Coal, Inc., Class A(b)		2,913,749
	379,508	Gulfport Energy Corp.(b)		6,523,742
	415,097	QEP Resources, Inc.(b)		5,275,883
	1,103,597	SRC Energy, Inc.(b)		9,314,359

				24,027,733

		Pharmaceuticals – 0.9%
	189,204	Akorn, Inc.(b)		4,556,032
	208,513	Catalent, Inc.(b)		5,905,088

				10,461,120

		Professional Services – 1.4%
	77,005	Insperity, Inc.		6,826,493
	293,684	Korn/Ferry International		9,248,109

				16,074,602

		REITs – Apartments – 1.5%
	179,360	American Campus Communities, Inc.		8,535,742
	82,015	Mid-America Apartment Communities, Inc.		8,344,206

				16,879,948

See accompanying notes to financial statements.

| 18

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		REITs – Health Care – 0.5%
	208,558	Sabra Healthcare REIT, Inc.	$	5,825,025

		REITs – Hotels – 0.5%
	283,562	Hersha Hospitality Trust		5,328,130

		REITs – Mortgage – 0.4%
	344,019	iStar, Inc.(b)		4,059,424

		REITs – Shopping Centers – 1.1%
	588,668	Retail Opportunity Investments Corp.		12,379,688

		REITs – Single Tenant – 0.6%
	159,592	National Retail Properties, Inc.		6,961,403

		REITs – Storage – 0.8%
	351,530	CubeSmart		9,125,719

		REITs – Warehouse/Industrials – 1.0%
	133,931	CyrusOne, Inc.		6,893,429
	203,425	Rexford Industrial Realty, Inc.		4,581,131

				11,474,560

		Road & Rail – 1.6%
	94,752	Avis Budget Group, Inc.(b)		2,802,764
	94,380	Genesee & Wyoming, Inc., Class A(b)		6,404,627
	108,812	Old Dominion Freight Line, Inc.		9,311,043

				18,518,434

		Semiconductors & Semiconductor Equipment – 2.4%
	25,360	Advanced Energy Industries, Inc.(b)		1,738,682
	190,133	Mellanox Technologies Ltd.(b)		9,687,276
	132,532	Semtech Corp.(b)		4,479,581
	367,420	Teradyne, Inc.		11,426,762

				27,332,301

		Software – 1.3%
	253,259	Synchronoss Technologies, Inc.(b)		6,179,519
	183,706	Verint Systems, Inc.(b)		7,968,248

				14,147,767

		Specialty Retail – 1.4%
	152,653	Camping World Holdings, Inc., Class��A		4,921,533
	135,400	Genesco, Inc.(b)		7,507,930
	161,351	Sally Beauty Holdings, Inc.(b)		3,298,014

				15,727,477

		Technology Hardware, Storage & Peripherals – 0.3%
	172,209	Cray, Inc.(b)		3,771,377

See accompanying notes to financial statements.

19 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Thrifts & Mortgage Finance – 1.0%
	131,644	Federal Agricultural Mortgage Corp., Class C	$	7,578,745
	137,964	OceanFirst Financial Corp.		3,887,136

				11,465,881


		Total Common Stocks (Identified Cost $749,789,043)		1,108,111,750


	Closed-End Investment Companies – 0.6%
	462,007	Hercules Capital, Inc. (Identified Cost $6,009,463)		6,990,166


	Principal Amount

	Short-Term Investments – 1.7%
$	19,315,329	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $19,315,683 on 4/03/2017 collateralized by $20,195,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $19,704,423 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $19,315,329)		19,315,329


		Total Investments – 100.2% (Identified Cost $775,113,835)(a)		1,134,417,245
		Other assets less liabilities—(0.2)%		(1,994,989	)

		Net Assets – 100.0%	$	1,132,422,256


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $775,113,835 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	$	392,900,320
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(33,596,910	)

		Net unrealized appreciation	$	359,303,410

	(b)	Non-income producing security.
	(c)	Illiquid security.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 20

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Banks	18.4	%
Electronic Equipment, Instruments & Components	5.1
Commercial Services & Supplies	4.5
Machinery	4.1
IT Services	4.0
Insurance	3.6
Hotels, Restaurants & Leisure	3.4
Energy Equipment & Services	3.1
Auto Components	2.9
Building Products	2.6
Semiconductors & Semiconductor Equipment	2.4
Aerospace & Defense	2.2
Chemicals	2.1
Oil, Gas & Consumable Fuels	2.1
Other Investments, less than 2% each	38.0
Short-Term Investments	1.7

Total Investments	100.2
Other assets less liabilities	(0.2	)

Net Assets	100.0	%

See accompanying notes to financial statements.

21 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.7% of Net Assets

		Aerospace & Defense – 3.3%
	1,883	HEICO Corp.	$	164,197
	2,992	Hexcel Corp.		163,214
	318	TransDigm Group, Inc.		70,011

				397,422

		Air Freight & Logistics – 1.4%
	3,565	XPO Logistics, Inc.(b)		170,728

		Auto Components – 1.2%
	1,385	LCI Industries		138,223

		Banks – 4.2%
	3,219	Columbia Banking System, Inc.		125,509
	1,118	First Republic Bank		104,880
	4,759	Home BancShares, Inc.		128,826
	2,982	Western Alliance Bancorp(b)		146,386

				505,601

		Biotechnology – 2.8%
	9,482	Ironwood Pharmaceuticals, Inc.(b)		161,763
	2,026	Neurocrine Biosciences, Inc.(b)		87,726
	1,582	Prothena Corp. PLC(b)		88,259

				337,748

		Building Products – 1.3%
	1,704	American Woodmark Corp.(b)		156,427

		Capital Markets – 5.6%
	1,761	CBOE Holdings, Inc.		142,764
	961	MarketAxess Holdings, Inc.		180,178
	1,400	MSCI, Inc.		136,066
	2,532	SEI Investments Co.		127,714
	1,634	Stifel Financial Corp.(b)		82,011

				668,733

		Commercial Services & Supplies – 3.8%
	3,812	Healthcare Services Group, Inc.		164,259
	3,405	KAR Auction Services, Inc.		148,696
	4,375	Ritchie Bros. Auctioneers, Inc.		143,938

				456,893

		Diversified Consumer Services – 4.7%
	2,415	Bright Horizons Family Solutions, Inc.(b)		175,064
	2,589	Grand Canyon Education, Inc.(b)		185,398
	7,845	Nord Anglia Education, Inc.(b)		198,792

				559,254

See accompanying notes to financial statements.

| 22

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Telecommunication Services – 1.5%
	4,169	Cogent Communications Holdings, Inc.	$	179,475

		Electrical Equipment – 3.1%
	567	Acuity Brands, Inc.		115,668
	3,723	Generac Holdings, Inc.(b)		138,794
	2,790	Sensata Technologies Holding NV(b)		121,839

				376,301

		Electronic Equipment, Instruments & Components – 3.7%
	566	Coherent, Inc.(b)		116,392
	4,792	National Instruments Corp.		156,028
	5,445	Trimble, Inc.(b)		174,294

				446,714

		Energy Equipment & Services – 1.6%
	1,892	Dril-Quip, Inc.(b)		103,208
	2,758	Oil States International, Inc.(b)		91,428

				194,636

		Health Care Equipment & Supplies – 9.4%
	1,680	Align Technology, Inc.(b)		192,713
	1,257	Cantel Medical Corp.		100,686
	1,774	DexCom, Inc.(b)		150,311
	5,546	Merit Medical Systems, Inc.(b)		160,279
	1,200	Penumbra, Inc.(b)		100,140
	1,282	STERIS PLC		89,048
	1,287	West Pharmaceutical Services, Inc.		105,032
	7,278	Wright Medical Group NV(b)		226,491

				1,124,700

		Health Care Providers & Services – 4.1%
	4,025	HealthEquity, Inc.(b)		170,861
	1,271	MEDNAX, Inc.(b)		88,182
	645	VCA, Inc.(b)		59,018
	1,247	WellCare Health Plans, Inc.(b)		174,842

				492,903

		Health Care Technology – 2.3%
	2,903	Cotiviti Holdings, Inc.(b)		120,852
	3,057	Veeva Systems, Inc., Class A(b)		156,763

				277,615

		Hotels, Restaurants & Leisure – 6.4%
	2,240	Dunkin’ Brands Group, Inc.		122,483
	619	Panera Bread Co., Class A(b)		162,098
	7,877	Planet Fitness, Inc., Class A		151,790
	2,164	Six Flags Entertainment Corp.		128,736

See accompanying notes to financial statements.

23 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Hotels, Restaurants & Leisure – continued
	1,040	Vail Resorts, Inc.	$	199,576

				764,683

		Internet Software & Services – 3.3%
	732	CoStar Group, Inc.(b)		151,685
	4,571	GTT Communications, Inc.(b)		111,304
	1,498	j2 Global, Inc.		125,697

				388,686

		IT Services – 4.3%
	2,546	Black Knight Financial Services, Inc., Class A(b)		97,512
	4,295	Booz Allen Hamilton Holding Corp.		152,000
	1,772	Broadridge Financial Solutions, Inc.		120,407
	1,351	Gartner, Inc.(b)		145,895

				515,814

		Leisure Products – 1.2%
	2,283	Brunswick Corp.		139,720

		Life Sciences Tools & Services – 1.3%
	1,956	ICON PLC(b)		155,932

		Machinery – 5.6%
	3,125	Altra Industrial Motion Corp.		121,719
	1,197	Middleby Corp. (The)(b)		163,331
	3,120	Sun Hydraulics Corp.		112,663
	2,378	Toro Co. (The)		148,530
	1,006	WABCO Holdings, Inc.(b)		118,124

				664,367

		Media – 1.4%
	5,326	Live Nation Entertainment, Inc.(b)		161,751

		Oil, Gas & Consumable Fuels – 2.2%
	1,370	Diamondback Energy, Inc.(b)		142,090
	3,687	Parsley Energy, Inc., Class A(b)		119,864

				261,954

		Professional Services – 1.3%
	3,927	TransUnion(b)		150,600

		Real Estate Management & Development – 1.3%
	2,540	First Service Corp.		153,162

		Semiconductors & Semiconductor Equipment – 3.9%
	2,374	Advanced Energy Industries, Inc.(b)		162,761
	2,892	MACOM Technology Solutions Holdings, Inc.(b)		139,684
	2,300	Silicon Laboratories, Inc.(b)		169,165

				471,610

See accompanying notes to financial statements.

| 24

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Software – 8.0%
	1,997	Blackbaud, Inc.	$	153,110
	7,420	Callidus Software, Inc.(b)		158,417
	2,796	Guidewire Software, Inc.(b)		157,499
	2,610	HubSpot, Inc.(b)		158,035
	1,590	Paylocity Holding Corp.(b)		61,422
	2,248	PTC, Inc.(b)		118,132
	742	Ultimate Software Group, Inc. (The)(b)		144,846

				951,461

		Specialty Retail – 1.0%
	3,654	Camping World Holdings, Inc., Class A		117,805

		Textiles, Apparel & Luxury Goods – 0.8%
	1,579	Columbia Sportswear Co.		92,766

		Trading Companies & Distributors – 0.7%
	3,950	BMC Stock Holdings, Inc.(b)		89,270


		Total Common Stocks (Identified Cost $9,682,155)		11,562,954


	Principal Amount

	Short-Term Investments – 3.0%
$	357,926	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $357,932 on 4/03/2017 collateralized by $375,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $365,891 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $357,926)		357,926


		Total Investments – 99.7% (Identified Cost $10,040,081)(a)		11,920,880
		Other assets less liabilities—0.3%		31,806

		Net Assets – 100.0%	$	11,952,686


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):
		At March 31, 2017, the net unrealized appreciation on investments based on a cost of $10,040,081 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	$	1,969,039
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(88,240	)

		Net unrealized appreciation	$	1,880,799

	(b)	Non-income producing security.

See accompanying notes to financial statements.

25 |

PORTFOLIO OF INVESTMENTS – as of March 31, 2017 (Unaudited)

Loomis Sayles Small/Mid Cap Growth Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Health Care Equipment & Supplies	9.4	%
Software	8.0
Hotels, Restaurants & Leisure	6.4
Capital Markets	5.6
Machinery	5.6
Diversified Consumer Services	4.7
IT Services	4.3
Banks	4.2
Health Care Providers & Services	4.1
Semiconductors & Semiconductor Equipment	3.9
Commercial Services & Supplies	3.8
Electronic Equipment, Instruments & Components	3.7
Aerospace & Defense	3.3
Internet Software & Services	3.3
Electrical Equipment	3.1
Biotechnology	2.8
Health Care Technology	2.3
Oil, Gas & Consumable Fuels	2.2
Other Investments, less than 2% each	16.0
Short-Term Investments	3.0

Total Investments	99.7
Other assets less liabilities	0.3

Net Assets	100.0	%

See accompanying notes to financial statements.

| 26

STATEMENTS OF ASSETS AND LIABILITIES

March 31, 2017 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
ASSETS
Investments at cost	$	868,180,173		$	775,113,835	$	10,040,081
Net unrealized appreciation		261,473,103			359,303,410		1,880,799

Investments at value		1,129,653,276			1,134,417,245		11,920,880
Receivable for Fund shares sold		1,190,593			27,579,322		97,735
Receivable for securities sold		2,884,142			308,585		134,666
Dividends and interest receivable		200,066			932,484		4,014
Prepaid expenses (Note 7)		467			461		6

TOTAL ASSETS		1,133,928,544			1,163,238,097		12,157,301

LIABILITIES
Payable for securities purchased		7,744,891			2,927,449		161,699
Payable for Fund shares redeemed		5,029,971			26,878,709		—
Management fees payable (Note 5)		729,404			713,730		986
Deferred Trustees’ fees (Note 5)		133,164			192,363		13,694
Administrative fees payable (Note 5)		42,566			43,482		432
Payable to distributor (Note 5d)		13,399			10,748		3
Other accounts payable and accrued expenses		69,201			49,360		27,801

TOTAL LIABILITIES		13,762,596			30,815,841		204,615

NET ASSETS	$	1,120,165,948		$	1,132,422,256	$	11,952,686

NET ASSETS CONSIST OF:
Paid-in capital	$	810,287,468		$	718,240,578	$	10,807,761
Undistributed (Distributions in excess of) net investment income/Accumulated net investment loss		(6,043,964	)		759,877		(33,345	)
Accumulated net realized gain (loss) on investments		54,449,341			54,118,391		(702,529	)
Net unrealized appreciation on investments		261,473,103			359,303,410		1,880,799

NET ASSETS	$	1,120,165,948		$	1,132,422,256	$	11,952,686


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	793,206,861		$	720,380,110	$	11,952,686

Shares of beneficial interest		32,545,913			20,502,414		1,112,376

Net asset value, offering and redemption price per share	$	24.37		$	35.14	$	10.75

Retail Class:
Net assets	$	105,780,117		$	275,820,549	$	—

Shares of beneficial interest		4,646,564			7,954,809		—

Net asset value, offering and redemption price per share	$	22.77		$	34.67	$	—

Admin Class shares:
Net assets	$	—		$	32,772,927	$	—

Shares of beneficial interest		—			977,282		—

Net asset value, offering and redemption price per share	$	—		$	33.53	$	—

Class N shares:
Net assets	$	221,178,970		$	103,448,670	$	—

Shares of beneficial interest		9,037,320			2,942,543		—

Net asset value, offering and redemption price per share	$	24.47		$	35.16	$	—

See accompanying notes to financial statements.

27 |

STATEMENTS OF OPERATIONS

For the Six Months Ended March 31, 2017 (Unaudited)


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
INVESTMENT INCOME
Dividends	$	2,415,500		$	8,108,470		$	59,611
Interest		6,186			4,277			91
Less net foreign taxes withheld		—			(19,315	)		(332	)

		2,421,686			8,093,432			59,370

Expenses
Management fees (Note 5)		4,097,055			4,138,728			45,092
Service and distribution fees (Note 5)		138,258			447,058			—
Administrative fees (Note 5)		244,248			246,760			2,688
Trustees’ fees and expenses (Note 5)		27,908			31,180			9,353
Transfer agent fees and expenses (Notes 5 and 6)		574,446			519,813			470
Audit and tax services fees		19,257			19,704			19,509
Custodian fees and expenses		19,661			15,460			2,701
Legal fees		11,341			11,384			130
Registration fees		40,423			57,301			6,423
Shareholder reporting expenses		29,612			40,135			899
Miscellaneous expenses (Note 7)		25,752			25,900			5,673

Total expenses		5,227,961			5,553,423			92,938
Less waiver and/or expense reimbursement (Note 5)		—			(168,529	)		(41,834	)

Net expenses		5,227,961			5,384,894			51,104

Net investment income (loss)		(2,806,275	)		2,708,538			8,266


NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		62,242,680			64,261,042			409,925

Net change in unrealized appreciation (depreciation) on:
Investments		48,960,605			60,224,577			820,193

Net realized and unrealized gain on investments		111,203,285			124,485,619			1,230,118


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	108,397,010		$	127,194,157		$	1,238,384

See accompanying notes to financial statements.

| 28

STATEMENTS OF CHANGES IN NET ASSETS


	Small Cap Growth Fund						Small Cap Value Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income (loss)	$	(2,806,275	)	$	(4,723,031	)	$	2,708,538		$	4,590,712
Net realized gain (loss) on investments		62,242,680			(7,969,145	)		64,261,042			95,614,322
Net change in unrealized appreciation (depreciation) on investments		48,960,605			88,312,376			60,224,577			60,726,807

Net increase in net assets resulting from operations		108,397,010			75,620,200			127,194,157			160,931,841

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		—			—			(2,669,796	)		(4,437,216	)
Retail Class		—			—			(383,151	)		(1,004,613	)
Admin Class		—			—			—			(29,796	)
Class N		—			—			(394,109	)		(305,471	)
Net realized capital gains
Institutional Class		—			(60,491,317	)		(52,752,875	)		(64,722,294	)
Retail Class		—			(11,886,045	)		(20,871,880	)		(27,186,960	)
Admin Class		—			—			(3,598,566	)		(4,490,438	)
Class N		—			(13,284,984	)		(6,619,873	)		(3,940,507	)

Total distributions		—			(85,662,346	)		(87,290,250	)		(106,117,295	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(116,017,026	)		11,449,327			57,776,268			(76,857,263	)

Net increase (decrease) in net assets		(7,620,016	)		1,407,181			97,680,175			(22,042,717	)
NET ASSETS
Beginning of the period		1,127,785,964			1,126,378,783			1,034,742,081			1,056,784,798

End of the period	$	1,120,165,948		$	1,127,785,964		$	1,132,422,256		$	1,034,742,081

ACCUMULATED NET INVESTMENT LOSS/UNDISTRIBUTED NET INVESTMENT INCOME	$	(6,043,964	)	$	(3,237,689	)	$	759,877		$	1,498,395

See accompanying notes to financial statements.

29 |

STATEMENTS OF CHANGES IN NET ASSETS – continued


	Small/Mid Cap Growth Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income (loss)	$	8,266		$	(23,360	)
Net realized gain (loss) on investments		409,925			(943,201	)
Net change in unrealized appreciation (depreciation) on investments		820,193			1,835,053

Net increase in net assets resulting from operations		1,238,384			868,492

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(22,881	)		—
Retail Class		—			—
Admin Class		—			—
Class N		—			—
Net realized capital gains
Institutional Class		—			—
Retail Class		—			—
Admin Class		—			—
Class N		—			—

Total distributions		(22,881	)		—

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(1,237,240	)		1,863,761

Net increase (decrease) in net assets		(21,737	)		2,732,253

NET ASSETS
Beginning of the period		11,974,423			9,242,170

End of the period	$	11,952,686		$	11,974,423

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ ACCUMULATED NET INVESTMENT LOSS	$	(33,345	)	$	(18,730	)

See accompanying notes to financial statements.

| 30

FINANCIAL HIGHLIGHTS

For a share outstanding throughout each period.


	Small Cap Growth Fund—Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	22.03		$	22.22		$	24.27		$	26.35		$	19.17		$	15.06

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.06	)		(0.09	)		(0.14	)		(0.16	)(b)		(0.15	)(c)		(0.14	)
Net realized and unrealized gain (loss)		2.40			1.59			1.63			(0.09	)		7.33			4.25

Total from Investment Operations		2.34			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	$	24.37		$	22.03		$	22.22		$	24.27		$	26.35		$	19.17

Total return		10.62	%(d)		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)	$	793,207		$	812,383		$	800,883		$	852,131		$	914,000		$	599,469
Net expenses		0.95	%(e)		0.95	%		0.94	%		0.94	%		0.94	%		0.95	%
Gross expenses		0.95	%(e)		0.95	%		0.94	%		0.94	%		0.94	%		0.95	%
Net investment loss		(0.51	)%(e)		(0.41	)%		(0.57	)%		(0.63	)%(b)		(0.70	)%(c)		(0.79	)%
Portfolio turnover rate		26	%		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)%.

(d)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

31 |

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Retail Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	20.61		$	20.93		$	23.10		$	25.23		$	18.41		$	14.52

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.08	)		(0.13	)		(0.19	)		(0.22	)(b)		(0.20	)(c)		(0.19	)
Net realized and unrealized gain (loss)		2.24			1.50			1.56			(0.08	)		7.02			4.08

Total from Investment Operations		2.16			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	$	22.77		$	20.61		$	20.93		$	23.10		$	25.23		$	18.41

Total return		10.49	%(d)		6.61	%		5.58	%		(1.58	)%(b)		37.05	%(c)		26.79	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	105,780		$	118,670		$	162,906		$	175,393		$	211,724		$	229,822
Net expenses		1.20	%(f)		1.20	%		1.19	%		1.21	%		1.25	%(g)		1.25	%(h)
Gross expenses		1.20	%(f)		1.20	%		1.19	%		1.21	%		1.25	%(g)		1.28	%
Net investment loss		(0.75	)%(f)		(0.66	)%		(0.82	)%		(0.90	)%(b)		(0.99	)%(c)		(1.09	)%
Portfolio turnover rate		26	%		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)	Periods less than one year are not annualized.

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

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

(g)	Includes fee/expense recovery of 0.01%.

(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.

See accompanying notes to financial statements.

| 32

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Class N
	Six Months Ended March 31, 2017 (Unaudited)			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	$	22.11		$	22.27		$	24.29		$	26.36		$	20.22

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.05	)		(0.06	)		(0.12	)		(0.14	)(b)		(0.11	)
Net realized and unrealized gain (loss)		2.41			1.59			1.64			(0.10	)		6.25

Total from Investment Operations		2.36			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	$	24.47		$	22.11		$	22.27		$	24.29		$	26.36

Total return		10.67	%(c)		7.05	%		5.92	%		(1.27	)%(b)		30.37	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	221,179		$	196,733		$	162,591		$	15,080		$	7,580
Net expenses		0.83	%(d)		0.83	%		0.83	%		0.83	%		0.83	%(d)
Gross expenses		0.83	%(d)		0.83	%		0.83	%		0.83	%		0.83	%(d)
Net investment loss		(0.40	)%(d)		(0.29	)%		(0.51	)%		(0.53	)%(b)		(0.63	)%(d)
Portfolio turnover rate		26	%		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.

33 |

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	33.78		$	32.19		$	36.40		$	37.42		$	29.14		$	22.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.10			0.17			0.27			0.20			0.20			0.21
Net realized and unrealized gain (loss)		4.16			4.82			0.49			2.18			8.41			6.62

Total from Investment Operations		4.26			4.99			0.76			2.38			8.61			6.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.22	)		(0.22	)		(0.10	)		(0.30	)		(0.05	)
Net realized capital gains		(2.76	)		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(2.90	)		(3.40	)		(4.97	)		(3.40	)		(0.33	)		(0.05	)

Net asset value, end of the period	$	35.14		$	33.78		$	32.19		$	36.40		$	37.42		$	29.14

Total return		12.54	%(b)(c)		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)	$	720,380		$	654,501		$	666,107		$	730,901		$	733,512		$	572,776
Net expenses		0.90	%(d)(e)		0.90	%(e)		0.90	%(e)		0.90	%(e)		0.90	%(e)		0.90	%(f)
Gross expenses		0.93	%(d)		0.93	%		0.92	%		0.91	%		0.91	%		0.90	%(f)
Net investment income		0.57	%(d)		0.52	%		0.75	%		0.53	%		0.61	%		0.76	%
Portfolio turnover rate		13	%		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)	Periods less than one year are not annualized.

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

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

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

See accompanying notes to financial statements.

| 34

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Retail Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	33.33		$	31.78		$	35.98		$	37.03		$	28.84		$	22.14

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05			0.08			0.18			0.10			0.12			0.13
Net realized and unrealized gain (loss)		4.10			4.77			0.48			2.16			8.32			6.57

Total from Investment Operations		4.15			4.85			0.66			2.26			8.44			6.70

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(0.12	)		(0.11	)		(0.01	)		(0.22	)		—
Net realized capital gains		(2.76	)		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(2.81	)		(3.30	)		(4.86	)		(3.31	)		(0.25	)		—

Net asset value, end of the period	$	34.67		$	33.33		$	31.78		$	35.98		$	37.03		$	28.84

Total return(b)		12.38	%(c)		16.47	%		0.94	%		5.90	%		29.48	%		30.26	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	275,821		$	267,936		$	306,360		$	358,698		$	403,475		$	343,480
Net expenses(d)		1.15	%(e)		1.15	%		1.15	%		1.15	%		1.15	%		1.15	%
Gross expenses		1.18	%(e)		1.18	%		1.17	%		1.20	%		1.22	%		1.22	%
Net investment income		0.31	%(e)		0.27	%		0.50	%		0.28	%		0.37	%		0.49	%
Portfolio turnover rate		13	%		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)	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.

35 |

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Admin Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	32.31		$	30.88		$	35.06		$	36.24		$	28.22		$	21.72

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.01			0.01			0.09			0.01			0.04			0.06
Net realized and unrealized gain (loss)		3.97			4.62			0.48			2.11			8.15			6.44

Total from Investment Operations		3.98			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		(2.76	)		(3.18	)		(4.75	)		(3.30	)		(0.03	)		—

Total Distributions		(2.76	)		(3.20	)		(4.75	)		(3.30	)		(0.17	)		—

Net asset value, end of the period	$	33.53		$	32.31		$	30.88		$	35.06		$	36.24		$	28.22

Total return(c)		12.24	%(d)		16.19	%		0.71	%		5.63	%		29.17	%		29.93	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	32,773		$	43,973		$	45,762		$	61,791		$	74,892		$	67,853
Net expenses(e)		1.40	%(f)		1.39	%(g)		1.38	%(h)		1.40	%		1.40	%		1.40	%
Gross expenses		1.43	%(f)		1.42	%(g)		1.40	%(h)		1.51	%		1.52	%		1.52	%
Net investment income		0.08	%(f)		0.03	%		0.28	%		0.02	%		0.11	%		0.24	%
Portfolio turnover rate		13	%		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)	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)	Includes refund of prior year service fee of 0.01%.

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

See accompanying notes to financial statements.

| 36

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Class N
	Six Months Ended March 31, 2017 (Unaudited)			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	$	33.81		$	32.22		$	36.44		$	37.44		$	32.08

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.19			0.27			0.23			0.06
Net realized and unrealized gain (loss)		4.16			4.83			0.50			2.18			5.30

Total from Investment Operations		4.27			5.02			0.77			2.41			5.36

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.25	)		(0.24	)		(0.11	)		—
Net realized capital gains		(2.76	)		(3.18	)		(4.75	)		(3.30	)		—

Total Distributions		(2.92	)		(3.43	)		(4.99	)		(3.41	)		—

Net asset value, end of the period	$	35.16		$	33.81		$	32.22		$	36.44		$	37.44

Total return		12.57	%(b)		16.84	%		1.25	%		6.25	%(c)		16.71	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	103,449		$	68,332		$	38,555		$	2,568		$	1
Net expenses		0.83	%(d)		0.83	%		0.83	%(e)		0.85	%(f)		0.85	%(d)(f)
Gross expenses		0.83	%(d)		0.83	%		0.83	%(e)		0.89	%		14.45	%(d)
Net investment income		0.65	%(d)		0.61	%		0.76	%		0.60	%		0.27	%(d)
Portfolio turnover rate		13	%		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)	Periods less than one year are not annualized.

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

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

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

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

See accompanying notes to financial statements.

37 |

FINANCIAL HIGHLIGHTS – continued

For a share outstanding throughout each period.


	Small/Mid Cap Growth Fund— Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Period Ended September 30, 2015*
Net asset value, beginning of the period	$	9.73		$	9.05		$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		0.01			(0.02	)		(0.01	)
Net realized and unrealized gain (loss)		1.03			0.70			(0.94	)

Total from Investment Operations		1.04			0.68			(0.95	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		—			—
Net realized capital gains		—			—			—

Total Distributions		(0.02	)		—			—

Net asset value, end of the period	$	10.75		$	9.73		$	9.05

Total return(b)		10.68	%(c)		7.51	%		(9.50	)%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	11,953		$	11,974		$	9,242
Net expenses(d)		0.85	%(e)		0.85	%		0.85	%(e)
Gross expenses		1.55	%(e)		1.75	%		2.65	%(e)
Net investment income (loss)		0.14	%(e)		(0.22	)%		(0.53	)%(e)
Portfolio turnover rate		28	%		53	%		14	%

*	From commencement of operations on June 30, 2015 through September 30, 2015.

(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)	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.

| 38

NOTES TO FINANCIAL STATEMENTS

March 31, 2017 (Unaudited)

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

Loomis Sayles Funds I:

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

Loomis Sayles Funds II:

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

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

Each Fund is a diversified investment company.

Small Cap Growth Fund and Small Cap Value Fund were closed to new investors effective September 14, 2012 and September 15, 2008, respectively. Small Cap Growth Fund and Small Cap Value Fund continue to offer Institutional Class, Retail Class and Class N shares to existing investors and Small Cap Value Fund continues to offer Admin Class shares to existing investors.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000 for Small Cap Growth Fund and Small Cap Value Fund and $1,000,000 for Small/Mid Cap Growth Fund. Certain categories of investors are exempted from the minimum investment amounts for Class N and Institutional Class as outlined in the relevant 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 and Natixis ETF 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 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.

39 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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.

| 40

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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.

41 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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.

d. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years, where applicable, remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

| 42

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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, redemption-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 year ended September 30, 2016 was as follows:


	2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	85,662,346	$	85,662,346
Small Cap Value Fund		7,118,205		98,999,090		106,117,295
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.

As of September 30, 2016, the capital loss carryforwards and late-year ordinary and post-October capital loss deferrals were as follows:


	Small Cap Growth Fund			Small Cap Value Fund		Small/Mid Cap Growth Fund
Capital loss carryforward:
Short-term:
No expiration date	$	(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	)

*	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.

43 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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 March 31, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

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

For the six months ended March 31, 2017, 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.

| 44

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

i. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

•

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

•

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

The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,098,958,073	$	—	$	—	$	1,098,958,073
Short-Term Investments		—		30,695,203		—		30,695,203

Total	$	1,098,958,073	$	30,695,203	$	—	$	1,129,653,276

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

45 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,108,111,750	$	—	$	—	$	1,108,111,750
Closed-End Investment Companies		6,990,166		—		—		6,990,166
Short-Term Investments		—		19,315,329		—		19,315,329

Total	$	1,115,101,916	$	19,315,329	$	—	$	1,134,417,245

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

For the six months ended March 31, 2017, 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)	$	11,562,954	$	—	$	—	$	11,562,954
Short-Term Investments		—		357,926		—		357,926

Total	$	11,562,954	$	357,926	$	—	$	11,920,880

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

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

4. Purchases and Sales of Securities. For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	280,999,382	$	384,045,334
Small Cap Value Fund		144,802,343		176,047,649
Small/Mid Cap Growth Fund		3,240,307		4,535,479

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%

| 46

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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, 2018, may be terminated before then only with the consent of the Funds’ Board of Trustees and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statement of Assets and Liabilities as receivable from investment adviser.

For the six months ended March 31, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements were as follows:


	Expense Limit as a Percentage of Average Daily Net Assets
Fund	Institutional Class	Retail Class	Admin Class	Class N
Small Cap Growth Fund	1.00%	1.25%	—	0.95%
Small Cap Value Fund	0.90%	1.15%	1.40%	0.85%
Small/Mid Cap Growth Fund	0.85%	—	—	—

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

For the six months ended March 31, 2017, the management fees for each Fund were as follows:


	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Percentage of Average Daily Net Assets
Fund	Gross Management Fees		Contractual Waivers of Management Fees¹		Net Management Fees		Gross		Net
Small Cap Growth Fund	$	4,097,055	$	—	$	4,097,055		0.75%		0.75%
Small Cap Value Fund		4,138,728		—		4,138,728		0.75%		0.75%
Small/Mid Cap Growth Fund		45,092		41,834		3,258		0.75%		0.05%

For the six months ended March 31, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class	Retail Class	Admin Class	Class N	Total
Small Cap Value Fund	$116,520	$45,818	$6,191	$ —	$168,529

¹ Waivers/expense reimbursements are subject to possible recovery until September 30, 2018.

47 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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 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.

| 48

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, 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	$	—	$	138,258	$	—
Small Cap Value Fund		51,105		344,848		51,105

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Small Cap Growth Fund	$	244,248
Small Cap Value Fund		246,760
Small/Mid Cap Growth Fund		2,688

49 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, 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	$	562,098
Small Cap Value Fund		500,991
Small/Mid Cap Growth Fund		127


Fund	Reimbursements of Sub-Transfer Agent Fees
Small Cap Growth Fund	$	13,399
Small Cap Value Fund		10,748
Small/Mid Cap Growth Fund		3

Sub-transfer agent fees attributable to Institutional Class, Retail Class and Admin Class are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes.

e. Trustees Fees and Expenses. The Trusts do not pay any compensation directly to their officers or Trustees who are directors, officers or employees of NGAM Advisors, NGAM Distribution, Natixis US or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $325,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that she attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $155,000. Each Independent Trustee also receives a meeting attendance fee of $10,000 for each meeting of the Board of Trustees that he or she attends in person and $5,000 for each meeting of the Board of Trustees that he or she attends telephonically. In addition, the chairperson of the Contract Review Committee and the chairperson of the Audit Committee each receive an additional retainer fee at the annual rate of $17,500. The chairperson of the Governance Committee receives an additional retainer fee at the annual rate of $10,000. Each Contract Review Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. Each Audit Committee member is compensated $6,000 for each Committee meeting that he or she attends in person and $3,000 for each meeting that he or she attends telephonically. These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

| 50

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

f. Affiliated Ownership. As of March 31, 2017, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”) 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	Pension Plan		Retirement Plan		Natixis US		Total Affiliated Ownership
Small Cap Growth Fund		0.60%		1.47%		—		2.07%
Small Cap Value Fund		1.03%		2.66%		—		3.69%
Small/Mid Cap Growth		—		12.54%		72.72%		85.26%

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

6. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2017, 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	$	502,796	$	71,142	$	—	$	508
Small Cap Value Fund		357,638		141,019		20,925		231

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. 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

51 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

8. Brokerage Commission Recapture. Each Fund has entered into agreements with certain brokers whereby the brokers will rebate a portion of brokerage commissions. All amounts rebated by the brokers are returned to the Funds under such agreements and are included in realized gains on investments in the Statements of Operations. For the six months ended March 31, 2017, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	20,910
Small Cap Value Fund		20,630
Small/Mid Cap Growth Fund		286

9. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of March 31, 2017, 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		30.96%		—		30.96%
Small Cap Value Fund		2		20.89%		—		20.89%
Small/Mid Cap Growth		—		—		72.72%		72.72%

| 52

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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


	Small Cap Growth Fund
	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,259,665		$	52,060,167			7,447,055		$	155,701,856
Issued in connection with the reinvestment of distributions		—			—			2,716,857			58,412,420
Redeemed		(6,585,220	)		(149,321,264	)		(9,612,542	)		(201,629,117	)
Subscription in-kind (Note 11)		—			—			277,161			5,698,438

Net change		(4,325,555	)	$	(97,261,097	)		828,531		$	18,183,597

Retail Class
Issued from the sale of shares		374,025		$	8,097,266			935,456		$	18,282,313
Issued in connection with the reinvestment of distributions		—			—			588,964			11,867,620
Redeemed		(1,486,418	)		(31,676,219	)		(3,547,121	)		(71,211,754	)

Net change		(1,112,393	)	$	(23,578,953	)		(2,022,701	)	$	(41,061,821	)

Class N
Issued from the sale of shares		1,696,360		$	39,192,872			3,494,879		$	74,656,476
Issued in connection with the reinvestment of distributions		—			—			616,186			13,284,984
Redeemed		(1,556,332	)		(34,369,848	)		(2,515,389	)		(53,613,909	)

Net change		140,028		$	4,823,024			1,595,676		$	34,327,551

Increase (decrease) from capital share transactions		(5,297,920	)	$	(116,017,026	)		401,506		$	11,449,327


	Small Cap Value Fund
	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,587,750		$	91,616,572			3,109,829		$	98,123,134
Issued in connection with the reinvestment of distributions		1,505,162			53,252,622			2,210,358			66,708,596
Redeemed		(2,966,801	)		(104,409,962	)		(5,042,901	)		(158,011,519	)
Redeemed in-kind (Note 11)		—			—			(1,595,784	)		(52,325,759	)

Net change		1,126,111		$	40,459,232			(1,318,498	)	$	(45,505,548	)

53 |

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

10. Capital Shares – continued.


	Small Cap Value Fund – continued
	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		476,017		$	16,701,038			609,197		$	18,890,158
Issued in connection with the reinvestment of distributions		607,283			21,218,468			943,438			28,142,755
Redeemed		(1,167,762	)		(40,882,752	)		(3,153,621	)		(100,205,101	)

Net change		(84,462	)	$	(2,963,246	)		(1,600,986	)	$	(53,172,188	)

Admin Class
Issued from the sale of shares		152,192		$	5,144,446			341,303		$	10,091,067
Issued in connection with the reinvestment of distributions		80,992			2,738,330			111,997			3,244,570
Redeemed		(616,896	)		(20,816,260	)		(574,173	)		(17,370,719	)

Net change		(383,712	)	$	(12,933,484	)		(120,873	)	$	(4,035,082	)

Class N
Issued from the sale of shares		917,133		$	33,058,603			945,571		$	29,754,154
Issued in connection with the reinvestment of distributions		198,134			7,013,982			140,642			4,245,978
Redeemed		(193,998	)		(6,858,819	)		(261,689	)		(8,144,577	)

Net change		921,269		$	33,213,766			824,524		$	25,855,555

Increase (decrease) from capital share transactions		1,579,206		$	57,776,268			(2,215,833	)	$	(76,857,263	)


	Small/Mid Cap Growth Fund
	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		88,073		$	894,182			214,933		$	1,914,485
Issued in connection with the reinvestment of distributions		2,259			22,881			—			—
Redeemed		(208,292	)		(2,154,303	)		(5,401	)		(50,724	)

Increase (decrease) from capital share transactions		(117,960	)	$	(1,237,240	)		209,532		$	1,863,761

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

| 54

NOTES TO FINANCIAL STATEMENTS – continued

March 31, 2017 (Unaudited)

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. A Fund may also receive securities in lieu of cash as payment for Fund shares.

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LOGO

Loomis Sayles Bond Fund

Semiannual Report

March 31, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			5
Financial Statements			25
Notes to Financial Statements			32

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.

1 |

Average Annual Total Returns — March 31, 2017²


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

Institutional Class (Inception 5/16/91)		2.06	%		9.30	%		4.63	%		6.04	%		—	%		0.66	%		0.66	%
Retail Class (Inception 12/31/96)		1.94			9.07			4.35			5.74			—			0.91			0.91
Admin Class (Inception 1/2/98)		1.75			8.68			4.07			5.46			—			1.16			1.16
Class N (Inception 2/1/13)		2.10			9.38			—			—			3.25			0.58			0.58

Comparative Performance
Bloomberg Barclays U.S. Government/ Credit Bond Index¹		-2.46			0.54			2.46			4.34			2.06

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

| 2

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 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.

3 |

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 10/1/2016		Ending Account Value 3/31/2017		Expenses Paid During Period* 10/1/2016 – 3/31/2017
Actual		$1,000.00		$1,020.60		$3.32
Hypothetical (5% return before expenses)		$1,000.00		$1,021.64		$3.33

Retail Class
Actual		$1,000.00		$1,019.40		$4.58
Hypothetical (5% return before expenses)		$1,000.00		$1,020.39		$4.58

Admin Class
Actual		$1,000.00		$1,017.50		$5.83
Hypothetical (5% return before expenses)		$1,000.00		$1,019.15		$5.84

Class N
Actual		$1,000.00		$1,021.00		$2.97
Hypothetical (5% return before expenses)		$1,000.00		$1,021.99		$2.97
* 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 (182), divided by 365 (to reflect the half-year period).

| 4

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 80.8% of Net Assets

	Non-Convertible Bonds – 73.4%

		ABS Other – 0.4%
$	29,307,271	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)(c)	$	28,970,238
	18,265,880	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(b)(d)		11,544,036
	7,170,185	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(b)(d)		2,066,447
	32,585,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(b)(d)(e)		71,687
	14,463,957	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(c)		13,882,356

				56,534,764


		Aerospace & Defense – 1.3%
	1,830,000	Arconic, Inc., 5.900%, 2/01/2027		1,959,107
	5,510,000	Arconic, Inc., 6.750%, 1/15/2028		6,043,781
	32,375,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		31,913,656
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,111,338
	13,664,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		13,288,240
	4,055,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		4,182,651
	275,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019		296,313
	24,903,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		26,272,665
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		28,919,800
	770,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		873,950
	6,995,000	Textron Financial Corp., 2.774%, 2/15/2067, 144A(f)		5,281,225
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		33,449,054
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		26,297,689

				179,889,469


		Airlines – 0.9%
	3,816,745	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		4,007,583
	3,587,805	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,755,140
	32,465,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		33,727,889
	1,207	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021		1,192
	637,666	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		672,738
	6,328,711	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		6,558,126

See accompanying notes to financial statements.

5 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Airlines – continued
$	282,958	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020	$	311,549
	56,320,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		59,276,800
	4,570,218	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		4,638,954
	6,454,561	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		6,552,412

				119,502,383


		Automotive – 0.5%
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,764,891
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,765,871
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,812,143
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,916,390
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		39,828,214
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,759,090
	9,660,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		9,973,950

				66,820,549


		Banking – 7.3%
	59,285,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		59,500,442
	54,910,000	Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)		41,991,895
	16,525,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		12,690,022
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(g)		34,462,907
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(g)		24,503,250
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,855,055
	52,380,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		38,174,141
	39,930,000	Citigroup, Inc., 6.250%, 6/29/2017, (NZD)		28,192,875
	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		4,151,104
	27,405,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		21,680,831
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,406,773
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		24,877,631
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		49,342,662
	1,600,000	Merrill Lynch & Co., Inc., EMTN, 0.221%, 9/14/2018, (EUR)(f)		1,708,614
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		3,995,496
	42,630,000	Morgan Stanley, 2.500%, 1/24/2019		43,050,545
	6,600,000	Morgan Stanley, 3.950%, 4/23/2027		6,536,567
	47,205,000	Morgan Stanley, 4.350%, 9/08/2026		48,350,901
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		42,164,807
	75,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		61,094,326

See accompanying notes to financial statements.

| 6

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
	152,340,000	Morgan Stanley, 7.600%, 8/08/2017, (NZD)	$	108,434,982
	150,195,000	Morgan Stanley, 8.000%, 5/09/2017, (AUD)		115,417,236
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		144,322,214
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		17,846,265
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		53,800,426
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,884,847
	6,000,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(g)		7,996,637

				1,008,433,451

		Brokerage – 1.2%
	5,996,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		5,726,180
	29,995,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		30,257,456
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,406,808
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		55,094,691
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		30,972,145
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		25,370,576

				167,827,856

		Building Materials – 0.5%
	15,670,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		14,788,563
	15,272,000	Masco Corp., 6.500%, 8/15/2032		18,024,213
	6,540,000	Masco Corp., 7.125%, 3/15/2020		7,367,572
	9,733,000	Masco Corp., 7.750%, 8/01/2029		12,514,253
	10,950,000	Owens Corning, 7.000%, 12/01/2036		13,393,755
	2,395,000	Titan Global Finance PLC, EMTN, 4.250%, 7/10/2019, (EUR)		2,669,776

				68,758,132

		Cable Satellite – 0.4%
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		30,831,372
	6,190,000	Time Warner Cable LLC, 4.500%, 9/15/2042		5,609,898
	535,000	Time Warner Cable LLC, 5.875%, 11/15/2040		567,935
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		12,460,240

				49,469,445

		Chemicals – 2.0%
	39,090,000	Chemours Co. (The), 6.625%, 5/15/2023		41,435,400
	56,305,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		56,727,287
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		21,050,000
	33,969,000	Hexion, Inc., 7.875%, 2/15/2023(b)(d)		17,324,190
	11,305,000	Hexion, Inc., 9.200%, 3/15/2021(b)(d)		6,104,700
	3,390,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,542,500
	119,535,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		122,822,212
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,119,122
	2,305,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,098,011

				277,223,422

See accompanying notes to financial statements.

7 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Construction Machinery – 0.2%
$	27,030,000	Toro Co. (The), 6.625%, 5/01/2037(b)(c)	$	30,141,991


		Consumer Cyclical Services – 0.1%
	1,000,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		1,035,000
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		9,744,007

				10,779,007

		Consumer Products – 0.1%
	15,473,000	Avon Products, Inc., 8.950%, 3/15/2043		13,662,659

		Diversified Manufacturing – 0.4%
	64,245,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		45,576,159
	11,695,000	General Electric Co., Series A, MTN, 1.323%, 5/13/2024(f)		11,317,719

				56,893,878

		Electric – 1.6%
	3,075,000	AES Corp. (The), 4.875%, 5/15/2023		3,059,625
	53,552,996	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		58,704,740
	66,179,285	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		21,921,888
	1,476,855	CE Generation LLC, 7.416%, 12/15/2018		1,388,244
	12,250,000	Dynegy, Inc., 5.875%, 6/01/2023		11,224,063
	69,835,000	Dynegy, Inc., 7.625%, 11/01/2024		66,692,425
	38,973,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		40,025,271
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		10,617,478
	493,638	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		493,638
	48,675	Salton Sea Funding Corp., Series F, 7.475%, 11/30/2018		48,068

				214,175,440

		Finance Companies – 3.5%
	3,100,000	AGFC Capital Trust I, 2.772%, 1/15/2067, 144A(f)		1,522,875
	19,330,000	iStar, Inc., 4.875%, 7/01/2018		19,450,813
	20,395,000	iStar, Inc., 5.000%, 7/01/2019		20,522,469
	1,890,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,908,900
	2,830,000	Navient Corp., 5.875%, 10/25/2024		2,639,852
	150,996(††)	Navient Corp., 6.000%, 12/15/2043		3,412,006
	73,050,000	Navient Corp., MTN, 6.125%, 3/25/2024		69,580,125
	23,623,000	Navient Corp., Series A, MTN, 5.000%, 6/15/2018		23,711,586
	27,420,000	Navient LLC, 5.500%, 1/25/2023		26,186,100
	2,950,000	Navient LLC, MTN, 7.250%, 1/25/2022		3,063,428
	51,024,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		39,671,160
	65,750,000	Springleaf Finance Corp., 5.250%, 12/15/2019		66,325,312
	108,895,000	Springleaf Finance Corp., 7.750%, 10/01/2021		115,973,175
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		82,029,169

				475,996,970

See accompanying notes to financial statements.

| 8

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Food & Beverage – 0.0%
	1,500,000	Fonterra Co-operative Group Ltd., MTN, 4.500%, 6/30/2021, (AUD)	$	1,192,648

		Government Owned – No Guarantee – 0.6%
	28,720,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		32,405,149
	31,880,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		30,206,300
	24,335,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		20,081,242

				82,692,691

		Healthcare – 1.7%
	3,240,000	BioScrip, Inc., 8.875%, 2/15/2021		2,785,331
	18,660,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		16,047,600
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		29,890,395
	27,545,000	HCA, Inc., 7.500%, 11/06/2033		30,127,344
	45,324,000	HCA, Inc., 8.360%, 4/15/2024		53,425,665
	6,944,000	HCA, Inc., MTN, 7.580%, 9/15/2025		7,803,320
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		13,706,157
	335,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		340,444
	915,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		917,288
	1,430,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,430,000
	13,068,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		13,087,994
	38,260,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		37,590,450
	35,499,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		30,440,392
	1,300,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		1,404,000
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,033,312
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		708,975

				240,738,667

		Home Construction – 0.9%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		7,625,013
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(c)		13,508,667
	45,718,000	K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A		37,945,940
	52,605,000	PulteGroup, Inc., 6.000%, 2/15/2035		51,552,900
	13,360,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		13,660,600

				124,293,120

		Independent Energy – 1.8%
	1,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		1,160,288
	2,770,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		2,612,924
	37,495,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		38,807,325
	7,440,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		6,714,600
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,726,160
	18,495,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		17,547,131
	11,379,000	California Resources Corp., 5.500%, 9/15/2021		8,420,460
	1,709,000	California Resources Corp., 6.000%, 11/15/2024		1,196,300

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	48,890,000	California Resources Corp., 8.000%, 12/15/2022, 144A	$	39,723,125
	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		1,651,500
	15,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		14,981
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,935,150
	24,610,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		24,610,000
	8,471,000	Continental Resources, Inc., 3.800%, 6/01/2024		7,878,030
	1,597,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,554,073
	1,775,000	EQT Corp., 8.125%, 6/01/2019		1,981,754
	4,540,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		4,458,280
	145,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		129,594
	5,740,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		5,137,300
	370,000	Noble Energy, Inc., 5.625%, 5/01/2021		381,096
	2,660,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		2,706,550
	280,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		302,193
	4,270,000	QEP Resources, Inc., 5.250%, 5/01/2023		4,186,265
	15,445,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		7,954,175
	3,900,000	Rice Energy, Inc., 6.250%, 5/01/2022		4,017,000
	23,125,000	Sanchez Energy Corp., 6.125%, 1/15/2023		21,448,438
	12,420,000	Sanchez Energy Corp., 7.750%, 6/15/2021		12,264,750
	90,000	SM Energy Co., 5.000%, 1/15/2024		85,050
	3,175,000	SM Energy Co., 5.625%, 6/01/2025		3,038,475
	20,931,000	SM Energy Co., 6.125%, 11/15/2022		21,087,983
	3,845,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		3,806,550
	1,965,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		1,955,175

				254,492,675

		Industrial Other – 0.0%
	160,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		164,800

		Life Insurance – 2.0%
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,723,925
	67,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(g)		73,915,992
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(g)		1,601,606
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		17,047,155
	5,035,000	Genworth Holdings, Inc., 4.800%, 2/15/2024		4,141,287
	8,080,000	Genworth Holdings, Inc., 4.900%, 8/15/2023		6,726,600
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		15,720,375
	2,030,000	Metlife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		2,803,938
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		70,946,561
	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)		58,843,424
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		15,754,957

				274,225,820

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Local Authorities – 1.6%
	38,490,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)	$	30,290,334
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		81,046,333
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		113,008,271
	1,507,000	Ontario Hydro, 6.037%, 11/27/2020, (CAD)(i)		1,066,294
	1,490,000	Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)		1,139,463

				226,550,695

		Media Entertainment – 0.7%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		6,652,896
	1,595,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		1,212,200
	66,650,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		50,070,813
	34,725,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		32,337,656
	3,610,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		3,501,700
	1,976,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		2,005,640

				95,780,905

		Metals & Mining – 2.0%
	8,456,540	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(b)(d)(j)(k)		3,383
	35,180,000	ArcelorMittal, 7.500%, 3/01/2041		39,373,456
	3,635,000	ArcelorMittal, 7.750%, 10/15/2039		4,125,725
	3,950,000	Barrick Gold Corp., 5.800%, 11/15/2034		4,165,915
	23,735,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		27,506,040
	34,330,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(b)(c)(j)		3,862,125
	100,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		103,000
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		17,170,312
	19,310,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		20,420,325
	66,920,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		73,193,750
	6,500,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		6,768,125
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		9,188,447
	15,555,000	United States Steel Corp., 6.650%, 6/01/2037		13,766,175
	38,460,000	United States Steel Corp., 7.500%, 3/15/2022		39,950,325
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,638,068

				271,235,171

		Midstream – 0.6%
	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		764,438
	9,050,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		9,593,000
	7,500,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		8,320,327
	310,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		235,149
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		33,845,746
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		229,600
	7,325,000	Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		7,516,329

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Midstream – continued
$	1,455,000	Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022	$	1,547,208
	4,258,532	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		4,581,115
	18,753,000	Williams Partners LP, 3.350%, 8/15/2022		18,721,270

				85,354,182

		Mortgage Related – 0.0%
	35,996	FHLMC, 5.000%, 12/01/2031		39,261

		Natural Gas – 0.2%
	4,130,000	NiSource Finance Corp., 6.125%, 3/01/2022		4,730,568
	21,041,000	NiSource Finance Corp., 6.400%, 3/15/2018		21,945,763
	1,235,000	NiSource Finance Corp., 6.800%, 1/15/2019		1,336,045

				28,012,376

		Non-Agency Commercial Mortgage-Backed Securities – 0.4%
	11,160,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(f)		11,168,643
	14,865,862	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		11,210,684
	38,248,667	Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(b)(c)		38,726,775

				61,106,102

		Oil Field Services – 1.0%
	14,585,000	FTS International, Inc., 6.250%, 5/01/2022		12,579,562
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		7,962,345
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		15,150,000
	29,512,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(b)(c)(j)		5,312,160
	47,072,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(b)(c)(j)		8,472,960
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		9,475
	10,000	Precision Drilling Corp., 6.500%, 12/15/2021		9,977
	11,958	Precision Drilling Corp., 6.625%, 11/15/2020		12,018
	36,860,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		38,057,950
	51,710,000	Transocean, Inc., 5.550%, 10/15/2022		48,639,719
	1,670,000	Transocean, Inc., 6.800%, 3/15/2038		1,373,575

				137,579,741

		Packaging – 0.0%
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,748,682

		Paper – 1.0%
	38,882,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		53,983,536
	9,625,000	International Paper Co., 8.700%, 6/15/2038		13,787,206
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		11,116,442
	25,138,000	WestRock MWV LLC, 8.200%, 1/15/2030		34,026,168

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Paper – continued
$	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027	$	4,985,812
	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032		18,454,958

				136,354,122

		Property & Casualty Insurance – 0.1%
	2,000,000	Liberty Mutual Group, Inc., 4.036%, 3/07/2067, 144A(f)		1,900,000
	13,985,000	MBIA Insurance Corp., 12.283%, 1/15/2033, 144A(e)(f)		6,572,950
	80,000	MBIA Insurance Corp., 12.283%, 1/15/2033(e)(f)		37,600
	1,140,000	Sirius International Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(g)		1,162,800

				9,673,350

		Railroads – 0.1%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		7,387,674
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)		62,445

				7,450,119

		Real Estate Operations/Development – 0.1%
	7,750,000	First Industrial LP, 5.950%, 5/15/2017		7,788,029

		Restaurants – 0.0%
	1,325,000	Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP)		1,728,572

		Retailers – 0.8%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		5,295,841
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,323,148
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,551,363
	8,524,000	Foot Locker, Inc., 8.500%, 1/15/2022		10,026,355
	7,675,000	GameStop Corp., 5.500%, 10/01/2019, 144A		7,809,313
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		28,189,625
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,706,550
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,983,425
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		10,585,386
	815,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		172,169
	24,302,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		21,446,515

				112,089,690

		Sovereigns – 0.4%
	58,925,000	Portugal Government International Bond, 5.125%, 10/15/2024, 144A		57,110,110

		Supermarkets – 1.7%
	3,445,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		3,341,650
	109,450,000	New Albertson’s, Inc., 7.450%, 8/01/2029		103,703,875
	31,169,000	New Albertson’s, Inc., 7.750%, 6/15/2026		30,389,775
	36,133,000	New Albertson’s, Inc., 8.000%, 5/01/2031		34,958,678
	10,323,000	New Albertson’s, Inc., 8.700%, 5/01/2030		10,219,770

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Supermarkets – continued
$	21,708,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028	$	19,428,660
	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021		3,567,075
	34,025,000	SUPERVALU, Inc., 7.750%, 11/15/2022		33,387,031

				238,996,514

		Supranational – 1.3%
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		15,735,581
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		133,612,193
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		33,600,310

				182,948,084

		Technology – 1.5%
	238,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		253,470
	75,630,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		83,193,000
	9,335,000	Amkor Technology, Inc., 6.375%, 10/01/2022		9,638,387
	2,630,000	Arrow Electronics, Inc., 6.875%, 6/01/2018		2,770,713
	5,645,000	Corning, Inc., 7.250%, 8/15/2036		6,806,532
	73,905,000	KLA-Tencor Corp., 4.650%, 11/01/2024		78,690,127
	12,970,000	KLA-Tencor Corp., 5.650%, 11/01/2034		13,868,069
	4,385,000	Motorola Solutions, Inc., 6.625%, 11/15/2037		4,599,032
	2,783,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		3,268,773
	8,080,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		8,857,700

				211,945,803


		Transportation Services – 0.1%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(b)(c)		15,351,862
	1,779,299	Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(l)		1,779,299

				17,131,161


		Treasuries – 26.7%
	202,515,000	Canadian Government International Bond, 0.250%, 5/01/2017, (CAD)		152,253,635
	545,500,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		407,472,933
	254,495,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		192,814,146
	6,575,000	Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR)		6,903,398
	980,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		841,034
	2,040,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		1,447,168
	1,290,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		909,195
	310,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		217,446

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	3,710,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)	$	2,593,564
	4,825,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		3,367,370
	465,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		324,950
	6,200,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		4,320,924
	2,331,740,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		15,392,260
	5,523,835,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		35,066,488
	8,600,000(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		42,044,445
	8,554,600(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		45,118,721
	4,579,595(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		25,422,014
	10,160,320(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		55,782,245
	39,547,655(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		222,652,733
	3,288,446(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		19,401,783
	113,749(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		714,710
	34,470,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		216,582,565
	137,580,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		101,633,561
	128,565,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		102,399,019
	83,000,000	New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)		59,274,086
	764,599,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		99,187,178
	1,317,525,000	Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK)		154,121,976
	1,096,778,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		138,212,780
	253,010,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		76,777,455
	97,345,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		31,561,099
	275,000,000	U.S. Treasury Note, 0.500%, 7/31/2017		274,741,500
	300,000,000	U.S. Treasury Note, 0.625%, 6/30/2018		298,125,000
	150,000,000	U.S. Treasury Note, 0.750%, 1/31/2018		149,636,700
	150,000,000	U.S. Treasury Note, 0.750%, 8/31/2018		149,144,550
	600,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		596,179,800

				3,682,638,431

		Wireless – 0.9%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		14,013,166
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		6,922,192
	53,182,000	Sprint Capital Corp., 6.875%, 11/15/2028		56,173,487
	8,400,000	Sprint Capital Corp., 8.750%, 3/15/2032		10,101,000
	27,683,000	Sprint Communications, Inc., 6.000%, 11/15/2022		28,305,867
	10,853,000	Sprint Corp., 7.125%, 6/15/2024		11,585,578
	2,268,000	Sprint Corp., 7.250%, 9/15/2021		2,448,306

				129,549,596

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – 4.8%
$	75,360,000	AT&T, Inc., 2.625%, 12/01/2022	$	73,635,914
	59,951,000	AT&T, Inc., 3.000%, 2/15/2022		59,812,633
	5,790,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,486,404
	3,695,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		3,736,400
	10,946,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		10,063,554
	1,700,000	CenturyLink, Inc., 6.450%, 6/15/2021		1,806,063
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,674,850
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		6,413,855
	11,795,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		12,296,288
	1,440,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		1,418,400
	11,991,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		11,511,360
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,691,325
	21,745,000	Frontier Communications Corp., 6.250%, 9/15/2021		20,222,850
	24,305,000	Frontier Communications Corp., 6.875%, 1/15/2025		20,112,387
	60,000	Frontier Communications Corp., 7.000%, 11/01/2025		48,300
	4,035,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,313,058
	1,240,000	Frontier Communications Corp., 9.000%, 8/15/2031		1,066,400
	305,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(j)		101,031
	24,165,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(j)		8,249,350
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(j)		15,046,266
	64,382,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,082,422
	16,040,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,541,250
	41,590,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		38,990,625
	32,321,000	Qwest Corp., 6.875%, 9/15/2033		32,183,959
	10,785,000	Qwest Corp., 7.250%, 9/15/2025		11,788,167
	785,000	Qwest Corp., 7.250%, 10/15/2035		778,850
	63,364,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		62,571,950
	32,356,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		32,699,621
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,055,271
	4,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		6,872,210
	18,145,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		27,351,675
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		22,079,252
	73,892,000	Verizon Communications, Inc., 2.450%, 11/01/2022		71,275,263

				663,977,203


		Total Non-Convertible Bonds (Identified Cost $10,831,000,749)		10,140,697,736


	Convertible Bonds – 5.8%

		Building Materials – 0.1%
	1,015,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		952,831
	415,000	CalAtlantic Group, Inc., 1.250%, 8/01/2032		428,747
	14,067,000	KB Home, 1.375%, 2/01/2019		14,409,883

				15,791,461

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Cable Satellite – 1.5%
$	170,470,000	Dish Network Corp., 3.375%, 8/15/2026, 144A	$	205,949,069

		Chemicals – 0.1%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		7,139,344

		Consumer Products – 0.0%
	675,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		637,875

		Diversified Manufacturing – 0.2%
	25,202,000	Trinity Industries, Inc., 3.875%, 6/01/2036		30,604,679

		Healthcare – 0.3%
	27,720,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		38,600,100

		Leisure – 0.3%
	35,626,000	Rovi Corp., 0.500%, 3/01/2020		34,596,765

		Midstream – 0.1%
	459,000	Chesapeake Energy Corp., 2.500%, 5/15/2037		452,115
	12,850,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		13,307,781
	5,968,000	SM Energy Co., 1.500%, 7/01/2021		5,912,050

				19,671,946

		Pharmaceuticals – 0.0%
	2,107,000	BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018		2,379,593
	2,929,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		3,458,051

				5,837,644

		Property & Casualty Insurance – 0.4%
	45,617,000	Old Republic International Corp., 3.750%, 3/15/2018		60,699,120

		Technology – 2.8%
	14,865,000	Ciena Corp., 3.750%, 10/15/2018, 144A		19,398,825
	174,665,000	Intel Corp., 3.250%, 8/01/2039		305,117,922
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		3,399,591
	6,867,541	Liberty Interactive LLC, 3.500%, 1/15/2031		6,692,934
	12,720,000	Nuance Communications, Inc., 1.000%, 12/15/2035		12,100,282
	3,790,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		3,782,894
	1,231,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,262,544
	13,345,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		15,004,784
	15,405,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		17,138,062

				383,897,838


		Total Convertible Bonds (Identified Cost $587,688,826)		803,425,841

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

	Municipals – 1.6%
		District of Columbia – 0.1%
$	5,610,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047	$	7,594,818

		Illinois – 0.2%
	25,725,000	State of Illinois, 5.100%, 6/01/2033		23,472,004

		Michigan – 0.1%
	18,050,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		17,666,618

		Virginia – 0.8%
	135,045,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		113,170,411

		Puerto Rico – 0.4%
	85,210,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(j)		52,830,200

		Total Municipals (Identified Cost $249,605,313)		214,734,051


		Total Bonds and Notes (Identified Cost $11,668,294,888)		11,158,857,628


	Senior Loans – 1.5%

		Automotive – 0.1%
	9,304,767	IBC Capital Ltd., 1st Lien Term Loan, 4.870%, 9/09/2021(f)		9,103,133
	7,744,876	IBC Capital Ltd., 2nd Lien Term Loan, 8.120%, 9/09/2022(f)		7,280,183

				16,383,316

		Chemicals – 0.4%
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 9.750%, 12/20/2020(f)		48,114,412

		Consumer Cyclical Services – 0.7%
	37,106,436	SourceHov LLC, 2014 1st Lien Term Loan, 7.897%, 10/31/2019(f)		35,877,471
	55,750,000	SourceHov LLC, 2014 2nd Lien Term Loan, 11.647%, 4/30/2020(f)		53,346,060

				89,223,531

		Financial Other – 0.1%
	16,645,189	DBRS Ltd., Term Loan, 6.304%, 3/04/2022(f)		15,840,727

		Media Entertainment – 0.0%
	1,768,483	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(f)		1,795,010

		Natural Gas – 0.0%
	1,881,132	Southcross Holdings Borrower LP, Exit Term Loan B, 3.500%, 4/13/2023(f)		1,661,660

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Oil Field Services – 0.1%
$	3,109,527	FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(f)	$	2,698,168
	8,124,988	Paragon Offshore Finance Co., Term Loan B, 5.750%, 7/18/2021(b)(c)(f)(j)		3,153,552
	3,782,378	Petroleum Geo-Services ASA, New Term Loan B, 3.647%, 3/19/2021(f)		3,111,006

				8,962,726

		Other Utility – 0.0%
	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(f)		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(f)		4,302,998

		Technology – 0.1%
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b)(c)(f)		6,161,960

		Transportation Services – 0.0%
	4,544,772	OSG Bulk Ships, Inc., OBS Term Loan, 5.290%, 8/05/2019(f)		4,499,324


		Total Senior Loans (Identified Cost $220,073,102)		201,448,039


	Shares

	Common Stocks – 4.7%

		Automobiles – 1.8%
	21,480,222	Ford Motor Co.		250,029,784

		Diversified Telecommunication Services – 0.1%
	307,212	Hawaiian Telcom Holdco, Inc.(e)		7,038,227

		Energy Equipment & Services – 0.0%
	486,727	Hercules Offshore, Inc.(b)(c)(e)(n)		—

		Internet Software & Services – 0.0%
	559,124	Dex Media, Inc.(b)(d)(e)		1,509,635

		Oil, Gas & Consumable Fuels – 0.1%
	1,033,462	Chesapeake Energy Corp.(e)		6,138,764
	1,177	Pacific Exploration and Production Corp.(e)		37,615
	231,675	Rex Energy Corp.(e)		108,772
	2,021	Southcross Holdings Group LLC(b)(d)(e)		—
	2,021	Southcross Holdings LP, Class A(b)(d)(e)		808,400

				7,093,551

		Pharmaceuticals – 1.3%
	3,414,069	Bristol-Myers Squibb Co.		185,657,072

		Semiconductors & Semiconductor Equipment – 1.4%
	5,631,713	Intel Corp.		203,135,888


		Total Common Stocks (Identified Cost $465,489,396)		654,464,157

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – 2.0%

	Convertible Preferred Stocks – 1.4%

		Banking – 0.3%
	25,823	Bank of America Corp., Series L, 7.250%	$	30,860,035
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		15,478,920

				46,338,955

		Communications – 0.0%
	14,923	Cincinnati Bell, Inc., 6.750%		738,987

		Electric – 0.2%
	430,351	AES Trust III, 6.750%		21,990,936

		Energy – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		16,285,500

		Midstream – 0.6%
	257,387	Chesapeake Energy Corp., 4.500%		15,543,601
	476,844	Chesapeake Energy Corp., 5.000%		30,518,016
	3,044	Chesapeake Energy Corp., 5.750%		1,970,990
	39,322	Chesapeake Energy Corp., 5.750%, 144A		25,460,995
	16,454	Chesapeake Energy Corp., Series A, 5.750%, 144A		10,653,965

				84,147,567

		REITs – Health Care – 0.1%
	172,150	Welltower, Inc., 6.500%		10,866,108

		REITs – Hotels – 0.0%
	231,450	FelCor Lodging Trust, Inc., Series A, 1.950%		5,642,751

		REITs – Mortgage – 0.0%
	58,431	iStar, Inc., Series J, 4.500%		2,959,530

		Technology – 0.1%
	82,515	Belden, Inc., 6.750%		8,003,955


		Total Convertible Preferred Stocks (Identified Cost $209,004,823)		196,974,289


	Non-Convertible Preferred Stocks – 0.6%

		Electric – 0.0%
	2,925	Connecticut Light & Power Co. (The), 1.900%		122,667
	100	Entergy Arkansas, Inc., 4.320%		9,469
	5,000	Entergy Mississippi, Inc., 4.360%		493,282
	665	Entergy New Orleans, Inc., 4.360%		62,593
	200	Entergy New Orleans, Inc., 4.750%		20,775
	50,100	Southern California Edison Co., 4.780%		1,247,490

				1,956,276

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Finance Companies – 0.1%
	67,611	iStar, Inc., Series E, 7.875%	$	1,643,624
	64,123	iStar, Inc., Series F, 7.800%		1,572,937
	16,004	iStar, Inc., Series G, 7.650%		388,897
	149,767	SLM Corp., Series A, 6.970%		7,593,187

				11,198,645

		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(e)		370,069

		Metals & Mining – 0.4%
	1,182,307	Arconic, Inc., 5.375%		48,533,702

		REITs – Office Property – 0.0%
	2,318	Highwoods Realty LP, Series A, 8.625%		2,946,757

		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		12,827,631

		Total Non-Convertible Preferred Stocks (Identified Cost $76,079,666)		77,833,080

		Total Preferred Stocks (Identified Cost $285,084,489)		274,807,369


	Closed-End Investment Companies – 0.0%

	170,002	NexPoint Credit Strategies Fund (Identified Cost $9,807,937)		3,893,046


	Principal Amount (‡)

	Short-Term Investments – 9.6%
$	92,760,000	Federal Home Loan Bank Discount Notes, 0.550%, 4/04/2017(m)		92,758,238
	662,240,000	Federal Home Loan Bank Discount Notes, 0.520%-0.560%, 4/10/2017(m)		662,151,260
	4,371,966	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $4,371,966 on 4/03/2017 collateralized by $4,455,000 U.S. Treasury Note, 0.750% due 10/31/2017 valued at $4,463,716 including accrued interest (Note 2 of Notes to Financial Statements)		4,371,966

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – continued
$	368,606,645	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $368,613,403 on 4/03/2017 collateralized by $75,000,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $76,227,525; $39,130,000 U.S. Treasury Note, 1.250% due 3/31/2021 valued at $38,267,927; $50,000,000 U.S. Treasury Note, 1.375% due 4/30/2021 valued at $49,380,700; $200,000,000 U.S. Treasury Note, 1.125% due 6/30/2021 valued at $194,521,000; $2,485,000 U.S. Treasury Note, 1.125% due 9/30/2021 valued at $2,400,937; $1,320,000 U.S. Treasury Note, 1.250% due 10/31/2021 valued at $1,287,935; $13,640,000 U.S. Treasury Note, 2.250% due 7/31/2021 valued at $13,896,132 including accrued interest (Note 2 of Notes to Financial Statements)	$	368,606,645
	150,000,000	U.S. Treasury Bills, 0.730%, 04/27/2017(m)		149,926,950
	50,000,000	U.S. Treasury Bills, 0.642%, 06/22/2017(m)		49,916,400

		Total Short-Term Investments (Identified Cost $1,327,735,433)		1,327,731,459


		Total Investments – 98.6% (Identified Cost $13,976,485,245)(a)		13,621,201,698
		Other assets less liabilities—1.4%		186,736,604

		Net Assets – 100.0%	$	13,807,938,302


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)	See Note 2 of Notes to Financial Statements.
	(††)	Amount shown represents units. One unit represents a principal amount of 25.
	(†††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $14,043,238,853 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	$	948,914,067
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,370,951,222	)

		Net unrealized depreciation	$	(422,037,155	)

	(b)	Illiquid security.
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $328,233,349 or 2.4% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $41,211,777 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Non-income producing security.
	(f)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(g)	Perpetual bond with no specified maturity date.
	(h)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued


	(i)			Interest rate represents annualized yield at time of purchase; not a coupon rate.
	(j)			The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(k)			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.
	(l)			Maturity has been extended under the terms of a plan of reorganization.
	(m)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(n)			Escrow shares.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $2,214,487,754 or 16.0% of net assets.

	ABS			Asset-Backed Securities
	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
	SLM			Sallie Mae

	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.

23 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Bond Fund – continued

Industry Summary at March 31, 2017 (Unaudited)


Treasuries	26.7	%
Banking	7.6
Wirelines	4.8
Technology	4.5
Finance Companies	3.6
Chemicals	2.5
Metals & Mining	2.4
Healthcare	2.0
Life Insurance	2.0
Other Investments, less than 2% each	32.9
Short-Term Investments	9.6

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

Currency Exposure Summary at March 31, 2017 (Unaudited)


United States Dollar	72.9	%
Canadian Dollar	7.3
New Zealand Dollar	4.9
Mexican Peso	4.8
Australian Dollar	3.4
Norwegian Krone	2.8
Other, less than 2% each	2.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

| 24

Statement of Assets and Liabilities

March 31, 2017 (Unaudited)


ASSETS
Investments at cost	$	13,976,485,245
Net unrealized depreciation		(355,283,547	)

Investments at value		13,621,201,698
Cash		1,235,272
Foreign currency at value (identified cost $2,109,714)		2,110,904
Receivable for Fund shares sold		28,607,539
Receivable for securities sold		54,007,890
Dividends and interest receivable		164,316,776
Tax reclaims receivable		95,999
Prepaid expenses (Note 7)		6,537

TOTAL ASSETS		13,871,582,615

LIABILITIES
Payable for securities purchased		42,150,484
Payable for Fund shares redeemed		12,829,781
Management fees payable (Note 5)		6,200,341
Deferred Trustees’ fees (Note 5)		1,446,008
Administrative fees payable (Note 5)		528,361
Payable to distributor (Note 5d)		116,473
Other accounts payable and accrued expenses		372,865

TOTAL LIABILITIES		63,644,313

NET ASSETS	$	13,807,938,302

NET ASSETS CONSIST OF:
Paid-in capital	$	14,070,785,576
Distributions in excess of net investment income		(100,098,049	)
Accumulated net realized gain on investments and foreign currency transactions		191,787,444
Net unrealized depreciation on investments and foreign currency translations		(354,536,669	)

NET ASSETS	$	13,807,938,302


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	9,637,893,381

Shares of beneficial interest		692,101,287

Net asset value, offering and redemption price per share	$	13.93

Retail Class:
Net assets	$	3,801,407,785

Shares of beneficial interest		274,348,927

Net asset value, offering and redemption price per share	$	13.86

Admin Class shares:
Net assets	$	176,722,414

Shares of beneficial interest		12,801,770

Net asset value, offering and redemption price per share	$	13.80

Class N shares:
Net assets	$	191,914,722

Shares of beneficial interest		13,795,978

Net asset value, offering and redemption price per share	$	13.91

See accompanying notes to financial statements.

25 |

Statement of Operations

For the Six Months Ended March 31, 2017 (Unaudited)


INVESTMENT INCOME
Interest	$	300,069,615
Dividends		33,277,302
Less net foreign taxes withheld		(192,162	)

		333,154,755

Expenses
Management fees (Note 5)		36,475,969
Service and distribution fees (Note 5)		5,453,954
Administrative fees (Note 5)		3,127,822
Trustees’ fees and expenses (Note 5)		252,563
Transfer agent fees and expenses (Notes 5 and 6)		5,054,161
Audit and tax services fees		29,403
Custodian fees and expenses		373,787
Legal fees		142,774
Registration fees		125,216
Shareholder reporting expenses		296,985
Miscellaneous expenses (Note 7)		267,457

Total expenses		51,600,091

Net investment income		281,554,664


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		293,035,254
Foreign currency transactions		(1,778,908	)
Net change in unrealized appreciation (depreciation) on:
Investments		(312,973,892	)
Foreign currency translations		990,686

Net realized and unrealized loss on investments and foreign currency transactions		(20,726,860	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	260,827,804

See accompanying notes to financial statements.

| 26

Statement of Changes in Net Assets


	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	281,554,664		$	676,658,768
Net realized gain (loss) on investments and foreign currency transactions		291,256,346			(287,506,494	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(311,983,206	)		915,964,187

Net increase in net assets resulting from operations		260,827,804			1,305,116,461

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(174,839,722	)		(245,533,574	)
Retail Class		(67,281,608	)		(102,678,061	)
Admin Class		(2,788,023	)		(3,770,457	)
Class N		(2,935,022	)		(2,134,874	)
Net realized capital gains
Institutional Class		(96,594,897	)		(431,902,062	)
Retail Class		(40,215,735	)		(204,088,780	)
Admin Class		(1,790,948	)		(8,388,507	)
Class N		(1,642,680	)		(3,281,035	)

Total distributions		(388,088,635	)		(1,001,777,350	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(905,461,372	)		(5,022,677,532	)

Net decrease in net assets		(1,032,722,203	)		(4,719,338,421	)
NET ASSETS
Beginning of the period		14,840,660,505			19,559,998,926

End of the period	$	13,807,938,302		$	14,840,660,505

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(100,098,049	)	$	(133,808,338	)

See accompanying notes to financial statements.

27 |

Financial Highlights

For a share outstanding throughout each period.


	Institutional Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	14.04		$	13.65		$	15.49		$	15.09		$	14.99		$	13.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.28			0.56			0.61			0.60			0.69			0.72
Net realized and unrealized gain (loss)		(0.00	)(b)		0.62			(1.55	)		0.54			0.27			1.24

Total from Investment Operations		0.28			1.18			(0.94	)		1.14			0.96			1.96

LESS DISTRIBUTIONS FROM:
Net investment income		(0.25	)		(0.29	)		(0.50	)		(0.67	)		(0.86	)		(0.85	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.39	)		(0.79	)		(0.90	)		(0.74	)		(0.86	)		(0.85	)

Net asset value, end of the period	$	13.93		$	14.04		$	13.65		$	15.49		$	15.09		$	14.99

Total return		2.06	%(c)		9.17	%		(6.37	)%		7.66	%		6.51	%		14.52	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	9,637,893		$	10,045,427		$	12,966,991		$	15,488,726		$	12,997,813		$	12,971,639
Net expenses		0.66	%(d)		0.66	%		0.64	%		0.63	%		0.63	%		0.63	%
Gross expenses		0.66	%(d)		0.66	%		0.64	%		0.63	%		0.63	%		0.63	%
Net investment income		4.10	%(d)		4.21	%		4.17	%		3.85	%		4.57	%		4.99	%
Portfolio turnover rate		5	%		13	%		22	%		26	%		28	%		20	%

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

(b)	Amount rounds to less than $0.01 per share.

(c)	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.

| 28

Financial Highlights – continued

For a share outstanding throughout each period.


	Retail Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	13.97		$	13.59		$	15.43		$	15.02		$	14.93		$	13.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.53			0.57			0.55			0.65			0.68
Net realized and unrealized gain (loss)		(0.00	)(b)		0.61			(1.55	)		0.56			0.25			1.23

Total from Investment Operations		0.26			1.14			(0.98	)		1.11			0.90			1.91

LESS DISTRIBUTIONS FROM:
Net investment income		(0.23	)		(0.26	)		(0.46	)		(0.63	)		(0.81	)		(0.81	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.37	)		(0.76	)		(0.86	)		(0.70	)		(0.81	)		(0.81	)

Net asset value, end of the period	$	13.86		$	13.97		$	13.59		$	15.43		$	15.02		$	14.93

Total return		1.94	%(c)		8.86	%		(6.58	)%		7.40	%		6.15	%		14.25	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,801,408		$	4,495,997		$	6,268,878		$	8,627,288		$	8,282,010		$	8,651,794
Net expenses		0.91	%(d)		0.91	%		0.89	%		0.91	%		0.92	%		0.92	%
Gross expenses		0.91	%(d)		0.91	%		0.89	%		0.91	%		0.92	%		0.92	%
Net investment income		3.85	%(d)		3.97	%		3.91	%		3.58	%		4.28	%		4.69	%
Portfolio turnover rate		5	%		13	%		22	%		26	%		28	%		20	%

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

(b)	Amount rounds to less than $0.01 per share.

(c)	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.

29 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Admin Class
	Six Months Ended March 31, 2017 (Unaudited)			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	$	13.92		$	13.54		$	15.38		$	14.98		$	14.89		$	13.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.25			0.49			0.53			0.51			0.61			0.63
Net realized and unrealized gain (loss)		(0.02	)		0.62			(1.55	)		0.55			0.25			1.23

Total from Investment Operations		0.23			1.11			(1.02	)		1.06			0.86			1.86

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.23	)		(0.42	)		(0.59	)		(0.77	)		(0.77	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—			—

Total Distributions		(0.35	)		(0.73	)		(0.82	)		(0.66	)		(0.77	)		(0.77	)

Net asset value, end of the period	$	13.80		$	13.92		$	13.54		$	15.38		$	14.98		$	14.89

Total return		1.75	%(b)		8.64	%		(6.89	)%		7.15	%		5.88	%		13.91	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	176,722		$	185,902		$	239,088		$	292,668		$	272,181		$	302,018
Net expenses		1.16	%(c)		1.16	%		1.14	%		1.17	%		1.18	%		1.20	%
Gross expenses		1.16	%(c)		1.16	%		1.14	%		1.17	%		1.18	%		1.20	%
Net investment income		3.60	%(c)		3.72	%		3.67	%		3.32	%		4.02	%		4.42	%
Portfolio turnover rate		5	%		13	%		22	%		26	%		28	%		20	%

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

(b)	Periods less than one year are not annualized.

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

See accompanying notes to financial statements.

| 30

Financial Highlights – continued

For a share outstanding throughout each period.


	Class N
	Six Months Ended March 31, 2017 (Unaudited)			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	$	14.02		$	13.64		$	15.48		$	15.07		$	15.33

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.29			0.57			0.63			0.59			0.47
Net realized and unrealized gain (loss)		(0.00	)(b)		0.61			(1.56	)		0.57			(0.25	)

Total from Investment Operations		0.29			1.18			(0.93	)		1.16			0.22

LESS DISTRIBUTIONS FROM:
Net investment income		(0.26	)		(0.30	)		(0.51	)		(0.68	)		(0.48	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.40	)		(0.80	)		(0.91	)		(0.75	)		(0.48	)

Net asset value, end of the period	$	13.91		$	14.02		$	13.64		$	15.48		$	15.07

Total return		2.10	%(c)		9.18	%		(6.31	)%		7.79	%		1.45	%(c)(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	191,915		$	113,335		$	85,042		$	31,387		$	241
Net expenses		0.59	%(e)		0.58	%		0.57	%		0.58	%(f)		0.65	%(e)(g)
Gross expenses		0.59	%(e)		0.58	%		0.57	%		0.58	%(f)		2.14	%(e)
Net investment income		4.17	%(e)		4.28	%		4.33	%		3.80	%		4.73	%(e)
Portfolio turnover rate		5	%		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)	Amount rounds to less than $0.01 per share.

(c)	Periods less than one year are not annualized.

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

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

(f)	Includes fee/expense recovery of 0.01%.

(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.

See accompanying notes to financial statements.

31 |

Notes to Financial Statements

March 31, 2017 (Unaudited)

1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. Information presented in these financial statements pertains to Loomis Sayles Bond Fund (the “Fund”).

The Fund is a diversified investment company.

The Fund offers Institutional Class, Retail Class, Admin Class and Class N shares.

Each share class is sold without a sales charge. Retail Class and Admin Class shares pay a Rule 12b-1 fee. Admin Class shares are primarily intended for employer-sponsored retirement plans and are offered exclusively through intermediaries. Class N shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Institutional Class shares are intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Institutional Class as outlined in the relevant 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 and Natixis ETF 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 period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Fund’s financial statements.

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

33 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

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 March 31, 2017, 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
$328,233,349	2.4%	$41,211,777	0.3%

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

Net realized foreign exchange gains or losses arise from sales of foreign currency, changes in exchange rates between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statement of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income and may, if the Fund has net losses, reduce the amount of income available to be distributed by the Fund.

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

During the six months ended March 31, 2017, the amount of income available to be distributed by the Fund has been reduced by $81,038,343 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 had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

There were no when-issued and delayed delivery securities held by the Fund as of March 31, 2017.

35 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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 March 31, 2017 and has concluded that no provisions for income tax are required. The Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

The Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statement of Operations as a reduction of investment income, net of amounts eligible to be reclaimed. Dividends and interest receivable on the Statement of Assets and Liabilities are net of foreign withholding taxes. Foreign withholding taxes where reclaims have been or will be filed are reflected on the Statement of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statement of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statement of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to the Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statement of Assets and Liabilities and are recorded as a realized gain when received.

f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, 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 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

| 36

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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 year ended September 30, 2016 was as follows:


2016 Distributions Paid From:
Ordinary Income	Losng-Term Capital Gains	Total
$363,139,491	$638,637,859	$1,001,777,350

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


Unrealized appreciation (depreciation)
Investments	$	359,863,541
Foreign currency translations		(781,153,818	)

Total unrealized depreciation	$	(421,290,277	)

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

g. Repurchase Agreements. The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is the Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon the Fund’s ability to dispose of the underlying securities. As of March 31, 2017, 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.

37 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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 six months ended March 31, 2017, 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.

j. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Fund’s financial statements.

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;

| 38

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

•

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

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

The 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.

39 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

The following is a summary of the inputs used to value the Fund’s investments as of March 31, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	13,882,356	$	42,652,408	(b)	$	56,534,764
Airlines		—		119,501,191		1,192	(c)		119,502,383
Chemicals		—		253,794,532		23,428,890	(d)		277,223,422
Finance Companies		3,412,006		472,584,964		—			475,996,970
Metals & Mining		—		198,038,038		3,383	(d)		198,041,421
Transportation Services		—		15,351,862		1,779,299	(d)		17,131,161
All Other Non-Convertible Bonds(a)		—		8,996,267,615		—			8,996,267,615

Total Non-Convertible Bonds		3,412,006		10,069,420,558		67,865,172			10,140,697,736

Convertible Bonds(a)		—		803,425,841		—			803,425,841
Municipals(a)		—		214,734,051		—			214,734,051

Total Bonds and Notes		3,412,006		11,087,580,450		67,865,172			11,158,857,628

Senior Loans(a)		—		201,448,039		—			201,448,039
Common Stocks
Internet Software & Services		—		—		1,509,635	(d)		1,509,635
Oil, Gas & Consumable Fuels(e)		6,285,151		—		808,400	(d)		7,093,551
All Other Common Stocks(a)		645,860,971		—		—			645,860,971

Total Common Stocks		652,146,122		—		2,318,035			654,464,157

Preferred Stocks
Convertible Preferred Stocks
Midstream		15,543,601		68,603,966		—			84,147,567
REITs—Mortgage		—		2,959,530		—			2,959,530
All Other Convertible Preferred Stocks(a)		109,867,192		—		—			109,867,192

Total Convertible Preferred Stocks		125,410,793		71,563,496		—			196,974,289

Non-Convertible Preferred Stocks
Electric		1,247,490		708,786		—			1,956,276
REITs—Office Property		—		2,946,757		—			2,946,757
REITs—Warehouse/Industrials		—		12,827,631		—			12,827,631
All Other Non-Convertible Preferred Stocks(a)		60,102,416		—		—			60,102,416

Total Non-Convertible Preferred Stocks		61,349,906		16,483,174		—			77,833,080

Total Preferred Stocks		186,760,699		88,046,670		—			274,807,369

| 40

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Closed-End Investment Companies	$	3,893,046	$	—	$	—	$	3,893,046
Short-Term Investments		—		1,327,731,459		—		1,327,731,459

Total	$	846,211,873	$	12,704,806,618	$	70,183,207	$	13,621,201,698

(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 ($28,970,238) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($13,682,170).

(d) Fair valued by the Fund’s adviser.

(e) Includes a security fair valued at zero using Level 3 inputs.

For the six months ended March 31, 2017, there were no transfers among Levels 1, 2 and 3.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016			Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	43,204,647		$	—	$	9,405	$	(720,158	)	$	801,607
Airlines		114,908			—		6,630		(8,052	)		—
Chemicals		16,637,790			226,278		—		6,564,822			—
Metals & Mining		3,383			63,277		—		(63,277	)		—
Transportation Services		21,484,700			—		4,587,511		(4,907,544	)		—
Senior Loans
Wirelines		18,283,003			6,926		66,732		990,432			—
Common Stocks
Internet Software & Services		1,111,539			—		—		398,096			—
Oil, Gas & Consumable Fuels		727,560	(a)		—		—		80,840			—
Warrants		102,811			—		143,558		(102,811	)		—

Total	$	101,670,341		$	296,481	$	4,813,836	$	2,232,348		$	801,607

41 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Asset Valuation Inputs – continued


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of March 31, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(643,093	)	$	—	$	—	$	42,652,408		$	(717,357	)
Airlines		(112,294	)		—		—		1,192			(17	)
Chemicals		—			—		—		23,428,890			6,564,822
Metals & Mining		—			—		—		3,383			(63,277	)
Transportation Services		(19,385,368	)		—		—		1,779,299			(40,035	)
Senior Loans
Wirelines		(19,347,093	)		—		—		—			—
Common Stocks
Internet Software & Services		—			—		—		1,509,635			398,096
Oil, Gas & Consumable Fuels		—			—		—		808,400	(a)		80,840
Warrants		(143,558	)		—		—		—			—

Total	$	(39,631,406	)	$	—	$	—	$	70,183,207		$	6,223,072

(a) Includes a security fair valued at zero using Level 3 inputs.

4. Purchases and Sales of Securities. For the six months ended March 31, 2017, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $347,547,430 and $2,543,030,531, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $299,296,875 and $150,018,456, 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%

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until January 31, 2018, 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 six months ended March 31, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreement were as follows:


Expense Limit as a Percentage of Average Daily Net Assets
Institutional Class	Retail Class	Admin Class	Class N
0.70%	0.95%	1.20%	0.65%

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

For the six months ended March 31, 2017, the management fees for the Fund were $36,475,969 (effective rate of 0.52% of average daily net assets).

No expenses were recovered during the six months ended March 31, 2017 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”).

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Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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

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

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

For the six months ended March 31, 2017, the service and distribution fees for the Fund were as follows:


Service Fees	Distribution Fees
Admin Class	Retail Class	Admin Class
$222,153	$5,009,648	$222,153

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 six months ended March 31, 2017, the administrative fees for the Fund were $3,127,822.

| 44

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

d. Sub-Transfer Agent Fees. NGAM Distribution has entered into agreements, which include servicing agreements, with financial intermediaries that provide recordkeeping, processing, shareholder communications and other services to customers of the intermediaries that hold positions in the Fund and has agreed to compensate the intermediaries for providing those services. Intermediaries transact with the Fund primarily through the use of omnibus accounts on behalf of their customers who hold positions in the Fund. These services would have been provided by the Fund’s transfer agent and other service providers if the shareholders’ accounts were maintained directly at the Fund’s transfer agent. Accordingly, the Fund has agreed to reimburse NGAM Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to NGAM Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers. Class N shares do not bear such expenses.

For the six months ended March 31, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $4,856,384.

As of March 31, 2017, the Fund owes NGAM Distribution $116,473 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

45 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

These fees are allocated among the funds in the Natixis Funds Trusts and Loomis Sayles Funds Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

f. Affiliated Ownership. As of March 31, 2017, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Fund representing 0.06% and 0.24% of the Fund’s net assets, respectively.

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

6. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2017, 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
$3,523,171	$1,464,211	$64,895	$1,884

7. Line of Credit. 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

| 46

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

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.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, the Fund had no borrowings under this agreement.

8. Concentration of Risk. The Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities, varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with foreign securities.

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


	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		80,139,305		$	1,108,449,876			160,180,222		$	2,127,904,277
Issued in connection with the reinvestment of distributions		18,101,805			247,569,391			47,619,624			617,686,160
Redeemed		(121,669,654	)		(1,678,338,660	)		(442,133,934	)		(5,869,449,395	)

Net change		(23,428,544	)	$	(322,319,393	)		(234,334,088	)	$	(3,123,858,958	)

Retail Class
Issued from the sale of shares		17,064,983		$	234,513,931			42,787,867		$	566,015,340
Issued in connection with the reinvestment of distributions		7,759,728			105,588,881			23,387,521			301,525,815
Redeemed		(72,304,379	)		(994,823,666	)		(205,716,845	)		(2,732,824,450	)

Net change		(47,479,668	)	$	(654,720,854	)		(139,541,457	)	$	(1,865,283,295	)

Admin Class
Issued from the sale of shares		1,380,463		$	18,901,630			2,197,113		$	29,050,927
Issued in connection with the reinvestment of distributions		326,376			4,423,265			903,959			11,602,619
Redeemed		(2,260,613	)		(30,898,753	)		(7,399,879	)		(98,569,951	)

Net change		(553,774	)	$	(7,573,858	)		(4,298,807	)	$	(57,916,405	)

47 |

Notes to Financial Statements – continued

March 31, 2017 (Unaudited)

9. Capital Shares – continued.


	Six Months Ended March 31, 2017						Year Ended September 30, 2016
Class N	Shares			Amount			Shares			Amount
Issued from the sale of shares		7,196,226		$	99,644,062			3,139,426		$	41,893,559
Issued in connection with the reinvestment of distributions		333,432			4,556,751			413,778			5,369,820
Redeemed		(1,815,285	)		(25,048,080	)		(1,707,652	)		(22,882,253	)

Net change		5,714,373		$	79,152,733			1,845,552		$	24,381,126

Increase (decrease) from capital share transactions		(65,747,613	)	$	(905,461,372	)		(376,328,800	)	$	(5,022,677,532	)

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SEMIANNUAL REPORT

March 31, 2017

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 11

Financial Statements page 51

Notes to Financial Statements page 67

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 N LSHNX
		Class Y NEHYX

Investment Goal

The Fund seeks high current income plus the opportunity for capital appreciation to produce a high total return.

1 |

Average Annual Total Returns — March 31, 2017⁴


																Expense Ratios⁵
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 2/29/08)¹
NAV		4.44	%		16.45	%		6.41	%		6.27	%		—	%		0.89	%		0.85	%

Class A (Inception 2/22/84)
NAV		4.29			16.11			6.17			6.04			—			1.14			1.10
With 4.25% Maximum Sales Charge		-0.19			11.18			5.23			5.59			—

Class C (Inception 3/2/98)
NAV		3.88			15.20			5.36			5.24			—			1.89			1.85
With CDSC²		2.88			14.20			5.36			5.24			—

Class N (Inception 11/30/16)
NAV		—			—			—			—			4.92			0.77			0.77

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index³		4.50			16.39			6.82			7.46			1.13

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 owe 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.

The Bloomberg Barclays U.S. Corporate High-Yield Bond Index measures the market of USD-denominated, non-investment grade, fixed-rate, taxable corporate bonds. Securities are classified as high yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB /BB or below, excluding emerging market debt. The Bloomberg Barclays U.S. Corporate High-Yield Bond Index was created in 1986, with history backfilled to July 1, 1983, and rolls up into the Bloomberg Barclays U.S. Universal and Global High-Yield Indices. You may not invest directly in an index.

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.

3 |

Average Annual Total Returns — March 31, 2017^4,5



													Expense Ratios⁶
	6 Months			1 Year			5 Years			10 Years			Gross			Net

Class Y (Inception 1/28/98)¹
NAV		-1.08	%		1.32	%		2.46	%		4.57	%		0.47	%		0.40	%

Class A (Inception 5/28/10)¹
NAV		-1.11			1.16			2.22			4.32			0.72			0.65
With 4.25% Maximum Sales Charge		-5.34			-3.13			1.33			3.86

Class C (Inception 8/31/16)¹
NAV		-1.55			0.46			1.39			3.37			1.56			1.40
With CDSC²		-2.53			-0.52			1.39			3.37

Comparative Performance
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index³		-1.30			0.42			1.88			3.76

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 owe 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.

The Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index includes securities in the intermediate maturity range with in the Government and Credit Indices. The Government Index includes treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year) and agencies (i.e., publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government). The Credit Index includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements. You may not invest directly in an index.

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.

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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 N LGANX
Loomis, Sayles & Company, L.P.		Class Y NELYX

Investment Goal

The Fund seeks a high current return consistent with preservation of capital.

5 |

Average Annual Total Returns — March 31, 2017³


																Expense Ratios⁴
	6 Months			1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 3/31/94)
NAV		-0.55	%		0.20	%		1.10	%		3.14	%		—	%		0.52	%		0.52	%

Class A (Inception 1/3/89)
NAV		-0.60			0.04			0.85			2.89			—			0.77			0.77
With 2.25% Maximum Sales Charge		-2.79			-2.25			0.40			2.66			—

Class C (Inception 12/30/94)
NAV		-0.97			-0.71			0.10			2.13			—			1.52			1.52
With CDSC¹		-1.95			-1.69			0.10			2.13			—

Class N (Inception 2/1/17)
NAV		—			—			—			—			0.30			0.44			0.44

Comparative Performance
Bloomberg Barclays U.S. 1-5 Year Government Bond Index²		-0.75			-0.13			0.90			2.65			0.24

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 owe 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.

The Bloomberg Barclays U.S. 1-5 Year Government Bond Index is a subindex of the Bloomberg Barclays U.S. Government Index, which is composed of the Bloomberg Barclays U.S. Treasury and U.S. Agency Indices. The Bloomberg Barclays U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. government). The Bloomberg Barclays U.S. Government Index is a component of the Bloomberg Barclays U.S. Government/Credit Index and the Bloomberg Barclays U.S. Aggregate Index.

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

| 6

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 Natixis 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 Natixis 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.

7 |

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. 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 October 1, 2016 through March 31, 2017. 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 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.

| 8


LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 10/1/2016		ENDING ACCOUNT VALUE 3/31/2017		EXPENSES PAID DURING PERIOD 10/1/2016 – 3/31/2017
Class A
Actual		$1,000.00		$1,042.90		$5.60	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,019.45		$5.54	*
Class C
Actual		$1,000.00		$1,038.80		$9.40	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,015.71		$9.30	*
Class N
Actual		$1,000.00		$1,049.20		$2.51	²
Hypothetical (5% return before expenses)		$1,000.00		$1,021.24		$3.73	*
Class Y
Actual		$1,000.00		$1,044.40		$4.33	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,020.69		$4.28	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85%, 0.74% and 0.85% for Class A, C, N 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 (182), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.10%, 1.85% and 0.85%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

Class N commenced operations on November 30, 2016. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): of 0.74%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (121), divided by 365 (to reflect the partial period).


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND	BEGINNING ACCOUNT VALUE 10/1/2016		ENDING ACCOUNT VALUE 3/31/2017		EXPENSES PAID DURING PERIOD* 10/1/2016 – 3/31/2017
Class A
Actual		$1,000.00		$988.90		$3.22
Hypothetical (5% return before expenses)		$1,000.00		$1,021.69		$3.28
Class C
Actual		$1,000.00		$984.50		$6.93
Hypothetical (5% return before expenses)		$1,000.00		$1,017.95		$7.04
Class Y
Actual		$1,000.00		$989.20		$1.98
Hypothetical (5% return before expenses)		$1,000.00		$1,022.94		$2.02

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 (182), divided by 365 (to reflect the half-year period).

9 |


LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND	BEGINNING ACCOUNT VALUE 10/1/2016		ENDING ACCOUNT VALUE 3/31/2017		EXPENSES PAID DURING PERIOD 10/1/2016 – 3/31/2017
Class A
Actual		$1,000.00		$994.00		$3.98	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,020.94		$4.03	*
Class C
Actual		$1,000.00		$990.30		$7.69	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,017.20		$7.80	*
Class N
Actual		$1,000.00		$1,003.00		$0.78	²
Hypothetical (5% return before expenses)		$1,000.00		$1,022.49		$2.47	*
Class Y
Actual		$1,000.00		$994.50		$2.73	¹
Hypothetical (5% return before expenses)		$1,000.00		$1,022.19		$2.77	*

Hypothetical expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55%, 0.49% and 0.55% for Class A, C, N 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 (182), divided by 365 (to reflect the half-year period).

Actual expenses for Class A, C and Y are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.80%, 1.55% and 0.55%, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (182), divided by 365 (to reflect the half-year period).

Class N commenced operations on February 1, 2017. Actual expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): of 0.49%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal period (58), divided by 365 (to reflect the partial period).

| 10

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 86.7% of Net Assets
	Non-Convertible Bonds — 81.8%
		ABS Home Equity — 1.7%
$	300,000	American Homes 4 Rent, Series 2014-SFR1, Class E, 3.443%, 6/17/2031, 144A(b)	$	299,999
	112,338	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		114,481
	122,326	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		125,255
	89,880	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		89,344
	193,549	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 1.252%, 4/25/2035(b)		159,949
	30,123	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.184%, 11/20/2035(b)(c)		26,982
	234,591	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1.308%, 9/19/2045(b)		174,932
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 5.232%, 11/25/2023(b)		271,071
	305,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 4.282%, 10/25/2027(b)		327,006
	173,355	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.574%, 7/19/2035(b)		167,457
	68,954	JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 3.198%, 3/25/2036(b)		49,841
	230,711	Lehman Mortgage Trust, Series 2005-3, Class 1A6, 1.482%, 1/25/2036(b)		145,167
	293,057	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.447%, 3/25/2035(b)		248,962
	337,299	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.126%, 3/25/2035(b)		260,692
	63,130	New York Mortgage Trust, Series 2006-1, Class 2A2, 3.467%, 5/25/2036(b)		57,424
	220,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(b)		216,605
	292,548	VOLT XXVII LLC, Series 2014-NPL7, Class A2, 4.750%, 8/27/2057, 144A(b)		292,222

				3,027,389

		ABS Other — 0.1%
	263,869	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)		258,592

		Aerospace & Defense — 2.1%
	210,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		215,880
	95,000	Engility Corp., 8.875%, 9/01/2024, 144A		100,581
	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A		794,063
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,582,500
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,021,500

				3,714,524

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Airlines — 0.1%
$	70,947	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	72,014
	95,206	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		96,649

				168,663

		Automotive — 0.9%
	195,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		196,950
	285,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		287,494
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		117,875
	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		722,750

				1,575,269

		Banking — 4.4%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		1,975,075
	485,000	Ally Financial, Inc., 5.750%, 11/20/2025		496,519
	6,605,000	Banco Hipotecario S.A., 22.333%, 1/12/2020, 144A, (ARS)(b)		427,602
	7,075,000	Banco Supervielle S.A., 24.438%, 8/09/2020, 144A, (ARS)(b)		476,766
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,399,488
	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		442,144
	895,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		867,340
	300,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024		303,362
	335,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		354,096
	1,025,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d)		1,085,396

				7,827,788

		Brokerage — 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		510,925

		Building Materials — 1.1%
	450,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		424,687
	230,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		238,625
	350,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		393,824
	50,000	Masco Corp., 6.500%, 8/15/2032		59,011
	345,000	Masco Corp., 7.750%, 8/01/2029		443,585
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		265,825
	180,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		186,300

				2,011,857

		Cable Satellite — 6.5%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		827,595
	170,000	Cablevision S.A., 6.500%, 6/15/2021, 144A		178,925
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		488,063
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		643,750
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		446,125
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,600
	865,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A		908,250
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		757,150

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Cable Satellite — continued
$	75,000	CSC Holdings LLC, 6.750%, 11/15/2021	$	81,328
	220,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		255,200
	200,000	CSC Holdings LLC, 10.875%, 10/15/2025, 144A		240,500
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		933,037
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,701,405
	295,000	DISH DBS Corp., 7.750%, 7/01/2026		342,938
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,562,962
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		274,606
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		505,613
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		382,500
	141,963	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e)		142,495
	840,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		839,916

				11,527,958

		Chemicals — 0.8%
	1,510,000	Hercules LLC, 6.500%, 6/30/2029(f)(g)		1,451,487

		Construction Machinery — 0.5%
	15,000	United Rentals North America, Inc., 5.500%, 5/15/2027		15,150
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		834,000

				849,150

		Consumer Cyclical Services — 0.7%
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,196,288

		Consumer Products — 0.2%
	290,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		305,950

		Electric — 1.4%
	520,000	AES Corp. (The), 5.500%, 4/15/2025		527,800
	150,000	AES Corp. (The), 6.000%, 5/15/2026		155,250
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d)		1,727,300
	7,224	Red Oak Power LLC, Series A, 8.540%, 11/30/2019		7,224

				2,417,574

		Environmental — 0.3%
	335,000	GFL Environmental, Inc., 7.875%, 4/01/2020, 144A		347,562
	95,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		102,838

				450,400

		Finance Companies — 4.2%
	740,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021		775,709
	1,055,000	Aircastle Ltd., 4.125%, 5/01/2024		1,056,319
	515,000	Aircastle Ltd., 5.500%, 2/15/2022		552,337
	600,000	iStar, Inc., 4.000%, 11/01/2017		601,500
	505,000	iStar, Inc., 5.000%, 7/01/2019		508,156
	565,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		570,650

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — continued
$	585,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017	$	585,000
	540,000	Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A		550,800
	710,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		697,575
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,182,150
	405,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		410,063

				7,490,259

		Financial Other — 0.9%
	565,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020		584,775
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		182,700
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		819,075

				1,586,550

		Food & Beverage — 1.0%
	200,000	BRF GmbH, 4.350%, 9/29/2026, 144A		182,742
	840,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		872,550
	330,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		333,300
	20,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		20,550
	385,000	Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		401,362

				1,810,504

		Gaming — 0.8%
	175,000	Boyd Gaming Corp., 6.375%, 4/01/2026		187,250
	375,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		387,188
	725,000	MGM Resorts International, 6.000%, 3/15/2023		783,000

				1,357,438

		Government Owned – No Guarantee — 2.0%
	600,000	Petrobras Global Finance BV, 5.375%, 1/27/2021		615,900
	320,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		328,160
	50,000	Petrobras Global Finance BV, 6.750%, 1/27/2041		46,800
	160,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		152,320
	195,000	Petrobras Global Finance BV, 7.375%, 1/17/2027		206,456
	300,000	Petrobras Global Finance BV, 8.375%, 5/23/2021		338,850
	160,521(††)	Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)(d)		758,354
	129,850(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		603,300
	510,000	YPF S.A., 23.854%, 7/07/2020, 144A(b)		541,397

				3,591,537

		Health Insurance — 0.2%
	365,000	Centene Corp., 6.125%, 2/15/2024		391,919

		Healthcare — 4.3%
	235,000	CHS/Community Health Systems, Inc., 6.250%, 3/31/2023		239,113
	960,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		825,600
	360,000	Envision Healthcare Corp., 5.625%, 7/15/2022		369,000
	25,000	HCA, Inc., 4.500%, 2/15/2027		25,000
	20,000	HCA, Inc., 5.250%, 4/15/2025		21,250

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Healthcare — continued
$	5,000	HCA, Inc., 5.250%, 6/15/2026	$	5,263
	260,000	HCA, Inc., 5.375%, 2/01/2025		271,050
	170,000	HCA, Inc., 7.050%, 12/01/2027		186,788
	655,000	HCA, Inc., 7.500%, 12/15/2023		748,337
	145,000	HCA, Inc., 7.500%, 11/06/2033		158,594
	590,000	HCA, Inc., 7.690%, 6/15/2025		671,862
	480,000	HCA, Inc., 8.360%, 4/15/2024		565,800
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		921,475
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		567,144
	65,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		66,300
	200,000	Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		200,750
	310,000	Tenet Healthcare Corp., 5.000%, 3/01/2019		310,474
	675,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		663,187
	705,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		604,537
	125,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		135,000

				7,556,524

		Home Construction — 1.3%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(f)(h)		12
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(f)(g)		605,625
	800,000	Lennar Corp., 4.750%, 5/30/2025		802,000
	915,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		935,587

				2,343,224

		Independent Energy — 8.8%
	1,205,000	Antero Resources Corp., 5.125%, 12/01/2022		1,220,816
	110,000	Antero Resources Corp., 5.375%, 11/01/2021		112,980
	310,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		320,850
	685,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		602,800
	370,000	Bonanza Creek Energy, Inc., 5.750%, 2/01/2023(h)		296,000
	650,000	Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(h)		523,250
	90,000	California Resources Corp., 5.500%, 9/15/2021		66,600
	41,000	California Resources Corp., 6.000%, 11/15/2024		28,700
	460,000	California Resources Corp., 8.000%, 12/15/2022, 144A		373,750
	140,000	Callon Petroleum Co., 6.125%, 10/01/2024, 144A		145,600
	153,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		137,700
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,280
	13,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		12,610
	34,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		33,958
	70,000	Concho Resources, Inc., 5.500%, 10/01/2022		72,362
	125,000	Concho Resources, Inc., 5.500%, 4/01/2023		129,375
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		786,056
	645,000	Continental Resources, Inc., 3.800%, 6/01/2024		599,850
	235,000	Continental Resources, Inc., 4.500%, 4/15/2023		228,683
	470,000	Continental Resources, Inc., 5.000%, 9/15/2022		474,700
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023		703,800
	835,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		819,970

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	145,000	Matador Resources Co., 6.875%, 4/15/2023	$	151,525
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		366,437
	300,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		300,000
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		523,575
	185,000	Newfield Exploration Co., 5.625%, 7/01/2024		194,944
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		640,625
	100,000	PDC Energy, Inc., 6.125%, 9/15/2024, 144A		102,500
	405,000	QEP Resources, Inc., 5.250%, 5/01/2023		397,058
	520,000	QEP Resources, Inc., 5.375%, 10/01/2022		512,200
	1,150,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(i)		592,250
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,055,750
	565,000	RSP Permian, Inc., 6.625%, 10/01/2022		594,662
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		306,075
	920,000	SM Energy Co., 5.000%, 1/15/2024		869,400
	35,000	SM Energy Co., 6.125%, 11/15/2022		35,263
	60,000	SM Energy Co., 6.500%, 1/01/2023		60,900
	190,000	SM Energy Co., 6.750%, 9/15/2026		191,544
	395,000	Southwestern Energy Co., 6.700%, 1/23/2025		389,075
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		54,862
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		450,450

				15,486,785

		Industrial Other — 0.2%
	330,000	Broadspectrum Ltd., 8.375%, 5/15/2020, 144A		344,850

		Life Insurance — 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		348,714

		Local Authorities — 0.8%
	840,000	Provincia de Buenos Aires, 5.750%, 6/15/2019, 144A		867,888
	325,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		325,270
	270,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		273,429

				1,466,587

		Lodging — 0.9%
	150,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024, 144A		148,125
	755,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025, 144A		764,211
	705,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027, 144A		712,050

				1,624,386

		Media Entertainment — 1.4%
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		473,525
	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,201,200
	795,000	Viacom, Inc., 4.375%, 3/15/2043		689,084
	50,000	Viacom, Inc., 4.850%, 12/15/2034		48,373
	105,000	Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		105,840

				2,518,022

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Metals & Mining — 2.6%
$	1,395,000	ArcelorMittal, 7.500%, 3/01/2041	$	1,561,284
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		187,943
	460,000	Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A(f)(g)(h)		51,750
	145,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		149,350
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		278,438
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		1,280,469
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		71,931
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		255,268
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		465,300
	270,000	Vale Overseas Ltd., 6.250%, 8/10/2026		293,287

				4,595,020

		Midstream — 4.5%
	250,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		257,164
	195,000	AmeriGas Partners LP/AmeriGas Finance Corp., 5.500%, 5/20/2025		193,538
	66,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		68,970
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		68,013
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		28,476
	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		572,137
	365,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		371,388
	385,000	Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022		380,430
	985,000	Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021		1,061,298
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		520,389
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		471,656
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		935,000
	973,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		988,811
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		92,863
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		654,400
	300,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022		309,375
	355,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		374,525
	360,000	Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		380,250
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		193,500

				7,922,183

		Non-Agency Commercial Mortgage-Backed Securities — 1.8%
	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 9.142%, 5/15/2020, 144A(b)(f)(g)		910,014
	480,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		411,649
	1,690,000	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.949%, 8/10/2045(b)		1,691,309
	118,555	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)		118,457

				3,131,429

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Oil Field Services — 0.9%
$	430,000	Ensco PLC, 5.750%, 10/01/2044	$	324,650
	160,000	Noble Holding International Ltd., 5.250%, 3/15/2042		107,200
	160,000	Noble Holding International Ltd., 6.050%, 3/01/2041		115,200
	420,000	Noble Holding International Ltd., 7.750%, 1/15/2024		403,200
	435,000	Paragon Offshore PLC, 6.750%, 7/15/2022, 144A(f)(g)(h)		78,300
	905,000	Paragon Offshore PLC, 7.250%, 8/15/2024, 144A(f)(g)(h)		162,900
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		31,019
	100,000	Rowan Cos., Inc., 5.850%, 1/15/2044		76,250
	280,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		289,100

				1,587,819

		Packaging — 1.4%
	200,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023, 144A(e)		206,000
	395,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		397,963
	200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		214,000
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		821,062
	775,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		794,855

				2,433,880

		Pharmaceuticals — 2.3%
	1,540,000	Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A		1,393,700
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		451,825
	335,000	Valeant Pharmaceuticals International, Inc., 5.375%, 3/15/2020, 144A		299,406
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		204,050
	85,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		68,425
	2,015,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		1,564,144

				3,981,550

		Property & Casualty Insurance — 0.5%
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		819,405

		Refining — 0.2%
	230,000	Ultrapar International S.A., 5.250%, 10/06/2026, 144A		228,850
	140,000	Western Refining, Inc., 6.250%, 4/01/2021		144,725

				373,575

		REITs – Mortgage — 0.1%
	105,000	Starwood Property Trust, Inc., 5.000%, 12/15/2021, 144A		108,938

		Retailers — 1.1%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		45,264
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		504,117
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027(d)		232,458
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,053,112
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		109,850

				1,944,801

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Sovereigns — 0.2%
$	285,000	Republic of Argentina, 5.625%, 1/26/2022, 144A	$	291,840

		Supermarkets — 0.7%
	335,000	Albertsons Cos. LLC/Safeway, Inc./New Albertson’s/Albertson’s LLC, 5.750%, 3/15/2025, 144A		324,950
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		836,825

				1,161,775

		Supranational — 2.2%
	30,700,000	European Bank for Reconstruction & Development, GMTN, 6.400%, 3/04/2019, (INR)		478,444
	5,420,000,000	International Bank for Reconstruction & Development, 4.500%, 8/03/2017, (COP)(d)		1,871,148
	100,890,000	International Finance Corp., 7.800%, 6/03/2019, (INR)(d)		1,608,900

				3,958,492

		Technology — 6.9%
	1,545,000	Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029		1,699,500
	1,930,000	Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028		2,108,525
	571,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		571,000
	170,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		178,925
	60,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		62,850
	190,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A		199,753
	1,440,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A		1,569,861
	580,000	Diamond 1 Finance Corp./Diamond 2 Finance Corp., 7.125%, 6/15/2024, 144A		641,178
	480,000	Equinix, Inc., 5.375%, 1/01/2022		505,200
	430,000	First Data Corp., 5.000%, 1/15/2024, 144A		437,525
	800,000	First Data Corp., 7.000%, 12/01/2023, 144A		858,000
	55,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		56,495
	360,000	Micron Technology, Inc., 5.500%, 2/01/2025		373,500
	210,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		241,238
	515,000	Open Text Corp., 5.625%, 1/15/2023, 144A		535,600
	190,000	Open Text Corp., 5.875%, 6/01/2026, 144A		199,025
	275,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		281,187
	405,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		414,112
	235,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		257,619
	755,000	Western Digital Corp., 10.500%, 4/01/2024		889,956

				12,081,049

		Transportation Services — 0.4%
	275,000	APL Ltd., 8.000%, 1/15/2024(f)(g)		201,094
	420,000	Rumo Luxembourg S.a.r.l., 7.375%, 2/09/2024, 144A		432,075

				633,169

		Treasuries — 2.0%
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i)		39,017

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Treasuries — continued
	55,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i)	$	38,764
	20,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i)		13,938
	107,066(††)	Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d)		559,890
	263,668(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)(d)		1,289,044
	131,500(††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d)		693,558
	151,030(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d)		948,955

				3,583,166

		Wireless — 3.3%
	100,000	Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		112,876
	355,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		375,191
	785,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		833,081
	6,000,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		298,682
	6,100,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		294,049
	605,000	SFR Group S.A., 7.375%, 5/01/2026, 144A		623,150
	786,000	Sprint Capital Corp., 6.875%, 11/15/2028		830,212
	1,420,000	Sprint Corp., 7.250%, 9/15/2021		1,532,890
	605,000	T-Mobile USA, Inc., 6.000%, 4/15/2024		645,081
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		203,250

				5,748,462

		Wirelines — 2.6%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		619,519
	30,000	CenturyLink, Inc., Series T, 5.800%, 3/15/2022		30,937
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		128,050
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		15,553
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		348,300
	340,000	Frontier Communications Corp., 10.500%, 9/15/2022		344,250
	15,000	Frontier Communications Corp., 11.000%, 9/15/2025		14,588
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		729,675
	1,545,000	Level 3 Financing, Inc., 5.250%, 3/15/2026		1,552,725
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		348,664
	35,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		38,762
	450,000	Telecom Italia SpA, 5.303%, 5/30/2024, 144A		455,062

				4,626,085

		Total Non-Convertible Bonds (Identified Cost $141,230,599)		144,193,751


	Convertible Bonds — 4.9%
		Cable Satellite — 0.2%
	415,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		424,597

		Consumer Cyclical Services — 0.3%
	595,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		583,100

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Diversified Manufacturing — 0.1%
$	260,000	Aerojet Rocketdyne Holdings, Inc., 2.250%, 12/15/2023, 144A	$	280,313

		Diversified Operations — 0.1%
	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019		164,200

		Healthcare — 0.2%
	340,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		400,987

		Leisure — 0.1%
	155,000	Rovi Corp., 0.500%, 3/01/2020		150,522

		Media Entertainment — 0.2%
	265,000	Liberty Media Corp., 2.250%, 9/30/2046, 144A		285,537

		Midstream — 0.5%
	855,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		885,459

		Oil Field Services — 0.4%
	255,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A		261,056
	415,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		387,766

				648,822

		Pharmaceuticals — 1.4%
	485,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		572,603
	465,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		423,150
	530,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		427,644
	450,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		419,344
	520,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		500,825
	100,000	Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A		103,562

				2,447,128

		Technology — 1.4%
	725,000	Finisar Corp., 0.500%, 12/15/2036, 144A		706,875
	525,000	MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A		713,344
	1,035,000	Nuance Communications, Inc., 1.000%, 12/15/2035		984,575

				2,404,794

		Total Convertible Bonds (Identified Cost $8,417,739)		8,675,459


		Total Bonds and Notes (Identified Cost $149,648,338)		152,869,210


	Senior Loans — 1.7%
		Consumer Cyclical Services — 0.2%
	455,844	SourceHov LLC, 2014 1st Lien Term Loan, 7.897%, 10/31/2019(b)		440,746

		Independent Energy — 0.3%
	531,086	Chesapeake Energy Corp., Term Loan, 8.553%, 8/23/2021(b)		564,943

		Media Entertainment — 0.0%
	13,012	Dex Media, Inc., Term Loan, 11.000%, 7/29/2021(b)		13,207

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Other Utility — 0.2%
$	238,806	PowerTeam Services LLC, 1st Lien Term Loan, 4.397%, 5/06/2020(b)	$	238,658
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 8.397%, 11/06/2020(b)		94,525

				333,183

		Supermarkets — 0.3%
	465,960	Albertsons LLC, USD 2016 Term Loan B4, 3.982%, 8/22/2021(b)		467,866

		Wirelines — 0.7%
	1,200,000	Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b)		1,204,800

		Total Senior Loans (Identified Cost $3,007,804)		3,024,745


Shares
	Preferred Stocks — 1.7%
	Convertible Preferred Stocks — 1.4%
		Food & Beverage — 0.3%
	4,834	Bunge Ltd., 4.875%		518,447

		Midstream — 0.4%
	988	Chesapeake Energy Corp., 5.750%		639,730
	20	Chesapeake Energy Corp., 5.750%, 144A		12,950
	137	Chesapeake Energy Corp., 5.750%		88,707

				741,387

		Pharmaceuticals — 0.7%
	974	Allergan PLC, Series A, 5.500%		827,686
	644	Teva Pharmaceutical Industries Ltd., 7.000%		370,493

				1,198,179

		Total Convertible Preferred Stocks (Identified Cost $2,735,389)		2,458,013


	Non-Convertible Preferred Stocks — 0.3%
		Finance Companies — 0.3%
	12,925	iStar, Inc., Series E, 7.875%		314,207
	7,500	iStar, Inc., Series F, 7.800%		183,975
	550	iStar, Inc., Series G, 7.650%		13,365

				511,547

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		511,547


		Total Preferred Stocks (Identified Cost $3,153,211)		2,969,560

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Shares		Description	Value (†)
	Other Investments — 1.0%
		Aircraft ABS — 1.0%
	8,415	Aergen LLC(c)(f)	$	847,548
	100	ECAF I Blocker Ltd.(c)(f)		988,352

		Total Aircraft ABS (Identified Cost $1,841,500)		1,835,900


	Common Stocks — 1.4%
		Energy Equipment & Services — 0.0%
	4,625	Hercules Offshore, Inc.(f)(g)(j)		—

		Internet Software & Services — 0.0%
	4,113	Dex Media, Inc.(c)(f)(j)		11,105

		Oil, Gas & Consumable Fuels — 1.2%
	12,992	Halcon Resources Corp.(j)		100,038
	14,882	Kinder Morgan, Inc.		323,535
	8,265	Pacific Exploration and Production Corp.(j)		264,137
	17,250	Rex Energy Corp.(j)		8,099
	162,248	Whiting Petroleum Corp.(j)		1,534,866

				2,230,675

		Pharmaceuticals — 0.2%
	5,539	Bristol-Myers Squibb Co.		301,211

		Total Common Stocks (Identified Cost $5,488,268)		2,542,991


	Warrants — 0.0%
	22,512	Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(j)		54
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(f)(j)		—
	3,528	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(j)		6,209

		Total Warrants (Identified Cost $29,892)		6,263


Principal Amount (‡)
	Short-Term Investments — 3.5%
$	50,472	Repurchase Agreement with State Street Bank and Trust Company, dated 3/31/2017 at 0.000% to be repurchased at $50,472 on 4/03/2017 collateralized by $51,200 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $51,495 including accrued interest (Note 2 of Notes to Financial Statements)		50,472
	4,219,091	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $4,219,168 on 4/03/2017 collateralized by $4,340,000 U.S. Treasury Note, 1.875% due 8/31/2022 valued at $4,305,579 including accrued interest (Note 2 of Notes to Financial Statements)		4,219,091

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Short-Term Investments — (continued)
$	1,935,000	U.S. Treasury Bills, 0.793%, 12/07/2017(k)	$	1,922,603

		Total Short-Term Investments (Identified Cost $6,193,918)		6,192,166


		Total Investments — 96.0% (Identified Cost $169,362,931)(a)		169,440,835
		Other assets less liabilities — 4.0%		6,995,922

		Net Assets — 100.0%	$	176,436,757


	(‡)	Principal Amount stated in U.S. dollars unless otherwise noted.
	(††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $169,604,190 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	$	10,024,812
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(10,188,167	)

		Net unrealized depreciation	$	(163,355	)


	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $1,873,999 or 1.1% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(e)	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 March 31, 2017, interest payments were made in cash.
	(f)	Illiquid security.
	(g)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At March 31, 2017, the value of these securities amounted to $3,461,170 or 2.0% of net assets. See Note 2 of Notes to Financial Statements.
	(h)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(i)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(j)	Non-income producing security.
	(k)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $60,755,451 or 34.4% of net assets.
	ABS	Asset-Backed Securities

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles High Income Fund – (continued)



	GMTN			Global Medium Term Note
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

	ARS			Argentine Peso
	COP			Colombian Peso
	EUR			Euro
	INR			Indian Rupee
	MXN			Mexican Peso

At March 31, 2017, 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		6/21/2017	Euro		170,000	$	182,025	$	(1,223	)

Total								$	(1,223	)

¹ Counterparty is Bank of America, N.A.

Industry Summary at March 31, 2017 (Unaudited)


Independent Energy	9.1	%
Technology	8.3
Cable Satellite	6.7
Midstream	5.4
Pharmaceuticals	4.6
Finance Companies	4.5
Healthcare	4.5
Banking	4.4
Wirelines	3.3
Wireless	3.3
Metals & Mining	2.6
Supranational	2.2
Aerospace & Defense	2.1
Government Owned - No Guarantee	2.0
Treasuries	2.0
Other Investments, less than 2% each	27.5
Short-Term Investments	3.5

Total Investments	96.0
Other assets less liabilities (including forward foreign currency contracts)	4.0

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 99.5% of Net Assets
	Non-Convertible Bonds — 99.4%
		ABS Car Loan — 9.5%
$	79,508	AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019	$	79,590
	147,000	AmeriCredit Automobile Receivables Trust, Series 2014-4, Class C, 2.470%, 11/09/2020		148,372
	375,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		377,363
	152,000	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022		153,529
	72,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		72,790
	160,000	AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022		158,044
	555,000	Americredit Automobile Receivables Trust, Series 2016-4, Class B, 1.830%, 12/08/2021		549,322
	110,000	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class B, 2.300%, 2/18/2022		109,918
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		211,016
	360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A		364,401
	365,000	Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A		367,726
	28,760	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		28,740
	225,000	California Republic Auto Receivables Trust, Series 2016-2, Class A3, 1.560%, 7/15/2020		224,555
	520,000	California Republic Auto Recievables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022		520,373
	371,000	Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019		371,410
	78,109	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		78,047
	9,421	CarMax Auto Owner Trust, Series 2014-1, Class A3, 0.790%, 10/15/2018		9,415
	325,000	Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A3, 1.640%, 7/15/2021, 144A		323,964
	25,151	CPS Auto Receivables Trust, Series 2014-C, Class A, 1.310%, 2/15/2019, 144A		25,138
	465,000	CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A		468,970
	145,787	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A		145,960
	275,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A		276,062
	800,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		807,906
	275,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		273,415

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	322,000	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A	$	323,627
	362,000	Drive Auto Receivables Trust, Series 2016-BA, Class C, 3.190%, 7/15/2022, 144A		366,698
	470,000	Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.370%, 11/16/2020, 144A		471,371
	230,000	Drive Auto Receivables Trust, Series 2017-AA, Class C, 2.980%, 1/18/2022, 144A		231,537
	275,000	Drive Auto Receivables Trust, Series 2017-BA, Class C, 2.610%, 8/16/2021, 144A		274,964
	107,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		109,107
	335,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		342,821
	255,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A		267,094
	440,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		441,256
	90,000	DT Auto Owner Trust, Series 2017-1A, Class C, 2.700%, 11/15/2022, 144A		89,931
	3,535	Exeter Automobile Receivables Trust, Series 2014-1A, Class B, 2.420%, 1/15/2019, 144A		3,536
	17,131	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A		17,129
	260,000	First Investors Auto Owner Trust, Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A		259,819
	290,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		291,025
	195,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		200,347
	135,000	Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A		134,319
	160,000	Flagship Credit Auto Trust, Series 2016-4, Class B, 2.410%, 10/15/2021, 144A		158,472
	230,000	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		231,946
	705,000	Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A		695,347
	115,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		115,954
	590,000	GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/2019		589,898
	490,000	Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/2020, 144A		488,575
	275,000	Hyundai Auto Lease Securitization Trust, Series 2017-A, Class A3, 1.880%, 8/17/2020, 144A		275,458
	595,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		595,612
	120,000	NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2, 2.190%, 9/15/2021, 144A		118,903
	197,225	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A		197,313
	505,000	Prestige Auto Receivables Trust, Series 2016-2A, Class A3, 1.760%, 1/15/2021, 144A		501,212
	121,000	Santander Drive Auto Receivables Trust, Series 2015-4, Class C, 2.970%, 3/15/2021		122,602

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	188,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021	$	189,034
	500,000	Santander Drive Auto Receivables Trust, Series 2016-3, Class B, 1.890%, 6/15/2021		499,131
	165,000	Santander Drive Auto Receivables Trust, Series 2017-1, Class B, 2.100%, 6/15/2021		164,801
	79,683	SMART Trust/Australia, Series 2013-2US, Class A4A, 1.180%, 2/14/2019		79,444
	800,000	Westlake Automobile Receivables Trust, Series 2016-3A, Class B, 2.070%, 12/15/2021, 144A		797,650
	295,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class B, 2.300%, 10/17/2022, 144A		294,692
	186,346	World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020		185,963
	640,000	World Omni Auto Receivables Trust, Series 2016-B, Class A3, 1.300%, 2/15/2022		633,579

				16,906,193

		ABS Credit Card — 3.2%
	605,000	American Express Credit Account Master Trust, Series 2017-1, Class A, 1.930%, 9/15/2022		606,225
	434,000	Bank of America Credit Card Trust, Series 2015-A2, Class A, 1.360%, 9/15/2020		433,557
	630,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022		630,824
	415,000	Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022		420,342
	745,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023		747,458
	1,085,000	Chase Issuance Trust, Series 2016-A4, Class A4, 1.490%, 7/15/2022		1,068,964
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		267,140
	470,000	Synchrony Credit Card Master Note Trust, Series 2016-3, Class A, 1.580%, 9/15/2022		466,249
	501,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		513,416
	555,000	World Financial Network Credit Card Master Trust, Series 2016-C, Class A, 1.720%, 8/15/2023		551,865

				5,706,040

		ABS Home Equity — 1.3%
	468,731	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A		480,191
	322,052	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A		320,282
	215,528	Colony American Homes, Series 2014-1A, Class A, 2.093%, 5/17/2031, 144A(b)		215,706
	20,977	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.746%, 7/25/2021(b)(c)		19,336
	15,105	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b)		15,294

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equity — continued
$	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.832%, 10/25/2027(b)	$	511,211
	201,727	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(b)		200,392
	10,323	RBSSP Resecuritization Trust, Series 2010-3, Class 9A1, 5.500%, 2/26/2035, 144A(c)		10,248
	178,355	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)		177,912
	286,954	Towd Point Mortgage Trust, Series 2016-2, Class A1A, 2.750%, 8/25/2055, 144A(b)		285,762
	80,198	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.074%, 5/01/2035(b)		81,575

				2,317,909

		ABS Other — 2.0%
	21,894	CCG Receivables Trust, Series 2014-1, Class A2, 1.060%, 11/15/2021, 144A		21,884
	132,300	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		132,995
	34,554	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		33,853
	398,000	John Deere Owner Trust, Series 2014-B, Class A4, 1.500%, 6/15/2021		398,181
	431,538	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(b)		421,762
	97,884	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		98,042
	385,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A		389,072
	350,000	OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A		356,262
	232,208	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		236,540
	250,000	Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A		251,530
	190,208	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		186,522
	81,804	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		80,106
	191,667	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		185,601
	795,000	Verizon Owner Trust, Series 2017-1A, Class A, 2.060%, 9/20/2021, 144A		797,561

				3,589,911

		ABS Student Loan — 0.9%
	373,596	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 1.838%, 7/25/2025(b)		374,515
	128,267	SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A		128,179
	446,581	SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A		445,687
	295,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		295,761
	330,490	South Carolina Student Loan Corp., Series 2010-1, Class A2, 2.038%, 7/25/2025(b)		332,830

				1,576,972

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Aerospace & Defense — 0.9%
$	125,000	Arconic, Inc., 6.750%, 7/15/2018	$	131,750
	420,000	Northrop Grumman Corp., 3.200%, 2/01/2027		416,032
	615,000	Rockwell Collins, Inc., 3.200%, 3/15/2024		614,298
	450,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A		447,601

				1,609,681

		Agency Commercial Mortgage-Backed Securities — 4.0%
	648,018	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(b)		688,859
	509,476	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(b)		533,159
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		699,524
	368,033	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		371,148
	913,556	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		920,218
	321,775	FHLMC Multifamily Structured Pass Through Certificates, Series K709, Class A2, 2.086%, 3/25/2019		323,669
	1,304,975	FHLMC Multifamily Structured Pass Through Certificates, Series K710, Class A2, 1.883%, 5/25/2019		1,307,357
	1,014,484	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		1,012,767
	625,673	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.682%, 11/25/2022(b)		628,906
	603,327	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		599,470

				7,085,077

		Airlines — 0.3%
	145,000	American Airlines Pass Through Certificates, Series 2016-3, Class A, 3.250%, 4/15/2030		140,106
	235,000	American Airlines Pass Through Certificates, Series 2017-1, Class A, 4.000%, 8/15/2030		237,938
	66,705	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		73,511

				451,555

		Automotive — 2.6%
	500,000	American Honda Finance Corp., MTN, 1.200%, 7/12/2019		493,271
	447,000	American Honda Finance Corp., MTN, 1.600%, 7/13/2018		447,789
	425,000	American Honda Finance Corp., MTN, 2.000%, 2/14/2020		426,044
	585,000	BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A		566,431
	220,000	Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A		220,277
	45,000	Delphi Automotive PLC, 3.150%, 11/19/2020		45,908
	360,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		359,026
	460,000	Ford Motor Credit Co. LLC, 3.339%, 3/28/2022		461,611
	331,000	General Motors Financial Co., Inc., 4.250%, 5/15/2023		341,563
	325,000	General Motors Financial Co., Inc., 4.300%, 7/13/2025		330,058
	585,000	Hyundai Capital America, 3.100%, 4/05/2022, 144A		583,713

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Automotive — continued
$	103,000	Magna International, Inc., 3.625%, 6/15/2024	$	105,088
	150,000	PACCAR Financial Corp., MTN, 1.200%, 8/12/2019		147,864

				4,528,643

		Banking — 18.9%
	530,000	ABN AMRO Bank NV, 1.800%, 9/20/2019, 144A		524,748
	515,000	American Express Credit Corp., MTN, 2.200%, 3/03/2020		515,780
	1,035,000	American Express Credit Corp., MTN, 2.700%, 3/03/2022		1,033,758
	105,000	Bank of America Corp., 6.000%, 9/01/2017		106,886
	116,000	Bank of America Corp., MTN, 6.875%, 4/25/2018		122,059
	49,000	Bank of Montreal, MTN, 1.400%, 9/11/2017		48,993
	365,000	Bank of Montreal, MTN, 1.500%, 7/18/2019		361,192
	415,000	Bank of Montreal, MTN, 1.900%, 8/27/2021		404,236
	545,000	Bank of Montreal, MTN, 2.100%, 12/12/2019		546,971
	505,000	Bank of New York Mellon Corp. (The), MTN, (fixed rate to 2/7/2027, variable rate thereafter), 3.442%, 2/07/2028		508,840
	845,000	Bank of Nova Scotia (The), 1.650%, 6/14/2019		839,640
	1,030,000	Bank of Nova Scotia (The), 2.700%, 3/07/2022		1,032,942
	295,000	Bear Stearns Cos. LLC (The), 7.250%, 2/01/2018		308,311
	490,000	BNZ International Funding Ltd., 2.400%, 2/21/2020, 144A		491,827
	750,000	Canadian Imperial Bank of Commerce, 1.600%, 9/06/2019		743,332
	540,000	Capital One Financial Corp., 3.050%, 3/09/2022		539,675
	555,000	Capital One NA, 2.189%, 1/30/2023(b)		557,596
	870,000	Citibank NA, 2.000%, 3/20/2019		872,991
	840,000	Citigroup, Inc., 2.900%, 12/08/2021		843,204
	920,000	Citizens Bank NA, 2.250%, 3/02/2020		918,679
	430,000	Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019		433,122
	250,000	Comerica Bank, 2.500%, 6/02/2020		250,114
	970,000	Commonwealth Bank of Australia, 1.750%, 11/07/2019, 144A		960,813
	700,000	Credit Agricole S.A., 3.375%, 1/10/2022, 144A		698,180
	335,000	Credit Suisse Group AG, 4.282%, 1/09/2028, 144A		333,543
	450,000	Credit Suisse Group Funding Guernsey Ltd., 3.800%, 6/09/2023		451,842
	735,000	Danske Bank AS, 2.200%, 3/02/2020, 144A		734,013
	345,000	Deutsche Bank AG, 4.250%, 10/14/2021, 144A		353,584
	780,000	Fifth Third Bank, Series BKNT, 1.625%, 9/27/2019		770,461
	549,000	Goldman Sachs Group, Inc. (The), 2.142%, 4/26/2022(b)		553,540
	215,000	Goldman Sachs Group, Inc. (The), 2.750%, 9/15/2020		216,781
	259,000	Goldman Sachs Group, Inc. (The), 5.950%, 1/18/2018		267,462
	665,000	HSBC Holdings PLC, (fixed rate to 3/13/2027, variable rate thereafter), 4.041%, 3/13/2028		672,197
	185,000	HSBC USA, Inc., 2.375%, 11/13/2019		185,868
	1,035,000	JPMorgan Chase & Co., 1.656%, 3/09/2021(b)		1,032,930
	246,000	JPMorgan Chase & Co., 6.000%, 1/15/2018		254,304
	585,000	JPMorgan Chase Bank NA, 1.650%, 9/23/2019		581,963
	555,000	Key Bank NA, Series BKNT, 1.600%, 8/22/2019		549,046
	532,000	Macquarie Bank Ltd., 1.600%, 10/27/2017, 144A		532,007
	219,000	Merrill Lynch & Co., Inc., Series C, GMTN, 6.400%, 8/28/2017		223,252
	460,000	Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A		459,535

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	725,000	Mizuho Financial Group, Inc., 2.953%, 2/28/2022	$	724,906
	855,000	Morgan Stanley, Series 3NC2, 1.842%, 2/14/2020(b)		856,860
	535,000	Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018		559,975
	295,000	National Bank of Canada, 2.100%, 12/14/2018		296,083
	540,000	Nordea Bank AB, 1.625%, 9/30/2019, 144A		533,228
	835,000	PNC Bank NA, 1.700%, 12/07/2018		834,830
	595,000	PNC Bank NA, 2.625%, 2/17/2022		595,495
	317,000	Royal Bank of Canada, 1.400%, 10/13/2017		316,909
	652,000	Royal Bank of Canada, GMTN, 1.625%, 4/15/2019		648,419
	529,000	Santander Holdings USA, Inc., 2.700%, 5/24/2019		531,503
	855,000	Santander Holdings USA, Inc., 3.700%, 3/28/2022, 144A		857,951
	380,000	Santander UK PLC, 2.500%, 3/14/2019		383,115
	240,000	Societe Generale S.A., 5.000%, 1/17/2024, 144A		249,167
	525,000	Svenska Handelsbanken AB, Series BKNT, 1.500%, 9/06/2019		518,272
	740,000	Toronto-Dominion Bank (The), GMTN, 1.450%, 9/06/2018		738,348
	925,000	Toronto-Dominion Bank (The), MTN, 1.950%, 1/22/2019		929,203
	840,000	U.S. Bank NA, 2.000%, 1/24/2020		843,123
	425,000	UBS Group Funding Switzerland AG, 4.253%, 3/23/2028, 144A		431,090
	770,000	Wells Fargo Bank NA, 1.750%, 5/24/2019		767,569

				33,452,263

		Brokerage — 0.2%
	430,000	BlackRock, Inc., 3.200%, 3/15/2027		430,188

		Building Materials — 0.1%
	107,000	Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020		108,299
	40,000	Masco Corp., 3.500%, 4/01/2021		40,704
	27,000	Masco Corp., 7.125%, 3/15/2020		30,417

				179,420

		Cable Satellite — 0.1%
	170,000	Cox Enterprises, Inc., 7.375%, 7/15/2027, 144A		208,243

		Chemicals — 0.1%
	107,000	Airgas, Inc., 3.050%, 8/01/2020		109,924
	9,000	Eastman Chemical Co., 4.500%, 1/15/2021		9,604
	45,000	Methanex Corp., 3.250%, 12/15/2019		45,316

				164,844

		Collateralized Mortgage Obligations — 1.8%
	219,945	Government National Mortgage Association, Series 2014-H14, Class FA, 1.280%, 7/20/2064(b)		218,920
	153,130	Government National Mortgage Association, Series 2014-H15, Class FA, 1.280%, 7/20/2064(b)		152,342
	419,231	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		417,243
	602,821	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		589,860

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	609,183	Government National Mortgage Association, Series 2016-H06, Class FC, 1.700%, 2/20/2066(b)	$	613,249
	1,272,436	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.380%, 4/20/2066(b)		1,274,603

				3,266,217

		Construction Machinery — 1.4%
	835,000	Caterpillar Financial Services Corp., 1.700%, 8/09/2021		805,361
	870,000	Caterpillar Financial Services Corp., MTN, 1.900%, 3/22/2019		870,163
	174,000	John Deere Capital Corp., 2.450%, 9/11/2020		175,444
	220,000	John Deere Capital Corp., MTN, 1.250%, 10/09/2019		216,715
	450,000	John Deere Capital Corp., MTN, 2.650%, 1/06/2022		451,626

				2,519,309

		Consumer Cyclical Services — 0.8%
	225,000	Alibaba Group Holding Ltd., 2.500%, 11/28/2019		226,065
	67,000	Western Union Co. (The), 3.350%, 5/22/2019		68,444
	1,030,000	Western Union Co. (The), 3.600%, 3/15/2022		1,037,345
	116,000	Western Union Co. (The), 3.650%, 8/22/2018		118,725

				1,450,579

		Diversified Manufacturing — 0.1%
	80,000	Snap-on, Inc., 4.250%, 1/15/2018		81,637

		Electric — 4.0%
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		116,797
	1,035,000	Consolidated Edison, Inc., Series A, 2.000%, 3/15/2020		1,033,817
	385,000	DTE Energy Co., 2.850%, 10/01/2026		360,234
	510,000	Duke Energy Corp., 2.650%, 9/01/2026		475,175
	451,000	Exelon Corp., 2.450%, 4/15/2021		445,601
	605,000	Exelon Corp., (Step to 3.497% on 4/04/2017), 2.500%, 6/01/2022(d)		610,585
	179,000	Exelon Generation Co. LLC, 2.950%, 1/15/2020		181,460
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		121,415
	395,000	Fortis, Inc., 2.100%, 10/04/2021, 144A		382,731
	825,000	National Rural Utilities Cooperative Finance Corp., 2.950%, 2/07/2024		826,709
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		192,230
	690,000	National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019		683,925
	280,000	NextEra Energy Capital Holdings, Inc., 1.649%, 9/01/2018		279,169
	456,000	NextEra Energy Capital Holdings, Inc., Series F, 2.056%, 9/01/2017		457,470
	273,000	Southern Co. (The), 2.750%, 6/15/2020		275,320
	720,000	Southern Power Co., Series E, 2.500%, 12/15/2021		703,698

				7,146,336

		Finance Companies — 0.2%
	427,000	Ares Capital Corp., 3.625%, 1/19/2022		423,352

		Food & Beverage — 0.7%
	9,000	Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019		9,539
	185,000	Flowers Foods, Inc., 3.500%, 10/01/2026		180,335

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Food & Beverage — continued
$	845,000	Molson Coors Brewing Co., 2.250%, 3/15/2020, 144A	$	845,444
	140,000	Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A		139,802

				1,175,120

		Government Owned – No Guarantee — 1.9%
	397,000	Ecopetrol S.A., 5.875%, 9/18/2023		430,249
	625,000	Export-Import Bank of Korea, 2.750%, 1/25/2022		622,815
	725,000	Korea Development Bank (The), 2.625%, 2/27/2022		720,898
	420,000	Korea National Oil Corp., 2.875%, 3/27/2022, 144A		420,218
	445,000	Petroleos Mexicanos, 6.375%, 2/04/2021		482,705
	780,000	Sinopec Group Overseas Development 2016 Ltd., 1.750%, 9/29/2019, 144A		768,292

				3,445,177

		Government Sponsored — 0.3%
	500,000	Ontario Teachers’ Cadillac Fairview Properties Trust, 3.875%, 3/20/2027, 144A		507,170

		Health Insurance — 1.0%
	695,000	Aetna, Inc., 1.700%, 6/07/2018		695,012
	1,055,000	UnitedHealth Group, Inc., 3.375%, 4/15/2027		1,061,919

				1,756,931

		Healthcare — 0.3%
	41,000	Agilent Technologies, Inc., 6.500%, 11/01/2017		42,058
	245,000	Express Scripts Holding Co., 3.000%, 7/15/2023		236,818
	183,000	Life Technologies Corp., 6.000%, 3/01/2020		200,487
	94,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		100,529

				579,892

		Hybrid ARMs — 0.2%
	62,617	FHLMC, 2.785%, 1/01/2035(b)		66,228
	180,004	FHLMC, 3.057%, 5/01/2036(b)		191,361

				257,589

		Independent Energy — 0.2%
	107,000	ConocoPhillips Co., 2.875%, 11/15/2021		107,910
	179,000	Encana Corp., 6.500%, 5/15/2019		193,338

				301,248

		Industrial Other — 0.6%
	600,000	CK Hutchison International 17 Ltd., 2.875%, 4/05/2022, 144A		600,322
	440,000	Hutchison Whampoa International 14 Ltd., 1.625%, 10/31/2017, 144A		439,594

				1,039,916

		Integrated Energy — 0.8%
	205,000	BP Capital Markets PLC, 3.588%, 4/14/2027		206,381
	1,030,000	Chevron Corp., 1.991%, 3/03/2020		1,031,306
	94,000	Shell International Finance BV, 1.625%, 11/10/2018		93,896

				1,331,583

		Life Insurance — 1.0%
	165,000	AIG Global Funding, 1.650%, 12/15/2017, 144A		165,109
	830,000	Jackson National Life Global Funding, 2.200%, 1/30/2020, 144A		828,889

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Life Insurance — continued
$	371,000	New York Life Global Funding, 1.450%, 12/15/2017, 144A	$	371,067
	344,000	Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A		345,033
	63,000	Unum Group, 5.625%, 9/15/2020		69,315

				1,779,413

		Lodging — 0.3%
	600,000	Wyndham Worldwide Corp., 4.150%, 4/01/2024		605,113

		Media Entertainment — 0.8%
	95,000	Activision Blizzard, Inc., 2.300%, 9/15/2021, 144A		93,015
	715,000	Moody’s Corp., 1.414%, 9/04/2018(b)		716,239
	112,000	S&P Global, Inc, 3.300%, 8/14/2020		114,421
	49,000	Scripps Networks Interactive, Inc., 3.950%, 6/15/2025		49,816
	480,000	Walt Disney Co. (The), MTN, 1.950%, 3/04/2020		481,074

				1,454,565

		Metals & Mining — 0.1%
	40,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		42,877
	31,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		32,351
	22,000	Rio Tinto Finance USA PLC, 3.500%, 3/22/2022		22,910

				98,138

		Midstream — 0.9%
	405,000	APT Pipelines Ltd., 4.250%, 7/15/2027, 144A		410,403
	255,000	Energy Transfer Partners LP, 2.500%, 6/15/2018		256,242
	60,000	Energy Transfer Partners LP, 4.900%, 2/01/2024		62,342
	246,000	Kinder Morgan Energy Partners LP, 4.150%, 3/01/2022		254,413
	255,000	Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024		258,348
	160,000	Plains All American Pipeline LP/PAA Finance Corp., 3.850%, 10/15/2023		160,439
	143,000	Williams Partners LP, 3.600%, 3/15/2022		145,056

				1,547,243

		Mortgage Related — 3.6%
	4,991	FHLMC, 3.000%, 10/01/2026		5,123
	527	FHLMC, 6.500%, 1/01/2024		586
	94	FHLMC, 8.000%, 7/01/2025		105
	194	FNMA, 6.000%, 9/01/2021		197
	249,323	GNMA, 4.287%, 2/20/2063(b)		262,603
	445,263	GNMA, 4.307%, 2/20/2063(b)		466,492
	235,727	GNMA, 4.408%, 10/20/2066(b)		256,268
	56,438	GNMA, 4.411%, 6/20/2066(b)		60,993
	101,705	GNMA, 4.424%, 9/20/2066(b)		110,323
	70,783	GNMA, 4.457%, 11/20/2066(b)		76,967
	194,297	GNMA, 4.475%, 10/20/2062(b)		204,103
	66,358	GNMA, 4.477%, 8/20/2066(b)		72,056
	194,007	GNMA, 4.481%, 5/20/2062(b)		202,853
	126,379	GNMA, 4.492%, 11/20/2066(b)		137,749
	435,332	GNMA, 4.495%, 4/20/2063(b)		457,728
	264,107	GNMA, 4.506%, 5/20/2062(b)		276,134
	241,836	GNMA, 4.512%, 4/20/2063(b)		254,322

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	111,592	GNMA, 4.521%, 10/20/2066(b)	$	121,695
	183,383	GNMA, 4.538%, 9/20/2066(b)		200,613
	220,805	GNMA, 4.554%, 3/20/2062(b)		230,293
	235,611	GNMA, 4.565%, 3/20/2063(b)		247,767
	101,467	GNMA, 4.566%, 10/20/2066(b)		111,381
	265,170	GNMA, 4.582%, 2/20/2063(b)		278,102
	185,409	GNMA, 4.589%, 6/20/2062(b)		193,798
	823,139	GNMA, 4.594%, 1/20/2067(b)		906,443
	153,039	GNMA, 4.595%, 7/20/2062(b)		159,603
	393,002	GNMA, 4.613%, 11/20/2064(b)		410,345
	676,603	GNMA, 4.685%, with various maturities from 2061 to 2064(b)(e)		723,785
	1,718	GNMA, 6.500%, 12/15/2023		1,948
	239	GNMA, 8.500%, 9/15/2022		242
	670	GNMA, 9.500%, 1/15/2019		697

				6,431,314

		Natural Gas — 0.6%
	107,000	NiSource Finance Corp., 6.125%, 3/01/2022		122,559
	965,000	Sempra Energy, 1.625%, 10/07/2019		955,379

				1,077,938

		Non-Agency Commercial Mortgage-Backed Securities — 8.0%
	28,700	Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051		28,865
	565,000	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050		580,452
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		510,858
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		360,152
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049		993,312
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		532,339
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(b)		274,825
	84,913	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		85,995
	232,393	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		236,446
	205,578	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		215,672
	478,193	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047		491,901
	730,000	Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1.732%, 2/13/2032, 144A(b)		731,831
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		290,897

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	520,299	Commercial Mortgage Trust, Series 2016-DC2, Class A5, 3.765%, 2/10/2049	$	537,157
	39,889	Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class A4, 5.715%, 6/15/2039(b)		39,869
	107,531	Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A4, 5.958%, 9/15/2039(b)		108,048
	265,763	Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(b)		266,924
	380,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		389,299
	84,913	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		89,055
	200,434	GP Portfolio Trust, Series 2014-GPP, Class A, 1.862%, 2/15/2027, 144A(b)		200,686
	189,103	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049		190,091
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.550%, 3/05/2033, 144A(b)		343,015
	332,944	GS Mortgage Securities Trust, Series 2007-GG10, Class A4, 5.949%, 8/10/2045(b)		332,599
	225,963	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		231,937
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		361,544
	173,417	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 5.841%, 6/15/2049(b)		173,473
	120,665	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		125,968
	313,755	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.892%, 7/15/2031, 144A(b)		314,424
	520,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.612%, 7/15/2036, 144A(b)		522,606
	280,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A1, 2.086%, 3/15/2050		280,053
	213,426	Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4, 5.841%, 6/12/2050(b)		213,849
	13,136	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		13,120
	263,676	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		274,432
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		130,547
	185,000	SCG Trust, Series 2013-SRP1, Class B, 3.412%, 11/15/2026, 144A(b)		177,637
	505,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		501,247
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046		578,030
	96,468	Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3, 5.760%, 6/15/2049(b)		96,367
	120,433	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		120,918

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059	$	203,519
	1,295,000	Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060		1,328,033
	204,637	WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 2.034%, 11/15/2029, 144A(b)		204,684
	178,764	WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047		185,759
	348,589	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		364,723

				14,233,158

		Pharmaceuticals — 1.3%
	22,000	Amgen, Inc., 2.200%, 5/22/2019		22,145
	147,000	Eli Lilly & Co., 1.950%, 3/15/2019		148,026
	425,000	Novartis Capital Corp. (The), 1.800%, 2/14/2020		425,416
	975,000	Pfizer, Inc., 3.000%, 12/15/2026		965,389
	775,000	Shire Acquisitions Investments Ireland Designated Activity Co., 1.900%, 9/23/2019		769,415

				2,330,391

		Property Trust — 0.5%
	850,000	WEA Finance LLC, 3.150%, 4/05/2022, 144A		849,614

		Railroads — 0.8%
	455,000	Burlington Northern Santa Fe LLC, 3.250%, 6/15/2027		458,393
	206,000	CSX Corp., 3.700%, 10/30/2020		214,680
	27,000	CSX Corp., 6.150%, 5/01/2037		33,179
	430,000	Union Pacific Corp., 3.000%, 4/15/2027		425,191
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		225,267

				1,356,710

		REITs – Health Care — 1.1%
	368,000	HCP, Inc., 4.000%, 12/01/2022		379,597
	31,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		30,969
	875,000	Omega Healthcare Investors, Inc., 4.750%, 1/15/2028		863,716
	320,000	Physicians Realty LP, 4.300%, 3/15/2027		320,429
	370,000	Ventas Realty LP, 3.850%, 4/01/2027		367,104

				1,961,815

		REITs – Hotels — 0.1%
	155,000	Host Hotels & Resorts LP, 3.875%, 4/01/2024		156,177

		REITs – Shopping Centers — 0.3%
	435,000	Kimco Realty Corp., 3.800%, 4/01/2027		433,118

		REITs – Single Tenant — 0.1%
	179,000	Realty Income Corp., 5.875%, 3/15/2035		206,490

		Restaurants — 0.6%
	1,030,000	McDonald’s Corp., MTN, 2.625%, 1/15/2022		1,029,091

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Retailers — 0.3%
$	430,000	Dollar General Corp., 3.875%, 4/15/2027	$	430,328

		Sovereigns — 0.3%
	595,000	Mexico Government International Bond, 4.150%, 3/28/2027		605,115

		Technology — 3.0%
	45,000	Apple, Inc., 2.250%, 2/23/2021		45,136
	380,000	Apple, Inc., 3.000%, 2/09/2024		383,264
	765,000	Applied Materials, Inc., 3.300%, 4/01/2027		768,039
	285,000	CA, Inc., 3.600%, 8/15/2022		289,190
	850,000	DXC Technology Co., 4.750%, 4/15/2027, 144A		866,903
	855,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022, 144A		859,956
	120,000	Hewlett Packard Enterprise Co., 4.900%, 10/15/2025		124,648
	246,000	HP, Inc., 4.300%, 6/01/2021		258,969
	72,000	Ingram Micro, Inc., 5.450%, 12/15/2024		70,846
	89,000	Jabil Circuit, Inc., 5.625%, 12/15/2020		95,230
	22,000	Jabil Circuit, Inc., 8.250%, 3/15/2018		23,251
	36,000	KLA-Tencor Corp., 4.125%, 11/01/2021		37,691
	405,000	Pitney Bowes, Inc., 3.375%, 10/01/2021		398,010
	655,000	Seagate HDD Cayman, 4.875%, 3/01/2024, 144A		643,569
	290,000	Tech Data Corp., 3.700%, 2/15/2022		291,005
	77,000	Xerox Corp., 4.070%, 3/17/2022, 144A		77,995

				5,233,702

		Tobacco — 0.0%
	31,000	Philip Morris International, Inc., 2.900%, 11/15/2021		31,374
	5,000	Philip Morris International, Inc., 5.650%, 5/16/2018		5,228

				36,602

		Transportation Services — 0.6%
	690,000	Penske Truck Leasing Co. LP/PTL Finance Corp., 4.200%, 4/01/2027, 144A		702,538
	430,000	TTX Co., 2.600%, 6/15/2020, 144A		430,820

				1,133,358

		Treasuries — 14.3%
	7,065,000	U.S. Treasury Note, 1.875%, 2/28/2022		7,049,825
	3,900,000	U.S. Treasury Note, 2.125%, 12/31/2022		3,909,446
	3,390,000	U.S. Treasury Note, 2.125%, 11/30/2023		3,378,345
	11,195,000	U.S. Treasury Note, 2.250%, 2/15/2027		11,052,006

				25,389,622

		Wireless — 0.2%
	185,000	Crown Castle International Corp., 4.875%, 4/15/2022		199,003
	200,000	Crown Castle International Corp., 5.250%, 1/15/2023		218,248

				417,251

		Wirelines — 2.2%
	400,000	Deutsche Telekom International Finance BV, 1.500%, 9/19/2019, 144A		393,540
	415,000	Deutsche Telekom International Finance BV, 2.820%, 1/19/2022, 144A		412,611
	790,000	Orange S.A., 1.625%, 11/03/2019		778,840
	750,000	Telefonica Emisiones SAU, 4.103%, 3/08/2027		755,293

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Wirelines — continued
$	715,000	TELUS Corp., 3.700%, 9/15/2027	$	715,330
	870,000	Verizon Communications, Inc., 4.125%, 3/16/2027		884,739

				3,940,353

		Total Non-Convertible Bonds (Identified Cost $176,302,933)		176,225,614


	Municipals — 0.1%
		New Jersey — 0.1%
	45,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017		45,051
	230,000	New Jersey Economic Development Authority Revenue, School Facilities Construction, Refunding, Series QQ, 1.802%, 6/15/2017		230,187

		Total Municipals (Identified Cost $275,000)		275,238


		Total Bonds and Notes (Identified Cost $176,577,933)		176,500,852


	Short-Term Investments — 1.9%
	3,273,303	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $3,273,363 on 4/03/2017 collateralized by $3,350,000 U.S. Treasury Note, 1.750% due 11/30/2021 valued at $3,342,734 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,273,303)		3,273,303


		Total Investments — 101.4% (Identified Cost $179,851,236)(a)		179,774,155
		Other assets less liabilities — (1.4)%		(2,412,338	)

		Net Assets — 100.0%	$	177,361,817

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $180,157,428 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	$	885,455
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(1,268,728	)

		Net unrealized depreciation	$	(383,273	)


	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $29,584 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Coupon rate is a fixed rate for an initial period than resets at a specified date and rate.

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Intermediate Duration Bond Fund – (continued)



	(e)			The Fund’s investment in mortgage related securities of Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $42,410,068 or 23.9% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	FHLMC			Federal Home Loan Mortgage Corp.
	FNMA			Federal National Mortgage Association
	GMTN			Global Medium Term Note
	GNMA			Government National Mortgage Association
	MTN			Medium Term Note
	REITs			Real Estate Investment Trusts

Industry Summary at March 31, 2017 (Unaudited)


Banking	18.9	%
Treasuries	14.3
ABS Car Loan	9.5
Non-Agency Commercial Mortgage-Backed Securities	8.0
Electric	4.0
Agency Commercial Mortgage-Backed Securities	4.0
Mortgage Related	3.6
ABS Credit Card	3.2
Technology	3.0
Automotive	2.6
Wirelines	2.2
ABS Other	2.0
Other Investments, less than 2% each	24.2
Short-Term Investments	1.9

Total Investments	101.4
Other assets less liabilities	(1.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description		Value (†)
	Bonds and Notes — 96.5% of Net Assets
		ABS Car Loan — 1.9%
$	1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A		$	1,568,948
	1,247,245	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A			1,249,289
	1,138,825	Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A			1,140,184
	1,825,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A			1,827,155
	2,875,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A			2,858,426
	201,141	First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A	��		201,117
	2,310,000	Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/16/2021, 144A			2,302,173
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A			3,503,603
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A			731,744

					15,382,639

		ABS Home Equity — 0.6%
	2,339,206	Home Partners of America Trust, Series 2016-1, Class A, 2.563%, 3/17/2033, 144A(b)			2,356,833
	1,028,072	Mill City Mortgage Trust, Series 2015-1, Class A1, 2.230%, 6/25/2056, 144A(b)			1,031,663
	1,630,163	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(b)			1,626,120

					5,014,616

		ABS Student Loan — 0.0%
	351,571	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1.932%, 1/25/2039, 144A(b)			354,289

		Agency Commercial Mortgage-Backed Securities — 18.7%
	5,899,466	Federal National Mortgage Association, Series 2015-M17, Class FA, 1.912%, 11/25/2022(b)			5,924,478
	1,000,000	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023			978,892
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020			6,361,241
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021			4,581,159
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021			4,155,093
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021			6,809,614
	3,474,611	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018			3,513,759
	686,255	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018			692,063

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Agency Commercial Mortgage-Backed Securities — continued
$	2,570,055	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018	$	2,594,275
	7,811,281	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019		7,868,235
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,311,832
	4,100,025	FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1.479%, 9/25/2022(b)		4,110,250
	1,429,113	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1.109%, 11/25/2021(b)		1,429,113
	9,951,730	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1.632%, 1/25/2023(b)		9,995,337
	4,820,861	FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020		4,778,555
	19,300,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1.682%, 11/25/2022(b)		19,399,721
	26,135,000	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		25,967,932
	210,241	Government National Mortgage Association, Series 2003-72, Class Z, 5.250%, 11/16/2045(b)		223,359
	189,324	Government National Mortgage Association, Series 2003-88, Class Z, 4.877%, 3/16/2046(b)		199,544
	3,539,257	Government National Mortgage Association, Series 2013-52, Class KX, 3.537%, 8/16/2051(b)		3,662,855

				147,557,307

		Collateralized Mortgage Obligations — 17.1%
	87,030	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 2.070%, 5/15/2023(b)(c)		84,054
	57,845	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.810%, 8/15/2023(b)(c)		57,100
	227,327	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		246,058
	719,301	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		738,582
	1,246,775	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		1,261,050
	1,699,061	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		1,899,294
	2,517,480	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		2,751,909
	2,439,377	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		2,628,294
	1,826,093	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.166%, 6/15/2048(b)		1,761,267
	2,146,907	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.180%, 12/15/2036(b)		2,225,303

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	801,245	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 3.012%, 6/15/2043(b)	$	766,018
	1,693,387	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033		1,898,192
	57,868	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.310%, 9/25/2022(b)(c)		57,225
	56,477	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.890%, 4/25/2024(b)(c)		55,891
	11,899	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 4.232%, 8/25/2042(b)(c)		12,769
	918,518	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		995,733
	175,391	Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034		176,000
	1,001,029	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1.042%, 7/25/2037(b)		980,472
	2,012,888	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.486%, 8/25/2038(b)		2,088,267
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.982%, 7/25/2043(b)		5,284,574
	40,873	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.900%, 4/25/2023(b)(c)		40,448
	10,792	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.554%, 3/25/2044(b)(c)		11,314
	808,840	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 1.814%, 10/25/2044(b)		816,867
	1,307,389	Government National Mortgage Association, Series 2010-H20, Class AF, 1.110%, 10/20/2060(b)		1,294,991
	1,181,024	Government National Mortgage Association, Series 2010-H24, Class FA, 1.130%, 10/20/2060(b)		1,170,009
	1,043,380	Government National Mortgage Association, Series 2011-H06, Class FA, 1.230%, 2/20/2061(b)		1,037,805
	1,787,905	Government National Mortgage Association, Series 2012-124, Class HT, 7.273%, 7/20/2032(b)		2,016,642
	1,940,325	Government National Mortgage Association, Series 2012-H15, Class FA, 1.230%, 5/20/2062(b)		1,942,323
	1,194,615	Government National Mortgage Association, Series 2012-H18, Class NA, 1.300%, 8/20/2062(b)		1,191,546
	5,368,036	Government National Mortgage Association, Series 2012-H29, Class HF, 1.280%, 10/20/2062(b)		5,374,005
	4,687,582	Government National Mortgage Association, Series 2013-H02, Class GF, 1.280%, 12/20/2062(b)		4,693,987
	4,632,674	Government National Mortgage Association, Series 2013-H08, Class FA, 1.130%, 3/20/2063(b)		4,592,296
	3,458,437	Government National Mortgage Association, Series 2013-H10, Class FA, 1.180%, 3/20/2063(b)		3,436,249

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	11,560,909	Government National Mortgage Association, Series 2013-H22, Class FT, 1.460%, 4/20/2063(b)	$	11,645,609
	6,621,258	Government National Mortgage Association, Series 2014-H14, Class FA, 1.280%, 7/20/2064(b)		6,590,412
	4,550,719	Government National Mortgage Association, Series 2014-H15, Class FA, 1.280%, 7/20/2064(b)		4,527,303
	4,381,476	Government National Mortgage Association, Series 2015-H05, Class FA, 1.080%, 4/20/2061(b)		4,379,016
	11,199,910	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		11,146,823
	10,188,431	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		9,969,389
	2,395,254	Government National Mortgage Association, Series 2015-H11, Class FA, 1.030%, 4/20/2065(b)		2,392,689
	5,944,025	Government National Mortgage Association, Series 2015-H19, Class FH, 1.080%, 7/20/2065(b)		5,939,358
	1,866,626	Government National Mortgage Association, Series 2015-H29, Class FA, 1.480%, 10/20/2065(b)		1,873,142
	1,183,049	Government National Mortgage Association, Series 2015-H30, Class FA, 1.460%, 8/20/2061(b)		1,186,832
	6,674,138	Government National Mortgage Association, Series 2016-H06, Class FC, 1.700%, 2/20/2066(b)		6,718,686
	4,744,355	Government National Mortgage Association, Series 2016-H10, Class FJ, 1.380%, 4/20/2066(b)		4,752,433
	8,475,644	Government National Mortgage Association, Series 2016-H19, Class FJ, 1.180%, 9/20/2063(b)		8,430,717
	314,927	NCUA Guaranteed Notes, Series 2010-A1, Class A, 1.208%, 12/07/2020(b)		314,927
	746,388	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1.432%, 10/07/2020(b)		747,204
	1,251,783	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1.337%, 12/08/2020(b)		1,256,849
	83,341	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1.337%, 12/08/2020(b)		83,759

				135,541,682

		Hybrid ARMs — 13.7%
	1,901,016	FHLMC, 2.720%, 7/01/2033(b)		2,007,352
	886,094	FHLMC, 2.739%, 9/01/2038(b)		933,582
	713,901	FHLMC, 2.740%, 4/01/2036(b)		739,298
	306,017	FHLMC, 2.777%, 9/01/2038(b)		324,000
	1,224,899	FHLMC, 2.807%, 9/01/2038(b)		1,294,128
	5,127,207	FHLMC, 2.822%, 3/01/2037(b)		5,420,554
	1,411,585	FHLMC, 2.873%, 2/01/2036(b)		1,485,178
	3,123,976	FHLMC, 2.881%, 2/01/2036(b)		3,298,021
	647,865	FHLMC, 2.920%, 11/01/2038(b)		688,209
	799,888	FHLMC, 2.997%, 6/01/2037(b)		826,308
	2,102,906	FHLMC, 3.013%, 9/01/2035(b)		2,232,199
	4,276,679	FHLMC, 3.023%, 9/01/2041(b)		4,493,387
	1,253,189	FHLMC, 3.024%, 3/01/2036(b)		1,323,971
	134,204	FHLMC, 3.104%, 12/01/2037(b)		139,008
	516,326	FHLMC, 3.105%, 2/01/2035(b)		541,399

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Hybrid ARMs — continued
$	807,640	FHLMC, 3.111%, 11/01/2038(b)	$	858,434
	1,324,767	FHLMC, 3.137%, 3/01/2038(b)		1,409,697
	560,690	FHLMC, 3.219%, 12/01/2034(b)		593,993
	656,903	FHLMC, 3.287%, 4/01/2037(b)		693,531
	2,616,669	FHLMC, 3.532%, 4/01/2037(b)		2,780,594
	628,423	FHLMC, 3.875%, 3/01/2037(b)		669,348
	768,340	FNMA, 2.682%, 9/01/2036(b)		812,357
	2,495,669	FNMA, 2.709%, 11/01/2033(b)		2,634,425
	1,392,694	FNMA, 2.750%, 6/01/2036(b)		1,469,188
	614,849	FNMA, 2.757%, 12/01/2034(b)		643,636
	332,765	FNMA, 2.761%, 4/01/2033(b)		349,520
	6,494,449	FNMA, 2.795%, with various maturities from 2033 to 2037(b)(d)		6,868,844
	618,734	FNMA, 2.796%, 9/01/2034(b)		651,316
	5,687,781	FNMA, 2.799%, 10/01/2034(b)		6,001,953
	1,903,910	FNMA, 2.802%, with various maturities from 2035 to 2037(b)(d)		1,980,891
	1,221,560	FNMA, 2.803%, 6/01/2033(b)		1,290,939
	3,689,189	FNMA, 2.806%, 6/01/2037(b)		3,922,107
	4,140,345	FNMA, 2.831%, 4/01/2034(b)		4,367,319
	1,563,011	FNMA, 2.840%, 8/01/2035(b)		1,654,300
	1,254,542	FNMA, 2.853%, 1/01/2036(b)		1,332,078
	3,959,352	FNMA, 2.881%, 7/01/2038(b)		4,180,153
	3,059,665	FNMA, 2.885%, 4/01/2037(b)		3,228,215
	409,184	FNMA, 2.893%, 8/01/2035(b)		433,713
	1,330,444	FNMA, 2.901%, 4/01/2034(b)		1,405,421
	965,367	FNMA, 2.905%, 8/01/2034(b)		1,028,367
	397,783	FNMA, 2.907%, 8/01/2038(b)		413,575
	303,417	FNMA, 2.932%, 8/01/2033(b)		321,257
	3,070,612	FNMA, 2.936%, 7/01/2035(b)		3,240,733
	1,820,551	FNMA, 2.941%, 4/01/2037(b)		1,920,755
	4,733,304	FNMA, 3.017%, 3/01/2037(b)		5,014,678
	648,497	FNMA, 3.029%, 11/01/2036(b)		687,068
	369,264	FNMA, 3.055%, 3/01/2034(b)		391,142
	3,734,891	FNMA, 3.095%, with various maturities from 2035 to 2037(b)(d)		3,962,993
	631,277	FNMA, 3.103%, 7/01/2041(b)		660,078
	938,749	FNMA, 3.115%, 5/01/2035(b)		1,000,088
	639,554	FNMA, 3.119%, 10/01/2033(b)		679,991
	5,188,045	FNMA, 3.281%, 10/01/2041(b)		5,487,745
	3,389,098	FNMA, 3.377%, 7/01/2037(b)		3,587,451
	196,145	FNMA, 3.445%, 1/01/2037(b)		208,585
	864,086	FNMA, 3.505%, 2/01/2037(b)		916,522
	1,589,787	FNMA, 3.549%, 2/01/2047(b)		1,669,474
	1,358,106	FNMA, 3.723%, 6/01/2035(b)		1,437,796

				108,606,864

		Mortgage Related — 17.5%
	101,904	FHLMC, 3.000%, 10/01/2026		104,611
	713,322	FHLMC, 4.000%, with various maturities from 2024 to 2042(d)		751,255
	502,200	FHLMC, 4.500%, with various maturities from 2025 to 2034(d)		530,896

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	214,904	FHLMC, 5.500%, 10/01/2023	$	228,759
	263,872	FHLMC, 5.775%, 6/01/2020(b)		273,874
	406,417	FHLMC, 5.904%, 8/01/2020(b)		424,960
	219,691	FHLMC, 5.924%, 10/01/2020(b)		230,449
	301,200	FHLMC, 5.952%, 11/01/2020(b)		316,512
	15,308	FHLMC, 6.000%, 11/01/2019		15,783
	349,517	FHLMC, 6.500%, with various maturities from 2017 to 2034(d)		397,904
	412	FHLMC, 7.500%, 6/01/2026		463
	707	FHLMC, 10.000%, 7/01/2019		717
	12,995	FHLMC, 11.500%, 4/01/2020		13,180
	180,975	FNMA, 3.000%, 3/01/2042		180,415
	2,016,223	FNMA, 5.000%, with various maturities from 2037 to 2038(d)		2,208,749
	1,089,704	FNMA, 5.500%, with various maturities from 2018 to 2033(d)		1,192,345
	1,445,294	FNMA, 6.000%, with various maturities from 2017 to 2022(d)		1,553,138
	219,886	FNMA, 6.500%, with various maturities from 2032 to 2037(d)		245,646
	10,239	FNMA, 7.000%, 12/01/2022		10,258
	85,011	FNMA, 7.500%, with various maturities from 2030 to 2032(d)		93,695
	4,182,318	GNMA, 2.472%, 2/20/2061(b)		4,348,016
	3,111,880	GNMA, 2.651%, 2/20/2063(b)		3,249,069
	4,186,729	GNMA, 2.926%, 3/20/2063(b)		4,398,988
	2,365,881	GNMA, 3.039%, with various maturities in 2065(b)(d)		2,527,929
	2,359,781	GNMA, 3.132%, 2/20/2063(b)		2,487,250
	3,358,153	GNMA, 4.422%, 6/20/2063(b)		3,549,315
	1,916,670	GNMA, 4.438%, 3/20/2063(b)		2,013,922
	1,829,092	GNMA, 4.457%, 2/20/2063(b)		1,917,410
	3,892,947	GNMA, 4.482%, 2/20/2062(b)		4,056,796
	4,826,111	GNMA, 4.490%, 10/20/2065(b)		5,231,272
	3,985,465	GNMA, 4.525%, 12/20/2061(b)		4,136,860
	15,498,758	GNMA, 4.539%, 12/20/2061(b)		15,998,272
	6,674,258	GNMA, 4.542%, 12/20/2062(b)		6,992,334
	1,851,085	GNMA, 4.554%, 3/20/2062(b)		1,930,624
	1,338,524	GNMA, 4.587%, 4/20/2063(b)		1,410,581
	16,569,627	GNMA, 4.589%, with various maturities from 2061 to 2063(b)(d)		17,328,124
	2,169,623	GNMA, 4.604%, 2/20/2066(b)		2,345,044
	1,572,633	GNMA, 4.629%, 3/20/2062(b)		1,634,473
	1,888,788	GNMA, 4.634%, 3/20/2064(b)		2,031,042
	460,447	GNMA, 4.659%, 1/20/2064(b)		494,712
	6,209,709	GNMA, 4.673%, 2/20/2062(b)		6,462,858
	2,025,258	GNMA, 4.682%, 11/20/2063(b)		2,189,392
	8,220,095	GNMA, 4.685%, with various maturities from 2061 to 2064(b)(d)		8,536,329
	2,934,216	GNMA, 4.687%, 2/20/2062(b)		3,045,280
	1,202,376	GNMA, 4.699%, 6/20/2061(b)		1,228,272
	6,358,749	GNMA, 4.700%, with various maturities in 2061(b)(d)		6,542,157
	1,163,581	GNMA, 4.716%, 3/20/2061(b)		1,194,471
	1,163,088	GNMA, 4.747%, 8/20/2062(b)		1,209,061
	479,686	GNMA, 5.053%, 4/20/2061(b)		500,078
	17,750	GNMA, 6.000%, 12/15/2031		20,589

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	72,424	GNMA, 6.500%, 5/15/2031	$	83,190
	72,957	GNMA, 7.000%, 10/15/2028		81,231
	4,097,216	Government National Mortgage Association, Series 2015-H04, Class FL, 1.250%, 2/20/2065(b)		4,073,256
	6,215,869	Government National Mortgage Association, Series 2015-H12, Class FL, 1.010%, 5/20/2065(b)		6,142,759

				138,164,565

		Non-Agency Commercial Mortgage-Backed Securities — 5.2%
	269,066	Banc of America Commercial Mortgage Trust, Series 2007-5, Class A4, 5.492%, 2/10/2051		270,610
	3,445,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 2.812%, 12/15/2033, 144A(b)		3,460,051
	478,172	Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 2.062%, 5/15/2032, 144A(b)		478,767
	2,414,059	CDGJ Commercial Mortgage Trust, Series 2014-BXCH, 2.312%, 12/15/2027, 144A(b)		2,418,601
	2,421,529	CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.862%, 6/15/2031, 144A(b)		2,421,037
	1,310,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		1,303,485
	3,425,000	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 2.282%, 10/15/2031, 144A(b)		3,430,375
	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		4,433,483
	1,399,000	DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A		1,497,200
	2,201,488	GP Portfolio Trust, Series 2014-GPP, Class A, 1.862%, 2/15/2027, 144A(b)		2,204,251
	2,710,023	Greenwich Capital Commercial Mortgage Trust, Series 2007-GG11, Class A4, 5.736%, 12/10/2049		2,724,177
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.812%, 10/15/2029, 144A(b)		5,534,997
	1,478,689	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.892%, 7/15/2031, 144A(b)		1,481,841
	4,115,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 2.612%, 7/15/2036, 144A(b)		4,135,619
	110,886	Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051(b)		110,749
	766,259	Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.993%, 4/15/2032, 144A(b)		766,003
	3,700,000	Starwood Retail Property Trust, Inc., 2.132%, 11/15/2027, 144A(b)		3,679,020
	436,012	Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046		437,769

				40,788,035

		Sovereigns — 0.3%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,969,624

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — 21.5%
$	23,145,000	U.S. Treasury Note, 1.125%, 6/30/2021	$	22,475,068
	28,700,000	U.S. Treasury Note, 1.125%, 8/31/2021		27,804,244
	37,270,000	U.S. Treasury Note, 1.375%, 1/31/2021		36,747,363
	17,015,000	U.S. Treasury Note, 2.000%, 12/31/2021		17,080,133
	5,670,000	U.S. Treasury Note, 2.000%, 11/15/2026		5,477,311
	13,945,000	U.S. Treasury Note, 2.125%, 9/30/2021		14,088,801
	19,850,000	U.S. Treasury Note, 2.125%, 3/31/2024		19,732,925
	26,120,000	U.S. Treasury Note, 2.250%, 1/31/2024		26,201,625

				169,607,470

		Total Bonds and Notes (Identified Cost $773,553,513)		762,987,091


	Short-Term Investments — 4.8%
	15,050,000	Federal Home Loan Bank Discount Notes, 0.700%, 4/26/2017(e)		15,043,363
	10,620,000	Federal National Mortgage Association Discount Notes, 0.700%, 4/04/2017(e)		10,619,798
	12,162,919	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/2017 at 0.220% to be repurchased at $12,163,142 on 4/03/2017 collateralized by $12,510,000 U.S. Treasury Note, 1.875% due 8/31/2022 valued at $12,410,783 including accrued interest (Note 2 of Notes to Financial Statements)		12,162,919

		Total Short-Term Investments (Identified Cost $37,825,982)		37,826,080


		Total Investments — 101.3% (Identified Cost $811,379,495)(a)		800,813,171
		Other assets less liabilities — (1.3)%		(10,319,529	)

		Net Assets — 100.0%	$	790,493,642


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.):
		At March 31, 2017, the net unrealized depreciation on investments based on a cost of $811,489,803 for federal income tax purposes was as follows:
		Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost	$	2,913,427
		Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value		(13,590,059	)

		Net unrealized depreciation	$	(10,676,632	)


	(b)	Variable rate security. Rate as of March 31, 2017 is disclosed.
	(c)	Fair valued by the Fund’s adviser. At March 31, 2017, the value of these securities amounted to $318,801 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of March 31, 2017 (Unaudited)

Loomis Sayles Limited Term Government and Agency Fund – (continued)



	(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)			Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, the value of Rule 144A holdings amounted to $53,562,791 or 6.8% 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 March 31, 2017 (Unaudited)


Treasuries	21.5	%
Agency Commercial Mortgage-Backed Securities	18.7
Mortgage Related	17.5
Collateralized Mortgage Obligations	17.1
Hybrid ARMs	13.7
Non-Agency Commercial Mortgage-Backed Securities	5.2
Other Investments, less than 2% each	2.8
Short-Term Investments	4.8

Total Investments	101.3
Other assets less liabilities	(1.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 50

Statements of Assets and Liabilities

March 31, 2017 (Unaudited)


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
ASSETS
Investments at cost	$	169,362,931		$	179,851,236		$	811,379,495
Net unrealized appreciation (depreciation)		77,904			(77,081	)		(10,566,324	)

Investments at value		169,440,835			179,774,155			800,813,171
Cash		55,063			18			723
Receivable for Fund shares sold		5,618,669			199,246			1,129,715
Receivable for securities sold		495,862			4,358,718			25,876,541
Dividends and interest receivable		2,365,752			598,378			2,458,459
Tax reclaims receivable		113			409			—
Prepaid expenses (Note 8)		70			66			404

TOTAL ASSETS		177,976,364			184,930,990			830,279,013

LIABILITIES
Payable for securities purchased		788,043			7,219,443			32,309,895
Payable for Fund shares redeemed		465,695			156,873			6,565,569
Unrealized depreciation on forward foreign currency contracts (Note 2)		1,223			—			—
Distributions payable		—			—			262,087
Management fees payable (Note 6)		91,835			53,381			239,637
Deferred Trustees’ fees (Note 6)		137,845			93,940			274,605
Administrative fees payable (Note 6)		6,535			6,711			30,538
Payable to distributor (Note 6d)		2,007			926			5,554
Other accounts payable and accrued expenses		46,424			37,899			97,486

TOTAL LIABILITIES		1,539,607			7,569,173			39,785,371
								��
NET ASSETS	$	176,436,757		$	177,361,817		$	790,493,642

NET ASSETS CONSIST OF:
Paid-in capital	$	180,057,301		$	179,899,817		$	819,162,810
Distributions in excess of net investment income		(434,069	)		(312,685	)		(3,575,716	)
Accumulated net realized loss on investments and foreign currency transactions		(3,272,339	)		(2,148,234	)		(14,527,128	)
Net unrealized appreciation (depreciation) on investments and foreign currency translations		85,864			(77,081	)		(10,566,324	)

NET ASSETS	$	176,436,757		$	177,361,817		$	790,493,642

See accompanying notes to financial statements.

51 |

Statements of Assets and Liabilities (continued)

March 31, 2017 (Unaudited)


	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	$	36,400,548		$	20,326,453	$	365,895,019

Shares of beneficial interest		8,470,493			1,987,281		32,250,007

Net asset value and redemption price per share	$	4.30		$	10.23	$	11.35

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	4.49		$	10.68	$	11.61

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	12,259,556		$	3,185,556	$	55,207,530

Shares of beneficial interest		2,845,149			311,319		4,861,723

Net asset value and offering price per share	$	4.31		$	10.23	$	11.36

Class N shares:
Net assets	$	1,049		$	—	$	1,587,761

Shares of beneficial interest		245			—		139,545

Net asset value, offering and redemption price per share	$	4.29	(a)	$	—	$	11.38

Class Y shares:
Net assets	$	127,775,604		$	153,849,808	$	367,803,332

Shares of beneficial interest		29,809,281			15,046,429		32,314,181

Net asset value, offering and redemption price per share	$	4.29		$	10.23	$	11.38

(a)	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

| 52

Statements of Operations

For the Six Months Ended March 31, 2017 (Unaudited)


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
INVESTMENT INCOME
Interest	$	5,003,358		$	1,866,039		$	6,537,734
Dividends		317,736			—			—
Less net foreign taxes withheld		(5,505	)		—			—

		5,315,589			1,866,039			6,537,734

Expenses
Management fees (Note 6)		508,152			210,492			1,564,397
Service and distribution fees (Note 6)		102,809			39,682			838,712
Administrative fees (Note 6)		37,866			37,647			191,868
Trustees’ fees and expenses (Note 6)		17,354			15,240			32,415
Transfer agent fees and expenses (Notes 6 and 7)		105,276			36,296			392,338
Audit and tax services fees		27,127			35,128			27,157
Custodian fees and expenses		11,838			10,504			23,264
Legal fees		1,758			1,764			9,317
Registration fees		42,488			38,162			76,939
Shareholder reporting expenses		21,197			10,952			38,134
Miscellaneous expenses (Note 8)		11,689			9,576			23,370

Total expenses		887,554			445,443			3,217,911
Less waiver and/or expense reimbursement (Note 6)		(64,578	)		(68,944	)		(18,085	)

Net expenses		822,976			376,499			3,199,826

Net investment income		4,492,613			1,489,540			3,337,908

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		(634,188	)		(1,810,472	)		(1,547,489	)
Foreign currency transactions		6,489			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		3,135,271			(1,402,656	)		(7,583,017	)
Foreign currency translations		9,405			—			—

Net realized and unrealized gain (loss) on investments and foreign currency transactions		2,516,977			(3,213,128	)		(9,130,506	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	7,009,590		$	(1,723,588	)	$	(5,792,598	)

See accompanying notes to financial statements.

53 |

Statements of Changes in Net Assets


	High Income Fund						Intermediate Duration Bond Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016			Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	4,492,613		$	8,583,675		$	1,489,540		$	2,750,862
Net realized gain (loss) on investments and foreign currency transactions		(627,699	)		(5,345,683	)		(1,810,472	)		1,570,969
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		3,144,676			13,406,022			(1,402,656	)		1,160,767

Net increase (decrease) in net assets resulting from operations		7,009,590			16,644,014			(1,723,588	)		5,482,598

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(875,545	)		(1,391,187	)		(184,108	)		(390,657	)
Class B(a)		—			(14	)		—			—
Class C		(260,793	)		(384,341	)		(17,708	)		(1	)
Class N		(18	)		—			—			—
Class Y		(3,328,207	)		(4,855,484	)		(1,553,436	)		(2,556,145	)
Net realized capital gains
Class A		—			(81,866	)		(146,821	)		(64,649	)
Class B(a)		—			(3	)		—			—
Class C		—			(29,530	)		(22,477	)		—
Class Y		—			(273,287	)		(1,093,586	)		(284,383	)

Total distributions		(4,464,563	)		(7,015,712	)		(3,018,136	)		(3,295,835	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(2,384,731	)		(670,213	)		20,290,017			52,609,062

Net increase in net assets		160,296			8,958,089			15,548,293			54,795,825
NET ASSETS
Beginning of the period		176,276,461			167,318,372			161,813,524			107,017,699

End of the period	$	176,436,757		$	176,276,461		$	177,361,817		$	161,813,524

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(434,069	)	$	(462,119	)	$	(312,685	)	$	(46,973	)

(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.

| 54

Statements of Changes in Net Assets (continued)


	Limited Term Government and Agency Fund
	Six Months Ended March 31, 2017 (Unaudited)			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	3,337,908		$	9,196,702
Net realized gain (loss) on investments		(1,547,489	)		2,246,153
Net change in unrealized appreciation (depreciation) on investments		(7,583,017	)		(2,140,764	)

Net increase (decrease) in net assets resulting from operations		(5,792,598	)		9,302,091

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(3,304,890	)		(5,792,542	)
Class B(a)		—			(5,359	)
Class C		(277,619	)		(543,862	)
Class N		(2,547	)		—
Class Y		(3,535,539	)		(7,311,896	)

Total distributions		(7,120,595	)		(13,653,659	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(124,189,401	)		88,093,679

Net increase (decrease) in net assets		(137,102,594	)		83,742,111
NET ASSETS
Beginning of the period		927,596,236			843,854,125

End of the period	$	790,493,642		$	927,596,236

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(3,575,716	)	$	206,971

(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.

55 |

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Six Months Ended March 31, 2017 (Unaudited)			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	$	4.23		$	3.99		$	4.49		$	4.59		$	4.60			$	4.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.20			0.19			0.21			0.24		��		0.24
Net realized and unrealized gain (loss)		0.07			0.21			(0.39	)		0.17			0.03				0.59

Total from Investment Operations		0.18			0.41			(0.20	)		0.38			0.27				0.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(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		(0.11	)		(0.17	)		(0.30	)		(0.48	)		(0.28	)			(0.69	)

Net asset value, end of the period	$	4.30		$	4.23		$	3.99		$	4.49		$	4.59			$	4.60

Total return(b)		4.29	%(c)(d)		10.66	%(d)		(4.78	)%(d)		8.42	%		6.27	%			20.90	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	36,401		$	34,820		$	37,870		$	42,630		$	45,791			$	95,876
Net expenses		1.10	%(e)(f)		1.10	%(f)		1.11	%(f)(g)		1.14	%		1.15	%(h)			1.15	%(f)
Gross expenses		1.18	%(e)		1.14	%		1.13	%		1.14	%		1.15	%(h)			1.19	%
Net investment income		5.18	%(e)		5.16	%		4.41	%		4.57	%		5.11	%			5.50	%
Portfolio turnover rate		15	%		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)	Periods less than one year are not annualized.

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

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

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

(g)	Effective July 1, 2015, the expense limit decreased to 1.10%.

(h)	Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

| 56

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Six Months Ended March 31, 2017 (Unaudited)			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	$	4.24		$	4.00		$	4.50		$	4.61		$	4.61		$	4.47

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.18			0.16			0.18			0.21			0.21
Net realized and unrealized gain (loss)		0.07			0.20			(0.39	)		0.16			0.04			0.59

Total from Investment Operations		0.16			0.38			(0.23	)		0.34			0.25			0.80

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(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		(0.09	)		(0.14	)		(0.27	)		(0.45	)		(0.25	)		(0.66	)

Net asset value, end of the period	$	4.31		$	4.24		$	4.00		$	4.50		$	4.61		$	4.61

Total return(b)		3.88	%(c)(d)		9.81	%(d)		(5.48	)%(d)		7.60	%		5.46	%		19.96	%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	12,260		$	12,288		$	12,609		$	14,555		$	15,233		$	16,863
Net expenses		1.85	%(e)(f)		1.85	%(f)		1.86	%(f)(g)		1.89	%		1.90	%(h)		1.90	%(f)
Gross expenses		1.93	%(e)		1.89	%		1.88	%		1.89	%		1.90	%(h)		1.94	%
Net investment income		4.43	%(e)		4.43	%		3.68	%		3.84	%		4.36	%		4.78	%
Portfolio turnover rate		15	%		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)	Periods less than one year are not annualized.

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

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

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

(g)	Effective July 1, 2015, the expense limit decreased to 1.85%.

(h)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

57 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class N
	Period Ended March 31, 2017 (Unaudited)*
Net asset value, beginning of the period	$	4.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08
Net realized and unrealized gain (loss)		0.12

Total from Investment Operations		0.20

LESS DISTRIBUTIONS FROM:
Net investment income		(0.07	)
Net realized capital gains		—

Total Distributions		(0.07	)

Net asset value, end of the period	$	4.29

Total return(b)(c)		4.92	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)		0.74	%
Gross expenses(e)		14.48	%
Net investment income(e)		5.51	%
Portfolio turnover rate		15	%

*	From commencement of Class operations on November 30, 2016 through March 31, 2017.

(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)	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.

| 58

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Six Months Ended March 31, 2017 (Unaudited)			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	$	4.22		$	3.98		$	4.48		$	4.59		$	4.59		$	4.46

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.21			0.20			0.22			0.25			0.26
Net realized and unrealized gain (loss)		0.07			0.21			(0.39	)		0.16			0.04			0.57

Total from Investment Operations		0.18			0.42			(0.19	)		0.38			0.29			0.83

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(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		(0.11	)		(0.18	)		(0.31	)		(0.49	)		(0.29	)		(0.70	)

Net asset value, end of the period	$	4.29		$	4.22		$	3.98		$	4.48		$	4.59		$	4.59

Total return		4.44	%(b)(c)		10.98	%(c)		(4.54	)%(c)		8.72	%		6.56	%		20.93	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	127,776		$	129,169		$	116,837		$	125,185		$	108,170		$	110,917
Net expenses		0.85	%(d)(e)		0.85	%(e)		0.86	%(e)(f)		0.89	%		0.90	%(g)		0.90	%(e)
Gross expenses		0.93	%(d)		0.89	%		0.88	%		0.89	%		0.90	%(g)		0.95	%
Net investment income		5.43	%(d)		5.43	%		4.67	%		4.83	%		5.37	%		5.78	%
Portfolio turnover rate		15	%		38	%		69	%		59	%		47	%		34	%

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

(b)	Periods less than one year are not annualized.

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

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

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

(f)	Effective July 1, 2015, the expense limit decreased to 0.85%.

(g)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

59 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class A*
	Six Months Ended March 31, 2017 (Unaudited)			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	$	10.52		$	10.39		$	10.39		$	10.34		$	10.80		$	10.55

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.20			0.20			0.22			0.18			0.20
Net realized and unrealized gain (loss)		(0.19	)		0.17			0.03			0.11			(0.23	)		0.39

Total from Investment Operations		(0.11	)		0.37			0.23			0.33			(0.05	)		0.59

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.21	)		(0.22	)		(0.25	)		(0.24	)		(0.26	)
Net realized capital gains		(0.08	)		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)

Total Distributions		(0.18	)		(0.24	)		(0.23	)		(0.28	)		(0.41	)		(0.34	)

Net asset value, end of the period	$	10.23		$	10.52		$	10.39		$	10.39		$	10.34		$	10.80

Total return(b)(c)		(1.11	)%(d)		3.64	%		2.17	%		3.24	%		(0.46	)%		5.69	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	20,326		$	19,327		$	18,425		$	5,931		$	5,601		$	3,084
Net expenses(e)		0.65	%(f)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		0.73	%(f)		0.72	%		0.71	%		0.85	%		0.79	%		0.84	%
Net investment income		1.56	%(f)		1.89	%		1.93	%		2.07	%		1.71	%		1.91	%
Portfolio turnover rate		104	%		151	%		151	%		134	%		124	%		82	%

*	Effective August 31, 2016, Retail Class shares were redesignated as Class A shares.

(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)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 60

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class C
	Six Months Ended March 31, 2017 (Unaudited)			Period Ended September 30, 2016*
Net asset value, beginning of the period	$	10.53		$	10.53

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.01
Net realized and unrealized gain (loss)		(0.20	)		0.00	(b)

Total from Investment Operations		(0.16	)		0.01

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		(0.01	)
Net realized capital gains		(0.08	)		—

Total Distributions		(0.14	)		(0.01	)

Net asset value, end of the period	$	10.23		$	10.53

Total return(c)(d)(e)		(1.55	)%		0.08	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,186		$	3,088
Net expenses(f)(g)		1.40	%		1.40	%
Gross expenses(g)		1.49	%		1.56	%
Net investment income(g)		0.86	%		0.86	%
Portfolio turnover rate		104	%		151	%

*	From commencement of Class operations on August 31, 2016 through September 30, 2016.

(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)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

(e)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

61 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class Y*
	Six Months Ended March 31, 2017 (Unaudited)			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	$	10.52		$	10.39		$	10.39		$	10.33		$	10.80		$	10.54

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.09			0.22			0.22			0.24			0.21			0.22
Net realized and unrealized gain (loss)		(0.19	)		0.18			0.04			0.12			(0.24	)		0.40

Total from Investment Operations		(0.10	)		0.40			0.26			0.36			(0.03	)		0.62

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(0.24	)		(0.25	)		(0.27	)		(0.27	)		(0.28	)
Net realized capital gains		(0.08	)		(0.03	)		(0.01	)		(0.03	)		(0.17	)		(0.08	)

Total Distributions		(0.19	)		(0.27	)		(0.26	)		(0.30	)		(0.44	)		(0.36	)

Net asset value, end of the period	$	10.23		$	10.52		$	10.39		$	10.39		$	10.33		$	10.80

Total return(b)		(1.08	)%(c)		3.90	%		2.42	%		3.60	%		(0.30	)%		6.06	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	153,850		$	139,398		$	88,592		$	66,759		$	66,424		$	75,588
Net expenses(d)		0.40	%(e)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.48	%(e)		0.47	%		0.47	%		0.57	%		0.48	%		0.51	%
Net investment income		1.82	%(e)		2.11	%		2.15	%		2.31	%		1.97	%		2.12	%
Portfolio turnover rate		104	%		151	%		151	%		134	%		124	%		82	%

*	Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares.

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

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

(c)	Periods less than one year are not annualized.

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

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

See accompanying notes to financial statements.

| 62

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class A
	Six Months Ended March 31, 2017 (Unaudited)			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	$	11.51		$	11.57		$	11.61		$	11.68		$	12.04		$	11.87

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.11			0.14			0.16			0.13			0.18
Net realized and unrealized gain (loss)		(0.11	)		0.00	(b)		0.01	(c)		0.01			(0.23	)		0.28

Total from Investment Operations		(0.07	)		0.11			0.15			0.17			(0.10	)		0.46

LESS DISTRIBUTIONS FROM:
Net investment income		(0.09	)		(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		(0.09	)		(0.17	)		(0.19	)		(0.24	)		(0.26	)		(0.29	)

Net asset value, end of the period	$	11.35		$	11.51		$	11.57		$	11.61		$	11.68		$	12.04

Total return(d)		(0.60	)%(e)		0.93	%		1.26	%		1.44	%		(0.81	)%		3.94	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	365,895		$	442,671		$	346,317		$	314,360		$	355,212		$	357,870
Net expenses		0.80	%(g)		0.77	%		0.77	%		0.80	%(h)		0.87	%(i)		0.85	%(j)
Gross expenses		0.80	%(g)		0.77	%		0.77	%		0.80	%(h)		0.87	%(i)		0.90	%
Net investment income		0.72	%(g)		0.96	%		1.21	%		1.35	%		1.11	%		1.54	%
Portfolio turnover rate		62	%		109	%(k)		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)	Periods less than one year are not annualized.

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

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

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

(i)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.84%.

(j)	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.

(k)	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.

63 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class C
	Six Months Ended March 31, 2017 (Unaudited)			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	$	11.52		$	11.58		$	11.62		$	11.69		$	12.05		$	11.88

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.00	)(b)		0.02			0.05			0.07			0.04			0.10
Net realized and unrealized gain (loss)		(0.11	)		0.00	(b)		0.01	(c)		0.01			(0.23	)		0.27

Total from Investment Operations		(0.11	)		0.02			0.06			0.08			(0.19	)		0.37

LESS DISTRIBUTIONS FROM:
Net investment income		(0.05	)		(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		(0.05	)		(0.08	)		(0.10	)		(0.15	)		(0.17	)		(0.20	)

Net asset value, end of the period	$	11.36		$	11.52		$	11.58		$	11.62		$	11.69		$	12.05

Total return(d)		(0.97	)%(e)		0.18	%		0.51	%		0.69	%		(1.55	)%		3.17	%(f)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	55,208		$	73,027		$	63,167		$	56,936		$	71,963		$	75,522
Net expenses		1.55	%(g)		1.52	%		1.53	%		1.55	%(h)		1.62	%(i)		1.60	%(j)
Gross expenses		1.55	%(g)		1.52	%		1.53	%		1.55	%(h)		1.62	%(i)		1.65	%
Net investment income (loss)		(0.03	)%(g)		0.21	%		0.47	%		0.61	%		0.36	%		0.80	%
Portfolio turnover rate		62	%		109	%(k)		48	%		24	%		39	%		56	%

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

(b)	Amount rounds to less than $0.01 per share.

(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)	Periods less than one year are not annualized.

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

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

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

(i)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 1.59%.

(j)	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.

(k)	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.

| 64

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class N
	Period Ended March 31, 2017 (Unaudited)*
Net asset value, beginning of the period	$	11.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.01	)
Net realized and unrealized gain (loss)		0.04

Total from Investment Operations		0.03

LESS DISTRIBUTIONS FROM:
Net investment income		(0.04	)
Net realized capital gains		—

Total Distributions		(0.04	)

Net asset value, end of the period	$	11.38

Total return(b)(c)		0.30	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,588
Net expenses(d)(e)		0.49	%
Gross expenses(e)		0.50	%
Net investment loss(e)		(0.41	)%
Portfolio turnover rate		62	%

*	From commencement of Class operations on February 1, 2017 through March 31, 2017.

(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.

65 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class Y
	Six Months Ended March 31, 2017 (Unaudited)			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	$	11.55		$	11.61		$	11.65		$	11.72		$	12.08		$	11.91

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.06			0.14			0.17			0.18			0.16			0.21
Net realized and unrealized gain (loss)		(0.12	)		0.00	(b)		0.01	(c)		0.02			(0.23	)		0.28

Total from Investment Operations		(0.06	)		0.14			0.18			0.20			(0.07	)		0.49

LESS DISTRIBUTIONS FROM:
Net investment income		(0.11	)		(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		(0.11	)		(0.20	)		(0.22	)		(0.27	)		(0.29	)		(0.32	)

Net asset value, end of the period	$	11.38		$	11.55		$	11.61		$	11.65		$	11.72		$	12.08

Total return		(0.55	)%(d)		1.19	%		1.51	%		1.70	%		(0.56	)%		4.19	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	367,803		$	411,898		$	431,727		$	330,224		$	252,127		$	220,444
Net expenses		0.55	%(f)		0.52	%		0.52	%		0.55	%(g)		0.62	%(h)		0.60	%(i)
Gross expenses		0.55	%(f)		0.52	%		0.52	%		0.55	%(g)		0.62	%(h)		0.65	%
Net investment income		0.97	%(f)		1.20	%		1.45	%		1.58	%		1.35	%		1.77	%
Portfolio turnover rate		62	%		109	%(j)		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)	Periods less than one year are not annualized.

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

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

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

(h)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.59%.

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

(j)	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.

| 66

Notes to Financial Statements

March 31, 2017 (Unaudited)

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

Loomis Sayles Funds I:

Loomis Sayles 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. In addition, High Income Fund and Limited Term Government and Agency Fund began offering Class N shares effective November 30, 2016 and February 1, 2017, respectively. 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%. Class A shares of Limited Term Government and Agency Fund are sold with a maximum front-end sales charge of 2.25%. 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 N and Class Y shares do not pay a front-end sales charge, a CDSC or Rule 12b-1 fees. Class N shares are offered with an initial minimum investment of $1,000,000. Class Y shares are generally intended for institutional investors with a minimum initial investment of $100,000. Certain categories of investors are exempted from the minimum investment amounts for Class N and Class Y as outlined in the relevant Funds’ prospectus.

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Notes to Financial Statements (continued)

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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 Class A and Class C) and transfer agent fees for High Income Fund and Limited Term Government and Agency Fund are borne collectively for Class A, Class C and Class Y, 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.

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

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Notes to Financial Statements (continued)

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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 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.

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Notes to Financial Statements (continued)

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As of March 31, 2017, 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 Fund	$	3,461,170		2.0	%	$	1,873,999		1.1	%
Intermediate Duration Bond Fund		—		—			29,584		Less than 0.1	%
Limited Term Government and Agency Fund		—		—			318,801		Less than 0.1	%

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Notes to Financial Statements (continued)

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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.

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.

During the six months ended March 31, 2017, the amount of income available to be distributed by High Income Fund has been reduced by $81,795, 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.

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Notes to Financial Statements (continued)

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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.

No futures contracts were held by the Funds during the six months ended March 31, 2017.

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Notes to Financial Statements (continued)

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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 over-the-counter (“OTC”) 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.

No swap agreements were held by the Funds during the six months ended March 31, 2017.

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

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Notes to Financial Statements (continued)

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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.

There were no when-issued or delayed delivery securities held by the Funds as of March 31, 2017.

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 income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of March 31, 2017 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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Notes to Financial Statements (continued)

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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.

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 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 year ended September 30, 2016 was 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

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)

March 31, 2017 (Unaudited)

As of September 30, 2016, the capital loss carryforwards were as follows:


	High Income Fund			Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
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	)

As of March 31, 2017, unrealized appreciation (depreciation) on a tax basis was approximately as follows:


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Unrealized appreciation (depreciation)
Investments	$	1,455,614		$	(383,273	)	$	(10,676,632	)
Foreign currency translations		(1,611,009	)		—			—

Total unrealized depreciation	$	(155,395	)	$	(383,273	)	$	(10,676,632	)

Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes.

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 March 31, 2017, 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.

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Notes to Financial Statements (continued)

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

For the six months ended March 31, 2017, none of the Funds had loaned securities under this agreement.

l. 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.

m. New Accounting Pronouncement. In October 2016, the SEC adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosures in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments, including investments in and advances to affiliates, and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the amendments and the impact, if any, on the Funds’ financial statements.

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Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

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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Notes to Financial Statements (continued)

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The following is a summary of the inputs used to value the Funds’ investments as of March 31, 2017, 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	$	—	$	3,000,407		$	26,982	(c)	$	3,027,389
ABS Other		—		—			258,592	(b)		258,592
Home Construction		—		2,343,212			12	(c)		2,343,224
Non-Agency Commercial Mortgage-Backed Securities		—		2,221,415			910,014	(b)		3,131,429
All Other Non-Convertible Bonds(a)		—		135,433,117			—			135,433,117

Total Non-Convertible Bonds		—		142,998,151			1,195,600			144,193,751

Convertible Bonds(a)		—		8,675,459			—			8,675,459

Total Bonds and Notes		—		151,673,610			1,195,600			152,869,210

Senior Loans(a)		—		3,024,745			—			3,024,745

Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		518,447			—			518,447
Midstream		—		741,387			—			741,387
Pharmaceuticals		827,686		370,493			—			1,198,179

Total Convertible Preferred Stocks		827,686		1,630,327			—			2,458,013

Non-Convertible Preferred Stocks		511,547		—			—			511,547

Total Preferred Stocks		1,339,233		1,630,327			—			2,969,560

Other Investments(a)		—		—			1,835,900	(d)		1,835,900
Common Stocks
Internet Software & Services		—		—			11,105	(c)		11,105
All Other Common Stocks(a)		2,531,886		—			—			2,531,886

Total Common Stocks		2,531,886		—			11,105			2,542,991

Warrants		6,263		—	(e)		—			6,263
Short-Term Investments		—		6,192,166			—			6,192,166

Total	$	3,877,382	$	162,520,848		$	3,042,605		$	169,440,835

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Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

High Income Fund (continued)

Liability Valuation Inputs


Description	Level 1		Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—	$	(1,223	)	$	—	$	(1,223	)

(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.

(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.

A preferred stock valued at $324,791 was transferred from Level 1 to Level 2 during the period ended March 31, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At March 31, 2017, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.

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

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	16,631,229	$	274,964	(b)	$	16,906,193
ABS Home Equity		—		2,288,325		29,584	(c)		2,317,909
All Other Non-Convertible Bonds(a)		—		157,001,512		—			157,001,512

Total Non-Convertible Bonds		—		175,921,066		304,548			176,225,614

Municipals(a)		—		275,238		—			275,238

Total Bonds and Notes		—		176,196,304		304,548			176,500,852

Short-Term Investments		—		3,273,303		—			3,273,303

Total	$	—	$	179,469,607	$	304,548		$	179,774,155

(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.

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Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

Limited Term Government and Agency Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Agency Commercial Mortgage-Backed Securities	$	—	$	143,894,452	$	3,662,855	(b)	$	147,557,307
Collateralized Mortgage Obligations		—		135,222,881		318,801	(c)		135,541,682
All Other Bonds and Notes(a)		—		479,888,102		—			479,888,102

Total Bonds and Notes		—		759,005,435		3,981,656			762,987,091

Short-Term Investments		—		37,826,080		—			37,826,080

Total	$	—	$	796,831,515	$	3,981,656		$	800,813,171

(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.

The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2016 and/or March 31, 2017:

High Income Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	98,704	$	—	$	5,869		$	3,786	$	—
ABS Other		—		—		—			5,011		—
Government Owned - No Guarantee		594,150		—		—			—		—
Home Construction		23		13,314		(1,039,997	)		1,026,694		—
Non-Agency Commercial Mortgage-Backed Securities		908,874		—		—			1,140		—
Senior Loans
Wirelines		150,561		57		550			8,156		—
Other Investments
Aircraft ABS		985,586		—		—			8,814		1,841,500
Common Stocks
Internet Software & Services		8,177		—		—			2,928		—
Warrants		5,383		—		—			—		—

Total	$	2,751,458	$	13,371	$	(1,033,578	)	$	1,056,529	$	1,841,500

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Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

High Income Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	(81,377	)	$	—	$	—		$	26,982	$	316
ABS Other		(11,071	)		264,652		—			258,592		5,011
Government Owned - No Guarantee		—			—		(594,150	)		—		—
Home Construction		(22	)		—		—			12		(10,144	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		—			910,014		1,140
Senior Loans
Wirelines		(159,324	)		—		—			—		—
Other Investments
Aircraft ABS		(1,000,000	)		—		—			1,835,900		(5,600	)
Common Stocks
Internet Software & Services		—			—		—			11,105		2,928
Warrants		—			—		(5,383	)		—		—

Total	$	(1,251,794	)	$	264,652	$	(599,533	)	$	3,042,605	$	(6,349	)

A debt security valued at $264,652 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. 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. At March 31, 2017, 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.

A debt security valued at $594,150 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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 was unable to price the security. At March 31, 2017, 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.

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Notes to Financial Statements (continued)

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Warrants valued at $5,383 were transferred from Level 3 to Level 1 during the period ended March 31, 2017. At September 30, 2016, 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 March 31, 2017, this security was valued at the last sale price in accordance with the Fund’s valuation policies.

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

Intermediate Duration Bond Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016			Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	439,742		$	—	$	—		$	—	$	274,964
ABS Home Equity		23,756			—		(427	)		866		—

Total	$	463,498		$	—	$	(427	)	$	866	$	274,964


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—		$	—	$	(439,742	)	$	274,964	$	—
ABS Home Equity		(15,246	)		20,635		—			29,584		394

Total	$	(15,246	)	$	20,635	$	(439,742	)	$	304,548	$	394

A debt security valued at $439,742 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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 was unable to price the security. At March 31, 2017, 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 $20,635 was transferred from Level 2 to Level 3 during the period ended March 31, 2017. At September 30, 2016, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in

83 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

accordance with the Fund’s valuation policies. At March 31, 2017, 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.

Limited Term Government and Agency Fund

Asset Valuation Inputs


Investments in Securities	Balance as of September 30, 2016		Accrued Discounts (Premiums)		Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Purchases
Bonds and Notes
ABS Student Loan	$	400,000	$	—	$	—		$	—	$	—
Agency Commercial Mortgage-Backed Securities		11,781,022		—		(1,408,102	)		1,112,724		—
Collateralized Mortgage Obligations		1,488,611		—		(25,881	)		33,138		—
Non-Agency Commercial Mortgage-Backed Securities		3,037,018		—		(3,950	)		6,932		—

Total	$	16,706,651	$	—	$	(1,437,933	)	$	1,152,794	$	—


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of March 31, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at March 31, 2017
Bonds and Notes
ABS Student Loan	$	—		$	—	$	(400,000	)	$	—	$	—
Agency Commercial Mortgage-Backed Securities		(7,822,789	)		—		—			3,662,855		(6,912	)
Collateralized Mortgage Obligations		(464,343	)		—		(712,724	)		318,801		3,459
Non-Agency Commercial Mortgage-Backed Securities		(3,040,000	)		—		—			—		—

Total	$	(11,327,132	)	$	—	$	(1,112,724	)	$	3,981,656	$	(3,453	)

| 84

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

A debt security valued at $400,000 was transferred from Level 3 to Level 2 during the period ended March 31, 2017. 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 was unable to price the security. At March 31, 2017, 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 $712,724 were transferred from Level 3 to Level 2 during the period ended March 31, 2017. At September 30, 2016, these securities were valued at fair value as determined in good faith by the Fund’s investment adviser as an independent pricing service did not provide a reliable price for the securities. At March 31, 2017, 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.

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.

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 six months ended March 31, 2017, High Income Fund engaged in forward foreign currency transactions for hedging purposes.

The following is a summary of derivative instruments for High Income Fund as of March 31, 2017, as reflected within the Statements of Assets and Liabilities:


Liability	Unrealized depreciation on forward foreign currency contracts
Over-the-counter liability derivatives
Foreign exchange contracts	$	(1,223	)

85 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

Transactions in derivative instruments for High Income Fund during the six months ended March 31, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Foreign currency transactions¹
Foreign exchange contracts	$	12,717

Net Change in Unrealized Appreciation (Depreciation) on:	Foreign currency translations¹
Foreign exchange contracts	$	(1,456	)

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 activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended March 31, 2017:


High Income Fund	Forwards
Average Notional Amount Outstanding		0.11	%
Highest Notional Amount Outstanding		0.11	%
Lowest Notional Amount Outstanding		0.10	%
Notional Amount Outstanding as of March 31, 2017		0.10	%

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 is recorded in the Statements of Assets and Liabilities. The aggregate notional values of forward contracts are not recorded in the Statements of Assets and Liabilities, and therefore are not included in the Funds’ net assets.

| 86

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

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.


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Bank of America, N.A.	$	(1,223	)	$	—	$	(1,223	)	$	—	$	(1,223	)

87 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. Based on balances reflected on each Fund’s Statement of Assets and Liabilities, the following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the applicable Fund would incur if parties (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the applicable Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of March 31, 2017:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
High Income Fund	$	—	$	—

5. Purchases and Sales of Securities. For the six months ended March 31, 2017, 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	$	3,453,111	$	3,449,467	$	20,826,051	$	24,987,985
Intermediate Duration Bond Fund		69,083,031		82,620,523		128,757,123		90,970,726
Limited Term Government and Agency Fund		509,208,272		602,722,440		8,015,001		49,883,533

6.�� Management Fees and Other Transactions with Affiliates.


	Percentage of Average Daily Net Assets
Fund	First $500 million			Next $1.5 billion			Over $2 billion
High Income Fund		0.6000	%		0.6000	%		0.6000	%
Intermediate Duration Bond Fund		0.2500	%		0.2500	%		0.2500	%
Limited Term Government and Agency Fund		0.3750	%		0.3500	%		0.3000	%

| 88

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, 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 C			Class N			Class Y
High Income Fund		1.10	%		1.85	%		0.80	%		0.85	%
Intermediate Duration Bond Fund		0.65	%		1.40	%		—			0.40	%
Limited Term Government and Agency Fund		0.80	%		1.55	%		0.50	%		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.

For the six months ended March 31, 2017, 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
High Income Fund	$	508,152		—	$	508,152		0.60	%		0.60	%
Intermediate Duration Bond Fund		210,492		68,944		141,548		0.25	%		0.17	%
Limited Term Government and Agency Fund		1,564,397		—		1,564,397		0.36	%		0.36	%

89 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Class A		Class C		Class Y		Total
High Income Fund	$	13,248	$	4,612	$	46,671	$	64,531
Limited Term Government and Agency Fund		9,010		1,327		7,732		18,069

¹	Waiver/expense reimbursements are subject to possible recovery until September 30, 2018.

No expenses were recovered for any of the Funds during the six months ended March 31, 2017 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 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.

| 90

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, the service and distribution fees for each Fund were as follows:


	Service Fees				Distribution Fees
Fund	Class A		Class C		Class C
High Income Fund	$	42,602	$	15,052	$	45,155
Intermediate Duration Bond Fund		24,542		3,785		11,355
Limited Term Government and Agency Fund		514,454		81,065		243,193

For the six months ended March 31, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	37,866
Intermediate Duration Bond Fund		37,647
Limited Term Government and Agency Fund		191,868

91 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

For the six months ended March 31, 2017, 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	$	92,824
Intermediate Duration Bond Fund		32,615
Limited Term Government and Agency Fund		233,725


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	2,007
Intermediate Duration Bond Fund		926
Limited Term Government and Agency Fund		5,554

Sub-transfer agent fees attributable to Class A, Class B, Class C and Class Y 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. Commissions. Commissions (including CDSCs) on Fund shares retained by NGAM Distribution during the six months ended March 31, 2017 were as follows:


Fund	Commissions
High Income Fund	$	1,526
Limited Term Government and Agency Fund		12,637

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

| 92

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

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.

g. Affiliated Ownership. As of March 31, 2017, Natixis US held shares of Intermediate Duration Bond 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		1.05	%
Limited Term Government and Agency Fund		0.53	%

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

h. Reimbursement of Transfer Agent Fees and Expenses. NGAM Advisors has given a binding contractual undertaking to the High Income Fund and Limited Term Government and Agency Fund to reimburse any and all transfer agency expenses for the Funds’ Class N shares. This undertaking is in effect through January 31, 2018 and is not subject to recovery under the expense limitation agreement described above.

For the six months ended March 31, 2017, NGAM Advisors reimbursed the Funds for transfer agency expenses as follows:


	Reimbursement of Transfer Agency Expenses
Fund	Class N
High Income Fund	$	47
Limited Term Government and Agency Fund		16

93 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

7. Class-Specific Transfer Agent Fees and Expenses. For the six months ended March 31, 2017, 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	Class A		Class C		Class N		Class Y
High Income Fund	$	21,177	$	7,481	$	47	$	76,571
Intermediate Duration Bond		31,404		4,230		—		662
Limited Term Government and Agency Fund		188,288		29,611		16		174,423

Transfer agent fees and expenses attributable to Class A, Class C, and Class Y are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of those classes. Transfer agent fees and expenses attributable to Class N are allocated to Class N.

All other Funds in this report allocate transfer agent fees and expenses on a pro rata basis based on the relative net assets of each class to the total net assets of those classes.

8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts, 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.

Effective April 13, 2017, the commitment fee is 0.15% per annum based on the average daily unused portion of the line of credit.

For the six months ended March 31, 2017, none of the Funds had borrowings under this agreement.

9. 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

| 94

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

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.

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 March 31, 2017, 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		3		27.15	%
Intermediate Duration Bond		5		41.41	%

95 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

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:


	Six Months Ended March 31, 2017					Year Ended September 30, 2016
High Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	1,857,162		$	7,876,340		5,509,748		$	22,242,447
Issued in connection with the reinvestment of distributions	169,106			715,844		299,177			1,169,586
Redeemed	(1,786,950	)		(7,562,340	)	(7,071,447	)		(28,018,252	)

Net change	239,318		$	1,029,844		(1,262,522	)	$	(4,606,219	)

Class B(a)
Issued in connection with the reinvestment of distributions	—			—		4			17
Redeemed	—			—		(623	)		(2,485	)

Net change	—		$	—		(619	)	$	(2,468	)

Class C
Issued from the sale of shares	371,106		$	1,572,763		799,861		$	3,141,922
Issued in connection with the reinvestment of distributions	51,235			217,356		88,851			345,998
Redeemed	(474,817	)		(2,015,122	)	(1,144,474	)		(4,485,915	)

Net change	(52,476	)	$	(225,003	)	(255,762	)	$	(997,995	)

Class N(b)
Issued from the sale of shares	241		$	1,000		—		$	—
Issued in connection with the reinvestment of distributions	4			18		—			—

Net change	245		$	1,018		—		$	—

Class Y
Issued from the sale of shares	6,038,074		$	25,606,940		14,901,804		$	58,204,609
Issued in connection with the reinvestment of distributions	649,312			2,741,023		1,041,928			4,056,961
Redeemed	(7,487,070	)		(31,538,553	)	(14,689,863	)		(57,325,101	)

Net change	(799,684	)	$	(3,190,590	)	1,253,869		$	4,936,469

Increase (decrease) from capital share transactions	(612,597	)	$	(2,384,731	)	(265,034	)	$	(670,213	)

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

(b)	From commencement of Class operations on November 30, 2016 through March 31, 2017.

| 96

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended March 31, 2017					Year Ended September 30, 2016
Intermediate Duration Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	283,000		$	2,905,875		525,035		$	5,443,679
Issued in connection with the reinvestment of distributions	31,883			325,508		43,720			453,187
Redeemed	(163,947	)		(1,687,142	)	(505,357	)		(5,247,036	)

Net change	150,936		$	1,544,241		63,398		$	649,830

Class C*
Issued from the sale of shares	14,096		$	144,076		293,283		$	3,088,274
Issued in connection with the reinvestment of distributions	3,940			40,185		—	(a)		1

Net change	18,036		$	184,261		293,283		$	3,088,275

Class Y
Issued from the sale of shares	3,091,874		$	31,797,923		7,746,460		$	80,334,377
Issued in connection with the reinvestment of distributions	204,120			2,083,435		231,356			2,401,500
Redeemed	(1,498,101	)		(15,319,843	)	(1,681,603	)		(17,455,864	)
Redeemed in-kind (Note 12)	—			—		(1,574,765	)		(16,409,056	)

Net change	1,797,893		$	18,561,515		4,721,448		$	48,870,957

Increase (decrease) from capital share transactions	1,966,865		$	20,290,017		5,078,129		$	52,609,062

*	From commencement of operations on August 31, 2016 through September 30, 2016 for Class C shares.

(a)	Amount rounds to less than one share.


	Six Months Ended March 31, 2017					Year Ended September 30, 2016
Limited Term Government and Agency Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,316,852		$	26,383,219		23,688,131		$	272,639,541
Issued in connection with the reinvestment of distributions	244,667			2,784,337		418,361			4,816,572
Redeemed	(8,773,249	)		(99,734,041	)	(15,575,978	)		(179,339,659	)

Net change	(6,211,730	)	$	(70,566,485	)	8,530,514		$	98,116,454

Class B(a)
Issued from the sale of shares	—		$	—		1,448		$	16,709
Issued in connection with the reinvestment of distributions	—			—		426			4,887
Redeemed	—			—		(230,595	)		(2,644,555	)

Net change	—		$	—		(228,721	)	$	(2,622,959	)

Class C
Issued from the sale of shares	652,132		$	7,428,211		4,330,687		$	49,825,855
Issued in connection with the reinvestment of distributions	16,165			184,042		29,632			341,361
Redeemed	(2,146,045	)		(24,426,057	)	(3,475,708	)		(40,028,796	)

Net change	(1,477,748	)	$	(16,813,804	)	884,611		$	10,138,420

97 |

Notes to Financial Statements (continued)

March 31, 2017 (Unaudited)

11. Capital Shares (continued).


	Six Months Ended March 31, 2017					Year Ended September 30, 2016
Limited Term Government and Agency Fund (continued)	Shares			Amount		Shares			Amount
Class N(b)
Issued from the sale of shares	139,693		$	1,591,100		—		$	—
Issued in connection with the reinvestment of distributions	224			2,547		—			—
Redeemed	(372	)		(4,219	)	—			—

Net change	139,545		$	1,589,428		—		$	—

Class Y
Issued from the sale of shares	7,036,891		$	80,345,028		22,122,240		$	255,439,801
Issued in connection with the reinvestment of distributions	213,666			2,438,564		391,770			4,524,155
Redeemed	(10,610,129	)		(121,182,132	)	(24,037,266	)		(277,502,192	)

Net change	(3,359,572	)	$	(38,398,540	)	(1,523,256	)	$	(17,538,236	)

Increase (decrease) from capital share transactions	(10,909,505	)	$	(124,189,401	)	7,663,148		$	88,093,679

(a)	On January 11, 2016, Class B shares were converted into Class A shares. See Note 1 of Notes to Financial Statements.

(b)	From commencement of Class operations on February 1, 2017 through March 31, 2017.

12. Redemption In-Kind. In certain circumstances, a Fund may distribute portfolio securities rather than cash as payment for redemption of Fund shares (redemption in-kind). For financial reporting purposes, the Fund will recognize a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities; the Fund will recognize a loss if the cost exceeds value. Gains and losses realized on redemptions in-kind are not recognized for tax purposes, and are re-classified from realized gain (loss) to paid-in-capital.

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Item 2.

Code of Ethics.

Not applicable.

Item 3.

Audit Committee Financial Expert.

Not applicable.

Item 4.

Principal Accountant Fees and Services.

Not applicable.

Item 5.

Audit Committee of Listed Registrants.

Not applicable.

Item 6.

Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.

Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.

Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10.

Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Trust’s Board of Trustees.

Item 11.

Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There was no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.

Exhibits.


		(a) (1)		Not applicable.

		(a) (2)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

		(a) (3)		Not applicable.

		(b)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Loomis Sayles Funds I

By:		/s/ Kevin Charleston
Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		May 25, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.



By:		/s/ Kevin Charleston
Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		May 25, 2017

By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		May 25, 2017

Loomis Sayles Funds I N-CSRSCertified semi-annual shareholder report (management investment company)