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

Loomis Sayles Funds I N-CSRCertified 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)

888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197

(Address of principal executive offices) (Zip code)

Russell L. Kane, Esq.

Natixis Distribution, L.P.

888 Boylston Street, Suite 800

Boston, Massachusetts 02199-8197

(Name and address of agent for service)

Registrant’s telephone number, including area code: (617) 449-2822

Date of fiscal year end: September 30

Date of reporting period: September 30, 2017

Item 1. Reports to Stockholders.

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

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Loomis Sayles Small Cap Growth Fund

Loomis Sayles Small Cap Value Fund

Loomis Sayles Small/Mid Cap Growth Fund

Annual Report

September 30, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			21
Financial Statements			39
Notes to Financial Statements			51
Shareholder Supplement			enclosed
(previously posted to the Funds’ website)

LOOMIS SAYLES SMALL CAP GROWTH FUND


Managers	Symbols
Mark F. Burns, CFA^®	Institutional Class	LSSIX
John J. Slavik, CFA^®	Retail Class	LCGRX
	Class N	LSSNX

Investment Objective

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

Market Conditions

The period began with significant underperformance by growth stocks in the small-cap segment of the market; factors such as beta (risk/reward potential) also drove early performance trends. These trends shifted during the period as growth and value performed in line with each other and company fundamentals became more influenced by returns.

For the one-year period ended September 30, 2017, most domestic equity markets posted strong returns. Small-cap stocks outperformed their mid-cap and large-cap counterparts.

Almost all sectors in the Russell 2000^® Growth Index posted positive returns, with the exception of energy. The biotechnology industry was an area of strength, up almost 34% during the time period.

The divergence in performance between the best and worst-performing sectors was at historic levels; the best sector was up over 50%, while the worst-performing sector was down over 20%.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Small Cap Growth Fund returned 24.24% at net asset value. The Fund outperformed its benchmark, the Russell 2000^®Growth Index, which returned 20.98%.

Explanation of Fund Performance

Stock selection in the information technology and consumer discretionary sectors primarily accounted for the Fund’s outperformance. An overweight position in the energy sector and stock selection in the telecommunication services and healthcare sectors detracted from relative performance.

On an individual basis, Grand Canyon Education and MKS Instruments were the top contributors to performance. For-profit higher education provider Grand Canyon Education was the top contributor. The company continued to steadily gain share in the education market, offering both a traditional campus and online programs. Enrollment growth in both the campus and online programs has been very strong and continued to accelerate. MKS Instruments is a semiconductor equipment company. The overall environment for semiconductor activity has been very healthy, and the company has

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continued to hold a dominant market position. The company reported record revenues because of their presence within some of the strongest segments of the market and greater-than-expected growth from a recent acquisition.

Another top contributor to performance was fiber laser company IPG Photonics. The company reported growth across multiple products, end markets and geographies as high power fiber lasers have increasingly replaced legacy cutting and welding techniques.

The three largest detractors from performance were Amplify Snack Brands, Evolent Health and Benefitfocus.

Amplify reported disappointing results at the end of 2016. An acquisition distracted management’s attention from its core brand, and the company was therefore not able to execute as well as expected. Sales volumes were weaker than anticipated based on the level of promotional activity. Given the fundamental concerns, the stock was sold from the Fund.

Health care technology company Evolent Health’s shares came under pressure shortly after the 2016 presidential election, amid concerns about the potential impact from the repeal and replacement of the Affordable Care Act. The stock fell sufficiently to trigger our stop-loss risk management criteria and was sold from the Fund.

Benefitfocus, a provider of cloud-based healthcare benefit management solutions, reported solid results but gave disappointing guidance due to a weaker-than-expected private-exchange market. A longer sales process for larger clients also weighed on the company’s outlook. The stock triggered our stop-loss criteria and was sold from the Fund.

Outlook

Small-cap earnings growth has been challenged in 2017, significantly lagging the earnings growth of large-cap stocks. If the improvement in global economic indicators continues to be sustainable, we could see an acceleration of earnings across the board, including in small-caps. Domestically, this could be further accentuated with a lowering of the corporate tax rate. While forecasting global economic conditions and predicting legislative changes are not our daily focus, we believe these factors would provide a favorable backdrop for the strategy.

Our daily focus is the discovery and analysis of secular growth companies that could develop into large and high-quality businesses that create wealth for shareholders. We believe these types of companies are likely to reward investors, particularly in an environment where global growth is steadily improving. Steady global growth allows excess liquidity to drain from the system, which should favor higher-quality companies that have better access to capital. This environment also tends to lead to lower stock correlations, supporting active managers that can use their experience and resources to identify potential winners. As always, we remain focused on underlying business fundamentals and investing in secular growth companies.

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LOOMIS SAYLES SMALL CAP GROWTH FUND

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

September 30, 2007 through September 30, 2017²

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Top Ten Holdings as of September 30, 2017


Security name		% of net assets
1	Medidata Solutions, Inc.		1.53	%
2	Bright Horizons Family Solutions, Inc.		1.52	%
3	Grand Canyon Education, Inc.		1.49	%
4	MKS Instruments, Inc.		1.44	%
5	HealthEquity, Inc.		1.42	%
6	2U, Inc.		1.41	%
7	SiteOne Landscape Supply, Inc.		1.38	%
8	Insulet Corp.		1.38	%
9	Guidewire Software, Inc.		1.37	%
10	RingCentral, Inc., Class A		1.36	%

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

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Average Annual Total Returns — September 30, 2017²


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

Institutional Class (Inception 12/31/96)		24.24	%		13.77	%		8.70	%		—	%		0.95	%		0.95	%

Retail Class (Inception 12/31/96)		23.93			13.47			8.41			—			1.20			1.20

Class N (Inception 2/1/13)		24.38			—			—			13.65			0.83			0.83

Comparative Performance
Russell 2000^® Growth Index¹		20.98			14.28			8.47			13.50

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

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense caps.

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LOOMIS SAYLES SMALL CAP VALUE FUND


Managers	Symbols
Joseph R. Gatz, CFA^®	Institutional Class	LSSCX
Jeffrey Schwartz, CFA^®	Retail Class	LSCRX
	Admin Class	LSVAX
	Class N	LSCNX

Investment Objective

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

Market Conditions

Equity markets finished the 12 months on a strong note, completing a remarkable period of broad-based gains. The year was characterized by a sharp rotation between small-caps and large-caps and growth and value stocks, as well as a wide performance variation among sectors.

For the period, small-cap stocks outperformed large-cap stocks, and small-cap value stocks closely matched the performance of small-cap growth stocks.

Immediately following the US elections, performance among sectors and asset classes varied substantially. Variation was driven by investor perceptions of which sectors would or would not benefit from improved economic growth, higher interest rates, infrastructure spending, lower regulation, and tax reform.

While initial equity performance favored small-caps and value stocks, market leadership shifted toward large-caps and growth stocks as the year went on. The shift reflected a lack of improvement in economic data and revised expectations about the timing and scope of policy change and reform.

Performance Review

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Small Cap Value Fund returned 19.68% at net asset value. The Fund underperformed its benchmark, the Russell 2000^® Value Index, which returned 20.55%.

Explanation of Fund Performance

Among contributors to overall return, performance of the consumer discretionary stocks held by the Fund was notably positive, followed by strong stock selection in the materials sector. The Fund’s overweight in the industrials sector added to its gains.

The top three contributors to performance were Marriott Vacations Worldwide, Littelfuse and AdvanSix.

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Marriott Vacations Worldwide, a developer of timeshare ownership properties operating under the Ritz-Carlton and Marriott brand names, continued to report strong quarterly results. Expectations for further consolidation within the timeshare industry led to solid gains in the stock.

Littelfuse manufactures and sells fuses and other circuit protection devices for use in virtually every market that uses electrical energy, ranging from consumer electronics to automobiles, commercial vehicles and industrial equipment. Greater use of electronics in vehicles and the proliferation of mobile battery-powered devices continued to drive demand for circuit protection. The company exceeded earnings forecasts during the year and announced an accretive acquisition.

AdvanSix, spun out of Honeywell in September 2016, is a leading manufacturer of Nylon 6, a synthetic polymer used for engineered plastics, films, fibers, and filaments. These products are used in carpeting, automobile components, clothing, industrial packaging, and electrical components. The combination of anticipated improvements in market conditions after 2017, continuing post-spinoff efficiency gains and product mix improvements helped the stock meaningfully outperform the small-cap market since the Fund purchased it.

Among detractors from overall return, stock selection lagged in the information technology, real estate, industrials and energy sectors. Also, an underweight versus our benchmark in the financial sector detracted from our performance. Cash reserves were quite low throughout the year, but nevertheless underperformed strong equity returns.

The leading individual detractors were Synchronoss Technologies, Inc., QEP Resources, Inc. and Genesco Inc. Synchronoss Technologies, a provider of hosted storage, software and services to the telecommunications industry, suffered a sharp decline during the period. The company pre-announced a first quarter earnings shortfall in late April, as well as the sudden departure of the new CEO and CFO, both of whom had served in their roles for only a few months. Our investment thesis was clearly broken, and we promptly eliminated the holding despite a material decline in the stock price.

QEP Resources, an independent exploration and production company, declined on lower energy commodity prices and a shortfall in oil production volume. The company continued to shift production from gas to oil in anticipation of helping the stock get a higher valuation. We maintained our position due to the management team, the under-appreciated asset base, and the potential monetization of certain assets.

Genesco is a mall-based retailer of footwear and headwear, operating the Journeys, Johnston & Murphy, Schuh and Lids retail brands. While retail in general has been weak, fashion trends have improved for the Journeys store concept (specialty teen). Other brands, such as Lids (headwear), had weak traffic due to soft hat sales. The stock continued to trade at a deeply discounted valuation, and we are maintaining our current position.

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LOOMIS SAYLES SMALL CAP VALUE FUND

Outlook

Our focus will remain on small-cap companies where the stock’s current price and valuation do not accurately reflect our assessment of the underlying value of the corporate enterprise. We believe these types of opportunities are available in all market environments. As always, our investments tend to be misunderstood, overlooked, or in the midst of a “special situation” that has created an investment opportunity. We look for trustworthy and capable management teams with interests aligned with shareholders and fundamentally sound business models with sustainable and understandable advantages leading to growth in value over time. Identifying unique, company-specific catalysts on the horizon to sustain, enhance or highlight the fundamental outlook is key to our investment process.

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

September 30, 2007 through September 30, 2017³

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Top Ten Holdings as of September 30, 2017


Security name		% of net assets
1	Littelfuse, Inc.		1.86	%
2	Employers Holdings, Inc.		1.35	%
3	ALLETE, Inc.		1.28	%
4	Wintrust Financial Corp.		1.24	%
5	Viad Corp.		1.19	%
6	Churchill Downs, Inc.		1.13	%
7	Euronet Worldwide, Inc.		1.12	%
8	AdvanSix, Inc.		1.07	%
9	Liberty Ventures, Series A		1.06	%
10	Cathay General Bancorp		1.06	%

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Average Annual Total Returns — September 30, 2017³


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

Institutional Class (Inception 5/13/91)		19.68	%		14.28	%		8.38	%		—	%		0.99	%		0.96	%

Retail Class (Inception 12/31/96)		19.38			13.99			8.11			—			1.24			1.21

Admin Class (Inception 1/2/98)		19.10			13.71			7.84			—			1.48			1.45

Class N (Inception 2/1/13)		19.78			—			—			12.86			0.89			0.89

Comparative Performance
Russell 2000^® Value Index¹		20.55			13.27			7.14			11.89
Russell 2000^® Index²		20.74			13.79			7.85			12.71

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

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

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

⁴

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND


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

Investment Objective

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

Market Conditions

For the one-year period ended September 30, 2017, most domestic equity markets posted strong returns. Small-cap stocks outperformed their mid-cap and large-cap counterparts.

Growth stocks outperformed value stocks in the Small/Mid-cap segment of the market.

Almost all sectors in the Russell 2500^TM Growth Index posted positive returns, with the exception of energy and consumer staples. The biotechnology industry was an area of strength, up almost 24% during the time period.

The divergence in performance between the best and worst-performing sectors was at historic levels; the best sector was up almost 38%, while the worst-performing sector was down over 30%.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Small/Mid Cap Growth Fund returned 26.74% at net asset value. The Fund outperformed its benchmark, the Russell 2500^TM Growth Index, which returned 20.07%.

Explanation of Fund Performance

Relative performance was driven by stock selection, with particular strength in the consumer discretionary and information technology sectors.

Among individual stocks, the top contributors to the Fund’s performance were Grand Canyon Education, Align Technology and Coherent.

For-profit higher education provider Grand Canyon Education was the top contributor. The company continued to steadily gain share in the education market, offering both a traditional campus and online programs. Enrollment growth in both the campus and online programs has been very strong and continued to accelerate.

Align Technology designs, markets and manufactures the Invisalign orthodontic system. The company continued to gain market share steadily in an underpenetrated market. Sales volumes have accelerated in the teen market, which is the least penetrated market. International volumes have also been positive.

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Coherent is a laser company whose products are used in the OLED (organic light-emitting diode) manufacturing process, which creates digital displays in devices such as phones, televisions, tablets, and computer monitors. The company reported strong quarterly results during the period and made upward revisions to guidance.

Our overweight position to the energy sector detracted from relative performance. Among individual stocks, Dexcom, Acuity Brands and SPS Commerce were the largest detractors from performance for the 12-month period.

Dexcom declined during the year after the FDA approved a competitor’s glucose monitoring system, creating uncertainty for the company’s competitive landscape.

Acuity Brands, a leading lighting manufacturer and distributor, reported a weak fiscal first quarter. The poor performance came as a result of a slowdown in spending on small projects leading up to the US presidential election.

SPS Commerce, a provider of electronic data interchange and analytics software to retailers and their suppliers, lowered guidance due to two primary factors: an upgrade cycle pushing out deployments of software and a reorganization in its sales group. The negative reaction in the stock triggered our stop-loss risk management criteria, and the position was sold from the portfolio.

Outlook

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LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

Hypothetical Growth of $1,000,000 investment in Institutional Class Shares²

June 30, 2015 (inception) through September 30, 2017

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Top Ten Holdings as of September 30, 2017


Security name		% of net assets
1	XPO Logistics, Inc.		1.78	%
2	Grand Canyon Education, Inc.		1.73
3	Align Technology, Inc.		1.72
4	HubSpot, Inc.		1.71
5	Bright Horizons Family Solutions, Inc.		1.66
6	ICON PLC		1.64
7	Guidewire Software, Inc.		1.60
8	CoStar Group, Inc.		1.58
9	WellCare Health Plans, Inc.		1.58
10	Trimble, Inc.		1.57

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Average Annual Total Returns — September 30, 2017²


							Expense Ratios³
	1 year			Life of Fund			Gross			Net

Institutional Class (Inception 6/30/15)		26.74	%		9.75	%		1.75	%		0.85	%

Comparative Performance
Russell 2500^TM Growth Index¹		20.07			7.85

The Russell 2500^TM 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.

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ADDITIONAL INFORMATION

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

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

Additional Index Information

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

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

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website, at www.loomissayles.com, and on the Securities and Exchange Commission’s (SEC’s) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

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

UNDERSTANDING YOUR FUND’S EXPENSES

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

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The first line in the table of each Fund shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2017 through September 30, 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 Fund provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Funds to other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

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

Loomis Sayles Small Cap Growth Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,123.10		$5.00
Hypothetical (5% return before expenses)		$1,000.00		$1,020.36		$4.76

Retail Class
Actual		$1,000.00		$1,121.70		$6.33
Hypothetical (5% return before expenses)		$1,000.00		$1,019.10		$6.02

Class N
Actual		$1,000.00		$1,123.80		$4.37
Hypothetical (5% return before expenses)		$1,000.00		$1,020.96		$4.15
^*Expenses are equal to the Fund’s annualized expense ratio: 0.94%, 1.19% and 0.82% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

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Loomis Sayles Small Cap Value Fund


Institutional Class	Beginning Account Value 4/1/2017			Ending Account Value 9/30/2017		Expenses Paid During Period^* 4/1/2017 – 9/30/2017
Actual		$1,000.00			$1,063.50		$4.66
Hypothetical (5% return before expenses)		$1,000.00			$1,020.56		$4.56

Retail Class
Actual		$1,000.00			$1,062.30		$5.95
Hypothetical (5% return before expenses)		$1,000.00	��		$1,019.30		$5.82

Admin Class
Actual		$1,000.00			$1,061.10		$7.23
Hypothetical (5% return before expenses)		$1,000.00			$1,018.05		$7.08

Class N
Actual		$1,000.00			$1,064.00		$4.29
Hypothetical (5% return before expenses)		$1,000.00			$1,020.91		$4.20
^*Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.90%, 1.15%, 1.40% and 0.83% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

Loomis Sayles Small/Mid Cap Growth Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period^*4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,145.10		$4.57
Hypothetical (5% return before expenses)		$1,000.00		$1,020.81		$4.31
^*Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement) of 0.85%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

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BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2017. The Agreements were continued for a one-year period for the Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

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

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

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

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

The Board noted that, through December 31, 2016, each Fund’s one- and three-year performance, as applicable, stated as percentile rankings within categories selected by the

17 |

independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):


	One-Year		Three-Year
Loomis Sayles Small Cap Growth Fund		89%		64%
Loomis Sayles Small Cap Value Fund		16%		20%
Loomis Sayles Small/Mid Cap Growth Fund		39%		N/A

In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category.

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

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

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

| 18

considered the amounts waived or reimbursed by the Adviser for certain Funds that had current expenses above their caps. The Trustees also considered that Loomis Sayles Small Cap Growth Fund’s current expenses are below its cap.

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in considering the implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that although none of the Funds’ management fees were subject to breakpoints, each Fund’s management fee and overall net expense ratio was below the median fee for a peer group of funds and that each Fund was subject to an expense cap or waiver. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

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

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

•

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

19 |

•

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

•

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

•

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

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that each of the existing Agreements should be continued through June 30, 2018.

| 20

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 96.4% of Net Assets

		Aerospace & Defense – 3.3%
	224,226	Hexcel Corp.	$	12,875,057
	211,563	KLX, Inc.(a)		11,198,029
	299,395	Mercury Systems, Inc.(a)		15,532,613

				39,605,699

		Auto Components – 3.1%
	150,405	Dorman Products, Inc.(a)		10,772,006
	220,724	Fox Factory Holding Corp.(a)		9,513,204
	144,006	Gentherm, Inc.(a)		5,349,823
	105,276	LCI Industries		12,196,225

				37,831,258

		Banks – 3.8%
	220,724	Chemical Financial Corp.		11,535,036
	200,113	Pinnacle Financial Partners, Inc.		13,397,565
	298,048	Renasant Corp.		12,786,259
	110,597	UMB Financial Corp.		8,238,371

				45,957,231

		Beverages – 0.3%
	69,002	MGP Ingredients, Inc.		4,183,591

		Biotechnology – 4.2%
	105,142	Advanced Accelerator Applications S.A., ADR(a)		7,109,702
	115,514	Agios Pharmaceuticals, Inc.(a)		7,710,560
	354,223	Genomic Health, Inc.(a)		11,367,016
	608,355	Ironwood Pharmaceuticals, Inc.(a)		9,593,758
	540,037	Lexicon Pharmaceuticals, Inc.(a)		6,637,055
	133,566	Prothena Corp. PLC(a)		8,651,070

				51,069,161

		Building Products – 3.0%
	237,361	Apogee Enterprises, Inc.		11,455,042
	124,607	Patrick Industries, Inc.(a)		10,479,449
	165,088	Trex Co., Inc.(a)		14,869,476

				36,803,967

		Capital Markets – 2.0%
	308,690	Financial Engines, Inc.		10,726,977
	75,909	MarketAxess Holdings, Inc.		14,005,970

				24,732,947

		Chemicals – 0.9%
	166,772	Ingevity Corp.(a)		10,418,247

		Commercial Services & Supplies – 1.1%
	235,609	Healthcare Services Group, Inc.		12,715,818

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Construction & Engineering – 2.2%
	233,319	Granite Construction, Inc.	$	13,520,836
	450,945	Primoris Services Corp.		13,266,802

				26,787,638

		Consumer Finance – 0.9%
	214,190	Green Dot Corp., Class A(a)		10,619,540

		Distributors – 0.9%
	104,266	Pool Corp.		11,278,453

		Diversified Consumer Services – 3.0%
	213,113	Bright Horizons Family Solutions, Inc.(a)		18,372,472
	198,833	Grand Canyon Education, Inc.(a)		18,058,013

				36,430,485

		Diversified Telecommunication Services – 2.1%
	292,458	Cogent Communications Holdings, Inc.		14,301,196
	1,019,494	ORBCOMM, Inc.(a)		10,674,102

				24,975,298

		Electrical Equipment – 1.0%
	262,417	Generac Holdings, Inc.(a)		12,052,813

		Electronic Equipment, Instruments & Components – 0.9%
	277,707	II-VI, Inc.(a)		11,427,643

		Energy Equipment & Services – 1.1%
	152,291	Dril-Quip, Inc.(a)		6,723,647
	419,423	Forum Energy Technologies, Inc.(a)		6,668,826

				13,392,473

		Health Care Equipment & Supplies – 7.3%
	456,738	AtriCure, Inc.(a)		10,217,229
	123,732	Inogen, Inc.(a)		11,766,913
	303,167	Insulet Corp.(a)		16,698,438
	337,047	Merit Medical Systems, Inc.(a)		14,273,941
	137,270	Neogen Corp.(a)		10,632,934
	116,727	Penumbra, Inc.(a)		10,540,448
	539,451	Wright Medical Group NV(a)		13,955,598

				88,085,501

		Health Care Providers & Services – 4.9%
	310,913	AMN Healthcare Services, Inc.(a)		14,208,724
	340,145	HealthEquity, Inc.(a)		17,204,534
	429,594	Teladoc, Inc.(a)		14,241,041
	349,845	Tivity Health, Inc.(a)		14,273,676

				59,927,975

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Health Care Technology – 1.5%
	237,832	Medidata Solutions, Inc.(a)	$	18,565,166

		Hotels, Restaurants & Leisure – 2.2%
	536,487	Planet Fitness, Inc., Class A		14,474,419
	363,046	Wingstop, Inc.		12,071,280

				26,545,699

		Household Durables – 1.8%
	239,449	Installed Building Products, Inc.(a)		15,516,295
	76,785	iRobot Corp.(a)		5,917,052

				21,433,347

		Insurance – 0.8%
	223,620	Kinsale Capital Group, Inc.		9,653,675

		Internet Software & Services – 8.3%
	305,727	2U, Inc.(a)		17,132,941
	284,240	Envestnet, Inc.(a)		14,496,240
	156,424	Five9, Inc.(a)		3,738,534
	125,820	LogMeIn, Inc.		13,846,491
	385,610	Mimecast Ltd.(a)		10,959,036
	382,714	Q2 Holdings, Inc.(a)		15,940,038
	758,424	Quotient Technology, Inc.(a)		11,869,335
	165,829	Wix.com Ltd.(a)		11,914,814

				99,897,429

		IT Services – 4.5%
	251,303	Blackhawk Network Holdings, Inc.(a)		11,007,071
	169,534	Euronet Worldwide, Inc.(a)		16,070,128
	314,213	InterXion Holding NV(a)		16,002,868
	323,374	WNS Holdings Ltd., ADR(a)		11,803,151

				54,883,218

		Life Sciences Tools & Services – 2.0%
	347,891	Accelerate Diagnostics, Inc.(a)		7,810,153
	209,880	PRA Health Sciences, Inc.(a)		15,986,560

				23,796,713

		Machinery – 4.0%
	204,424	Albany International Corp., Class A		11,733,938
	174,046	Astec Industries, Inc.		9,748,316
	144,949	Proto Labs, Inc.(a)		11,639,405
	124,944	RBC Bearings, Inc.(a)		15,636,741

				48,758,400

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Multiline Retail – 1.2%
	302,291	Ollie’s Bargain Outlet Holdings, Inc.(a)	$	14,026,302

		Oil, Gas & Consumable Fuels – 0.6%
	148,451	PDC Energy, Inc.(a)		7,278,553

		Pharmaceuticals – 3.0%
	300,675	Aclaris Therapeutics, Inc.(a)		7,760,422
	152,425	Aerie Pharmaceuticals, Inc.(a)		7,407,855
	278,178	Dermira, Inc.(a)		7,510,806
	353,819	Supernus Pharmaceuticals, Inc.(a)		14,152,760

				36,831,843

		Professional Services – 1.3%
	251,208	WageWorks, Inc.(a)		15,248,326

		Semiconductors & Semiconductor Equipment – 4.7%
	184,621	MKS Instruments, Inc.		17,437,454
	130,333	Monolithic Power Systems, Inc.		13,886,981
	285,048	Semtech Corp.(a)		10,703,552
	182,196	Silicon Laboratories, Inc.(a)		14,557,460

				56,585,447

		Software – 9.0%
	148,384	Blackbaud, Inc.		13,028,115
	515,809	Callidus Software, Inc.(a)		12,714,692
	198,025	CommVault Systems, Inc.(a)		12,039,920
	213,719	Guidewire Software, Inc.(a)		16,640,161
	172,969	HubSpot, Inc.(a)		14,538,044
	276,360	RealPage, Inc.(a)		11,026,764
	393,760	RingCentral, Inc., Class A(a)		16,439,480
	65,671	Ultimate Software Group, Inc. (The)(a)		12,451,222

				108,878,398

		Textiles, Apparel & Luxury Goods – 1.7%
	158,257	Columbia Sportswear Co.		9,745,466
	253,526	Steven Madden Ltd.(a)		10,977,676

				20,723,142

		Thrifts & Mortgage Finance – 1.0%
	302,157	Essent Group Ltd.(a)		12,237,359

		Trading Companies & Distributors – 2.8%
	141,648	Beacon Roofing Supply, Inc.(a)		7,259,460
	446,230	BMC Stock Holdings, Inc.(a)		9,527,011
	287,541	SiteOne Landscape Supply, Inc.(a)		16,706,132

				33,492,603


		Total Common Stocks (Identified Cost $842,542,400)		1,167,131,358

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Growth Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – 3.5%
$	42,636,661	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $42,637,869 on 10/02/2017 collateralized by $41,625,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $43,491,049 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $42,636,661)	$	42,636,661


		Total Investments – 99.9% (Identified Cost $885,179,061)		1,209,768,019
		Other assets less liabilities—0.1%		1,230,784

		Net Assets – 100.0%	$	1,210,998,803

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.

Industry Summary at September 30, 2017


Software	9.0	%
Internet Software & Services	8.3
Health Care Equipment & Supplies	7.3
Health Care Providers & Services	4.9
Semiconductors & Semiconductor Equipment	4.7
IT Services	4.5
Biotechnology	4.2
Machinery	4.0
Banks	3.8
Aerospace & Defense	3.3
Auto Components	3.1
Pharmaceuticals	3.0
Building Products	3.0
Diversified Consumer Services	3.0
Trading Companies & Distributors	2.8
Construction & Engineering	2.2
Hotels, Restaurants & Leisure	2.2
Diversified Telecommunication Services	2.1
Capital Markets	2.0
Life Sciences Tools & Services	2.0
Other Investments, less than 2% each	17.0
Short-Term Investments	3.5

Total Investments	99.9
Other assets less liabilities	0.1

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund


Shares		Description	Value (†)

	Common Stocks – 99.2% of Net Assets

		Aerospace & Defense – 1.9%
	265,079	Aerojet Rocketdyne Holdings, Inc.(a)	$	9,280,416
	192,699	BWX Technologies, Inc.		10,794,998

				20,075,414

		Auto Components – 3.3%
	121,341	Adient PLC		10,191,431
	136,200	Cooper Tire & Rubber Co.		5,093,880
	102,382	Fox Factory Holding Corp.(a)		4,412,664
	339,163	Horizon Global Corp.(a)		5,982,835
	89,035	LCI Industries		10,314,705

				35,995,515

		Banks – 17.3%
	291,869	BancorpSouth, Inc.		9,354,401
	122,778	Bank of the Ozarks, Inc.		5,899,483
	235,206	Bryn Mawr Bank Corp.		10,302,023
	93,559	Carolina Financial Corp.		3,356,897
	285,690	Cathay General Bancorp		11,484,738
	331,025	CenterState Bank Corp.		8,871,470
	189,785	Chemical Financial Corp.		9,918,164
	428,530	CVB Financial Corp.		10,357,570
	340,783	First Financial Bancorp		8,911,475
	150,066	First Financial Bankshares, Inc.		6,782,983
	325,784	Home BancShares, Inc.		8,216,273
	128,635	IBERIABANK Corp.		10,567,365
	145,331	LegacyTexas Financial Group, Inc.		5,801,614
	199,619	PacWest Bancorp		10,082,756
	124,735	Pinnacle Financial Partners, Inc.		8,351,008
	269,947	Popular, Inc.		9,701,895
	156,062	Prosperity Bancshares, Inc.		10,257,955
	53,627	Signature Bank(a)		6,866,401
	114,716	Texas Capital Bancshares, Inc.(a)		9,842,633
	289,256	Triumph Bancorp, Inc.(a)		9,328,506
	171,079	Wintrust Financial Corp.		13,397,197

				187,652,807

		Beverages – 0.6%
	439,837	Cott Corp.		6,601,953

		Building Products – 1.6%
	87,946	Apogee Enterprises, Inc.		4,244,274
	133,662	Armstrong World Industries, Inc.(a)		6,850,177
	86,005	Masonite International Corp.(a)		5,951,546

				17,045,997

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Capital Markets – 1.4%
	233,795	Donnelley Financial Solutions, Inc.(a)	$	5,040,620
	179,068	Stifel Financial Corp.		9,572,975

				14,613,595

		Chemicals – 3.3%
	292,262	AdvanSix, Inc.(a)		11,617,415
	59,157	Ashland Global Holdings, Inc.		3,868,276
	103,845	Cabot Corp.		5,794,551
	118,904	Ingevity Corp.(a)		7,427,933
	105,863	Minerals Technologies, Inc.		7,479,221

				36,187,396

		Commercial Services & Supplies – 3.8%
	94,019	Clean Harbors, Inc.(a)		5,330,877
	238,526	KAR Auction Services, Inc.		11,387,231
	218,513	Kimball International, Inc.		4,320,002
	135,679	Knoll, Inc.		2,713,580
	284,953	LSC Communications, Inc.		4,704,574
	211,762	Viad Corp.		12,896,306

				41,352,570

		Communications Equipment – 1.3%
	174,957	ARRIS International PLC(a)		4,984,525
	343,605	Digi International, Inc.(a)		3,642,213
	600,447	Viavi Solutions, Inc.(a)		5,680,229

				14,306,967

		Construction & Engineering – 0.6%
	99,805	MYR Group, Inc.(a)		2,908,318
	85,960	Quanta Services, Inc.(a)		3,212,325

				6,120,643

		Construction Materials – 0.6%
	84,574	U.S. Concrete, Inc.(a)		6,452,996

		Consumer Finance – 0.6%
	219,421	PRA Group, Inc.(a)		6,286,412

		Distributors – 0.6%
	196,034	Core-Mark Holding Co., Inc.		6,300,533

		Diversified Consumer Services – 1.2%
	190,517	Adtalem Global Education, Inc.		6,830,035
	525,781	Houghton Mifflin Harcourt Co.(a)		6,335,661

				13,165,696

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Financial Services – 0.5%
	310,245	FNFV Group(a)	$	5,320,702

		Electric Utilities – 1.3%
	180,009	ALLETE, Inc.		13,912,896

		Electrical Equipment��– 0.6%
	265,485	TPI Composites, Inc.(a)		5,930,935

		Electronic Equipment, Instruments & Components – 5.2%
	107,123	Belden, Inc.		8,626,615
	190,865	II-VI, Inc.(a)		7,854,095
	83,204	Kimball Electronics, Inc.(a)		1,801,366
	102,732	Littelfuse, Inc.		20,123,144
	133,698	Methode Electronics, Inc.		5,662,110
	58,638	Rogers Corp.(a)		7,815,273
	218,026	Vishay Intertechnology, Inc.		4,098,889

				55,981,492

		Energy Equipment & Services – 2.9%
	317,535	C&J Energy Services, Inc.(a)		9,516,524
	240,094	Natural Gas Services Group, Inc.(a)		6,818,670
	326,184	RPC, Inc.		8,086,101
	240,166	U.S. Silica Holdings, Inc.		7,461,958

				31,883,253

		Food & Staples Retailing – 0.5%
	214,629	SpartanNash Co.		5,659,767

		Food Products – 2.0%
	318,092	Darling Ingredients, Inc.(a)		5,572,972
	20,566	J&J Snack Foods Corp.		2,700,316
	102,238	Post Holdings, Inc.(a)		9,024,548
	523,103	SunOpta, Inc.(a)		4,550,996

				21,848,832

		Health Care Equipment & Supplies – 1.6%
	182,748	Halyard Health, Inc.(a)		8,229,142
	265,328	Varex Imaging Corp.(a)		8,978,700

				17,207,842

		Health Care Providers & Services – 0.4%
	82,392	AMN Healthcare Services, Inc.(a)		3,765,314

		Hotels, Restaurants & Leisure – 3.4%
	593,376	Caesars Entertainment Corp.(a)		7,921,570
	278,250	Carrols Restaurant Group, Inc.(a)		3,032,925
	59,259	Churchill Downs, Inc.		12,219,206
	19,562	Cracker Barrel Old Country Store, Inc.		2,965,990
	89,176	Marriott Vacations Worldwide Corp.		11,105,087

				37,244,778

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Household Durables – 0.7%
	77,742	Helen of Troy Ltd.(a)	$	7,533,200

		Household Products – 0.4%
	295,958	HRG Group, Inc.(a)		4,619,904

		Industrial Conglomerates – 0.7%
	226,336	Raven Industries, Inc.		7,333,286

		Insurance – 3.9%
	125,076	Atlas Financial Holdings, Inc.(a)		2,363,936
	320,846	Employers Holdings, Inc.		14,582,451
	131,997	First American Financial Corp.		6,595,890
	154,995	ProAssurance Corp.		8,470,477
	71,516	Reinsurance Group of America, Inc., Class A		9,978,627

				41,991,381

		Internet & Direct Marketing Retail – 2.1%
	310,985	1-800-Flowers.com, Inc., Class A(a)		3,063,202
	81,135	HSN, Inc.		3,168,322
	101,668	Liberty Expedia Holdings, Inc., Series A(a)		5,399,588
	199,899	Liberty Ventures, Series A(a)		11,504,187

				23,135,299

		Internet Software & Services – 1.2%
	176,033	CommerceHub, Inc., Series C(a)		3,758,304
	81,415	IAC/InterActiveCorp(a)		9,572,776

				13,331,080

		IT Services – 4.0%
	113,291	Booz Allen Hamilton Holding Corp.		4,235,950
	405,978	Conduent, Inc.(a)		6,361,675
	107,076	CSG Systems International, Inc.		4,293,748
	154,758	DST Systems, Inc.		8,493,119
	128,121	Euronet Worldwide, Inc.(a)		12,144,590
	72,208	WEX, Inc.(a)		8,103,182

				43,632,264

		Leisure Products – 0.4%
	245,671	Nautilus, Inc.(a)		4,151,840

		Life Sciences Tools & Services – 0.6%
	209,906	VWR Corp.(a)		6,949,988

		Machinery – 5.8%
	55,852	Alamo Group, Inc.		5,996,829
	155,875	Albany International Corp., Class A		8,947,225
	65,445	Altra Industrial Motion Corp.		3,147,904
	216,095	Columbus McKinnon Corp.		8,183,518

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Machinery – continued
	106,764	EnPro Industries, Inc.	$	8,597,705
	93,199	John Bean Technologies Corp.		9,422,419
	68,513	RBC Bearings, Inc.(a)		8,574,402
	90,290	Standex International Corp.		9,588,798

				62,458,800

		Marine – 0.4%
	68,699	Kirby Corp.(a)		4,530,699

		Media – 1.9%
	341,869	E.W. Scripps Co. (The), Class A(a)		6,533,117
	151,253	Emerald Expositions Events, Inc.		3,515,120
	250,932	Gray Television, Inc.(a)		3,939,632
	118,098	John Wiley & Sons, Inc., Class A		6,318,243

				20,306,112

		Metals & Mining – 0.5%
	507,316	Ferroglobe R&W Trust(a)(b)(c)(d)		—
	135,487	Haynes International, Inc.		4,865,338

				4,865,338

		Multi-Utilities – 0.9%
	163,333	NorthWestern Corp.		9,300,181

		Oil, Gas & Consumable Fuels – 2.2%
	93,551	Arch Coal, Inc., Class A		6,711,349
	294,996	Gulfport Energy Corp.(a)		4,230,242
	415,097	QEP Resources, Inc.(a)		3,557,381
	1,009,422	SRC Energy, Inc.(a)		9,761,111

				24,260,083

		Pharmaceuticals – 1.2%
	188,243	Catalent, Inc.(a)		7,514,660
	103,420	Prestige Brands Holdings, Inc.(a)		5,180,308

				12,694,968

		Professional Services – 1.8%
	100,932	Insperity, Inc.		8,882,016
	271,493	Korn/Ferry International		10,704,969

				19,586,985

		REITs – Apartments – 0.6%
	156,503	American Campus Communities, Inc.		6,909,607

		REITs – Health Care – 0.3%
	168,558	Sabra Healthcare REIT, Inc.		3,698,163

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		REITs – Hotels – 0.4%
	233,372	Hersha Hospitality Trust	$	4,357,055

		REITs – Mortgage – 0.6%
	549,511	iStar, Inc.(a)		6,484,230

		REITs – Office Property – 0.4%
	123,588	JBG SMITH Properties(a)		4,227,945

		REITs – Shopping Centers – 1.0%
	588,668	Retail Opportunity Investments Corp.		11,190,579

		REITs – Single Tenant – 0.5%
	133,635	National Retail Properties, Inc.		5,567,234

		REITs – Storage – 0.8%
	351,530	CubeSmart		9,125,719

		REITs – Warehouse/Industrials – 1.3%
	133,931	CyrusOne, Inc.		7,892,554
	203,425	Rexford Industrial Realty, Inc.		5,822,023

				13,714,577

		Road & Rail – 1.6%
	100,199	Genesee & Wyoming, Inc., Class A(a)		7,415,728
	90,418	Old Dominion Freight Line, Inc.		9,955,926

				17,371,654

		Semiconductors & Semiconductor Equipment – 2.5%
	25,360	Advanced Energy Industries, Inc.(a)		2,048,074
	182,785	Mellanox Technologies Ltd.(a)		8,618,313
	132,532	Semtech Corp.(a)		4,976,576
	307,376	Teradyne, Inc.		11,462,051

				27,105,014

		Software – 1.0%
	282,408	TiVo Corp.		5,605,799
	132,554	Verint Systems, Inc.(a)		5,547,385

				11,153,184

		Specialty Retail – 1.5%
	191,305	Camping World Holdings, Inc., Class A		7,793,766
	135,400	Genesco, Inc.(a)		3,601,640
	220,129	Sally Beauty Holdings, Inc.(a)		4,310,126

				15,705,532

		Technology Hardware, Storage & Peripherals – 0.3%
	172,209	Cray, Inc.(a)		3,349,465

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Thrifts & Mortgage Finance – 1.2%
	102,361	Federal Agricultural Mortgage Corp., Class C	$	7,445,739
	207,155	OceanFirst Financial Corp.		5,694,691

				13,140,430

		Total Common Stocks (Identified Cost $702,063,383)		1,074,696,101


	Closed-End Investment Companies – 0.3%
	259,234	Hercules Capital, Inc. (Identified Cost $3,522,560)		3,344,118


	Principal Amount

	Short-Term Investments – 1.1%
$	11,351,292	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $11,351,614 on 10/02/2017 collateralized by $11,575,000 Federal Home Loan Mortgage Corp., 1.250% due 10/02/2019 valued at $11,582,061 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $11,351,292)		11,351,292


		Total Investments – 100.6% (Identified Cost $716,937,235)		1,089,391,511
		Other assets less liabilities – (0.6)%		(6,061,997	)

		Net Assets – 100.0%	$	1,083,329,514


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.
	(b)	Illiquid security. (Unaudited)
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $0 or 0.0% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Security subject to restrictions on resale. This security was acquired on November 29, 2016 at a cost of $0. At September 30, 2017, the value of this security amounted to $0 or 0.0% of net assets.

	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small Cap Value Fund – continued

Industry Summary at September 30, 2017


Banks	17.3	%
Machinery	5.8
Electronic Equipment, Instruments & Components	5.2
IT Services	4.0
Insurance	3.9
Commercial Services & Supplies	3.8
Hotels, Restaurants & Leisure	3.4
Chemicals	3.3
Auto Components	3.3
Energy Equipment & Services	2.9
Semiconductors & Semiconductor Equipment	2.5
Oil, Gas & Consumable Fuels	2.2
Internet & Direct Marketing Retail	2.1
Food Products	2.0
Other Investments, less than 2% each	37.8
Short-Term Investments	1.1

Total Investments	100.6
Other assets less liabilities	(0.6	)

Net Assets	100.0	%

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small/Mid Cap Growth Fund


Shares		Description	Value (†)

	Common Stocks – 97.1% of Net Assets

		Aerospace & Defense – 4.2%
	2,530	HEICO Corp.	$	227,219
	3,216	Hexcel Corp.		184,663
	3,930	Mercury Systems, Inc.(a)		203,888

				615,770

		Air Freight & Logistics – 1.8%
	3,832	XPO Logistics, Inc.(a)		259,733

		Auto Components – 1.2%
	1,489	LCI Industries		172,501

		Banks – 4.5%
	4,000	Columbia Banking System, Inc.		168,440
	1,202	First Republic Bank		125,561
	6,681	Home BancShares, Inc.		168,495
	3,612	Western Alliance Bancorp(a)		191,725

				654,221

		Biotechnology – 3.1%
	10,192	Ironwood Pharmaceuticals, Inc.(a)		160,728
	2,458	Neurocrine Biosciences, Inc.(a)		150,626
	2,089	Prothena Corp. PLC(a)		135,305

				446,659

		Building Products – 1.2%
	1,832	American Woodmark Corp.(a)		176,330

		Capital Markets – 6.3%
	1,956	CBOE Holdings, Inc.		210,524
	1,033	MarketAxess Holdings, Inc.		190,599
	1,504	MSCI, Inc.		175,817
	3,553	SEI Investments Co.		216,946
	2,258	Stifel Financial Corp.		120,713

				914,599

		Commercial Services & Supplies – 3.5%
	3,411	Healthcare Services Group, Inc.		184,092
	3,660	KAR Auction Services, Inc.		174,728
	4,703	Ritchie Bros. Auctioneers, Inc.		148,709

				507,529

		Consumer Finance – 0.6%
	8,268	SLM Corp.(a)		94,834

		Diversified Consumer Services – 3.4%
	2,806	Bright Horizons Family Solutions, Inc.(a)		241,905
	2,783	Grand Canyon Education, Inc.(a)		252,752

				494,657

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Diversified Telecommunication Services – 1.5%
	4,482	Cogent Communications Holdings, Inc.	$	219,170

		Electrical Equipment – 1.3%
	4,002	Generac Holdings, Inc.(a)		183,812

		Electronic Equipment, Instruments & Components – 5.1%
	526	Coherent, Inc.(a)		123,699
	4,903	National Instruments Corp.		206,760
	1,372	Rogers Corp.(a)		182,860
	5,853	Trimble, Inc.(a)		229,730

				743,049

		Energy Equipment & Services – 1.1%
	2,034	Dril-Quip, Inc.(a)		89,801
	2,965	Oil States International, Inc.(a)		75,163

				164,964

		Food Products – 0.8%
	4,083	Blue Buffalo Pet Products, Inc.(a)		115,753

		Health Care Equipment & Supplies – 8.9%
	665	ABIOMED, Inc.(a)		112,119
	1,345	Align Technology, Inc.(a)		250,533
	1,351	Cantel Medical Corp.		127,224
	5,119	Merit Medical Systems, Inc.(a)		216,789
	1,583	Penumbra, Inc.(a)		142,945
	1,377	STERIS PLC		121,727
	1,384	West Pharmaceutical Services, Inc.		133,224
	7,823	Wright Medical Group NV(a)		202,381

				1,306,942

		Health Care Providers & Services – 3.1%
	4,327	HealthEquity, Inc.(a)		218,860
	1,341	WellCare Health Plans, Inc.(a)		230,303

				449,163

		Health Care Technology – 2.3%
	4,132	Cotiviti Holdings, Inc.(a)		148,670
	3,286	Veeva Systems, Inc., Class A(a)		185,363

				334,033

		Hotels, Restaurants & Leisure – 3.1%
	8,467	Planet Fitness, Inc., Class A		228,440
	996	Vail Resorts, Inc.		227,207

				455,647

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Internet Software & Services – 3.5%
	860	CoStar Group, Inc.(a)	$	230,695
	4,914	GTT Communications, Inc.(a)		155,528
	1,774	j2 Global, Inc.		131,063

				517,286

		IT Services – 4.1%
	3,236	Black Knight Financial Services, Inc., Class A(a)		139,310
	1,905	Broadridge Financial Solutions, Inc.		153,962
	1,283	EPAM Systems, Inc.(a)		112,814
	1,553	Gartner, Inc.(a)		193,209

				599,295

		Leisure Products – 1.2%
	3,040	Brunswick Corp.		170,149

		Life Sciences Tools & Services – 1.6%
	2,103	ICON PLC(a)		239,490

		Machinery – 7.6%
	4,061	Altra Industrial Motion Corp.		195,334
	7,770	Gardner Denver Holdings, Inc.(a)		213,831
	1,164	John Bean Technologies Corp.		117,680
	1,287	Middleby Corp. (The)(a)		164,955
	3,707	Sun Hydraulics Corp.		200,178
	1,427	WABCO Holdings, Inc.(a)		211,196

				1,103,174

		Media – 1.5%
	5,104	Live Nation Entertainment, Inc.(a)		222,279

		Oil, Gas & Consumable Fuels – 1.7%
	1,473	Diamondback Energy, Inc.(a)		144,295
	3,963	Parsley Energy, Inc., Class A(a)		104,385

				248,680

		Professional Services – 1.4%
	4,221	TransUnion(a)		199,484

		Real Estate Management & Development – 1.1%
	2,522	First Service Corp.		165,973

		Semiconductors & Semiconductor Equipment – 2.8%
	2,552	Advanced Energy Industries, Inc.(a)		206,099
	2,472	Silicon Laboratories, Inc.(a)		197,513

				403,612

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small/Mid Cap Growth Fund – continued


Shares		Description	Value (†)

	Common Stocks – continued

		Software – 10.0%
	2,146	Blackbaud, Inc.	$	188,419
	7,976	Callidus Software, Inc.(a)		196,609
	3,005	Guidewire Software, Inc.(a)		233,969
	2,967	HubSpot, Inc.(a)		249,376
	2,594	Paylocity Holding Corp.(a)		126,639
	3,193	PTC, Inc.(a)		179,702
	2,674	Talend S.A., ADR(a)		109,474
	894	Ultimate Software Group, Inc. (The)(a)		169,502

				1,453,690

		Specialty Retail – 1.8%
	3,928	Camping World Holdings, Inc., Class A		160,027
	2,750	Floor & Decor Holdings, Inc., Class A(a)		107,057

				267,084

		Textiles, Apparel & Luxury Goods – 0.7%
	1,697	Columbia Sportswear Co.		104,501

		Trading Companies & Distributors – 1.1%
	7,556	BMC Stock Holdings, Inc.(a)		161,321


		Total Common Stocks (Identified Cost $10,749,363)		14,165,384


	Principal Amount

	Short-Term Investments – 4.7%
$	689,253	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340%, to be repurchased at $689,273 on 10/02/2017 collateralized by $700,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $705,048 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $689,253)		689,253

		Total Investments – 101.8% (Identified Cost $11,438,616)		14,854,637
		Other assets less liabilities—(1.8)%		(262,448	)

		Net Assets – 100.0%	$	14,592,189

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Non-income producing security.

	ADR	An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States.
	SLM	Sallie Mae

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Small/Mid Cap Growth Fund – continued

Industry Summary at September 30, 2017


Software	10.0	%
Health Care Equipment & Supplies	8.9
Machinery	7.6
Capital Markets	6.3
Electronic Equipment, Instruments & Components	5.1
Banks	4.5
Aerospace & Defense	4.2
IT Services	4.1
Internet Software & Services	3.5
Commercial Services & Supplies	3.5
Diversified Consumer Services	3.4
Hotels, Restaurants & Leisure	3.1
Health Care Providers & Services	3.1
Biotechnology	3.1
Semiconductors & Semiconductor Equipment	2.8
Health Care Technology	2.3
Other Investments, less than 2% each	21.6
Short-Term Investments	4.7

Total Investments	101.8
Other assets less liabilities	(1.8	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 38

Statements of Assets and Liabilities

September 30, 2017


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
ASSETS
Investments at cost	$	885,179,061		$	716,937,235		$	11,438,616
Net unrealized appreciation		324,588,958			372,454,276			3,416,021

Investments at value		1,209,768,019			1,089,391,511			14,854,637
Cash		—			19,862			—
Receivable for Fund shares sold		1,478,518			5,043,749			—
Receivable for securities sold		14,640,497			1,246,016			81,790
Dividends and interest receivable		156,519			824,502			2,768
Prepaid expenses (Note 7)		1,359			1,400			12

TOTAL ASSETS		1,226,044,912			1,096,527,040			14,939,207

LIABILITIES
Payable for securities purchased		13,101,448			2,318,437			286,441
Payable for Fund shares redeemed		929,250			9,910,349			—
Management fees payable (Note 5)		722,480			616,421			1,125
Deferred Trustees’ fees (Note 5)		147,266			210,306			15,885
Administrative fees payable (Note 5)		43,069			38,568			500
Payable to distributor (Note 5d)		14,918			13,143			5
Other accounts payable and accrued expenses		87,678			90,302			43,062

TOTAL LIABILITIES		15,046,109			13,197,526			347,018

NET ASSETS	$	1,210,998,803		$	1,083,329,514		$	14,592,189

NET ASSETS CONSIST OF:
Paid-in capital	$	761,488,895		$	604,710,592		$	11,650,100
Accumulated net investment loss/Distributions in excess of net investment income		(5,263,019	)		(210,306	)		(61,727	)
Accumulated net realized gain (loss) on investments		130,183,969			106,374,952			(412,205	)
Net unrealized appreciation on investments		324,588,958			372,454,276			3,416,021

NET ASSETS	$	1,210,998,803		$	1,083,329,514		$	14,592,189


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	824,103,365		$	665,228,647		$	14,592,189

Shares of beneficial interest		30,112,909			17,800,747			1,185,482

Net asset value, offering and redemption price per share	$	27.37		$	37.37		$	12.31

Retail Class:
Net assets	$	107,387,452		$	251,405,361		$	—

Shares of beneficial interest		4,206,162			6,825,664			—

Net asset value, offering and redemption price per share	$	25.53		$	36.83		$	—

Admin Class shares:
Net assets	$	—		$	30,533,300		$	—

Shares of beneficial interest		—			858,205			—

Net asset value, offering and redemption price per share	$	—		$	35.58		$	—

Class N shares:
Net assets	$	279,507,986		$	136,162,206		$	—

Shares of beneficial interest		10,164,413			3,640,096			—

Net asset value, offering and redemption price per share	$	27.50		$	37.41		$	—

See accompanying notes to financial statements.

39 |

Statements of Operations

For the Year Ended September 30, 2017


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
INVESTMENT INCOME
Dividends	$	4,963,053		$	13,859,637		$	108,118
Interest		81,334			44,009			824
Less net foreign taxes withheld		—			(41,104	)		(649	)

		5,044,387			13,862,542			108,293

Expenses
Management fees (Note 5)		8,403,095			8,194,663			94,144
Service and distribution fees (Note 5)		268,701			847,827			—
Administrative fees (Note 5)		499,964			487,649			5,601
Trustees’ fees and expenses (Note 5)		58,837			65,114			17,436
Transfer agent fees and expenses (Notes 5 and 6)		1,130,392			1,007,283			1,685
Audit and tax services fees		39,804			40,683			39,801
Custodian fees and expenses		39,323			34,928			5,556
Legal fees		24,646			24,720			274
Registration fees		53,535			86,248			22,669
Shareholder reporting expenses		54,386			78,674			2,067
Miscellaneous expenses (Note 7)		44,026			44,792			7,573

Total expenses		10,616,709			10,912,581			196,806
Less waiver and/or expense reimbursement (Note 5)		—			(296,015	)		(90,110	)

Net expenses		10,616,709			10,616,566			106,696

Net investment income (loss)		(5,572,322	)		3,245,976			1,597


NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on:
Investments		135,932,255			115,058,075			678,497
Net change in unrealized appreciation (depreciation) on:
Investments		112,076,460			73,375,443			2,355,415

Net realized and unrealized gain on investments		248,008,715			188,433,518			3,033,912


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	242,436,393		$	191,679,494		$	3,035,509

See accompanying notes to financial statements.

| 40

Statements of Changes in Net Assets


	Small Cap Growth Fund						Small Cap Value Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income (loss)	$	(5,572,322	)	$	(4,723,031	)	$	3,245,976		$	4,590,712
Net realized gain (loss) on investments		135,932,255			(7,969,145	)		115,058,075			95,614,322
Net change in unrealized appreciation (depreciation) on investments		112,076,460			88,312,376			73,375,443			60,726,807

Net increase in net assets resulting from operations		242,436,393			75,620,200			191,679,494			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)		(159,223,554	)		11,449,327			(55,801,811	)		(76,857,263	)

Net increase (decrease) in net assets		83,212,839			1,407,181			48,587,433			(22,042,717	)
NET ASSETS
Beginning of the year		1,127,785,964			1,126,378,783			1,034,742,081			1,056,784,798

End of the year	$	1,210,998,803		$	1,127,785,964		$	1,083,329,514		$	1,034,742,081

ACCUMULATED NET INVESTMENT LOSS/UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	(5,263,019	)	$	(3,237,689	)	$	(210,306	)	$	1,498,395

See accompanying notes to financial statements.

41 |

Statements of Changes in Net Assets – continued


	Small/Mid Cap Growth Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income (loss)	$	1,597		$	(23,360	)
Net realized gain (loss) on investments		678,497			(943,201	)
Net change in unrealized appreciation (depreciation) on investments		2,355,415			1,835,053

Net increase in net assets resulting from operations		3,035,509			868,492

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(22,881	)		—

Total distributions		(22,881	)		—

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		(394,862	)		1,863,761

Net increase in net assets		2,617,766			2,732,253
NET ASSETS
Beginning of the year		11,974,423			9,242,170

End of the year	$	14,592,189		$	11,974,423

ACCUMULATED NET INVESTMENT LOSS/DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(61,727	)	$	(18,730	)

See accompanying notes to financial statements.

| 42

Financial Highlights

For a share outstanding throughout each period.


	Small Cap Growth Fund—Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	22.03		$	22.22		$	24.27		$	26.35		$	19.17

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.12	)		(0.09	)		(0.14	)		(0.16	)(b)		(0.15	)(c)
Net realized and unrealized gain (loss)		5.46			1.59			1.63			(0.09	)		7.33

Total from Investment Operations		5.34			1.50			1.49			(0.25	)		7.18

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	$	27.37		$	22.03		$	22.22		$	24.27		$	26.35

Total return		24.24	%		6.92	%		5.78	%		(1.31	)%(b)		37.45	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	824,103		$	812,383		$	800,883		$	852,131		$	914,000
Net expenses		0.95	%		0.95	%		0.94	%		0.94	%		0.94	%
Gross expenses		0.95	%		0.95	%		0.94	%		0.94	%		0.94	%
Net investment loss		(0.49	)%		(0.41	)%		(0.57	)%		(0.63	)%(b)		(0.70	)%(c)
Portfolio turnover rate		45	%		56	%		78	%		63	%		56	%

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

(b)	Includes a non-recurring dividend. Without this dividend, net investment loss per share would have been $(0.17), total return would have been (1.35)% and the ratio of net investment loss to average net assets would have been (0.66)%.

(c)	Includes non-recurring dividends. Without these dividends, net investment loss per share would have been $(0.16), total return would have been 37.40% and the ratio of net investment loss to average net assets would have been (0.75)%.

See accompanying notes to financial statements.

43 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Retail Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	20.61		$	20.93		$	23.10		$	25.23		$	18.41

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss(a)		(0.16	)		(0.13	)		(0.19	)		(0.22	)(b)		(0.20	)(c)
Net realized and unrealized gain (loss)		5.08			1.50			1.56			(0.08	)		7.02

Total from Investment Operations		4.92			1.37			1.37			(0.30	)		6.82

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	$	25.53		$	20.61		$	20.93		$	23.10		$	25.23

Total return		23.93	%		6.61	%		5.58	%		(1.58	)%(b)		37.05	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	107,387		$	118,670		$	162,906		$	175,393		$	211,724
Net expenses		1.20	%		1.20	%		1.19	%		1.21	%		1.25	%(d)
Gross expenses		1.20	%		1.20	%		1.19	%		1.21	%		1.25	%(d)
Net investment loss		(0.73	)%		(0.66	)%		(0.82	)%		(0.90	)%(b)		(0.99	)%(c)
Portfolio turnover rate		45	%		56	%		78	%		63	%		56	%

(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)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

| 44

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Growth Fund—Class N
	Year Ended September 30, 2017			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)		(0.09	)		(0.06	)		(0.12	)		(0.14	)(b)		(0.11	)
Net realized and unrealized gain (loss)		5.48			1.59			1.64			(0.10	)		6.25

Total from Investment Operations		5.39			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	$	27.50		$	22.11		$	22.27		$	24.29		$	26.36

Total return		24.38	%		7.05	%		5.92	%		(1.27	)%(b)		30.37	%(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	279,508		$	196,733		$	162,591		$	15,080		$	7,580
Net expenses		0.82	%		0.83	%		0.83	%		0.83	%		0.83	%(d)
Gross expenses		0.82	%		0.83	%		0.83	%		0.83	%		0.83	%(d)
Net investment loss		(0.39	)%		(0.29	)%		(0.51	)%		(0.53	)%(b)		(0.63	)%(d)
Portfolio turnover rate		45	%		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.

45 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	33.78		$	32.19		$	36.40		$	37.42		$	29.14

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.13			0.17			0.27			0.20			0.20
Net realized and unrealized gain (loss)		6.36			4.82			0.49			2.18			8.41

Total from Investment Operations		6.49			4.99			0.76			2.38			8.61

LESS DISTRIBUTIONS FROM:
Net investment income		(0.14	)		(0.22	)		(0.22	)		(0.10	)		(0.30	)
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	)

Net asset value, end of the period	$	37.37		$	33.78		$	32.19		$	36.40		$	37.42

Total return(b)		19.68	%		16.75	%		1.20	%		6.17	%		29.82	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	665,229		$	654,501		$	666,107		$	730,901		$	733,512
Net expenses(c)		0.90	%		0.90	%		0.90	%		0.90	%		0.90	%
Gross expenses		0.93	%		0.93	%		0.92	%		0.91	%		0.91	%
Net investment income		0.37	%		0.52	%		0.75	%		0.53	%		0.61	%
Portfolio turnover rate		25	%		22	%		22	%		23	%		22	%

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

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

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

See accompanying notes to financial statements.

| 46

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Retail Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	33.33		$	31.78		$	35.98		$	37.03		$	28.84

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.04			0.08			0.18			0.10			0.12
Net realized and unrealized gain (loss)		6.27			4.77			0.48			2.16			8.32

Total from Investment Operations		6.31			4.85			0.66			2.26			8.44

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	$	36.83		$	33.33		$	31.78		$	35.98		$	37.03

Total return(b)		19.38	%		16.47	%		0.94	%		5.90	%		29.48	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	251,405		$	267,936		$	306,360		$	358,698		$	403,475
Net expenses(c)		1.15	%		1.15	%		1.15	%		1.15	%		1.15	%
Gross expenses		1.18	%		1.18	%		1.17	%		1.20	%		1.22	%
Net investment income		0.12	%		0.27	%		0.50	%		0.28	%		0.37	%
Portfolio turnover rate		25	%		22	%		22	%		23	%		22	%

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

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

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

See accompanying notes to financial statements.

47 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Admin Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	32.31		$	30.88		$	35.06		$	36.24		$	28.22

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.04	)		0.01			0.09			0.01			0.04
Net realized and unrealized gain (loss)		6.07			4.62			0.48			2.11			8.15

Total from Investment Operations		6.03			4.63			0.57			2.12			8.19

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	$	35.58		$	32.31		$	30.88		$	35.06		$	36.24

Total return(c)		19.10	%		16.19	%		0.71	%		5.63	%		29.17	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	30,533		$	43,973		$	45,762		$	61,791		$	74,892
Net expenses(d)		1.40	%		1.39	%(e)		1.38	%(f)		1.40	%		1.40	%
Gross expenses		1.43	%		1.42	%(e)		1.40	%(f)		1.51	%		1.52	%
Net investment income (loss)		(0.11	)%		0.03	%		0.28	%		0.02	%		0.11	%
Portfolio turnover rate		25	%		22	%		22	%		23	%		22	%

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

(b)	Amount rounds to less than $0.01 per share.

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

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

(e)	Includes refund of prior year service fee of 0.01%.

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

See accompanying notes to financial statements.

| 48

Financial Highlights – continued

For a share outstanding throughout each period.


	Small Cap Value Fund—Class N
	Year Ended September 30, 2017			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)		0.15			0.19			0.27			0.23			0.06
Net realized and unrealized gain (loss)		6.37			4.83			0.50			2.18			5.30

Total from Investment Operations		6.52			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	$	37.41		$	33.81		$	32.22		$	36.44		$	37.44

Total return		19.78	%		16.84	%		1.25	%		6.25	%(b)		16.71	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	136,162		$	68,332		$	38,555		$	2,568		$	1
Net expenses		0.83	%		0.83	%		0.83	%(d)		0.85	%(e)		0.85	%(e)(f)
Gross expenses		0.83	%		0.83	%		0.83	%(d)		0.89	%		14.45	%(f)
Net investment income		0.44	%		0.61	%		0.76	%		0.60	%		0.27	%(f)
Portfolio turnover rate		25	%		22	%		22	%		23	%		22	%

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

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

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

(c)	Periods less than one year are not annualized.

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

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

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

See accompanying notes to financial statements.

49 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Small/Mid Cap Growth Fund— Institutional Class
	Year Ended September 30, 2017			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)		0.00	(b)		(0.02	)		(0.01	)
Net realized and unrealized gain (loss)		2.60			0.70			(0.94	)

Total from Investment Operations		2.60			0.68			(0.95	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.02	)		—			—

Total Distributions		(0.02	)		—			—

Net asset value, end of the period	$	12.31		$	9.73		$	9.05

Total return(c)		26.74	%		7.51	%		(9.50	)%(d)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	14,592		$	11,974		$	9,242
Net expenses(e)		0.85	%		0.85	%		0.85	%(f)
Gross expenses		1.57	%		1.75	%		2.65	%(f)
Net investment income (loss)		0.01	%		(0.22	)%		(0.53	)%(f)
Portfolio turnover rate		49	%		53	%		14	%

*	From commencement of operations on June 30, 2015 through September 30, 2015.

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

(b)	Amount rounds to less than $0.01.

(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.

| 50

Notes to Financial Statements

September 30, 2017

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 amount 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 and Gateway Trust (“Natixis Funds Trusts”), Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (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 a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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

Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available. In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used. Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. Broker-dealer bid prices may be used to value debt and unlisted equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

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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 pursuant to the Funds’ pricing policies and procedures.

b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income is recorded on ex-dividend date, or in the case of certain foreign securities, as soon as a Fund is notified, and interest income is recorded on an accrual basis. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. Distributions received from investments in securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments or as a realized gain, respectively. The calendar year-end amounts of ordinary income, capital gains and return of capital included in distributions received from the Funds’ investments in real estate investment trusts (“REITs”) are reported to the Funds after the end of the fiscal year; accordingly, the Funds estimate these amounts for accounting purposes until the characterization of REIT distributions is reported to the Funds after the end of the fiscal year. Estimates are based on the most recent REIT distribution information available. In determining net gain or loss on securities sold, the cost of securities has been determined on an identified cost basis. Investment income, non-class specific expenses and realized and unrealized gains and losses are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund.

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

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

d. Federal and Foreign Income Taxes. The Trusts treat each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

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are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.

e. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as return of capital distributions received, distributions in excess of income and/or capital gain, distribution re-designations, and net operating losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to return of capital distributions received, deferred Trustees’ fees and wash sales. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2017 and 2016 were as follows:


	2017 Distributions Paid From:						2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
Small Cap Growth Fund	$	—	$	—	$	—	$	—	$	85,662,346	$	85,662,346
Small Cap Value Fund		3,961,114		83,329,136		87,290,250		7,118,205		98,999,090		106,117,295
Small/Mid Cap Growth Fund		22,881		—		22,881		—		—		—

Differences between these amounts and those reported in the Statements of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

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As of September 30, 2017, the components of distributable earnings on a tax basis were as follows:


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
Undistributed long-term capital gains	$	129,613,161		$	107,585,778		$	—

Capital loss carryforward:
Short-term:
No expiration date		—			—			(407,754	)

Late-year ordinary and post-October capital loss deferrals*		(5,115,753	)		(1,516,032	)		(45,842	)

Unrealized appreciation		325,159,766			372,759,482			3,411,570

Total accumulated earnings	$	449,657,174		$	478,829,228		$	2,957,974

Capital loss carryforward utilized in the current year	$	6,873,084		$	—		$	693,519

* Under current tax law, net operating losses, 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. Small Cap Growth Fund and Small/Mid Cap Growth Fund are deferring net operating losses. Small Cap Value Fund is deferring capital losses.

As of September 30, 2017, the cost of investments and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	Small Cap Growth Fund			Small Cap Value Fund			Small/Mid Cap Growth Fund
Federal tax cost	$	884,608,253		$	716,632,029		$	11,443,067

Gross tax appreciation	$	335,810,831		$	394,382,186		$	3,515,114
Gross tax depreciation		(10,651,065	)		(21,622,704	)		(103,544	)

Net tax appreciation	$	325,159,766		$	372,759,482		$	3,411,570

f. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 2017, each Fund, as applicable, had investments in repurchase agreements for which the value of the related collateral exceeded

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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 year ended September 30, 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.

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

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for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2017, at value:

Small Cap Growth Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,167,131,358	$	—	$	—	$	1,167,131,358
Short-Term Investments		—		42,636,661		—		42,636,661

Total	$	1,167,131,358	$	42,636,661	$	—	$	1,209,768,019

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

For the year ended September 30, 2017, there were no transfers among Levels 1, 2 and 3.

Small Cap Value Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Common Stocks(a)	$	1,074,696,101	$	—	$	—	$	1,074,696,101
Closed-End Investment Companies		3,344,118		—		—		3,344,118
Short-Term Investments		—		11,351,292		—		11,351,292

Total	$	1,078,040,219	$	11,351,292	$	—	$	1,089,391,511

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

For the year ended September 30, 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)	$	14,165,384	$	—	$	—	$	14,165,384
Short-Term Investments		—		689,253		—		689,253

Total	$	14,165,384	$	689,253	$	—	$	14,854,637

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

For the year ended September 30, 2017, there were no transfers among Levels 1, 2 and 3.

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4. Purchases and Sales of Securities. For the year ended September 30, 2017, purchases and sales of securities (excluding short-term investments) were as follows:


Fund	Purchases		Sales
Small Cap Growth Fund	$	489,086,012	$	661,629,571
Small Cap Value Fund		266,759,428		398,398,176
Small/Mid Cap Growth Fund		5,975,263		6,485,030

5. Management Fees and Other Transactions with Affiliates.

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


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

Loomis Sayles has given binding undertakings to the Funds to waive management fees and/or reimburse certain expenses to limit the Funds’ operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. These undertakings are in effect until January 31, 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 year ended September 30, 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.

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For the year ended September 30, 2017, the management fees for each Fund were as follows:


	Gross Management		Contractual Waivers of Management		Net Management		Percentage of Average Daily Net Assets
Fund	Fees		Fees¹		Fees		Gross		Net
Small Cap Growth Fund	$	8,403,095	$	—	$	8,403,095		0.75%		0.75%
Small Cap Value Fund		8,194,663		—		8,194,663		0.75%		0.75%
Small/Mid Cap Growth Fund		94,144		90,110		4,034		0.75%		0.03%

For the year ended September 30, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Institutional Class		Retail Class		Admin Class		Class N		Total
Small Cap Value Fund	$	205,968	$	79,867	$	10,180	$	—	$	296,015

¹ Waivers/expense reimbursements are subject to possible recovery until September 30, 2018.

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

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

Under the Retail Class Plans, each Fund pays Natixis 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 Natixis Distribution in connection with the marketing or sale of Retail Class shares or for payments made by Natixis 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, Small Cap Value Fund pays Natixis 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

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Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis 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 Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the year ended September 30, 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	$	—	$	268,701	$	—
Small Cap Value Fund		89,594		668,639		89,594

c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Small Cap Growth Fund	$	499,964
Small Cap Value Fund		487,649
Small/Mid Cap Growth Fund		5,601

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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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended September 30, 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	$	1,104,880
Small Cap Value Fund		966,928
Small/Mid Cap Growth Fund		298

As of September 30, 2017, the Funds owe Natixis Distribution the following reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor):


Fund	Reimbursements of Sub-Transfer Agent Fees
Small Cap Growth Fund	$	14,918
Small Cap Value Fund		13,143
Small/Mid Cap Growth Fund		5

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 Natixis Advisors, Natixis Distribution, Natixis 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

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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, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

f. Affiliated Ownership. As of September 30, 2017, Loomis Sayles Funded Pension Plan and Trust (“Pension Plan”), Loomis Sayles Employees’ Profit Sharing Retirement Plan (“Retirement Plan”), and Natixis held shares of the Funds representing the following percentages of the Fund’s net assets:


Fund	Pension Plan		Retirement Plan		Natixis		Total Affiliated Ownership
Small Cap Growth Fund		0.63%		1.47%		—		2.10%
Small Cap Value Fund		1.13%		2.80%		—		3.93%
Small/Mid Cap Growth		—		15.21%		68.21%		83.42%

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

6. Class-Specific Transfer Agent Fees and Expenses. 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 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.

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For the year ended September 30, 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	$	994,456	$	134,729	$	—	$	1,207
Small Cap Value Fund		699,831		270,516		36,332		604
Small/Mid Cap Growth Fund		1,685		—		—		—

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 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the year ended September 30, 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 year ended September 30, 2017, amounts rebated under these agreements were as follows:


Fund	Rebates
Small Cap Growth Fund	$	41,991
Small Cap Value Fund		44,378
Small/Mid Cap Growth Fund		457

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

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Notes to Financial Statements – continued

September 30, 2017

Funds. As of September 30, 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 5f)		Total Percentage of Ownership
Small Cap Growth Fund		2		32.46%		—		32.46%
Small Cap Value Fund		2		19.88%		—		19.88%
Small/Mid Cap Growth		—		—		83.42%		83.42%

Omnibus shareholder accounts for which Natixis 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.

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


	Small Cap Growth Fund
	Year Ended September 30, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		4,034,738		$	97,151,691			7,447,055		$	155,701,856
Issued in connection with the reinvestment of distributions		—			—			2,716,857			58,412,420
Redeemed		(10,793,297	)		(256,866,078	)		(9,612,542	)		(201,629,117	)
Subscription in-kind (Note 11)		—			—			277,161			5,698,438
											��
Net change		(6,758,559	)	$	(159,714,387	)		828,531		$	18,183,597

Retail Class
Issued from the sale of shares		692,134		$	15,704,343			935,456		$	18,282,313
Issued in connection with the reinvestment of distributions		—			—			588,964			11,867,620
Redeemed		(2,244,929	)		(49,573,803	)		(3,547,121	)		(71,211,754	)

Net change		(1,552,795	)	$	(33,869,460	)		(2,022,701	)	$	(41,061,821	)

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Notes to Financial Statements – continued

September 30, 2017

10. Capital Shares – continued.


	Small Cap Growth Fund – continued
	Year Ended September 30, 2017						Year Ended September 30, 2016
Class N	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,855,688		$	94,799,081			3,494,879		$	74,656,476
Issued in connection with the reinvestment of distributions		—			—			616,186			13,284,984
Redeemed		(2,588,567	)		(60,438,788	)		(2,515,389	)		(53,613,909	)

Net change		1,267,121		$	34,360,293			1,595,676		$	34,327,551

Increase (decrease) from capital share transactions		(7,044,233	)	$	(159,223,554	)		401,506		$	11,449,327


	Small Cap Value Fund
	Year Ended September 30, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,564,958		$	126,242,963			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		(6,645,676	)		(233,677,752	)		(5,042,901	)		(158,011,519	)
Redeemed in-kind (Note 11)		—			—			(1,595,784	)		(52,325,759	)

Net change		(1,575,556	)	$	(54,182,167	)		(1,318,498	)	$	(45,505,548	)

Retail Class
Issued from the sale of shares		616,632		$	21,554,720			609,197		$	18,890,158
Issued in connection with the reinvestment of distributions		607,283			21,218,469			943,438			28,142,755
Redeemed		(2,437,522	)		(85,099,728	)		(3,153,621	)		(100,205,101	)

Net change		(1,213,607	)	$	(42,326,539	)		(1,600,986	)	$	(53,172,188	)

Admin Class
Issued from the sale of shares		220,759		$	7,434,300			341,303		$	10,091,067
Issued in connection with the reinvestment of distributions		80,992			2,738,330			111,997			3,244,570
Redeemed		(804,540	)		(27,089,959	)		(574,173	)		(17,370,719	)

Net change		(502,789	)	$	(16,917,329	)		(120,873	)	$	(4,035,082	)

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Notes to Financial Statements – continued

September 30, 2017

10. Capital Shares – continued.


	Small Cap Value Fund – continued
	Year Ended September 30, 2017						Year Ended September 30, 2016
Class N	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,948,540		$	69,188,229			945,571		$	29,754,154
Issued in connection with the reinvestment of distributions		198,135			7,013,982			140,642			4,245,978
Redeemed		(527,853	)		(18,577,987	)		(261,689	)		(8,144,577	)

Net change		1,618,822		$	57,624,224			824,524		$	25,855,555

Increase (decrease) from capital share transactions		(1,673,130	)	$	(55,801,811	)		(2,215,833	)	$	(76,857,263	)


	Small/Mid Cap Growth Fund
	Year Ended September 30, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		183,187		$	1,981,855			214,933		$	1,914,485
Issued in connection with the reinvestment of distributions		2,259			22,881			—			—
Redeemed		(230,300	)		(2,399,598	)		(5,401	)		(50,724	)

Net change		(44,854	)	$	(394,862	)		209,532		$	1,863,761

Increase (decrease) from capital share transactions		(44,854	)	$	(394,862	)		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 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. For the year ended September 30, 2016, Small Cap Growth Fund participated in a subscription in-kind transaction and Small Cap Value Fund participated in a redemption in-kind transaction. There were no subscription in-kind or redemption in-kind transactions for the Funds during the year ended September 30, 2017.

12. Subsequent Event. On November 17, 2017, the Board of Trustees of Loomis Sayles Funds I approved the re-opening of the Loomis Sayles Small Cap Value Fund to new investors. Effective November 27, 2017, the Fund offers Institutional Class, Retail Class, Admin Class and Class N shares to new and existing investors.

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Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Small Cap Value Fund, a series of Loomis Sayles Funds I, and Loomis Sayles Small Cap Growth Fund and Loomis Sayles Small/Mid Cap Growth, each a series of Loomis Sayles Funds II, (collectively, the “Funds”) as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2017

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2017 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2017, a percentage of dividends distributed by the Fund listed below qualifies for the dividends received deduction for corporate shareholders. This percentage is as follows:


Fund	Qualifying Percentage
Small Cap Value		100.00%
Small/Mid Cap Growth		100.00%

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the following Funds paid distributions, which have been designated as capital gains distributions for the fiscal year ended September 30, 2017, unless subsequently determined to be different.


Fund	Amount
Small Cap Value	$	83,329,136

Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Fund below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2017, complete information will be reported in conjunction with Form 1099-DIV.

Fund

Small Cap Value

Small/Mid Cap Growth

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information includes additional information about the trustees of the Trusts and is available by calling Loomis Sayles Funds at 800-633-3330.


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

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

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Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell³ (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	53 None	Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

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Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Sandra O. Moose (1942)	Trustee since 2003 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

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Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston⁴ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁵ (1965)	Trustee since 2011 President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P. Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.	53 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P. Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.

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Trustee and Officer Information – continued

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

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

³	Ms. Mitchell was appointed as a Trustee effective July 1, 2017.

⁴	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁵

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

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Trustee and Officer Information – continued


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

OFFICERS OF THE TRUST

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

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

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

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

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

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

75 |

LOOMIS FUNDS

Supplement dated June 30, 2017 to the Loomis Funds Summary Prospectuses, dated February 1, 2017, as may be revised or supplemented from time to time, for the following funds:


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Effective July 1, 2017, the information under the sub-section “Retail Class Shares” in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

Retail Class Shares

Retail Class shares of the Fund are subject to a minimum initial investment of $2,500 and a minimum subsequent investment of $50.

There is no initial or subsequent investment minimum for:

•

Wrap Fee Programs of certain broker-dealers, the advisers or NGAM Distribution, L.P. Please consult your financial representative to determine if your wrap fee program is subject to additional or different conditions or fees.

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Effective July 1, 2017, the information under the sub-section “Institutional Class Shares” in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

Institutional Class Shares

Institutional Class shares of the Fund are generally subject to a minimum initial investment of $100,000 and a minimum subsequent investment of $50, except there is no minimum initial or subsequent investment for:

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•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•

Fund Trustees, former Fund trustees, employees of affiliates of the Loomis Sayles Funds and other individuals who are affiliated with any Loomis Fund (this also applies to any spouse, parents, children, siblings, grandparents, grandchildren and in-laws of those mentioned) and Natixis affiliate employee benefit plans.

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.

LOOMIS SAYLES CORE DISCIPLINED ALPHA BOND FUND

LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

Institutional Class Shares

Institutional Class shares of the Fund are generally subject to a minimum initial investment of $1,000,000 and a minimum subsequent investment of $50,000, except there is no minimum initial or subsequent investment for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Registered Investment Advisers investing on behalf of their clients and certain wrap fee programs may aggregate investments of multiple clients to satisfy the $1,000,000 minimum initial investment amount.

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.

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Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Effective July 1, 2017, the information under the sub-section “Class N Shares” in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

Class N Shares

Class N shares of the Fund are subject to a $1,000,000 initial investment minimum. There is no initial investment minimum for certain retirement plans and funds of funds that are distributed by NGAM Distribution, L.P. There is no subsequent investment minimum for these shares. In its sole discretion, NGAM Distribution, L.P. may waive the investment minimum requirement for accounts as to which the relevant financial intermediary has provided assurances, in writing, that the accounts will be held in omnibus fashion beginning no more than two years following the establishment date of such accounts in Class N.

LOOMIS SAYLES BOND FUND

LOOMIS SAYLES SMALL CAP VALUE FUND

Admin Class Shares

Admin Class shares of the Fund are intended primarily for certain retirement plans held in an omnibus fashion and are not available for purchase by individual investors. There are no initial or subsequent investment minimums for these shares.


Loomis Sayles Bond Fund		Loomis Sayles Institutional High Income Fund
Loomis Sayles Core Disciplined Alpha Bond Fund		Loomis Sayles Investment Grade Fixed Income Fund
Loomis Sayles Fixed Income Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund		Loomis Sayles Small/Mid Cap Growth Fund

Effective July 1, 2017, the first sentence in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

The following information shows the investment minimum for various types of accounts:

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Effective July 1, 2017, the following is added to the section “Purchase and Sale of Fund Shares” in each Fund’s Summary:

Due to operational limitations at your financial intermediary, certain wrap fee programs, retirement plans, individual retirement accounts and accounts of registered investment advisers may be subject to the investment minimums described above.

Effective July 1, 2017, the last paragraph in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is amended and restated as follows:

The Fund’s shares are available for purchase and are redeemable on any business day through your financial adviser, through your broker-dealer, directly from the Fund by writing to the Fund at Loomis Sayles Funds, P.O. Box 219594, Kansas City, MO 64121-9594, by exchange, by wire, by internet at www.loomissayles.com, by telephone at 800-633-3330, through the Automated Clearing House system, or, in the case of redemptions, by the Systematic Withdrawal Plan. See the section “How Fund Shares are Priced” in the prospectus for details.

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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

Annual Report

September 30, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			19
Financial Statements			61
Notes to Financial Statements			74
Shareholder Supplements			enclosed
(previously posted to the Funds’ website)

LOOMIS SAYLES CORE DISCIPLINED ALPHA BOND FUND


Manager	Symbol
Lynne Royer	Institutional Class	LSABX

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.

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates in December, March and June; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets such as high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

All US Treasury yields rose during the 12-month period. However, much of the rise in longer-maturity yields took place shortly after the US presidential election while the two-year yield rose steadily over the entire period. Longer-term US Treasury yields declined from the start of 2017 until early September, when expectations for new and expansionary US fiscal policy and inflation began to rise.

Overall, investment grade corporate bonds generated positive returns and outperformed duration-matched Treasuries (duration refers to a security’s price sensitivity to interest rate changes). The sector’s longer duration was beneficial as investors moved to the long end of the yield curve.

Securitized credit assets generated positive total returns and outperformed duration-matched Treasuries. In September 2017, volatility remained muted after the Fed announced it would start tapering its reinvestment into mortgage-backed securities (MBS) in October 2017; the move had been well-telegraphed and was largely expected.

Performance Results

The Loomis Sayles Core Disciplined Alpha Bond Fund was launched on November 30, 2016. For the ten months ended September 30, 2017, Institutional Class shares of the Loomis Sayles Core Disciplined Alpha Bond Fund returned 2.86%. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned 3.29% for the same period.

Explanation of Fund Performance

The Fund’s position in an international freight transportation company detracted from performance. Bonds from this company underperformed after its new management team announced a surprising re-examination of financial policies, an about-face from guidance given just a few months earlier. Given the unpredictable outcome of the financial review, we moved to an underweight position in the name by the end of the period.

Security selection in the food and beverages industry also detracted from performance. The outlook for this industry remains very difficult, and with weak stock performance for many companies in the space, we have been concerned about the potential for increased corporate activity that favors equity shareholders or mergers and acquisitions. As a result, we reduced our exposure to the industry during the period.

On the positive side, security selection within MBS contributed to performance, as did the Fund’s higher-than-benchmark allocation to the sector. The MBS sector has benefited from positive technical factors, such as benign risk of mortgage prepayments and strong demand for to-be-announced (TBA) securities. In addition, despite concerns that it could cause disruption, the sector has seen limited impact from the Fed’s announcement of the beginning of its balance sheet reduction, as this was well-telegraphed to the markets and is expected to progress gradually.

Security selection within and exposure to the credit sector also contributed to performance. As an example, positioning in the midstream energy industry was beneficial to performance. Many companies in this industry announced balance sheet improvement measures (such as selling non-core assets) that have been positive for bond investors. Security selection and positioning in the asset-backed security (ABS) segment also aided results. Tight swap spreads and strong demand for new deals in the sector contributed to its positive performance.

Outlook

We are modestly positive on the credit sector. We are cognizant that spreads to Treasuries are relatively tight and that lurking geopolitical risks have the potential to increase volatility, as does the removal of quantitative easing in the US and Europe. At the same time, economic growth is solid in the US and improving in Europe, demand for bonds remains quite strong and supply is expected to ease in the fourth quarter of 2017 (creating the potential for a positive technical dynamic). While fundamentals are stretched, we expect improvement with a strong earnings outlook for the fourth quarter and into 2018.

1 |

In MBS, we expect the Fed’s balance sheet normalization process will gradually put pressure on mortgage spreads, though the full effect may not hit the market until late in the first quarter of 2018. We have been modestly positive on the agency MBS sector, but we have been reevaluating our outlook as mortgage spreads have tightened significantly since the Fed announced the timing of its balance sheet normalization program.

Going forward, we are positive on ABS. Shorter-maturity corporate credit has performed well and we expect ABS to eventually catch up. With the recent strong performance in credit, we note that areas of the commercial mortgage-backed securities (CMBS) market have begun to look relatively attractive as well.

Hypothetical Growth of $1,000,000 Investment in Institutional Class Shares²

November 30, 2016 (inception) through September 30, 2017

LOGO

Total Returns — September 30, 2017²



				Expense Ratios³
	Life of Fund			Gross			Net
Institutional Class (Inception 11/30/16)		2.86	%		0.85	%		0.45	%
Comparative Performance
Bloomberg Barclays U.S. Aggregate Bond Index¹		3.29

The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index that covers the U.S.-dollar-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed securities, asset-backed securities, and collateralized mortgage-backed securities sectors.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 2

LOOMIS SAYLES FIXED INCOME FUND


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

Investment Objective

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

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Overall, investment grade corporate bonds generated positive return and outperformed duration-matched Treasuries (duration refers to a security’s price sensitivity to interest rate changes). The sector’s longer duration was beneficial as investors moved to the long end of the yield curve. High yield credit was a leading asset class throughout the period, benefiting from the “risk-on” environment and the search for yield. Improving corporate profits around the globe provided an additional tailwind to the sector.

After hitting a 14-year high during the fourth quarter of 2016, the US dollar steadily weakened through the rest of the period as risk appetite remained strong and fears about China’s economy and the potential for a US trade war waned. Many developed and emerging market currencies rallied versus the US dollar and unhedged returns were broadly positive. Emerging market bonds struggled at the beginning of the period, hurt by uncertainties related to global trade, the incoming US administration and geopolitics. But as 2017 progressed, sentiment shifted, emerging market bonds rallied and the asset class posted broadly positive returns for the full period. The sector benefited from the weakening US dollar, a rebound in corporate profits, and improving emerging market GDP growth.

Portfolio Review

For the 12 months ended September 30, 2017, Institutional Class shares of the Loomis Sayles Fixed Income Fund returned 6.96%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned -0.01%.

Explanation of Fund Performance

Out-of-benchmark high yield corporate bond exposure generated strong positive returns during the period. Within the segment, the Fund’s industrial holdings were top contributors. High yield financial names also performed well. In addition, a meaningful underweight to US Treasuries, combined with a shorter-than-benchmark duration stance, benefited results. An out-of-benchmark allocation to non-US-dollar-denominated issues was another strong contributor to return, with performance led by holdings denominated in the Mexican peso and Canadian dollar.

Out-of-benchmark exposure to convertible securities generated strong absolute and relative return, with contributions led by a selected technology name that generated outsized performance. Exposure to common stock also supported the Fund’s performance, as equities rallied strongly over much of the period and selected names outperformed the broader market.

Meanwhile, the Fund’s reserves were a drag on performance. An underweight to investment grade corporate credit also detracted from performance as the segment performed well.

Outlook

Fund positioning reflects our outlook for stable economic growth and inflation. US and global GDP growth are steadily improving, and US inflation indicators are below Fed and consensus expectations. These inflationary trends support the Fed’s gradual shift to less accommodative monetary policy. The Fed’s balance sheet normalization program formally starts in October, and one more interest rate hike looks possible by year-end.

3 |

Steady economic growth is also supporting risk assets, and we are maintaining our exposure to corporate bonds. While spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) have tightened significantly and the risk premiums for the investment grade and high yield markets are lower with increasing downside risks, we see further upside potential given the outlook for earnings growth and the low probability of defaults or economic recession. At this stage of the credit cycle,¹ we are focusing on undervalued issues and looking for areas where we can move up in quality.

We have been taking a highly selective approach to non-US exposure. We are primarily maintaining current allocations to selected developed market sovereign and credit positions, along with emerging market local-pay bonds that we believe offer attractive yields and total return potential. The risk profile of the global market has been largely driven by anticipated central bank action, election cycles, geopolitical risks and trade policy uncertainty. In the current global growth environment, the US dollar is likely to be range bound and it may trend lower over the near term.

Looking ahead, our investment themes are centered on broadening portfolio diversification, generating income, lowering duration and reducing overall interest rate sensitivity. In terms of asset allocation, the Fund is structurally very different from the benchmark and is well-positioned going into its next fiscal year, in our view. We are also comfortable keeping a larger allocation to reserve-type positions, and we will patiently monitor market developments for better buying opportunities where we feel we can add long-term value for our investors.

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

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

September 30, 2007 through September 30, 2017²

LOGO

Average Annual Total Returns — September 30, 2017²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 1/17/95)		6.96	%		5.03	%		6.65	%		0.57	%		0.57	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		-0.01			2.10			4.34

The Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporates. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate Index.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 4

LOOMIS SAYLES GLOBAL BOND FUND


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

Investment Objective

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

Market Conditions

The 12-month period ending September 30, 2017 was generally positive for global fixed income assets. In general, government bond yields remained low, yield curves flattened, the US dollar weakened, inflation was well behaved and global economic growth was synchronized. Given the low yields in global treasuries, investors were driven into riskier asset classes, most notably emerging market debt and corporate credit.

Corporate credit spreads (the yield difference between non-Treasury and Treasury securities of similar maturity) generally tightened during the period, handily outperforming duration-matched global treasuries (duration refers to a security’s price sensitivity to interest rate changes). Credit continued to perform well due to improving earnings and credit profiles, accommodative central banks and healthy demand, particularly for investment grade credit and emerging market debt.

The Federal Reserve (Fed) raised interest rates three times during the period. Despite these rate increases, the US dollar generally weakened throughout the second half of the period. Accelerating non-US growth, uncertainty about US fiscal policy and diminished prospects for significant monetary policy divergence in major developed markets contributed to the US dollar’s depreciation.

Emerging market (EM) assets posted solid returns, with both sovereign and local bonds outperforming. Investors’ thirst for yield, the weaker US dollar, relatively benign inflation and strong risk appetite boosted the demand for emerging market debt.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Global Bond Fund returned 0.74%. The Fund outperformed its benchmark, the Bloomberg Barclays Global Aggregate Bond Index, which returned -1.26%.

Explanation of Fund Performance

The Fund’s overweight allocations to corporate bonds, including high yield issues, and local-currency EM bonds drove relative return during the period. Security selection also lifted relative performance as individual bond choices in corporate credit and securitized bonds added value. Currency allocation was a negative factor, mainly due to allocations among European currencies.

From a sector allocation perspective, the Fund’s overweight positions in the banking, energy, insurance, communications and consumer non-cyclical sectors were the main sources of relative return. Overweights to asset-backed securities and commercial mortgage-backed securities also proved beneficial. Individual bond choices in the electric utility and banking sectors were additional notable contributors. Finally, an allocation away from duration in the large US dollar, euro and Japanese yen markets and into duration in the smaller markets of Norway, Mexico, Brazil and Indonesia was particularly additive to performance.

Conversely, underweight exposure to the euro detracted from performance. The euro advanced against most other major currencies as investors anticipated an eventual reversal of European Central Bank (ECB) quantitative easing and fixed income outflows, due to an improving economy. Overweight positioning in the currencies of Scandinavian countries failed to keep pace with the euro’s strength, offsetting some of the incremental return gained from selected local-bond market exposures in Brazil and South Africa. During the period, there were instances where losses on currency hedges exceeded the gains on the corresponding bonds due to hedging costs.

Among corporate bonds, an underweight to the technology sector weighed on relative return as the sector outperformed the broader corporate market during the period. Individual bond choices in the communications sector, particularly among selected European media companies, also detracted from results.

Outlook

Risk appetite has remained strong so far in 2017, and we expect the trend to continue into 2018. We expect the macroeconomic backdrop of stable growth and inflation to persist in the absence of a geopolitical shock. Despite improving growth, developed economy inflation remains below central banks’ targets; therefore, we believe monetary policymakers will shift gears slowly. We expect the Fed to raise interest rates in December 2017, with two additional hikes by the end of 2018. We do not anticipate a rate hike from the ECB within the next 12 months and expect them to maintain ultra-accommodative policies, even if at a lower “dosage.” Japan’s struggle to increase inflation should keep the Bank of Japan accommodative for the foreseeable future.

Government bond yields are expected to rise, but not substantially. Although developed markets could see higher yields in the future, we think they will follow a low trajectory based on our benign view of inflation and monetary policy over the near to medium term. An inflation surprise could spur less positive outcomes for bonds, but we think medium- to long-term yields are likely to move only moderately higher over the next 12 months.

5 |

We expect the US dollar to be range bound relative to global peers, particularly in EM where aggregate economic growth has been outpacing the US and attracting equity inflows. Strong earnings expectations outside the US could lead to further US dollar outflows into other countries and markets. While firm global growth is not a bullish factor for US Treasury returns, it is a positive factor for most risk assets, including emerging market bonds, currencies and global credit spreads broadly.

The Fund has not paid monthly ordinary income distributions for some time, due primarily to the effect of foreign currency losses, which offset ordinary income from bond coupons. While the value of currencies is subject to change on a daily basis, currency losses can result in reduced net taxable income to the Fund that must be distributed to shareholders. If the Fund distributed all of its ordinary income from bond coupons on a monthly basis, and also experienced currency losses in a calendar year, it could distribute more income than it earned. This would result in a return of capital, which would reduce the amount of principal in shareholder accounts. Fund management seeks to avoid return of capital distributions and the related tax recordkeeping and reporting requirements for shareholders. In order to avoid a return of capital and significant variations in the monthly distribution amounts, the Fund’s Board has approved a change to the Fund’s distribution policy from a monthly to an annual ordinary income distribution schedule, effective October 1, 2017.

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

September 30, 2007 through September 30, 2017²

LOGO

Average Annual Total Returns — September 30, 2017²



										Life of Class N			Expense Ratios³
	1 year			5 years			10 years			Life of Class N			Gross			Net
Institutional Class (Inception 5/10/91)		0.74	%		0.81	%		3.73	%		—	%		0.81	%		0.72	%

Retail Class (Inception 12/31/96)		0.48			0.55			3.44			—			1.06			0.97

Class N (Inception 2/1/13)		0.81			—			—			0.99			0.64			0.64

Comparative Performance
Bloomberg Barclays Global Aggregate Bond Index¹		-1.26			0.48			3.31			0.84

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.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 6

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.

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets such as high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Despite an early rise, US inflation stayed largely range bound for most of the period, hovering just below the Fed’s 2% target. Europe and Japan also struggled to meet inflation targets, while emerging markets saw steep declines. The spread between developed market and emerging market inflation reached its lowest point in 30 years.

All US Treasury yields rose during the 12-month period. However, much of the rise in longer-maturity yields took place shortly after the US presidential election, while the two-year yield rose steadily over the entire period. Longer-term US Treasury yields declined from the start of 2017 until early September, when expectations for new and expansionary US fiscal policy and inflation began to rise.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Inflation Protected Securities Fund returned -0.33%. The Fund outpaced its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index, which returned -0.73%.

Explanation of Fund Performance

An out-of-benchmark allocation to investment grade corporate bonds contributed positively to relative return as the sector outperformed duration-matched Treasuries (duration refers to a security’s price sensitivity to interest rate changes). Investment grade financial and industrial holdings led performance in the space. Within the Fund’s out-of-benchmark high yield corporate bond exposure, financial holdings were significant contributors to absolute and relative return. In addition, the Fund’s yield curve positioning benefited relative return, aided by the use of interest rate futures.

The Fund’s Treasury inflation-protected securities (TIPS) allocation generated negative return in the period. In the fourth quarter of 2016, real yields rose in anticipation of fiscal stimulus from the new US administration and continued loose monetary policy. Treasury yields essentially traded in a range over the remainder of the period. The increase in nominal rates was the primary catalyst for the negative performance from the Fund’s TIPS allocation. However, TIPS outperformed nominal Treasuries as breakeven rates (which reflect the yield differential between nominal Treasuries and comparable-maturity TIPS) ended the period higher.

Outlook

We expect a favorable global economic backdrop to prevail, with growth and inflation at stable levels. We see limited inflationary pressure stemming from commodity prices moving forward, but wages are expected to accelerate and residential housing costs are unlikely to decline in a growing economy. As the Fed works to normalize interest rates, we expect one more rate hike in 2017 and two additional hikes in 2018. We also expect the Fed to pursue a gradual and measured path for balance sheet reduction, which should have a limited impact on yields.

We expect to see a prolonged expansion phase of the US credit cycle,¹ and believe that any renewed momentum for tax reform could be positive for bonds. Demand for US corporate bonds from foreign investors should remain a positive technical factor in the near term. In addition, we have upgraded our outlook for GDP growth in Europe, Mexico and China as global profits have been rising.

Breakeven rates have started to rise over the last three months, and we expect this trend to continue. We see this as a “bear steepener” market, meaning yields have been rising along the US yield curve and the curve has been steepening, supported by talk of tax cuts, a steadying in the price of oil and Fed policy. We believe a steeper curve will be constructive for credit sectors and in line with our view of growth. We will closely monitor for changes in inflation as an indicator of the market’s health and how we should position the Fund. Fed policy is a key variable, as a December rate hike could slow the steepening of the curve.

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

7 |

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

September 30, 2007 through September 30, 2017³

LOGO

Average Annual Total Returns — September 30, 2017³



										Life of Class N			Expense Ratios⁴
	1 year			5 years			10 years			Life of Class N			Gross			Net
Institutional Class (Inception 5/20/91)		-0.33	%		-0.26	%		3.56	%		—	%		0.86	%		0.40	%

Retail Class (Inception 5/28/10)¹		-0.59			-0.56			3.27			—			1.07			0.65

Class N (Inception 2/1/17)		—			—			—			1.40			0.75			0.35
Comparative Performance
Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index²		-0.73			0.02			3.90			0.97

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

Bloomberg Barclays U.S. Treasury Inflation Protected Securities Index is an unmanaged index that tracks inflation protected securities issued by the U.S. Treasury. On March 1, 1997, Barclays launched the Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series-L), a rules-based, market value-weighted index that tracks inflation-protected securities issued by the U.S. Treasury.

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

⁴

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 8

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND


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

Investment Objective

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

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Portfolio Review

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Institutional High Income Fund returned 9.19%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 8.88%.

Explanation of Fund Performance

Security selection within high yield corporate bonds was one of the largest contributors to performance. The energy, metals and mining, and pharmaceuticals sectors were all contributors in the space. The Fund’s out-of-benchmark allocation to equities was another significant contributor to absolute and relative return, driven by industrial and pharmaceutical names. An out-of-benchmark allocation to convertible securities also generated positive return, aided by holdings in the pharmaceutical and technology sectors.

Conversely, the Fund’s exposure to US Treasuries detracted from relative return. We increased our allocation to US Treasuries and other reserves during the period. An out-of-benchmark allocation to investment grade corporate bonds also weighed on relative performance, despite generating positive absolute return.

Outlook

Steady economic growth is also supporting risk assets, and we are maintaining our exposure to corporate bonds. Spreads (the difference in yield between non-Treasury and Treasury securities of similar maturity) have tightened significantly, and the risk premiums for the investment grade and high yield markets are lower with increasing downside risks.

9 |

probability of defaults or economic recession. At this stage of the credit cycle,¹ we are seeing increasing debt levels, but overall, balance sheets remain healthy and interest rate coverage is strong. We are watching for idiosyncratic risk factors or volatility that may allow us to selectively add to existing positions or establish exposure to new issues. In general, we are focusing on undervalued issues and looking for areas where we can move up in quality.

Looking ahead, our investment themes are centered on broadening portfolio diversification, generating income, lowering duration and reducing overall interest rate sensitivity. In terms of asset allocation, the fund is structurally very different from the benchmark and is well-positioned going into the fund’s next fiscal year, in our view. We are also comfortable keeping a larger allocation to reserve-type positions, and we will patiently monitor market developments for better buying opportunities where we feel we can add long-term value for our investors.

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

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

September 30, 2007 through September 30, 2017²

LOGO

Average Annual Total Returns — September 30, 2017²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 6/5/96)		9.19	%		7.39	%		7.72	%		0.68	%		0.68	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		8.88			6.36			7.84

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.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

| 10

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND


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

Investment Objective

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

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Portfolio Review

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Investment Grade Fixed Income Fund returned 5.73%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned -0.01%.

Explanation of Fund Performance

The Fund’s out-of-benchmark equity and convertible security holdings generated positive absolute and relative returns, largely due to selected holdings within the technology and insurance industries. Out-of-benchmark exposure to non-US-dollar-denominated holdings also benefited return. In particular, selections denominated in the Canadian dollar, Mexican peso and New Zealand dollar drove performance within the space. In addition, out-of-benchmark exposure to high yield corporate bonds added to absolute and relative results, with contributions led by energy-related, metals and mining, and banking securities. A selected high yield finance company holding also benefited results.

A meaningful underweight to US Treasuries aided performance as investors preferred riskier assets during the period. Finally, security selection among investment grade corporate bonds contributed to results, particularly banking and insurance holdings.

Among detractors, underweight allocations to the investment grade corporate and emerging market credit sectors limited relative performance, though both sectors posted positive absolute returns.

Outlook

11 |

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a Fund has available to distribute, even though these bonds continue to generate coupon income.

Fund officers have analyzed the Fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2018. Based on this analysis, Fund officers believe that realized currency losses may impact the Fund’s distributions in its 2018 fiscal year. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates, Fund advisers’ ability to manage realized currency losses and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.

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

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

September 30, 2007 through September 30, 2017²

LOGO

Average Annual Total Returns — September 30, 2017²



										Expense Ratios³
	1 year			5 years			10 years			Gross			Net

Institutional Class (Inception 7/1/94)		5.73	%		3.47	%		5.97	%		0.48	%		0.48	%

Comparative Performance
Bloomberg Barclays U.S. Government/Credit Bond Index¹		-0.01			2.10			4.34

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 01/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

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ADDITIONAL INFORMATION

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

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

Additional Index Information

Proxy Voting Information

A description of the funds’ proxy voting policies and procedures is available without charge, upon request, by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

UNDERSTANDING YOUR FUND’S EXPENSES

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

The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2017 through September 30, 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.

Loomis Sayles Core Disciplined Alpha Bond Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,022.70		$2.28
Hypothetical (5% return before expenses)		$1,000.00		$1,022.81		$2.28
* 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 (183), divided by 365 (to reflect the half-year period).

13 |

Loomis Sayles Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,042.60		$2.92
Hypothetical (5% return before expenses)		$1,000.00		$1,022.21		$2.89
* Expenses are equal to the Fund’s annualized expense ratio of 0.57%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

Loomis Sayles Global Bond Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,052.90		$3.81
Hypothetical (5% return before expenses)		$1,000.00		$1,021.36		$3.75

Retail Class
Actual		$1,000.00		$1,051.10		$5.09
Hypothetical (5% return before expenses)		$1,000.00		$1,020.11		$5.01

Class N
Actual		$1,000.00		$1,052.80		$3.55
Hypothetical (5% return before expenses)		$1,000.00		$1,021.61		$3.50
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.74%, 0.99% and 0.69% for Institutional Class, Retail Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

Loomis Sayles Inflation Protected Securities Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,009.20		$2.01
Hypothetical (5% return before expenses)		$1,000.00		$1,023.06		$2.03

Retail Class
Actual		$1,000.00		$1,006.90		$3.27
Hypothetical (5% return before expenses)		$1,000.00		$1,021.81		$3.29

Class N
Actual		$1,000.00		$1,008.50		$1.76
Hypothetical (5% return before expenses)		$1,000.00		$1,023.31		$1.78
* 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 (183), divided by 365 (to reflect the half-year period).

Loomis Sayles Institutional High Income Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,032.40		$3.46
Hypothetical (5% return before expenses)		$1,000.00		$1,021.66		$3.45
* Expenses are equal to the Fund’s annualized expense ratio of 0.68%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

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Loomis Sayles Investment Grade Fixed Income Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,044.30		$2.51
Hypothetical (5% return before expenses)		$1,000.00		$1,022.61		$2.48
* 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 (183), divided by 365 (to reflect the half-year period).

15 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

The Board of Trustees of the Trust (the “Board”), including the Independent Trustees, considers matters bearing on each Fund’s advisory agreement (collectively, the “Agreements”) at most of its meetings throughout the year. Each year, usually in the spring, the Contract Review Committee of the Board meets to review the Agreements to determine whether to recommend that the full Board approve the continuation of the Agreements, typically for an additional one-year period. After the Contract Review Committee has made its recommendation, the full Board, including the Independent Trustees, determines whether to approve the continuation of the Agreements. The Loomis Sayles Core Disciplined Alpha Bond Fund was not included in the most recent annual review as the Fund’s initial board-approved investment advisory agreement is effective until November 30, 2018.

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

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

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

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

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

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The Board noted that, through December 31, 2016, each Fund’s one- and three-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):


	One-Year		Three-Year
Loomis Sayles Fixed Income Fund		23%		69%
Loomis Sayles Global Bond Fund		57%		71%
Loomis Sayles Inflation Protected Securities Fund		52%		66%
Loomis Sayles Institutional High Income Fund		3%		44%
Loomis Sayles Investment Grade Fixed Income Fund		4%		90%

In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not necessarily all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included one or more of the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s long-term performance, although lagging in certain periods, was strong when compared to relevant performance benchmarks and/or peer groups.

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

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

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

Economies of Scale. The Trustees considered the existence of any economies of scale in the provision of services by the Adviser and whether those economies are shared with the Funds through breakpoints in their investment advisory fees or other means, such as expense waivers or caps. The Trustees also discussed with management the factors considered with respect to the implementation of breakpoints in investment advisory fees or expense waivers or caps for certain funds. Management explained that a number of factors are taken into account in

17 |

considering the possible implementation of breakpoints or an expense cap for a fund, including, among other things, factors such as a fund’s assets, the projected growth of a fund, projected profitability and a fund’s fees and performance. With respect to economies of scale, the Trustees noted that each of the Funds was subject to an expense cap or waiver. The Trustees considered management’s proposal to reduce the expense cap and advisory fee of Loomis Sayles Global Bond Fund. In considering these issues, the Trustees also took note of the costs of the services provided (both on an absolute and on a relative basis) and the profitability to the Adviser and its affiliates of their relationships with the Funds, as discussed above.

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

•

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

•

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

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Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 105.9% of Net Assets

	Non-Convertible Bonds – 105.2%

		ABS Car Loan – 6.8%
$	3,368	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class A2B, 1-month LIBOR + 0.750%, 1.982%, 6/10/2019(a)(b)	$	3,368
	43,843	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class A2A, 1.510%, 5/18/2020(b)		43,818
	37,000	AmeriCredit Automobile Receivables Trust, Series 2017-3, Class C, 2.690%, 6/19/2023		37,034
	13,573	Capital Auto Receivables Asset Trust, Series 2016-3, Class A2A, 1.360%, 4/22/2019(b)		13,569
	4,226	CarFinance Capital Auto Trust, Series 2015-1A, Class A, 1.750%, 6/15/2021, 144A		4,225
	72,000	CarMax Auto Owner Trust, Series 2017-3, Class A2A, 1.640%, 9/15/2020(b)		71,991
	56,000	CarMax Auto Owner Trust, Series 2017-3, Class A3, 1.970%, 4/15/2022(b)		56,000
	20,000	CarMax Auto Owner Trust, Series 2017-3, Class A4, 2.220%, 11/15/2022		19,945
	30	CPS Auto Receivables Trust, Series 2014-D, Class A, 1.490%, 4/15/2019, 144A		30
	2,910	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		2,910
	1,558	CPS Auto Receivables Trust, Series 2015-A, Class A, 1.530%, 7/15/2019, 144A		1,558
	1,116	CPS Auto Receivables Trust, Series 2015-B, Class A, 1.650%, 11/15/2019, 144A		1,116
	13,116	CPS Auto Receivables Trust, Series 2016-C, Class A, 1.620%, 1/15/2020, 144A		13,108
	56,620	CPS Auto Trust, Series 2016-D, Class A, 1.500%, 6/15/2020, 144A(b)		56,514
	49,000	Drive Auto Receivables Trust, Series 2017-1, Class A2A, 1.670%, 5/15/2019(b)		49,013
	75,000	Drive Auto Receivables Trust, Series 2017-2, Class A2A, 1.630%, 8/15/2019(b)		75,011
	56,000	Drive Auto Receivables Trust, Series 2017-2, Class B, 2.250%, 6/15/2021(b)		56,038
	30,439	Drive Auto Receivables Trust, Series 2017-AA, Class A2A, 1.480%, 3/15/2019, 144A(b)		30,439
	55,330	Drive Auto Receivables Trust, Series 2017-BA, Class A2, 1.590%, 12/17/2018, 144A(b)		55,330
	27,000	Drive Auto Receivables Trust, Series 2017-BA, Class B, 2.200%, 5/15/2020, 144A		27,056
	20,073	DT Auto Owner Trust, Series 2016-4A, Class A, 1.440%, 11/15/2019, 144A(b)		20,065
	56,842	DT Auto Owner Trust, Series 2017-2A, Class A, 1.720%, 5/15/2020, 144A(b)		56,847
	96,306	DT Auto Owner Trust, Series 2017-3A, Class A, 1.730%, 8/17/2020, 144A		96,281
	85,000	Exeter Automobile Receivables Trust, Series 2017-3A, Class A, 2.050%, 12/15/2021, 144A		84,935
	1,934	Flagship Credit Auto Trust, Series 2016-2, Class A1, 2.280%, 5/15/2020, 144A		1,936

		ABS Car Loan – continued
	156,000	Ford Credit Auto Owner Trust, Series 2017-A, Class A4, 1.920%, 4/15/2022(b)		155,848
	91,000	Ford Credit Auto Owner Trust, Series 2017-B, Class A2A, 1.490%, 5/15/2020(b)		90,993
	100,000	Ford Credit Auto Owner Trust 2017-REV2, Series 2017-2, Class A, 2.360%, 3/15/2029, 144A(c)		99,989
	36,000	Ford Credit Floorplan Master Owner Trust, Series 2016-5, Class A1, 1.950%, 11/15/2021		36,013
	50,000	Ford Credit Floorplan Master Owner Trust, Series 2017-1, Class A1, 2.070%, 5/15/2022(b)		50,156
	49,000	GM Financial Automobile Leasing Trust, Series 2017-3, Class A3, 2.010%, 11/20/2020		48,990
	100,000	GM Financial Consumer Automobile, Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A(b)		99,902
	15,109	Santander Drive Auto Receivables Trust, Series 2015-2, Class B, 1.830%, 1/15/2020(b)		15,115
	19,285	Santander Drive Auto Receivables Trust, Series 2017-1, Class A2, 1.490%, 2/18/2020		19,275
	100,000	Toyota Auto Receivables Owner Trust, Series 2016-D, Class A3, 1.230%, 10/15/2020(b)		99,421
	89,000	Toyota Auto Receivables Owner Trust, Series 2017-A, Class A2A, 1.420%, 9/16/2019(b)		88,965
	72,000	World Omni Auto Receivables Trust, Series 2017-A, Class A3, 1.930%, 9/15/2022(b)		72,001


				1,754,805


		ABS Credit Card – 3.6%
	100,000	American Express Credit Account Master Trust, Series 2017-1, Class A, 1.930%, 9/15/2022(b)		100,136
	73,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022(b)		73,105
	108,000	Capital One Multi-Asset Execution Trust, Series 2016-A1, Class A1, 1-month LIBOR + 0.450%, 1.684%, 2/15/2022(a)(b)		108,571
	61,000	Capital One Multi-Asset Execution Trust, Series 2017-A2, Class A2, 1-month LIBOR + 0.410%, 1.637%, 1/15/2025(a)(b)		61,400
	51,000	Capital One Multi-Asset Execution Trust, Series 2017-A3, Class A3, 2.430%, 1/15/2025(b)		51,575
	108,000	Chase Issuance Trust, Series 2016-A3, Class A3, 1-month LIBOR + 0.550%, 1.784%, 6/15/2023(a)(b)		109,272
	128,000	Citibank Credit Card Issuance Trust, Series 2017-A2, Class A2, 1.740%, 1/19/2021(b)		128,123
	100,000	Citibank Credit Card Issuance Trust, Series 2017-A7, Class A7, 1-month LIBOR + 0.370%, 1.602%, 8/08/2024(a)(b)		100,360

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Credit Card – continued
$	196,000	Discover Card Execution Note Trust, Series 2017-A6, Class A6, 1.880%, 2/15/2023	$	195,581

				928,123

		ABS Home Equity – 1.9%
	41,777	Alternative Loan Trust, Series 2004-16CB, Class 1A1, 5.500%, 7/25/2034		42,578
	47,937	Alternative Loan Trust, Series 2004-16CB, Class 3A1, 5.500%, 8/25/2034(b)		49,229
	100,000	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, 3.105%, 9/28/2032, 144A(c)(e)		100,000
	54,124	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL1, Class A1, 3.598%, 1/28/2032, 144A(e)		53,984
	41,813	CAM Mortgage Trust, Series 2016-2, Class A1, 3.250%, 6/15/2057, 144A(e)		41,863
	16,807	Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR2, Class 5A1, 3.427%, 3/25/2034(e)		17,184
	86,678	GCAT LLC, Series 2017-2, Class A1, 3.500%, 4/25/2047, 144A(e)		86,161
	98,051	RCO Mortgage LLC, Series 2017-1, Class A1,3.375%, 8/25/2022, 144A(e)		98,179

				489,178

		ABS Other – 0.4%
	100,000	Verizon Owner Trust, Series 2017-2A, Class A, 1.920%, 12/20/2021, 144A(b)		99,922

		Aerospace & Defense – 0.6%
	160,000	Lockheed Martin Corp., 2.500%, 11/23/2020		162,471

		Agency Commercial Mortgage-Backed Securities – 0.4%
	54,000	FHLMC, Series K726, Class A2, 2.905%, 4/25/2024(b)		55,199
	56,429	FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A2, 3.002%, 1/25/2024(b)		58,094

				113,293

		Automotive – 2.2%
	56,000	American Honda Finance Corp., MTN, 1.950%, 7/20/2020(b)		55,905
	24,000	General Motors Co., 5.150%, 4/01/2038		24,643
	118,000	General Motors Financial Co., Inc., 3.150%, 6/30/2022(b)		118,941
	87,000	Hyundai Capital America, 3.250%, 9/20/2022, 144A		86,852
	68,000	Lear Corp., 3.800%, 9/15/2027		67,742
	34,000	Nissan Motor Acceptance Corp., 2.150%, 9/28/2020, 144A		34,015
	96,000	Nissan Motor Acceptance Corp., 2.600%, 9/28/2022, 144A		96,087
	90,000	Toyota Motor Credit Corp., MTN, 1.550%, 10/18/2019(b)		89,515

				573,700


		Banking – 6.3%
	114,000	American Express Co., 2.500%, 8/01/2022(b)		113,869
	67,000	American Express Credit Corp., MTN, 1.875%, 5/03/2019(b)		67,078
	53,000	Bank of America Corp., (fixed rate to 7/21/2027, variable rate thereafter), 3.593%, 7/21/2028		53,515
	32,000	Bank of America Corp., MTN, 3.248%, 10/21/2027(b)		31,359
	111,000	Bank of America Corp., MTN, 4.000%, 1/22/2025		114,862
	97,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A(b)		97,454
	119,000	Canadian Imperial Bank of Commerce, Series BKNT, 2.100%, 10/05/2020		118,972
	96,000	Capital One NA, 1.650%, 2/05/2018(b)		95,965
	23,000	Citigroup, Inc., 4.125%, 7/25/2028		23,666
	38,000	Citigroup, Inc., 4.400%, 6/10/2025		40,005
	7,000	Citigroup, Inc., 4.650%, 7/30/2045		7,749
	160,000	Citigroup, Inc., (fixed rate to 7/24/2022, variable rate thereafter), 2.876%, 7/24/2023(b)		160,204
	144,000	Fifth Third Bancorp, 2.600%, 6/15/2022(b)		143,907
	34,000	Goldman Sachs Group, Inc. (The), 3.625%, 1/22/2023		35,228
	21,000	Goldman Sachs Group, Inc. (The), 4.750%, 10/21/2045		23,419
	74,000	HSBC Holdings PLC, (fixed rate to 3/13/2022, variable rate thereafter), 3.262%, 3/13/2023(b)		75,530
	50,000	HSBC Holdings PLC, (fixed rate to 3/13/2027, variable rate thereafter), 4.041%, 3/13/2028(b)		52,204
	17,000	JPMorgan Chase & Co., 3.625%, 12/01/2027(b)		17,049
	25,000	JPMorgan Chase & Co., (fixed rate to 2/22/2047, variable rate thereafter), 4.260%, 2/22/2048		26,234
	40,000	JPMorgan Chase & Co., (fixed rate to 7/24/2037, variable rate thereafter), 3.882%, 7/24/2038		40,325
	50,000	Morgan Stanley, (fixed rate to 7/22/2037, variable rate thereafter), 3.971%, 7/22/2038		50,285
	56,000	Morgan Stanley, MTN, 3.125%, 7/27/2026		54,928
	80,000	Royal Bank of Canada, GMTN, 2.125%, 3/02/2020(b)		80,349
	23,000	Wells Fargo & Co., GMTN, 4.900%, 11/17/2045		25,655
	46,000	Wells Fargo & Co., MTN, 2.625%, 7/22/2022(b)		46,077
	17,000	Wells Fargo & Co., MTN, 4.750%, 12/07/2046		18,664

				1,614,552

		Building Materials – 0.2%
	40,000	Vulcan Materials Co., 4.500%, 6/15/2047		40,578

		Cable Satellite – 0.7%
	9,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035		10,527

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Cable Satellite – continued
$	20,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047, 144A	$	20,777
	114,000	Comcast Corp., 3.150%, 2/15/2028		113,579
	28,000	Cox Communications, Inc., 4.600%, 8/15/2047, 144A		27,768
	8,000	Time Warner Cable LLC, 7.300%, 7/01/2038		10,042

				182,693

		Chemicals – 0.8%
	51,000	Dow Chemical Co. (The), 8.550%, 5/15/2019		56,315
	22,000	Mexichem SAB de CV, 5.500%, 1/15/2048, 144A		21,703
	62,000	Sherwin-Williams Co. (The), 2.750%, 6/01/2022		62,417
	24,000	Sherwin-Williams Co. (The), 4.500%, 6/01/2047		25,187
	34,000	Westlake Chemical Corp., 5.000%, 8/15/2046		36,983

				202,605

		Collateralized Mortgage Obligations – 0.9%
	9,656	Federal Home Loan Mortgage Corp., REMIC, Series 3629, Class CZ, 5.000%, 1/15/2040		10,546
	67,475	Federal Home Loan Mortgage Corp., Series 4681, Class DA, 3.000%, 4/15/2045		68,543
	57,939	Federal National Mortgage Association, REMIC, Series 2017-41, Class MD, 4.000%, 5/25/2053(b)		61,118
	75,092	Federal National Mortgage Association, REMIC, Series 2017-71, Class AB, 3.000%, 8/25/2044		76,537
	10,326	Federal National Mortgage Association, REMIC, Series 2005-35, Class DZ, 5.000%, 4/25/2035		11,280

				228,024

		Construction Machinery – 0.3%
	74,000	Caterpillar Financial Services Corp., GMTN, 1.850%, 9/04/2020		73,659

		Consumer Cyclical Services – 0.4%
	35,000	Amazon.com, Inc., 2.400%, 2/22/2023, 144A		34,914
	48,000	Amazon.com, Inc., 3.875%, 8/22/2037, 144A		48,849
	20,000	Amazon.com, Inc., 4.250%, 8/22/2057, 144A		20,521

				104,284

		Diversified Manufacturing – 0.2%
	17,000	3M Co., MTN, 3.625%, 10/15/2047		16,917
	42,000	United Technologies Corp., 3.125%, 5/04/2027		41,837

				58,754


		Electric – 2.7%
	38,000	Appalachian Power Co., 4.450%, 6/01/2045		41,219
	21,000	Delmarva Power & Light Co., 4.150%, 5/15/2045		22,038
	108,000	Dominion Energy, Inc., 2.962%, 7/01/2019		109,552
	6,000	Exelon Corp., 5.625%, 6/15/2035		7,220
	27,000	FirstEnergy Transmission LLC, 5.450%, 7/15/2044, 144A		31,362
	105,000	Fortis, Inc., 144A, 3.055%, 10/04/2026(b)		101,335
	13,000	ITC Holdings Corp., 5.300%, 7/01/2043		15,270
	62,000	Jersey Central Power & Light Co., 4.700%, 4/01/2024, 144A		67,335
	30,000	Jersey Central Power & Light Co., 7.350%, 2/01/2019		31,966
	49,000	NextEra Energy Capital Holdings, Inc., 2.700%, 9/15/2019		49,585
	20,000	Progress Energy, Inc., 7.050%, 3/15/2019		21,437
	55,000	Progress Energy, Inc., 7.750%, 3/01/2031(b)		77,815
	50,000	Southern Co. (The), 2.350%, 7/01/2021		49,722
	26,000	Virginia Electric & Power Co., Series C, 4.000%, 11/15/2046		26,742
	52,000	WEC Energy Group, Inc., 1.650%, 6/15/2018		51,994

				704,592

		Finance Companies – 0.7%
	129,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 4.500%, 5/15/2021		136,486
	27,000	GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		29,360

				165,846

		Food & Beverage – 0.6%
	50,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046		56,478
	37,000	Kraft Heinz Foods Co., 2.000%, 7/02/2018		37,076
	60,000	Mondelez International Holdings Netherlands BV, 1.625%, 10/28/2019, 144A		59,541

				153,095

		Government Owned – No Guarantee – 1.4%
	20,000	DP World Ltd., 6.850%, 7/02/2037, 144A		24,685
	87,000	Federal Home Loan Mortgage Corp., 2.375%, 1/13/2022(b)		88,544
	33,000	Federal Home Loan Mortgage Corp., 6.250%, 7/15/2032(b)		46,399
	47,000	Federal National Mortgage Association, 2.625%, 9/06/2024(b)		48,080
	105,000	Petroleos Mexicanos, 5.500%, 1/21/2021		112,035
	22,000	Petroleos Mexicanos, 5.625%, 1/23/2046		20,460
	17,000	Petroleos Mexicanos, 6.500%, 3/13/2027, 144A		18,840

				359,043

		Healthcare – 0.9%
	74,000	Abbott Laboratories, 2.900%, 11/30/2021		75,357
	27,000	Abbott Laboratories, 4.900%, 11/30/2046		30,157
	43,000	Becton, Dickinson and Co., 3.363%, 6/06/2024		43,401
	5,000	Becton, Dickinson and Co., 4.669%, 6/06/2047		5,246

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Healthcare – continued
$	23,000	Cleveland Clinic Foundation (The), 4.858%, 1/01/2114(b)	$	25,042
	25,000	New York and Presbyterian Hospital (The), 4.763%, 8/01/2116(b)		25,795
	27,000	Northwell Healthcare, Inc., 4.260%, 11/01/2047		27,198

				232,196

		Independent Energy – 1.4%
	100,000	Anadarko Petroleum Corp., 6.950%, 6/15/2019		107,758
	48,000	Canadian Natural Resources Ltd., 2.950%, 1/15/2023		47,719
	26,000	Canadian Natural Resources Ltd., 5.900%, 2/01/2018		26,373
	28,000	Canadian Natural Resources Ltd., GMTN, 4.950%, 6/01/2047		29,358
	95,000	EQT Corp., 3.000%, 10/01/2022		95,221
	30,000	EQT Corp., 3.900%, 10/01/2027		30,005
	34,000	Noble Energy, Inc., 4.950%, 8/15/2047		34,661

				371,095

		Industrial Other – 0.1%
	28,000	Wesleyan University, 4.781%, 7/01/2116(b)		29,078

		Integrated Energy – 0.6%
	76,000	BP Capital Markets PLC, 2.520%, 9/19/2022		76,074
	71,000	BP Capital Markets PLC, 3.279%, 9/19/2027		70,931
	8,000	Cenovus Energy, Inc., 6.750%, 11/15/2039		9,210

				156,215

		Life Insurance – 0.7%
	12,000	AIA Group Ltd., 2.250%, 3/11/2019, 144A		11,980
	15,000	American International Group, Inc., 4.500%, 7/16/2044		15,654
	17,000	Brighthouse Financial, Inc., 4.700%, 6/22/2047, 144A		16,607
	87,000	New York Life Global Funding, 1.950%, 9/28/2020, 144A		86,840
	37,000	Pricoa Global Funding I, 1.900%, 9/21/2018, 144A(b)		37,073

				168,154

		Media Entertainment – 0.2%
	37,000	CBS Corp., 3.375%, 2/15/2028		35,927
	8,000	Viacom, Inc., 4.375%, 3/15/2043		6,892

				42,819

		Metals & Mining – 0.7%
	32,000	Anglo American Capital PLC, 3.625%, 9/11/2024, 144A		31,920
	100,000	Anglo American Capital PLC, 4.125%, 4/15/2021, 144A		103,835
	14,000	Vale Overseas Ltd., 4.375%, 1/11/2022		14,588
	8,000	Vale Overseas Ltd., 5.875%, 6/10/2021		8,796
	28,000	Vale Overseas Ltd., 6.875%, 11/21/2036		32,060

				191,199


		Midstream – 1.7%
	23,000	Dominion Energy Gas Holdings LLC, 2.500%, 12/15/2019		23,191
	76,000	Enbridge, Inc., 2.900%, 7/15/2022		76,445
	51,000	Enbridge, Inc., 3.700%, 7/15/2027		51,707
	13,000	Enbridge, Inc., 4.000%, 10/01/2023		13,673
	8,000	Enbridge, Inc., 5.500%, 12/01/2046		9,190
	33,000	Energy Transfer LP, 6.625%, 10/15/2036		37,539
	37,000	EnLink Midstream Partners LP, 2.700%, 4/01/2019		37,106
	37,000	Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024		38,353
	21,000	ONEOK Partners LP, 6.850%, 10/15/2037		25,837
	47,000	Plains All American Pipeline LP/PAA Finance Corp., 4.500%, 12/15/2026		47,701
	6,000	Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045		5,578
	12,000	Sunoco Logistics Partners Operations LP, 5.400%, 10/01/2047		12,206
	40,000	Williams Partners LP, 6.300%, 4/15/2040		47,906

				426,432

		Mortgage Related – 27.7%
	290,000	Federal Home Loan Mortgage Corp. (TBA), 4.000%, 10/01/2047(f)		305,338
	220,524	Federal National Mortgage Association, 3.500%, with various maturities from 2046 to 2047(d)		228,188
	39,238	Federal National Mortgage Association, 4.000%, 7/01/2047		41,684
	377,461	FHLMC, 3.000%, with various maturities from 2042 to 2047(d)		379,309
	22,294	FHLMC, 4.000%, with various maturities from 2024 to 2026(d)		23,364
	43,920	FHLMC, 4.500%, 8/01/2043(b)		47,710
	85,000	FHLMC (TBA), 3.000%, 10/01/2047(f)		85,309
	375,000	FHLMC (TBA), 3.500%, 10/01/2047(f)		386,763
	115,875	FNMA, 3.000%, with various maturities from 2045 to 2047(b)(d)		116,689
	901,886	FNMA, 3.500%, with various maturities from 2037 to 2047(d)		934,819
	576,285	FNMA, 4.000%, with various maturities from 2027 to 2047(b)(d)		611,132
	88,963	FNMA, 4.500%, with various maturities from 2040 to 2047(b)(d)		95,790
	27,135	FNMA, 5.000%, with various maturities from 2033 to 2038(d)		29,900
	102,100	FNMA, 5.500%, with various maturities from 2034 to 2041(d)		114,502
	230,000	FNMA (TBA), 2.500%, 10/01/2032(f)		231,563
	715,000	FNMA (TBA), 3.000%, with various maturities from 2032 to 2047(d)(f)		720,737
	100,000	FNMA (TBA), 3.500%, 10/01/2047(f)		103,090
	645,000	FNMA (TBA), 4.000%, 10/01/2047(f)		679,114
	465,000	FNMA (TBA), 4.500%, 10/01/2047(f)		499,148
	410,000	GNMA (TBA), 3.000%, 10/01/2047(f)		415,702
	570,000	GNMA (TBA), 3.500%, 10/01/2047(f)		592,444
	345,000	GNMA (TBA), 4.000%, 10/01/2047(f)		363,315
	100,000	GNMA (TBA), 4.500%, 10/01/2047(f)		106,594

				7,112,204

		Natural Gas – 0.3%
	19,000	NiSource Finance Corp., 5.250%, 2/15/2043		22,110

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Natural Gas – continued
$	42,000	Sempra Energy, 9.800%, 2/15/2019	$	46,305

				68,415

		Non-Agency Commercial Mortgage-Backed Securities – 2.0%
	43,000	Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/2030, 144A(b)		43,857
	18,000	Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class A4, 4.131%, 11/10/2046		19,342
	25,278	Commercial Mortgage Pass Through Certificates, Series 2013-CR9, Class A4, 4.231%, 7/10/2045(e)		27,428
	4,162	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(e)		4,362
	10,000	Commercial Mortgage Trust, Series 2013-CR7, Class A4, 3.213%, 3/10/2046		10,273
	24,000	Commercial Mortgage Trust, Series 2013-LC6, Class A4, 2.941%, 1/10/2046		24,341
	40,000	Commercial Mortgage Trust, Series 2013-CR11, Class A3, 3.983%, 8/10/2050(b)		42,692
	22,000	CSAIL Commercial Mortgage Trust, Series 2016-C7, Class A5, 3.502%, 11/15/2049		22,594
	1,000	GS Mortgage Securities Corp. II, Series 2013-GC16, Class A4, 4.271%, 11/10/2046		1,085
	56,000	GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Class A, 2.933%, 6/05/2031, 144A(b)		56,779
	8,000	GS Mortgage Securities Trust, Series 2013-GC12, Class A4, 3.135%, 6/10/2046		8,182
	31,000	GS Mortgage Securities Trust, Series 2017-GS7, Class A4, 3.430%, 8/10/2050		31,644
	13,000	JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class A5, 3.576%, 3/15/2049		13,485
	15,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A5, 3.723%, 3/15/2050		15,752
	14,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.082%, 7/15/2046(e)		15,052
	12,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class A4, 4.259%, 10/15/2046(e)		12,895
	18,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A4, 3.787%, 2/15/2047		18,957
	7,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A5, 4.064%, 2/15/2047		7,456

		Non-Agency Commercial Mortgage-Backed Securities – continued
	28,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4, 3.249%, 2/15/2048		28,397
	40,000	Morgan Stanley Capital I Trust, Series 2014-CPT, Class A, 3.350%, 7/13/2029, 144A(b)		41,299
	4,000	Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class A4, 3.617%, 9/15/2057		4,157
	18,000	Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class A4, 3.789%, 9/15/2048		18,914
	20,000	Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class A4, 3.640%, 12/15/2059		20,802
	22,000	WFRBS Commercial Mortgage Trust, Series 2013-C14, Class A4, 3.073%, 6/15/2046		22,480
	2,077	WFRBS Commercial Mortgage Trust, Series 2013-C14, Class A5, 3.337%, 6/15/2046		2,149

				514,374

		Pharmaceuticals – 2.6%
	125,000	AbbVie, Inc., 2.900%, 11/06/2022		126,764
	132,000	Allergan Funding SCS, 3.450%, 3/15/2022(b)		136,873
	77,000	Amgen, Inc., 2.200%, 5/11/2020(b)		77,240
	111,000	Amgen, Inc., 2.650%, 5/11/2022(b)		111,906
	47,000	Gilead Sciences, Inc., 2.950%, 3/01/2027		46,592
	7,000	Gilead Sciences, Inc., 4.000%, 9/01/2036		7,210
	17,000	Gilead Sciences, Inc., 4.750%, 3/01/2046		19,036
	122,000	Teva Pharmaceutical Finance Netherlands III BV, 1.400%, 7/20/2018		121,544
	8,000	Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026		7,374

				654,539

		Property & Casualty Insurance – 0.0%
	5,000	Travelers Cos., Inc. (The), 4.000%, 5/30/2047		5,180

		Railroads – 0.3%
	4,000	CSX Corp., 6.150%, 5/01/2037		5,119
	80,000	Union Pacific Corp., 3.600%, 9/15/2037		80,955

				86,074

		Refining – 0.3%
	35,000	Marathon Petroleum Corp., 4.750%, 9/15/2044		34,818
	34,000	Valero Energy Corp., 6.625%, 6/15/2037		42,899

				77,717

		REITs – Diversified – 0.3%
	75,000	Digital Realty Trust LP, 2.750%, 2/01/2023		74,669

		Retailers – 0.9%
	152,000	Alimentation Couche-Tard, Inc., 2.700%, 7/26/2022, 144A(b)		152,492
	39,068	CVS Pass Through Trust, Series 2014, 4.163%, 8/11/2036, 144A		39,744

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Retailers – continued
$	44,000	Lowe’s Cos., Inc., 4.050%, 5/03/2047	$	45,192

				237,428

		Sovereigns – 0.4%
	47,000	Kingdom of Saudi Arabia, 2.875%, 3/04/2023, 144A		46,882
	31,000	Mexico Government International Bond, 4.350%, 1/15/2047		30,148
	19,000	Republic of Uruguay, 5.100%, 6/18/2050		20,045

				97,075

		Technology – 1.5%
	12,000	Apple, Inc., 3.750%, 9/12/2047		11,838
	43,000	Apple, Inc., 3.850%, 8/04/2046		43,466
	27,000	Apple, Inc., 4.650%, 2/23/2046		30,591
	31,000	Cisco Systems, Inc., 5.500%, 1/15/2040		38,759
	8,000	Dell International LLC/EMC Corp., 8.100%, 7/15/2036, 144A		10,012
	100,000	IBM Credit LLC, 1.800%, 1/20/2021		99,368
	27,000	QUALCOMM, Inc., 4.300%, 5/20/2047(b)		27,595
	117,000	VMware, Inc., 2.950%, 8/21/2022		117,699

				379,328

		Tobacco – 0.9%
	76,000	BAT Capital Corp., 2.764%, 8/15/2022, 144A		76,427
	28,000	BAT Capital Corp., 4.390%, 8/15/2037, 144A		28,734
	12,000	BAT Capital Corp., 4.540%, 8/15/2047, 144A		12,347
	116,000	Reynolds American, Inc., 2.300%, 6/12/2018(b)		116,510

				234,018

		Transportation Services – 0.1%
	33,000	TTX Co., 2.250%, 2/01/2019, 144A		33,064

		Treasuries – 29.1%
	321,000	U.S. Treasury Bond, 2.250%, 8/15/2027		318,818
	15,000	U.S. Treasury Bond, 2.500%, 5/15/2046		13,938
	122,000	U.S. Treasury Bond, 2.875%, 11/15/2046(b)		122,434
	262,000	U.S. Treasury Bond, 3.000%, 2/15/2047(b)		269,502
	543,000	U.S. Treasury Bond, 3.000%, 5/15/2047(b)		558,739
	350,000	U.S. Treasury Bond, 4.750%, 2/15/2037(b)		464,789
	82,000	U.S. Treasury Bond, 5.000%, 5/15/2037(b)		112,077
	663,000	U.S. Treasury Note, 1.250%, 5/31/2019(b)		660,928
	431,000	U.S. Treasury Note, 1.250%, 6/30/2019(b)		429,485
	418,000	U.S. Treasury Note, 1.250%, 8/31/2019		416,220
	586,000	U.S. Treasury Note, 1.375%, 7/31/2019(b)		585,062
	165,000	U.S. Treasury Note, 1.375%, 9/30/2019		164,658
	75,000	U.S. Treasury Note, 1.375%, 9/15/2020		74,481
	171,000	U.S. Treasury Note, 1.500%, 7/15/2020(b)		170,532
	61,000	U.S. Treasury Note, 1.500%, 8/15/2020		60,819
	298,000	U.S. Treasury Note, 1.625%, 8/31/2022		293,903
	559,000	U.S. Treasury Note, 1.750%, 11/30/2021(b)		557,100
	125,000	U.S. Treasury Note, 1.750%, 5/31/2022(b)		124,185
	95,000	U.S. Treasury Note, 1.750%, 6/30/2022(b)		94,306
	194,000	U.S. Treasury Note, 1.875%, 3/31/2022(b)		193,939
	284,000	U.S. Treasury Note, 1.875%, 4/30/2022(b)		283,745
	202,000	U.S. Treasury Note, 1.875%, 7/31/2022(b)		201,558

		Treasuries – continued
	100,000	U.S. Treasury Note, 1.875%, 9/30/2022		99,758
	106,000	U.S. Treasury Note, 1.875%, 8/31/2024		104,112
	385,000	U.S. Treasury Note, 2.000%, 4/30/2024(b)		382,022
	33,000	U.S. Treasury Note, 2.000%, 5/31/2024		32,724
	102,000	U.S. Treasury Note, 2.000%, 6/30/2024(b)		101,084
	200,000	U.S. Treasury Note, 2.000%, 11/15/2026(b)		194,898
	185,000	U.S. Treasury Note, 2.125%, 7/31/2024(b)		184,733
	216,000	U.S. Treasury Note, 2.375%, 5/15/2027(b)		216,894

				7,487,443

		Wireless – 0.2%
	41,000	Crown Castle International Corp., 3.200%, 9/01/2024		40,805

		Wirelines – 1.2%
	75,000	AT&T, Inc., 3.400%, 5/15/2025		73,980
	26,000	AT&T, Inc., 3.900%, 8/14/2027		26,051
	35,000	AT&T, Inc., 4.900%, 8/14/2037		35,373
	9,000	AT&T, Inc., 5.150%, 3/15/2042		9,096
	61,000	AT&T, Inc., 5.250%, 3/01/2037		64,195
	61,000	Verizon Communications, Inc., 4.272%, 1/15/2036		59,927
	28,000	Verizon Communications, Inc., 5.150%, 9/15/2023		31,387
	15,000	Verizon Communications, Inc., 5.250%, 3/16/2037		16,449

				316,458


		Total Non-Convertible Bonds
		(Identified Cost $26,941,683)		27,045,196


	Municipals – 0.7%

		California – 0.3%
	60,000	State of California, Build America Bonds, GO, 7.300%, 10/01/2039(b)		88,199

		Illinois – 0.2%
	60,000	State of Illinois, 5.100%, 6/01/2033		60,678

		New Jersey – 0.2%
	35,000	New Jersey Transportation Trust Fund Authority, Build America Bonds, Revenue, Series C, 5.754%, 12/15/2028(b)		39,324


		Total Municipals
		(Identified Cost $182,914)		188,201


		Total Bonds and Notes
		(Identified Cost $27,124,597)		27,233,397


	Short-Term Investments – 13.1%
	129,000	Bank of Tokyo-Mitsubishi UFJ (NY), Bank of America N.A. 1.000%, 10/05/2017(g)		128,984
	647,000	Federal Home Loan Bank Discount Notes, 0.999%, 10/12/2017(g)		646,822
	387,000	Federal Home Loan Bank Discount Notes, 1.000%, 10/02/2017(g)		387,000

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Core Disciplined Alpha Bond Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – continued
$	2,188,511	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $2,188,574 on 10/02/2017 collateralized by $2,220,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $2,236,011 including accrued interest (Note 2 of Notes to Financial Statements)	$	2,188,511


		Total Short-Term Investments
		(Identified Cost $3,351,287)		3,351,317


		Total Investments – 119.0%
		(Identified Cost $30,475,884)		30,584,714
		Other assets less liabilities—(19.0)%		(4,876,078	)


		Net Assets – 100.0%	$	25,708,636



	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open TBA transactions.
	(c)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(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)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(f)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(g)	Interest rate represents discount rate at time of purchase; not a coupon rate.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $2,652,945 or 10.3% 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
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit
	TBA	To Be Announced

Industry Summary at September 30, 2017


Treasuries	29.1	%
Mortgage Related	27.7
ABS Car Loan	6.8
Banking	6.3
ABS Credit Card	3.6
Electric	2.7
Pharmaceuticals	2.6
Automotive	2.2
Non-Agency Commercial Mortgage-Backed Securities	2.0
Other Investments, less than 2% each	22.9
Short-Term Investments	13.1

Total Investments	119.0
Other assets less liabilities	(19.0	)

Net Assets	100.0	%

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 75.0% of Net Assets

	Non-Convertible Bonds – 69.1%

		ABS Other – 0.2%
$	1,102,306	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(c)	$	760,591
	436,078	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(c)		125,678
	1,855,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(a)(b)(c)(d)		—
	836,615	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(e)		806,624

				1,692,893

		Aerospace & Defense – 2.3%
	7,865,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		7,609,387
	175,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		166,289
	1,265,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		1,369,995
	600,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A		637,500
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,147,000
	1,700,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,078,250
	245,000	Textron, Inc., 5.600%, 12/01/2017		246,493
	6,855,000	Textron, Inc., 5.950%, 9/21/2021		7,643,345
	1,290,000	Textron, Inc., 7.250%, 10/01/2019		1,417,433
	1,468,000	TransDigm, Inc., 6.500%, 7/15/2024		1,515,710

				24,831,402

		Airlines – 2.5%
	573,922	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		604,914
	2,130,000	American Airlines Group, Inc., 5.500%, 10/01/2019, 144A		2,231,175
	313,630	American Airlines Pass Through Certificates, Series 2013-1, Class B, 5.625%, 7/15/2022, 144A		329,393
	10,235,162	American Airlines Pass Through Certificates, Series 2016-1, Class B, 5.250%, 7/15/2025		10,902,597
	2,175,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		2,275,485
	961,250	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		1,002,209
	8,020	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		8,208
	163,512	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		172,505

		Airlines – continued
	173,513	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		181,852
	1,745,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		1,782,081
	662,972	UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024		722,640
	1,500,278	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		1,586,904
	1,089,558	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		1,281,102
	758,065	US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026		856,614
	387,109	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		420,013
	1,830,896	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026		1,959,059
	204,880	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		212,539
	262,265	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		270,062

				26,799,352

		Automotive – 3.5%
	690,000	Ford Motor Co., 4.346%, 12/08/2026		717,308
	2,835,000	Ford Motor Co., 5.291%, 12/08/2046		2,958,050
	1,550,000	Ford Motor Co., 6.375%, 2/01/2029		1,815,082
	1,030,000	Ford Motor Co., 6.500%, 8/01/2018		1,069,153
	165,000	Ford Motor Co., 6.625%, 2/15/2028		195,652
	4,230,000	Ford Motor Co., 6.625%, 10/01/2028		5,047,043
	4,955,000	Ford Motor Co., 7.450%, 7/16/2031		6,417,210
	1,645,000	Ford Motor Co., 7.500%, 8/01/2026		2,020,315
	600,000	Ford Motor Credit Co. LLC, 5.000%, 5/15/2018		611,933
	9,685,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		10,073,738
	1,325,000	General Motors Co., 5.200%, 4/01/2045		1,333,851
	2,175,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		2,305,775
	2,865,000	General Motors Financial Co., Inc., 5.250%, 3/01/2026		3,110,119
	375,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		419,063
	515,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		521,438

				38,615,730

		Banking – 10.3%
	6,735,000	Ally Financial, Inc., 5.125%, 9/30/2024		7,294,005

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
$	1,146,000	Ally Financial, Inc., 8.000%, 11/01/2031	$	1,478,225
	1,900,000	Bank of America Corp., 5.490%, 3/15/2019		1,985,306
	1,060,000	Bank of America Corp., 5.650%, 5/01/2018		1,084,203
	4,570,000	Bank of America Corp., 6.110%, 1/29/2037		5,714,049
	50,000	Bank of America Corp., EMTN, 3-month EURIBOR + 0.550%, 0.220%, 9/14/2018, (EUR)(f)		59,169
	1,000,000	Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR)		1,233,975
	1,700,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		1,762,009
	2,247,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		2,452,167
	14,790,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		11,945,081
	1,300,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(g)		1,746,710
	1,000,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(g)		1,173,750
	3,340,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		2,513,054
	6,560,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		5,419,709
	1,955,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		2,100,197
	6,100,000	HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A		6,281,408
	3,605,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		2,641,964
	8,450,000	Lloyds Banking Group PLC, 5.300%, 12/01/2045		9,890,572
	300,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		350,748
	5,125,000	Morgan Stanley, 2.125%, 4/25/2018		5,139,557
	1,360,000	Morgan Stanley, 2.500%, 1/24/2019		1,371,363
	2,120,000	Morgan Stanley, 3.950%, 4/23/2027		2,156,633
	300,000	Morgan Stanley, 4.350%, 9/08/2026		314,072
	2,780,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		2,232,755
	3,115,000	Morgan Stanley, 5.750%, 1/25/2021		3,439,475
	13,040,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		13,635,001
	3,950,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		3,224,169
	185,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(g)		221,496
	2,500,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(g)		2,995,645
	1,920,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		2,123,365
	2,300,000	Royal Bank of Scotland Group PLC, (fixed rate to 12/31/2017, variable rate thereafter), 3.655%(g)		2,202,250

		Banking – continued
	650,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		795,223
	5,000,000	Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A		5,446,824

				112,424,129

		Brokerage – 1.5%
	349,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		350,745
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A		200,500
	2,890,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		2,991,150
	1,245,000	Jefferies Group LLC, 5.125%, 4/13/2018		1,266,852
	3,225,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,522,602
	3,055,000	Jefferies Group LLC, 6.250%, 1/15/2036		3,390,237
	1,805,000	Jefferies Group LLC, 6.450%, 6/08/2027		2,089,975
	2,530,000	Jefferies Group LLC, 6.875%, 4/15/2021		2,859,076

				16,671,137

		Building Materials – 0.5%
	3,095,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		3,138,949
	213,000	Masco Corp., 6.500%, 8/15/2032		254,001
	182,000	Masco Corp., 7.125%, 3/15/2020		202,020
	380,000	Masco Corp., 7.750%, 8/01/2029		500,382
	1,188,000	Owens Corning, 7.000%, 12/01/2036		1,536,760

				5,632,112

		Cable Satellite – 0.6%
	665,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		690,769
	3,035,000	DISH DBS Corp., 5.000%, 3/15/2023		3,101,390
	375,000	Time Warner Cable LLC, 4.500%, 9/15/2042		355,405
	1,500,000	Time Warner Cable LLC, 6.550%, 5/01/2037		1,761,824
	800,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		841,000

				6,750,388

		Chemicals – 1.8%
	220,000	Chemours Co. (The), 6.625%, 5/15/2023		234,025
	3,760,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		3,825,800
	5,240,000	Hexion, Inc., 7.875%, 2/15/2023(a)(b)(c)		2,672,400
	905,000	Hexion, Inc., 9.200%, 3/15/2021(a)(b)(c)		488,700
	7,395,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		4,889,943
	6,830,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		7,034,900
	620,000	Methanex Corp., 5.250%, 3/01/2022		653,220

				19,798,988

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Construction Machinery – 0.2%
$	965,000	Toro Co. (The), 6.625%, 5/01/2037(b)(e)	$	1,106,183
	395,000	United Rentals North America, Inc., 4.875%, 1/15/2028		396,975
	196,000	United Rentals North America, Inc., 7.625%, 4/15/2022		203,997

				1,707,155

		Consumer Products – 0.1%
	880,000	Avon Products, Inc., 8.950%, 3/15/2043		739,200

		Diversified Manufacturing – 0.0%
	45,000	General Electric Co., GMTN, 3.100%, 1/09/2023		46,937

		Electric – 2.9%
	2,385,000	AES Corp. (The), 4.875%, 5/15/2023		2,456,550
	180,000	AES Corp. (The), 5.500%, 4/15/2025		189,329
	2,073,748	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		2,336,746
	2,882,891	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(e)		1,239,009
	1,175,000	Dynegy, Inc., 8.125%, 1/30/2026, 144A		1,210,250
	4,120,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		4,272,934
	7,305,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		7,664,625
	1,200,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		2,168,230
	1,589,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		2,032,901
	3,800,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		4,683,923
	100,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		131,869
	750,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,362,204
	1,597,877	Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b)(e)		1,683,093

				31,431,663

		Finance Companies – 4.2%
	1,800,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.500%, 5/26/2022		1,843,146
	1,200,000	AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.950%, 2/01/2022		1,249,045
	300,000	AGFC Capital Trust I, 3-month LIBOR + 1.750%, 3.054%, 1/15/2067, 144A(f)		158,250
	1,680,000	International Lease Finance Corp., 4.625%, 4/15/2021		1,785,024
	4,695,000	International Lease Finance Corp., 6.250%, 5/15/2019		4,990,248
	4,905,000	International Lease Finance Corp., 7.125%, 9/01/2018, 144A		5,135,759
	945,000	iStar, Inc., 4.875%, 7/01/2018		956,907

		Finance Companies – continued
	3,903,000	Navient Corp., 5.875%, 10/25/2024		3,961,545
	31,725(††)	Navient Corp., 6.000%, 12/15/2043		760,422
	5,900,000	Navient Corp., MTN, 6.125%, 3/25/2024		6,082,900
	4,668,000	Navient LLC, 5.500%, 1/25/2023		4,726,350
	726,000	Navient LLC, MTN, 5.500%, 1/15/2019		750,234
	5,185,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(e)		4,476,210
	2,302,000	Navient LLC, Series A, MTN, 8.450%, 6/15/2018		2,398,684
	1,950,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		2,047,500
	1,105,000	Springleaf Finance Corp., 5.250%, 12/15/2019		1,150,305
	3,770,000	Springleaf Finance Corp., 6.000%, 6/01/2020		3,977,350

				46,449,879

		Food & Beverage – 0.2%
	2,445,000	Constellation Brands, Inc., 4.750%, 11/15/2024		2,680,191

		Government Owned – No Guarantee – 0.4%
	1,715,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		2,032,829
	1,605,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,586,542
	965,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		861,263

				4,480,634

		Healthcare – 2.7%
	135,000	CHS/Community Health Systems, Inc., 5.125%, 8/01/2021		133,312
	2,995,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		2,351,075
	610,000	HCA, Inc., 5.875%, 3/15/2022		675,575
	4,960,000	HCA, Inc., 5.875%, 5/01/2023		5,394,000
	2,932,000	HCA, Inc., 7.050%, 12/01/2027		3,305,830
	1,475,000	HCA, Inc., 7.500%, 12/15/2023		1,718,375
	1,440,000	HCA, Inc., 7.500%, 11/06/2033		1,634,400
	900,000	HCA, Inc., 7.690%, 6/15/2025		1,046,250
	2,220,000	HCA, Inc., 8.360%, 4/15/2024		2,664,000
	2,930,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,384,150
	430,000	HCA, Inc., MTN, 7.750%, 7/15/2036		489,125
	155,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		144,522
	1,425,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,444,594
	2,245,000	Tenet Healthcare Corp., 4.500%, 4/01/2021		2,289,226
	1,285,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		1,233,600
	1,775,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		1,553,125
	465,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		492,319

				29,953,478

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Home Construction – 0.8%
$	550,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023	$	572,000
	270,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(e)		242,682
	835,000	KB Home, 8.000%, 3/15/2020		939,191
	3,920,000	PulteGroup, Inc., 6.000%, 2/15/2035		4,086,600
	3,020,000	PulteGroup, Inc., 6.375%, 5/15/2033		3,276,700
	15,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024		16,050

				9,133,223

		Independent Energy – 2.7%
	2,920,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		3,131,700
	644,000	California Resources Corp., 5.500%, 9/15/2021		342,930
	86,000	California Resources Corp., 6.000%, 11/15/2024		39,130
	3,105,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		2,887,650
	335,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		309,038
	1,135,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		1,143,512
	720,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		741,600
	995,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,024,850
	2,645,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		2,618,550
	1,880,000	Continental Resources, Inc., 3.800%, 6/01/2024		1,814,200
	650,000	Continental Resources, Inc., 4.500%, 4/15/2023		651,625
	40,000	Continental Resources, Inc., 5.000%, 9/15/2022		40,650
	660,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		683,100
	5,955,000	Newfield Exploration Co., 5.625%, 7/01/2024		6,386,737
	345,000	QEP Resources, Inc., 5.250%, 5/01/2023		335,513
	285,000	Rice Energy, Inc., 6.250%, 5/01/2022		297,825
	385,000	RSP Permian, Inc., 6.625%, 10/01/2022		403,769
	315,000	SM Energy Co., 5.000%, 1/15/2024		296,888
	1,510,000	SM Energy Co., 5.625%, 6/01/2025		1,434,500
	1,641,000	SM Energy Co., 6.125%, 11/15/2022		1,645,102
	15,000	SM Energy Co., 6.500%, 11/15/2021		15,150
	665,000	SM Energy Co., 6.500%, 1/01/2023		669,987
	875,000	SM Energy Co., 6.750%, 9/15/2026		875,000
	1,100,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		1,080,750
	155,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		152,367

				29,022,123


		Industrial Other – 0.1%
	1,150,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		1,178,750

		Life Insurance – 1.5%
	160,000	American International Group, Inc., 4.125%, 2/15/2024		169,910
	130,000	American International Group, Inc., 4.875%, 6/01/2022		142,797
	3,700,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)(e)(g)		4,236,500
	200,000	AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR)(b)(e)		264,301
	4,345,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(e)		4,964,179
	1,115,000	MetLife, Inc., 10.750%, 8/01/2069		1,864,837
	2,270,000	MetLife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		3,370,950
	1,165,000	Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A		1,410,066

				16,423,540

		Local Authorities – 2.2%
	830,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		665,313
	9,640,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		7,669,489
	19,825,000	Province of Ontario Canada, 4.200%, 3/08/2018, (CAD)		16,089,431

				24,424,233

		Media Entertainment – 0.7%
	24,000,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		1,038,684
	3,805,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		2,682,525
	500,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022		516,875
	1,250,000	Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025		1,309,375
	1,475,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		1,377,281
	72,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		69,840
	306,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		315,180
	295,000	R.R. Donnelley & Sons Co., 7.875%, 3/15/2021		311,225

				7,620,985

		Metals & Mining – 1.6%
	2,602,232	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(a)(b)(c)(h)(i)		1,041
	6,630,000	ArcelorMittal, 7.250%, 3/01/2041		7,848,262
	3,300,000	ArcelorMittal, 7.500%, 10/15/2039		3,960,000
	2,525,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		2,584,969

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – continued
$	200,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A	$	204,500
	811,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		841,413
	1,580,000	United States Steel Corp., 6.650%, 6/01/2037		1,516,800

				16,956,985

		Midstream – 2.2%
	575,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		603,750
	250,000	El Paso Corp., GMTN, 7.800%, 8/01/2031		317,044
	2,860,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		3,684,281
	3,000,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		3,024,208
	300,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		326,014
	1,300,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		1,403,874
	3,385,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		3,148,050
	225,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		225,000
	1,500,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		1,492,500
	95,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		118,275
	115,000	ONEOK Partners LP, 6.200%, 9/15/2043		131,058
	7,195,000	Transcontinental Gas Pipe Line Co. LLC, 7.850%, 2/01/2026		9,294,123

				23,768,177

		Non-Agency Commercial Mortgage-Backed Securities – 0.1%
	173,888	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(n)		177,592
	757,525	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		605,559

				783,151

		Oil Field Services – 1.1%
	4,785,000	FTS International, Inc., 6.250%, 5/01/2022		4,385,836
	6,811,500	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		7,135,046
	400,000	Transocean, Inc., 5.800%, 10/15/2022		393,000

				11,913,882


		Packaging – 1.3%
	11,450,000	Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A		12,294,437
	1,910,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		2,101,000

				14,395,437

		Paper – 1.2%
	2,894,000	Georgia-Pacific LLC, 7.375%, 12/01/2025		3,677,497
	5,492,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		7,629,914
	350,000	WestRock MWV LLC, 7.950%, 2/15/2031		486,374
	1,035,000	WestRock MWV LLC, 8.200%, 1/15/2030		1,450,149

				13,243,934

		Property & Casualty Insurance – 0.7%
	1,630,000	MBIA Insurance Corp., 3 month LIBOR + 11.260%, 12.564%, 1/15/2033, 144A(d)(f)		782,400
	3,275,000	Old Republic International Corp., 4.875%, 10/01/2024		3,519,659
	1,430,000	XLIT Ltd., 6.250%, 5/15/2027		1,693,820
	1,135,000	XLIT Ltd., 6.375%, 11/15/2024		1,328,402

				7,324,281

		Railroads – 0.0%
	500,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(e)		481,981

		REITs – Office Property – 0.0%
	475,000	Highwoods Realty LP, 7.500%, 4/15/2018		489,081

		REITs – Single Tenant – 0.1%
	275,000	Realty Income Corp., 5.750%, 1/15/2021		301,462
	725,000	Realty Income Corp., 6.750%, 8/15/2019		786,699

				1,088,161

		Retailers – 0.8%
	1,025,000	Dillard’s, Inc., 7.750%, 7/15/2026		1,188,036
	995,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,161,662
	440,000	GameStop Corp., 5.500%, 10/01/2019, 144A		449,900
	155,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		152,288
	793,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		561,048
	506,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		540,155
	2,175,000	TRU Taj LLC/TRU Taj Finance, Inc., 11.000%, 1/22/2019, 144A(a)		2,229,375
	2,121,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		2,021,578

				8,304,042

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Sovereigns – 0.7%
$	2,265,000	Kingdom of Saudi Arabia, 2.375%, 10/26/2021, 144A	$	2,234,422
	5,040,000	Kingdom of Saudi Arabia, 3.250%, 10/26/2026, 144A		4,984,056

				7,218,478

		Supermarkets – 1.3%
	690,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025		607,200
	760,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024		709,650
	7,735,000	New Albertson’s, Inc., 7.450%, 8/01/2029		5,994,625
	2,445,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,007,394
	3,715,000	New Albertson’s, Inc., 8.000%, 5/01/2031		2,971,740
	705,000	New Albertson’s, Inc., 8.700%, 5/01/2030		581,625
	2,105,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		1,620,850

				14,493,084

		Supranational – 1.3%
	19,735,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		14,366,435

		Technology – 0.9%
	860,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		909,450
	2,095,000	Hewlett Packard Enterprise Co., 6.350%, 10/15/2045		2,220,473
	636,900	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		752,192
	5,585,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		6,118,367

				10,000,482

		Transportation Services – 0.2%
	2,500,000	APL Ltd., 8.000%, 1/15/2024(b)(e)		2,368,750

		Treasuries – 9.9%
	13,195,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		10,319,754
	10,950,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		8,765,441
	8,305,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		6,682,538
	107,395,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		908,695
	271,710,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		2,215,805
	424,300(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)		2,315,569
	200,000(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,164,020
	595,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		3,410,386

		Treasuries – continued
	847,500(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,952,453
	150,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		924,934
	1,455,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		9,460,696
	21,085,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		15,893,790
	10,220,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,413,441
	14,660,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		1,958,287
	10,150,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		3,246,115
	14,635,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		5,026,078
	20,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		19,878,906
	10,000,000	U.S. Treasury Note, 1.250%, 6/30/2019		9,964,844

				108,501,752

		Wireless – 0.8%
	72,400,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		3,781,777
	2,627,000	Sprint Capital Corp., 6.875%, 11/15/2028		2,942,240
	300,000	Sprint Capital Corp., 8.750%, 3/15/2032		383,625
	735,000	Sprint Communications, Inc., 6.000%, 11/15/2022		786,832
	285,000	Sprint Corp., 7.125%, 6/15/2024		320,625

				8,215,099

		Wirelines – 3.0%
	195,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		192,570
	690,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		735,617
	210,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		202,426
	1,535,000	CB Escrow Corp., 8.000%, 10/15/2025, 144A		1,542,675
	695,000	CenturyLink, Inc., 5.625%, 4/01/2025		665,463
	2,085,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,043,300
	900,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		865,125
	200,000	Embarq Corp., 7.995%, 6/01/2036		203,000
	3,585,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		3,683,587
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(h)		361,662
	1,700,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(h)		683,138

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	7,205,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028	$	6,884,954
	350,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		364,361
	775,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		719,781
	4,484,000	Qwest Corp., 6.875%, 9/15/2033		4,388,071
	1,220,000	Qwest Corp., 7.250%, 9/15/2025		1,349,938
	1,790,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,980,187
	1,010,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,162,762
	600,000	Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR)		822,603
	450,000	Telefonica Emisiones SAU, 4.570%, 4/27/2023		491,604
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		467,404
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,602,511
	800,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		1,332,771
	625,000	Windstream Services LLC, 7.750%, 10/15/2020		500,000

				33,245,510

		Total Non-Convertible Bonds (Identified Cost $742,299,488)		755,666,824


	Convertible Bonds – 5.2%
		Building Materials – 0.5%
	5,140,000	KB Home, 1.375%, 2/01/2019		5,393,787

		Chemicals – 0.0%
	332,000	RPM International, Inc., 2.250%, 12/15/2020		382,630

		Consumer Products – 0.0%
	270,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		267,300

		Diversified Manufacturing – 0.1%
	510,000	Trinity Industries, Inc., 3.875%, 6/01/2036		683,719

		Finance Companies – 0.3%
	2,840,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		3,841,100

		Healthcare – 0.0%
	210,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(j)		255,675

		Leisure – 0.3%
	2,800,000	Rovi Corp., 0.500%, 3/01/2020		2,833,432

		Midstream – 0.2%
	1,130,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		1,036,775

		Midstream – continued
	990,000	SM Energy Co., 1.500%, 7/01/2021		929,363

				1,966,138

		Pharmaceuticals – 0.1%
	205,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		207,691
	285,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		341,109

				548,800

		Property & Casualty Insurance – 2.1%
	550,000	Jefferies Group LLC, 3.875%, 11/01/2029		550,687
	17,245,000	Old Republic International Corp., 3.750%, 3/15/2018		22,052,044

				22,602,731

		REITs – Mortgage – 0.0%
	430,000	iStar, Inc., 3.125%, 9/15/2022, 144A		433,763

		Technology – 1.6%
	300,815	Liberty Interactive LLC, 3.500%, 1/15/2031		301,469
	110,000	Nuance Communications, Inc., 1.000%, 12/15/2035		103,170
	775,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		748,844
	9,404,000	Nuance Communications, Inc., 1.500%, 11/01/2035		9,368,735
	4,095,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		4,699,012
	2,020,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		2,110,900

				17,332,130


		Total Convertible Bonds
		(Identified Cost $49,124,929)		56,541,205


	Municipals – 0.7%

		Michigan – 0.2%
	2,095,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		2,068,728

		Virginia – 0.5%
	5,825,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		5,328,652


		Total Municipals
		(Identified Cost $7,902,119)		7,397,380


		Total Bonds and Notes
		(Identified Cost $799,326,536)		819,605,409

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – 0.1%

		Other Utility – 0.1%
$	790,000	PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.583%, 11/06/2020(f)	$	785,063


		Total Senior Loans
		(Identified Cost $786,719)		785,063


	Shares

	Common Stocks – 1.9%

		Automobiles – 0.4%
	341,305	Ford Motor Co.		4,085,421

		Diversified Telecommunication Services – 0.0%
	6,123	Hawaiian Telcom Holdco, Inc.(d)		182,588

		Electronic Equipment, Instruments & Components – 0.5%
	205,167	Corning, Inc.		6,138,597

		Media – 0.0%
	6,787	Dex Media, Inc.(a)(b)(c)(d)(m)		39,364

		Oil, Gas & Consumable Fuels – 0.1%
	54,259	Chesapeake Energy Corp.(d)		233,314
	11,107	Paragon Offshore Ltd.(a)(c)(d)		180,489
	11,107	Paragon Offshore Ltd., Litigation Units Class A(a)(c)(d)(o)		9,996
	16,661	Paragon Offshore Ltd., Litigation Units Class B(a)(c)(d)(p)		313,776

				737,575


		Pharmaceuticals – 0.9%
	160,000	Bristol-Myers Squibb Co.		10,198,400



		Total Common Stocks
		(Identified Cost $14,119,540)		21,381,945


	Preferred Stocks – 1.3%

	Convertible Preferred Stocks – 1.0%

		Banking – 0.3%
	2,844	Bank of America Corp., Series L, 7.250%		3,701,381


		Communications – 0.0%
	2,083	Cincinnati Bell, Inc., 6.750%		104,962

		Energy – 0.4%
	96,065	El Paso Energy Capital Trust I, 4.750%		4,707,185

		Midstream – 0.2%
	10,213	Chesapeake Energy Corp., 4.500%		517,901
	12,055	Chesapeake Energy Corp., 5.000%		697,683
	660	Chesapeake Energy Corp., Series A, 5.750%, 144A		377,438

				1,593,022


		REITs – Health Care – 0.1%
	7,400	Welltower, Inc., 6.500%		469,382

		REITs – Mortgage – 0.0%
	5,223	iStar, Inc., Series J, 4.500%		259,061


		Total Convertible Preferred Stocks
		(Identified Cost $9,297,669)		10,834,993


	Non-Convertible Preferred Stocks – 0.3%

		Electric – 0.1%
	90	Entergy New Orleans, Inc., 4.360%		9,354
	2,876	Entergy New Orleans, Inc., 4.750%		297,397
	4,670	Union Electric Co., 4.500%		467,000

				773,751

		Metals & Mining – 0.2%
	68,395	Arconic, Inc., 5.375%		2,660,565


		Total Non-Convertible Preferred Stocks
		(Identified Cost $3,570,284)		3,434,316


		Total Preferred Stocks
		(Identified Cost $12,867,953)		14,269,309


	Principal Amount (‡)

	Short-Term Investments – 20.5%
$	5,670,000	Federal Home Loan Bank Discount Notes, 1.060%, 1/19/2018(k)		5,651,459
	21,880,000	Federal National Mortgage Association Discount Notes, 1.040%, 10/30/2017(k)		21,863,152
	20,000,000	Federal National Mortgage Association Discount Notes, 1.040%, 11/08/2017(k)		19,979,440
	48,681,203	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $48,682,582 on 10/02/2017 collateralized by $47,525,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $49,655,546 including accrued interest (Note 2 of Notes to Financial Statements)		48,681,203
	28,120,000	U.S. Treasury Bills, 1.020%, 10/12/2017(k)		28,112,780
	25,000,000	U.S. Treasury Bills, 1.015%, 11/09/2017(k)		24,974,675
	43,705,000	U.S. Treasury Bills, 1.020%, 11/30/2017(k)		43,634,146
	27,410,000	U.S. Treasury Bills, 0.993%-0.995%, 10/05/2017(k)(l)		27,408,341

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – continued
$	4,330,000	U.S. Treasury Cash Management Bills, 1.025%, 1/02/2018(k)	$	4,318,603


		Total Short-Term Investments
		(Identified Cost $224,612,509)		224,623,799


		Total Investments – 98.8%
		(Identified Cost $1,051,713,257)		1,080,665,525
		Other assets less liabilities—1.2%		12,756,472


		Net Assets – 100.0%	$	1,093,421,997


	(‡)	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)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(b)	Illiquid security. (Unaudited)
	(c)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $4,592,035 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 September 30, 2017, the value of these securities amounted to $21,869,512 or 2.0% of net assets. See Note 2 of Notes to Financial Statements.
	(f)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(g)	Perpetual bond with no specified maturity date.
	(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 principal.
	(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)	The Fund’s investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(m)	Security subject to restrictions on resale. This security was acquired on August 12, 2016 at a cost of $33,062. At September 30, 2017, the value of this security amounted to $39,364 or less than 0.1% of net assets.
	(n)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(o)	Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $73,304. At September 30, 2017, the value of this security amounted to $9,996 or less than 0.1% of net assets.
	(p)	Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $1,466,032. At September 30, 2017, the value of this security amounted to $313,776 or less than 0.1% of net assets.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $160,767,978 or 14.7% of net assets.


	ABS			Asset-Backed Securities
	EMTN			Euro Medium Term Note
	EURIBOR			Euro Interbank Offered Rate
	GMTN			Global Medium Term Note
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts
	AUD			Australian Dollar
	BRL			Brazilian Real
	CAD			Canadian Dollar
	EUR			Euro
	GBP			British Pound
	ISK			Icelandic Krona
	MXN			Mexican Peso
	NOK			Norwegian Krone
	NZD			New Zealand Dollar

Industry Summary at September 30, 2017


Banking	10.6	%
Treasuries	9.9
Finance Companies	4.5
Automotive	3.5
Wirelines	3.0
Electric	3.0
Property & Casualty Insurance	2.8
Healthcare	2.7
Independent Energy	2.7
Midstream	2.6
Technology	2.5
Airlines	2.5
Aerospace & Defense	2.3
Local Authorities	2.2
Other Investments, less than 2% each	23.5
Short-Term Investments	20.5

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 97.6% of Net Assets

	Non-Convertible Bonds – 97.5%

		Argentina – 0.4%
	81,750,000	Argentine Bonos del Tesoro, 21.200%, 9/19/2018, (ARS)	$	4,701,368

		Australia – 3.7%
	4,695,000	Asciano Finance Ltd., 4.625%, 9/23/2020, 144A(a)		4,901,949
	14,770,000	Australia Government International Bond, Series 142, 4.250%, 4/21/2026, (AUD)(a)		12,896,935
	25,475,000	Queensland Treasury Corp., Series 23, 4.250%, 7/21/2023, 144A, (AUD)(a)		21,559,432

				39,358,316

		Barbados – 0.3%
	837,500	Global SC Finance II S.r.l., Series 2013-1A, Class A, 2.980%, 4/17/2028, 144A(a)		830,383
	2,494,167	Global SC Finance II S.r.l., Series 2014-1A, Class A1, 3.190%, 7/17/2029, 144A(a)		2,476,863

				3,307,246

		Belgium – 0.4%
	470,000	Anheuser-Busch InBev Finance, Inc., 4.700%, 2/01/2036(a)		518,190
	3,720,000	Anheuser-Busch InBev Finance, Inc., 4.900%, 2/01/2046(a)		4,201,992

				4,720,182

		Bermuda – 0.1%
	1,480,000	Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(a)		1,477,739

		Brazil – 2.4%
	33,200(††)	Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2027, (BRL)		10,683,144
	3,855,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		4,091,119
	920,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		996,360
	1,275,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		1,260,337
	1,910,000	Petrobras Global Finance BV, EMTN, 6.250%, 12/14/2026, (GBP)		2,699,636
	3,090,000	Raizen Fuels Finance S.A., 5.300%, 1/20/2027		3,244,500
	7,000,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		2,238,700
	170,000	Vale Overseas Ltd., 6.250%, 8/10/2026		192,899

				25,406,695

		Canada – 4.2%
	1,985,000	Alimentation Couche-Tard, Inc., 1.875%, 5/06/2026, (EUR)(a)		2,410,118
	910,000	Alimentation Couche-Tard, Inc., 3.550%, 7/26/2027, 144A		917,670
	580,000	Alimentation Couche-Tard, Inc., 4.500%, 7/26/2047, 144A		602,097

		Canada – continued
	1,250,000	BMW Canada Auto Trust, Series 2017-1A, Class A2, 1.677%, 5/20/2020, 144A, (CAD)(a)		994,019
	11,065,000	Canadian Government Bond, 0.500%, 3/01/2022, (CAD)(a)		8,406,385
	5,985,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		4,680,843
	4,525,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)(a)		3,622,248
	1,640,000	Canadian Natural Resources Ltd., 2.950%, 1/15/2023		1,630,406
	1,720,000	Canadian Natural Resources Ltd., 3.850%, 6/01/2027		1,738,853
	500,000	Canadian Natural Resources Ltd., GMTN, 4.950%, 6/01/2047		524,255
	3,455,000	Export Development Canada, 1.800%, 9/01/2022, (CAD)		2,766,547
	1,905,000	Great-West Lifeco Finance Delaware LP, 4.150%, 6/03/2047, 144A		1,957,136
	2,763,804	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)(a)		2,209,360
	7,400,000	Province of British Columbia, 4.300%, 6/18/2042, (CAD)(a)		6,983,489
	3,210,000	Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD)(a)		2,871,879
	2,610,000	Province of Ontario Canada, 1.950%, 1/27/2023, (CAD)(a)		2,054,657

				44,369,962

		Chile – 1.1%
	3,340,000,000	Bonos de la Tesoreria de la Republica de Chile, 4.500%, 3/01/2021, 144A, (CLP)		5,369,376
	5,420,000	CODELCO, Inc., 4.500%, 9/16/2025, 144A(a)		5,774,794

				11,144,170

		China – 0.2%
	1,355,000	State Grid Overseas Investment 2016 Ltd., 1.250%, 5/19/2022, (EUR)		1,634,545

		Colombia – 0.5%
	13,607,000,000	Titulos De Tesoreria, Series B, 7.500%, 8/26/2026, (COP)(a)		4,927,784

		Denmark – 1.0%
	60,330,000	Denmark Government Bond, 1.750%, 11/15/2025, (DKK)(a)		10,735,842

		Finland – 0.1%
	630,000	Nokia Oyj, 4.375%, 6/12/2027		648,113

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		France – 3.4%
	1,800,000	AXA S.A., EMTN, (fixed rate to 1/16/2034, variable rate thereafter), 5.625%, 1/16/2054, (GBP)(b)(c)	$	2,776,317
	1,340,000	BNP Paribas S.A., 3.800%, 1/10/2024, 144A(a)		1,392,996
	1,840,000	BNP Paribas S.A., 4.375%, 5/12/2026, 144A		1,921,310
	3,795,000	BNP Paribas S.A., 4.625%, 3/13/2027, 144A(a)		4,017,525
	200,000	BNP Paribas S.A., EMTN, 2.750%, 1/27/2026, (EUR)		253,403
	2,695,000	Credit Agricole S.A., 4.125%, 1/10/2027, 144A(a)		2,816,812
	8,505,000	France Government Bond OAT, 0.500%, 5/25/2026, (EUR)(a)		9,986,543
	1,315,000	France Government Bond OAT, 4.500%, 4/25/2041, (EUR)(a)		2,448,641
	8,315,000	French Republic Government Bond OAT, Zero Coupon, 5/25/2022, (EUR)		9,903,576

				35,517,123

		Germany – 5.0%
	6,500,000	Allianz SE, (fixed rate to 7/07/2025, variable rate thereafter), 2.241%, 7/07/2045, (EUR)		7,865,937
	12,360,000	Bundesrepublik Deutschland, 0.500%, 2/15/2025, (EUR)(a)		15,073,300
	22,475,000	Bundesrepublik Deutschland, 1.000%, 8/15/2025, (EUR)(a)		28,365,525
	1,200,000	Deutsche Bank AG, EMTN, 4.500%, 5/19/2026, (EUR)		1,590,359

				52,895,121

		Hong Kong – 0.2%
	1,715,000	AIA Group Ltd., 3.200%, 3/11/2025, 144A(a)		1,715,507

		Indonesia – 1.5%
	202,531,000,000	Indonesia Government International Bond, Series FR53, 8.250%, 7/15/2021, (IDR)		16,089,403

		Ireland – 1.7%
	875,000	Bank of Ireland Mortgage Bank, 1.750%, 3/19/2019, (EUR)		1,065,283
	2,495,000	Bank of Ireland Mortgage Bank, EMTN, 3.625%, 10/02/2020, (EUR)(a)		3,278,994
	2,625,000	Bank of Ireland Mortgage Bank, Series 47, 0.500%, 1/20/2020, (EUR)(a)		3,154,126
	8,995,000	Ireland Government Bond, 2.000%, 2/18/2045, (EUR)(a)		10,898,887

				18,397,290


		Israel – 0.3%
$	3,215,000	Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023(a)		3,066,441

		Italy – 6.1%
	2,462,223	Asti RMBS S.r.l., Series 1, Class A, 3-month EURIBOR + 1.250%, 0.921%, 12/27/2060, (EUR)(a)(d)		2,945,841
	744,340	Berica ABS S.r.l., Series 3, Class A, 3-month EURIBOR + 1.050%, 0.719%, 6/30/2061, (EUR)(a)(d)		887,054
	763,449	Berica Residential S.r.l., Series 8, Class A, 6-month EURIBOR + 0.200%, 0.066%, 3/31/2048, (EUR)(a)(d)		898,824
	827,163	Claris Finance S.r.l., Series 2014-1, Class A1, 3-month EURIBOR + 1.150%, 0.821%, 12/28/2061, (EUR)(a)(d)		987,432
	3,200,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A(a)		3,944,357
	1,660,000	Enel SpA, EMTN, 5.750%, 6/22/2037, (GBP)(a)		2,974,978
	650,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		660,792
	1,645,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A(a)		1,733,613
	870,000	Intesa Sanpaolo SpA, EMTN, 3.928%, 9/15/2026, (EUR)		1,106,976
	4,800,000	Italy Buoni Poliennali Del Tesoro, 1.250%, 12/01/2026, (EUR)(a)		5,338,839
	6,910,000	Italy Buoni Poliennali Del Tesoro, 3.750%, 5/01/2021, (EUR)(a)		9,156,658
	6,585,000	Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR)(a)		9,252,380
	1,145,000	Leonardo SpA, EMTN, 1.500%, 6/07/2024, (EUR)		1,350,467
	2,000,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		2,445,000
	4,751,000	Republic of Italy, 6.875%, 9/27/2023(a)		5,691,698
	4,218,155	Siviglia SPV S.r.l., Series 2012-1, Class A, 3-month EURIBOR + 0.500%, 0.169%, 10/25/2055, (EUR)(a)(d)		4,943,506
	3,570,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		3,659,481
	2,700,000	UniCredit SpA, (fixed rate to 6/19/2027, variable rate thereafter), 5.861%, 6/19/2032, 144A		2,834,271
	1,106,813	Vela Home S.r.l., Series 4, Class A2, 3-month EURIBOR + 0.190%, 0.044%, 10/25/2042, (EUR)(a)(d)		1,299,755
	1,425,395	Voba N 3 S.r.l., Series 2011-3, Class A2, 3-month EURIBOR + 1.000%, 0.671%, 11/23/2047, (EUR)(a)(d)		1,695,111

				63,807,033

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued
		Japan – 9.4%
	424,774,800(†††)	Japan Government CPI Linked Bond, Series 19, 0.100%, 9/10/2024, (JPY)(a)	$	3,918,419
	2,255,853,600(†††)	Japan Government CPI Linked Bond, Series 20, 0.100%, 3/10/2025, (JPY)(a)		20,819,583
	451,089,378(†††)	Japan Government CPI Linked Bond, Series 21, 0.100%, 3/10/2026, (JPY)(a)		4,170,640
	192,600,000	Japan Government Ten Year Bond, 1.200%, 12/20/2020, (JPY)(a)		1,783,114
	575,000,000	Japan Government Ten Year Bond, 1.300%, 3/20/2021, (JPY)(a)		5,356,685
	480,200,000	Japan Government Thirty Year Bond, 0.300%, 6/20/2046, (JPY)		3,684,471
	572,450,000	Japan Government Thirty Year Bond, 1.700%, 12/20/2043, (JPY)(a)		6,192,686
	1,688,950,000	Japan Government Thirty Year Bond, 2.000%, 12/20/2033, (JPY)(a)		18,810,423
	1,083,100,000	Japan Government Thirty Year Bond, Series 26, 2.400%, 3/20/2037, (JPY)(a)		12,874,187
	715,100,000	Japan Government Twenty Year Bond, 1.500%, 6/20/2034, (JPY)(a)		7,464,621
	174,000,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2027, (JPY)		1,863,025
	1,072,200,000	Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY)(a)		11,852,181

				98,790,035

		Korea – 0.6%
	47,920,000	Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK)(a)		6,077,648

		Malaysia – 0.4%
	16,625,000	Malaysia Government Bond, 3.795%, 9/30/2022, (MYR)(a)		3,957,730

		Mexico – 2.1%
	3,120,000	America Movil SAB de CV, 3.125%, 7/16/2022(a)		3,197,643
	1,274,219(††††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(a)		6,953,905
	1,074,448(††††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		6,158,458
	2,080,000	Mexichem SAB de CV, 5.875%, 9/17/2044, 144A(a)		2,158,000
	760,000	Mexico City Airport Trust, 5.500%, 7/31/2047, 144A		769,424

		Mexico – continued
	660,000	Sigma Alimentos S.A. de CV, 2.625%, 2/07/2024, 144A, (EUR)		826,787
	2,365,000	Sigma Alimentos S.A. de CV, 4.125%, 5/02/2026, 144A(a)		2,391,606

				22,455,823

		Netherlands – 0.8%
	4,000,000	ING Groep NV, EMTN, EUR 5-year Swap Rate + 2.850%, 3.000%, 4/11/2028, (EUR)(a)(d)		5,142,467
	3,445,000	Ziggo Bond Finance BV, 6.000%, 1/15/2027, 144A		3,565,575

				8,708,042

		New Zealand – 1.0%
	12,600,000	New Zealand Government Bond, Series 0423, 5.500%, 4/15/2023, (NZD)(a)		10,475,603

		Norway – 0.2%
	19,360,000	Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK)		2,539,744

		Poland – 0.2%
	2,855,000	Poland Government International Bond, 3.250%, 7/25/2019, (PLN)		803,688
	5,195,000	Poland Government International Bond, Series 0421, 2.000%, 4/25/2021, (PLN)(a)		1,407,305

				2,210,993

		Portugal – 1.4%
	1,725,000	EDP Finance BV, 3.625%, 7/15/2024, 144A		1,739,162
	3,625,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		3,759,560
	550,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		577,076
	1,910,000	EDP Finance BV, EMTN, 1.125%, 2/12/2024, (EUR)		2,265,692
	4,745,000	EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR)(a)		5,873,606

				14,215,096

		Qatar – 0.1%
	800,000	Ooredoo International Finance Ltd., MTN, 5.000%, 10/19/2025		872,166

		Romania – 0.1%
	1,010,000	Romanian Government International Bond, 2.875%, 5/26/2028, 144A, (EUR)		1,241,588

		Singapore – 0.3%
	3,630,000	Singapore Government Bond, 2.250%, 6/01/2021, (SGD)(a)		2,739,527

		South Africa – 1.5%
	2,140,000	Myriad International Holdings BV, 4.850%, 7/06/2027, 144A		2,210,598
	214,610,000	South Africa Government International Bond, Series R213, 7.000%, 2/28/2031, (ZAR)(a)		13,205,060

				15,415,658

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Spain – 2.6%
	1,000,000	Banco Bilbao Vizcaya Argentaria S.A., 3.500%, 12/05/2017, (EUR)(a)	$	1,189,807
	2,600,000	Santander Issuances SAU, 5.179%, 11/19/2025(a)		2,798,700
	1,500,000	Santander Issuances SAU, EMTN, 3.125%, 1/19/2027, (EUR)		1,884,866
	5,165,000	Spain Government Bond, 4.200%, 1/31/2037, 144A, (EUR)(a)		7,788,025
	9,300,000	Spain Government Bond, 5.850%, 1/31/2022, 144A, (EUR)(a)		13,676,379

				27,337,777

		Supranationals – 1.0%
	2,665,000	Inter-American Development Bank, 4.400%, 1/26/2026, (CAD)(a)		2,383,111
	67,150,000	Nordic Investment Bank, GMTN, 1.375%, 7/15/2020, (NOK)(a)		8,537,143

				10,920,254

		Sweden – 0.5%
	39,605,000	Sweden Government Bond, Series 1057, 1.500%, 11/13/2023, 144A, (SEK)		5,225,615

		Switzerland – 0.4%
	4,150,000	Holcim U.S. Finance S.a.r.l. & Cie SCS, 5.150%, 9/12/2023, 144A(a)		4,602,359

		Thailand – 0.5%
	188,000,000	Thailand Government Bond, 2.125%, 12/17/2026, (THB)		5,546,755

		Turkey – 0.5%
	18,515,000	Turkey Government Bond, 11.000%, 3/02/2022, (TRY)		5,227,716

		United Arab Emirates – 0.3%
	1,560,000	DP World Ltd., 3.250%, 5/18/2020, 144A		1,584,960
	1,175,000	DP World Ltd., EMTN, 3.250%, 5/18/2020		1,193,800

				2,778,760

		United Kingdom – 9.2%
	492,118	Auburn Securities PLC, Series 4, Class A2, GBP 1-month LIBOR + 0.400%, 0.649%, 10/01/2041, (GBP)(a)(d)		651,163
	4,770,000	Aviva PLC, (fixed rate to 12/04/2025, variable rate thereafter), 3.375%, 12/04/2045, (EUR)		5,947,455
	1,020,000	Barclays PLC, 4.337%, 1/10/2028		1,053,145
	1,660,000	Barclays PLC, 4.375%, 1/12/2026		1,733,194
	1,300,000	Barclays PLC, 5.200%, 5/12/2026(a)		1,387,950
	675,000	Barclays PLC, EMTN, (fixed rate to 11/11/2020, variable rate thereafter), 2.625%, 11/11/2025, (EUR)(a)		825,405
	3,635,000	BAT Capital Corp., 3.222%, 8/15/2024, 144A		3,643,956
	3,790,000	BAT Capital Corp., 3.557%, 8/15/2027, 144A		3,828,098

		United Kingdom – continued
$	1,465,000	BAT Capital Corp., 4.390%, 8/15/2037, 144A		1,503,398
	3,596,000	Channel Link Enterprises Finance PLC, Series A5, (fixed rate to 6/30/2029, variable rate thereafter), 3.043%, 6/30/2050, (GBP)		4,808,798
	1,370,000	Channel Link Enterprises Finance PLC, Series A7, (fixed rate to 6/30/2022, variable rate thereafter), 1.761%, 6/30/2050, (EUR)		1,643,020
	1,055,000	Channel Link Enterprises Finance PLC, Series A8, (fixed rate to 6/30/2027, variable rate thereafter), 2.706%, 6/30/2050, (EUR)		1,277,124
	2,268,000	Co-Operative Bank PLC, 4.750%, 11/11/2021, (GBP)(a)		3,330,169
	333,979	Eurosail PLC, Series 2007-1X, Class A3C, GBP 3-month LIBOR + 0.160%, 0.462%, 3/13/2045, (GBP)(a)(d)		438,505
	162,322	Eurosail PLC, Series 2007-2X, Class A3C, GBP 3-month LIBOR + 0.150%, 0.452%, 3/13/2045, (GBP)(d)		211,990
	2,300,000	FCE Bank PLC, EMTN, 1.615%, 5/11/2023, (EUR)		2,802,798
	156,639	Great Hall Mortgages PLC, Series 2006-1, Class A2A, GBP 3-month LIBOR + 0.150%, 0.483%, 6/18/2038, (GBP)(d)		206,440
	460,000	HBOS PLC, EMTN, (fixed rate to 3/18/2025, variable rate thereafter), 4.500%, 3/18/2030, (EUR)(a)		636,712
	3,190,000	HSBC Holdings PLC, EMTN, 5.750%, 12/20/2027, (GBP)(a)		5,208,444
	585,000	Lloyds Banking Group PLC, 3.750%, 1/11/2027		595,202
	1,030,000	Lloyds Banking Group PLC, 4.650%, 3/24/2026		1,089,020
	420,000	Noble Holding International Ltd., 5.250%, 3/15/2042		275,100
	200,000	Noble Holding International Ltd., 6.050%, 3/01/2041		136,500
	305,000	Noble Holding International Ltd., 6.200%, 8/01/2040		211,213
	3,160,000	Noble Holding International Ltd., 7.750%, 1/15/2024		2,804,500
	480,587	Precise Mortgage Funding, Series 2014-1, Class A, GBP 3-month LIBOR + 0.800%, 1.092%, 9/12/2047, (GBP)(a)(d)		644,459
	194,631	Precise Mortgage Funding PLC, Series 2015-1, Class A, GBP 3-month LIBOR + 0.950%, 1.242%, 3/12/2048, (GBP)(a)(d)		261,213
	365,478	Residential Mortgage Securities PLC, Series 28, Class A, GBP 3-month LIBOR + 1.150%, 1.455%, 6/15/2046, (GBP)(a)(d)		493,070

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United Kingdom – continued
	671,017	RMAC PLC, Series 2005-NS3X, Class A2C, 3-month EURIBOR + 0.360%, 0.029%, 6/12/2043, (EUR)(a)(d)	$	773,166
	2,063,983	RMAC PLC, Series 2005-NS4X, Class A3A, GBP 3-month LIBOR + 0.340%, 0.632%, 12/12/2043, (GBP)(a)(d)		2,687,148
	200,797	RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, GBP 3-month LIBOR + 0.150%, 0.442%, 6/12/2044, (GBP)(d)		256,749
	8,135,000	Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024(a)		8,655,372
	185,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		204,595
	445,000	Royal Bank of Scotland Group PLC, 6.100%, 6/10/2023		492,971
	425,000	Royal Bank of Scotland Group PLC, EMTN, (fixed rate to 3/25/2019, variable rate thereafter), 3.625%, 3/25/2024, (EUR)		520,071
	3,778,000	Santander UK Group Holdings PLC, 4.750%, 9/15/2025, 144A(a)		3,946,499
	3,245,000	Sky PLC, 3.750%, 9/16/2024, 144A		3,329,421
	315,000	Sky PLC, EMTN, 2.500%, 9/15/2026, (EUR)		399,033
	2,195,000	Standard Chartered PLC, EMTN, 5.125%, 6/06/2034, (GBP)(a)		3,210,810
	1,860,000	Standard Life Aberdeen PLC, EMTN, 5-year UK Government Bond + 4.850%, 5.500%, 12/04/2042, (GBP)(d)		2,762,959
	4,410,000	Tesco PLC, EMTN, 5.000%, 3/24/2023, (GBP)		6,502,027
	1,290,000	Towd Point Mortgage Funding PLC, Series 16-GR1A, Class B, GBP 3-month LIBOR + 1.400%, 1.688%, 7/20/2046, 144A, (GBP)(a)(d)		1,740,928
	3,385,000	United Kingdom Gilt, 3.500%, 1/22/2045, (GBP)(a)		6,024,262
	1,845,000	United Kingdom Gilt, 4.500%, 9/07/2034, (GBP)(a)		3,455,043
	1,530,000	Virgin Media Finance PLC, MTN, 4.500%, 1/15/2025, (EUR)		1,889,681
	1,640,000	Virgin Media Secured Finance PLC, 4.875%, 1/15/2027, (GBP)		2,261,505

				96,760,281

		United States – 31.5%
	889,343	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A		895,326
	390,000,000	Aflac, Inc., 0.932%, 1/25/2027, (JPY)(a)		3,458,341
	2,370,000	Aircastle Ltd., 4.125%, 5/01/2024		2,452,950
	3,740,000	American Airlines Pass Through Certificates, Series 2017-1B, Class B, 4.950%, 8/15/2026		3,912,788

		United States – continued
$	2,285,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024(a)		2,267,659
	2,745,000	Anadarko Petroleum Corp., 5.550%, 3/15/2026(a)		3,065,729
	3,150,000	AT&T, Inc., 3.900%, 8/14/2027		3,156,132
	2,350,000	AT&T, Inc., 4.350%, 6/15/2045(a)		2,156,879
	295,000	AT&T, Inc., 4.800%, 6/15/2044(a)		287,003
	3,100,000	AT&T, Inc., 4.900%, 8/14/2037		3,133,002
	3,140,000	Aviation Capital Group Corp., 4.875%, 10/01/2025, 144A(a)		3,413,847
	1,900,000	Bank of America Corp., MTN, 4.450%, 3/03/2026		2,008,747
	2,365,000	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, 3.105%, 9/28/2032, 144A(e)(i)		2,365,000
	964,328	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A(a)		998,605
	883,100	Bayview Opportunity Master Fund IVb Trust, Series 2017-RN1, Class A1, 3.598%, 2/28/2032, 144A(i)		883,871
	440,000	Brixmor Operating Partnership LP, 3.650%, 6/15/2024		437,815
	920,000	Brixmor Operating Partnership LP, 3.850%, 2/01/2025		920,617
	450,000	Brixmor Operating Partnership LP, 3.900%, 3/15/2027		446,630
	950,000	Brixmor Operating Partnership LP, 4.125%, 6/15/2026		957,934
	1,560,000	Celgene Corp., 4.625%, 5/15/2044		1,683,075
	3,244,479	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A(a)		3,198,341
	2,930,000	Citigroup, Inc., 4.090%, 6/09/2025, (CAD)(a)		2,397,798
	1,520,000	Citigroup, Inc., 4.400%, 6/10/2025(a)		1,600,181
	2,570,000	Commercial Mortgage Trust, Series 2013-GAM, Class A2, 3.367%, 2/10/2028, 144A(a)		2,617,704
	2,800,000	Commercial Mortgage Trust, Series 2014-PAT, Class D, 1-month LIBOR + 2.150%, 3.467%, 8/13/2027, 144A(d)		2,803,503
	3,700,000	Commercial Mortgage Trust, Series 2016-SAVA, Class A, 1-month LIBOR + 1.720%, 2.955%, 10/15/2034, 144A(a)(d)		3,713,867
	98,531	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		100,837
	5,300,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		5,412,625
	427,000	Continental Resources, Inc., 3.800%, 6/01/2024		412,055
	1,635,000	Continental Resources, Inc., 4.500%, 4/15/2023		1,639,087
	78,000	Continental Resources, Inc., 5.000%, 9/15/2022		79,268

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
	600,000,000	Corning, Inc., 0.698%, 8/09/2024, (JPY)	$	5,335,081
	2,520,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class B, 2.940%, 10/15/2024, 144A(a)		2,525,725
	902,524	Credit Suisse Mortgage Capital Certificates, Series 2009-13R, Class 3A1, 3.194%, 11/26/2036, 144A(i)		899,831
	470,000	DDR Corp., 3.900%, 8/15/2024		473,468
	1,485,000	DDR Corp., 4.625%, 7/15/2022		1,573,854
	2,833,212	Delta Air Lines Pass Through Trust, Series 2015-1, Class B, 4.250%, 1/30/2025(a)		2,952,207
	680,000	Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043		510,000
	1,800,000	Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		1,903,500
	1,645,000	Discovery Communications LLC, 2.500%, 9/20/2024, (GBP)		2,153,622
	1,615,000	Discovery Communications LLC, 5.200%, 9/20/2047		1,638,831
	3,150,000	Enable Midstream Partners LP, 4.400%, 3/15/2027		3,203,904
	2,755,000	Energy Transfer LP, 5.150%, 3/15/2045		2,691,407
	2,274,050	Exeter Automobile Receivables Trust, Series 2017-2A, Class A, 2.110%, 6/15/2021, 144A(a)		2,277,155
	1,121,307	FHLMC, 4.000%, 12/01/2046		1,190,958
	169,791	FHLMC, 4.500%, 8/01/2044		185,569
	10,111,655	FNMA, 2.500%, 10/01/2046(a)		9,794,549
	2,243,938	FNMA, 3.000%, with various maturities in 2046(f)		2,258,187
	10,367,319	FNMA, 3.500%, with various maturities from 2045 to 2047(a)(f)		10,737,806
	3,136,416	FNMA, 4.500%, with various maturities from 2043 to 2046(a)(f)		3,390,081
	6,260,000	FNMA (TBA), 4.000%, 11/01/2047(g)		6,581,314
	6,270,000	Ford Motor Credit Co. LLC, 4.050%, 12/10/2018, (AUD)(a)		4,988,178
	185,000	Freeport-McMoRan, Inc., 5.400%, 11/14/2034		176,675
	915,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		854,953
	589,417	GCAT LLC, Series 2017-4, Class A1, 3.228%, 5/25/2022, 144A(i)		591,303
	2,853,423	GCAT LLC, Series 2017-5, Class A1, 3.228%, 7/25/2047, 144A(i)		2,853,560
	50,000,000	General Electric Co., EMTN, 4.208%, 12/06/2021, (SEK)(a)		6,943,056
	3,900,000	General Motors Financial Co., Inc., 4.000%, 1/15/2025		3,977,476
	3,100,000	General Motors Financial Co., Inc., 4.300%, 7/13/2025		3,200,710
	2,330,000	Gilead Sciences, Inc., 4.150%, 3/01/2047(a)		2,386,913
	1,264,259	GNMA, 1-month LIBOR + 1.794%, 3.014%, 5/20/2064(a)(d)		1,311,230

		United States – continued
$	1,402,239	GNMA, 1-month LIBOR + 2.029%, 3.251%, 11/20/2064(a)(d)		1,498,580
	1,577,154	GNMA, 1-month LIBOR + 2.029%, 3.377%, 11/20/2064(a)(d)		1,687,010
	2,429,248	GNMA, 1-month LIBOR + 2.313%, 3.538%, 10/20/2063(a)(d)		2,599,458
	483,856	GNMA, 4.465%, 4/20/2065(a)(i)		525,010
	3,114,658	GNMA, 4.520%, 12/20/2061(a)(i)		3,187,326
	1,564,546	GNMA, 4.531%, 1/20/2063(a)(i)		1,632,451
	594,106	GNMA, 4.537%, 6/20/2062(a)(i)		610,565
	1,636,900	GNMA, 4.586%, 2/20/2065(a)(i)		1,774,869
	1,713,586	GNMA, 4.660%, 7/20/2064(a)(i)		1,854,524
	4,863,599	GNMA, 4.667%, with various maturities in 2064(a)(f)(i)		5,247,413
	2,560,000	HCA Healthcare, Inc., 6.250%, 2/15/2021		2,771,200
	225,000	HCA, Inc., 4.750%, 5/01/2023		237,375
	1,615,000	HCA, Inc., 5.000%, 3/15/2024		1,719,975
	305,000	HCA, Inc., 5.250%, 4/15/2025		329,781
	1,795,000	HCA, Inc., 5.375%, 2/01/2025		1,891,481
	1,130,011	Hilton Grand Vacations Trust, Series 2013-A, Class A, 2.280%, 1/25/2026, 144A(a)		1,125,835
	1,400,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		1,470,000
	871,687	Honor Automobile Trust Securitization, Series 2016-1A, Class A, 2.940%, 11/15/2019, 144A(a)		874,872
	3,810,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A(a)		3,924,300
	3,800,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-PHH, Class A, 1-month LIBOR + 1.450%, 2.427%, 8/15/2027, 144A(a)(d)		3,799,995
	387,348	JPMorgan Resecuritization Trust, Series 2010-4, Class A2, 2.955%, 9/26/2035, 144A(a)(i)		386,611
	1,905,000	Kimco Realty Corp., 3.300%, 2/01/2025		1,903,967
	75,000	Kimco Realty Corp., 3.800%, 4/01/2027		75,748
	2,135,000	Kraft Heinz Foods Co., 3.000%, 6/01/2026		2,045,099
	1,180,000	Kraft Heinz Foods Co., 4.375%, 6/01/2046		1,165,171
	1,590,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 3/15/2022, 144A		1,621,800
	2,785,000	Liberty Mutual Group, Inc., 4.850%, 8/01/2044, 144A(a)		3,029,970
	3,998,607	Longtrain Leasing III LLC, Series 2015-1A, Class A1, 2.980%, 1/15/2045, 144A(a)		3,973,407
	959,963	Marriott Vacation Club Owner Trust, Series 2012-1A, Class B, 3.500%, 5/20/2030, 144A(a)(i)		968,663
	835,000	MetLife, Inc., 6.400%, 12/15/2066		962,338
	960,000	MPLX LP, 4.875%, 12/01/2024		1,034,460

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		United States – continued
$	3,620,000	MPLX LP, 4.875%, 6/01/2025	$	3,879,589
	265,000	MPLX LP, 5.200%, 3/01/2047		277,451
	2,115,000	Mylan NV, 3.950%, 6/15/2026		2,153,291
	1,895,000	Newfield Exploration Co., 5.375%, 1/01/2026		1,992,119
	2,215,000	Newfield Exploration Co., 5.625%, 7/01/2024		2,375,587
	3,477,305	Oak Hill Advisors Residential Loan Trust, Series 2017-NPL1, Class A1, 3.000%, 6/25/2057, 144A(i)		3,479,108
	3,540,000	OneMain Financial Issuance Trust, Series 2016-2A, Class A, 4.100%, 3/20/2028, 144A(a)		3,601,482
	308,011	Orange Lake Timeshare Trust, Series 2012-AA, Class B, 4.870%, 3/10/2027, 144A		310,788
	218,330	OWS Structured Asset Trust, Series 2016-NPL1, Class A1, 3.750%, 7/25/2056, 144A(i)		220,028
	5,360,000	Preston Ridge Partners Mortgage LLC, Series 2017-2A, Class A1, 3.470%, 9/25/2022, 144A(e)(i)		5,360,000
	850,000,000	Procter & Gamble Co. (The), 0.275%, 5/08/2020, (JPY)(a)		7,583,110
	2,015,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		2,115,750
	290,000	SM Energy Co., 5.000%, 1/15/2024		273,325
	95,000	SM Energy Co., 5.625%, 6/01/2025		90,250
	125,000	SM Energy Co., 6.125%, 11/15/2022		125,313
	25,000	SM Energy Co., 6.500%, 11/15/2021		25,250
	675,000	SM Energy Co., 6.500%, 1/01/2023		680,063
	1,105,000	SM Energy Co., 6.750%, 9/15/2026		1,105,000
	695,000	Southwestern Energy Co., 4.100%, 3/15/2022		668,069
	3,800,000	Southwestern Energy Co., 6.700%, 1/23/2025		3,857,000
	3,214,728	Spirit Airlines Pass Through Certificates, Series 2015-1, Class B, 4.450%, 10/01/2025(a)		3,335,280
	2,804,917	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A(a)		2,824,036
	865,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		876,894
	7,429,695	Trinity Rail Leasing LLC, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A(a)		7,800,321
	5,750,000	U.S. Treasury Bond, 2.250%, 8/15/2027		5,710,918
	5,840,000	U.S. Treasury Bond, 2.875%, 5/15/2043(a)(j)		5,886,537
	19,889,626	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(h)		19,888,279
	6,310,000	U.S. Treasury Note, 1.000%, 12/31/2017		6,307,646
	3,475,000	U.S. Treasury Note, 1.625%, 8/31/2022		3,427,219

		United States – continued
	1,222,080	United Airlines Pass Through Trust, Series 2013-1, Class B, 5.375%, 2/15/2023		1,283,184
	105,000	Universal Health Services, Inc., 5.000%, 6/01/2026, 144A		110,513
	565,000	Verizon Communications, Inc., 3.850%, 11/01/2042		500,443
	2,045,000	Verizon Owner Trust, Series 2016-2A, Class A, 1.680%, 5/20/2021, 144A(a)		2,038,544
	633,250	VOLT LV LLC, Series 2017-NPL2, Class A1, 3.500%, 3/25/2047, 144A(i)		637,923
	2,325,922	VOLT LVI LLC, Series 2017-NPL3, Class A1, 3.500%, 3/25/2047, 144A(i)		2,343,761
	2,050,512	VOLT LVII LLC, Series 2017-NPL4, Class A1, 3.375%, 4/25/2047, 144A(i)		2,061,691
	3,175,249	VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.125%, 6/25/2047, 144A(i)		3,183,380
	249,596	VOLT XXII LLC, Series 2015-NPL4, Class A1, 3.500%, 2/25/2055, 144A(i)		250,403
	213,640	VOLT XXIV LLC, Series 2015-NPL6, Class A1, 3.500%, 2/25/2055, 144A(i)		214,844
	570,000,000	Wal-Mart Stores, Inc., 0.183%, 7/15/2022, (JPY)		5,046,890
	6,745,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		6,626,962
	2,875,000	Zimmer Biomet Holdings, Inc., 2.425%, 12/13/2026, (EUR)		3,549,944

				332,445,758

		Uruguay – 0.3%
	19,680,000	Republic of Uruguay, 8.500%, 3/15/2028, 144A, (UYU)		700,210
	60,830,000	Republic of Uruguay, 9.875%, 6/20/2022, 144A, (UYU)		2,265,905

				2,966,115


		Total Non-Convertible Bonds
		(Identified Cost $1,008,543,326)		1,027,430,923


	Convertible Bonds – 0.1%

		United States – 0.1%
	1,290,000	Whiting Petroleum Corp., 1.250%, 4/01/2020 (Identified Cost $1,152,621)		1,149,713


		Total Bonds and Notes
		(Identified Cost $1,009,695,947)		1,028,580,636

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – 1.6%
$	17,145,449	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $17,145,935 on 10/02/2017 collateralized by $17,365,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $17,490,236 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $17,145,449)	$	17,145,449


		Total Investments – 99.2%
		(Identified Cost $1,026,841,396)		1,045,726,085
		Other assets less liabilities—0.8%		8,772,247


		Net Assets – 100.0%	$	1,054,498,332


	(‡)	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 principal amount including inflation adjustments.
	(††††)	Amount shown represents units. One unit represents a principal amount of 100.
	(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
	(b)	Illiquid security. (Unaudited)
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $2,776,317 or 0.3% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(e)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(f)	The Fund’s investment in mortgage related securities of Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments.
	(g)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(h)	Treasury Inflation Protected Security (TIPS).
	(i)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(j)	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 September 30, 2017, the value of Rule 144A holdings amounted to $244,200,666 or 23.2% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	EURIBOR	Euro Interbank Offered Rate
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	TBA	To Be Announced

	ARS	Argentine Peso
	AUD	Australian Dollar
	BRL	Brazilian Real
	CAD	Canadian Dollar
	CHF	Swiss Franc
	CLP	Chilean Peso
	COP	Colombian Peso
	DKK	Danish Krone
	EUR	Euro
	GBP	British Pound
	IDR	Indonesian Rupiah
	JPY	Japanese Yen
	KRW	South Korean Won
	MXN	Mexican Peso
	MYR	Malaysian Ringgit
	NOK	Norwegian Krone
	NZD	New Zealand Dollar
	PLN	Polish Zloty
	SEK	Swedish Krona
	SGD	Singapore Dollar
	THB	Thai Baht
	TRY	Turkish Lira
	UYU	Uruguayan Peso
	ZAR	South African Rand

At September 30, 2017, the Fund had the following open forward foreign currency contracts:


Counterparty	Delivery Date		Currency Bought/ Sold (B/S)	Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
Bank of America, N.A.	12/20/2017		MXN	S	92,565,000	$	5,106,189	$	5,020,573	$	85,616
Citibank N.A.	12/20/2017		EUR	B	13,460,000		16,182,893		15,977,601		(205,292	)
Citibank N.A.	12/20/2017		EUR	S	40,045,000		47,805,721		47,535,145		270,576
Citibank N.A.	12/20/2017		ZAR	S	172,885,000		13,170,901		12,611,936		558,965
Credit Suisse International	12/20/2017		JPY	B	7,367,880,000		67,827,626		65,727,009		(2,100,617	)
Credit Suisse International	12/21/2017		KRW	B	2,293,469,000		2,022,459		2,004,382		(18,077	)
Credit Suisse International	12/20/2017		CHF	B	7,320,000		7,785,627		7,599,263		(186,364	)
Deutsche Bank AG	12/20/2017	��	BRL	S	39,495,000		12,417,468		12,340,902		76,566
HSBC Bank USA	12/20/2017		CAD	S	16,710,000		13,774,105		13,398,801		375,304
State Street Bank and Trust Company	12/20/2017		GBP	B	1,155,000		1,565,347		1,551,411		(13,936	)
State Street Bank and Trust Company	12/20/2017		GBP	S	1,155,000		1,528,989		1,551,411		(22,422	)

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued


Counterparty	Delivery Date	Currency Bought/ Sold (B/S)	Units of Currency		In Exchange for		Notional Value		Unrealized Appreciation (Depreciation)
UBS AG	12/20/2017	AUD	S	13,375,000	$	10,693,313	$	10,481,865	$	211,448
UBS AG	12/20/2017	SEK	S	24,065,000		3,045,644		2,968,187		77,457

Total									$	(890,776	)

At September 30, 2017, the Fund had the following open forward cross currency contracts:


Counterparty	Settlement Date	Deliver/Units of Currency			Receive/Units of Currency			Notional Value		Unrealized Appreciation (Depreciation)
Citibank N.A.	12/20/2017		GBP	7,890,922		SEK	86,000,000	$	10,607,275	$	8,086
Credit Suisse International	12/20/2017		AUD	33,235,000		EUR	22,154,658		26,298,536		252,572
Morgan Stanley & Co.	12/20/2017		GBP	4,880,000		EUR	5,329,653		6,326,528		(228,352	)
Morgan Stanley & Co.	12/20/2017		JPY	3,015,000,000		EUR	22,930,861		27,219,922		323,864

Total										$	356,170

At September 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/29/2017		296	$	34,798,834	$	34,780,000	$	(18,834	)
German Euro Bund		12/07/2017		76		14,479,395		14,462,631		(16,764	)
Ultra Long U.S. Treasury Bond		12/19/2017		88		14,713,586		14,531,000		(182,586	)

Total									$	(218,184	)

At September 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/19/2017		355	$	44,769,363	$	44,485,938	$	283,425
30 Year U.S. Treasury Bond		12/19/2017		195		30,401,289		29,798,437		602,852

Total									$	886,277

Industry Summary at September 30, 2017


Treasuries	39.9	%
Banking	7.7
Mortgage Related	5.4
ABS Home Equity	4.5
Local Authorities	3.2
Independent Energy	2.7
Life Insurance	2.7
ABS Other	2.6
Government Owned - No Guarantee	2.2
Electric	2.1
Other Investments, less than 2% each	24.6
Short-Term Investments	1.6

Total Investments	99.2
Other assets less liabilities (including forward foreign currency and futures contracts)	0.8

Net Assets	100.0	%

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Global Bond Fund – continued

Currency Exposure Summary at September 30, 2017


United States Dollar	42.6	%
Euro	18.8
Japanese Yen	11.4
British Pound	5.4
Australian Dollar	3.7
Canadian Dollar	3.7
Other, less than 2% each	13.6

Total Investments	99.2
Other assets less liabilities (including forward foreign currency and futures contracts)	0.8

Net Assets	100.0	%

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Inflation Protected Securities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 94.7% of Net Assets
		Banking – 3.7%
$	400,000	BNP Paribas S.A., (fixed rate to 8/19/2025, variable rate thereafter), 7.375%, 144A(a)	$	452,000
	200,000	Credit Suisse AG, 6.500%, 8/08/2023, 144A		226,000
	200,000	Societe Generale S.A., (fixed rate to 1/27/2020, variable rate thereafter), 6.000%(a)		201,310
	200,000	UBS Group AG, (fixed rate to 3/22/2021, variable rate thereafter), 6.875%(a)		214,750

				1,094,060

		Construction Machinery – 0.3%
	70,000	John Deere Capital Corp., MTN, 2.800%, 9/08/2027		68,821

		Consumer Cyclical Services – 1.7%
	170,000	Amazon.com, Inc., 4.050%, 8/22/2047, 144A		173,250
	325,000	eBay, Inc., 3.600%, 6/05/2027		323,260

				496,510

		Electric – 1.2%
	310,000	FirstEnergy Corp., Series B, 3.900%, 7/15/2027		314,817
	45,000	IPALCO Enterprises, Inc., 3.700%, 9/01/2024, 144A		45,110

				359,927

		Independent Energy – 0.3%
	65,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		64,350
	25,000	Concho Resources, Inc., 4.875%, 10/01/2047		26,089

				90,439

		Media Entertainment – 0.2%
	65,000	Discovery Communications LLC, 3.950%, 3/20/2028		64,534

		Treasuries – 85.9%
	917,909	U.S. Treasury Inflation Indexed Bond, 0.750%, 2/15/2045(b)(c)		875,434
	1,353,797	U.S. Treasury Inflation Indexed Bond, 0.875%, 2/15/2047(b)(c)		1,334,121
	1,002,126	U.S. Treasury Inflation Indexed Bond, 1.000%, 2/15/2046(b)		1,016,647
	1,406,692	U.S. Treasury Inflation Indexed Bond, 3.375%, 4/15/2032(b)(c)		1,939,093
	6,599,912	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2021(b)		6,620,536
	2,617,056	U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2022(b)(c)		2,616,879
	4,401,544	U.S. Treasury Inflation Indexed Note, 0.125%, 7/15/2026(b)(c)		4,280,096
	2,601,258	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2025(b)(c)		2,601,577
	2,280,105	U.S. Treasury Inflation Indexed Note, 0.375%, 1/15/2027(b)(c)		2,252,617
	300,213	U.S. Treasury Inflation Indexed Note, 0.375%, 7/15/2027(b)		297,337

		Treasuries – continued
$	1,455,701	U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(b)(c)	$	1,475,385

				25,309,722

		Wirelines – 1.4%
	405,000	AT&T, Inc., 4.900%, 8/14/2037		409,312


		Total Bonds and Notes
		(Identified Cost $27,973,617)		27,893,325


	Senior Loans – 4.5%
		Automotive – 0.7%
	202,826	CH Hold Corp., 1st Lien Term Loan, 1-month LIBOR + 3.000%, 4.235%, 2/01/2024(d)		204,347

		Healthcare – 1.3%
	198,973	Kindred Healthcare, Inc., New Term Loan, 3-month LIBOR + 3.500%, 4.813%, 4/09/2021(d)		199,056
	199,000	Team Health Holdings, Inc., 1st Lien Term Loan, 1-month LIBOR + 2.750%, 3.985%, 2/06/2024(d)		195,145


		Total Healthcare
		(Identified Cost $398,773)		394,201

		Independent Energy – 0.7%
	199,000	MEG Energy Corp., 2017 Term Loan B, 3-month LIBOR + 3.500%, 4.833%, 12/31/2023(d)		198,067

		Retailers – 1.1%
	318,546	Staples, Inc., 2017 Term Loan B, 3-month LIBOR + 4.000%, 5.310%, 8/06/2024(d)		317,010

		Technology – 0.7%
	199,000	Dell, Inc., 2017 Term Loan B, 1-month LIBOR + 2.500%, 3.740%, 9/07/2023(d)		199,621


		Total Senior Loans
		(Identified Cost $1,321,620)		1,313,246


	Short-Term Investments – 0.9%
	259,741	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $259,748 on 10/02/2017 collateralized by $265,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $266,911 including accrued interest (Note 2 of Notes to Financial Statements)		259,741

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Inflation Protected Securities Fund – continued


Principal Amount		Description	Value (†)

	Short-Term Investments – continued
$	20,000	U.S. Treasury Bills, 1.116%, 01/11/2018(e)(f)	$	19,943


		Total Short-Term Investments
		(Identified Cost $279,678)		279,684


		Total Investments – 100.1%
		(Identified Cost $29,574,915)		29,486,255
		Other assets less liabilities—(0.1)%		(30,000	)


		Net Assets – 100.0%	$	29,456,255

	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Perpetual bond with no specified maturity date.
	(b)	Treasury Inflation Protected Security (TIPS).
	(c)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts.
	(d)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(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 September 30, 2017, the value of Rule 144A holdings amounted to $960,710 or 3.3% of net assets.
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note

At September 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/19/2017		1		125,517	$	125,313	$	(204	)

At September 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/29/2017		24		5,191,084	$	5,176,875	$	14,209
5 Year U.S. Treasury Note		12/29/2017		21		2,467,609		2,467,500		109
Ultra Long U.S. Treasury Bond		12/19/2017		5		824,758		825,625		(867	)

Total									$	13,451

Industry Summary at September 30, 2017


Treasuries	85.9	%
Banking	3.7
Other Investments, less than 2% each	9.6
Short-Term Investments	0.9

Total Investments	100.1
Other assets less liabilities (including futures contracts)	(0.1	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 80.2% of Net Assets

	Non-Convertible Bonds – 71.7%

		Aerospace & Defense – 2.0%
	135,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)	$	103,326
	1,930,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		1,833,925
	115,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		124,545
	1,165,000	Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025, 144A		1,258,200
	1,900,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		2,147,000
	5,200,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		6,357,000
	2,610,000	Textron Financial Corp., 3-month LIBOR + 1.735%, 3.050%, 2/15/2067, 144A(a)		2,283,750
	625,000	TransDigm, Inc., 6.500%, 5/15/2025		643,750

				14,751,496

		Airlines – 1.8%
	4,080,000	Air Canada, 7.750%, 4/15/2021, 144A		4,641,000
	318,033	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		335,207
	810,000	Allegiant Travel Co., 5.500%, 7/15/2019		836,730
	117,005	Continental Airlines Pass Through Certificates, Series 2000-2, Class A-1, 7.707%, 10/02/2022		126,073
	21,655	Continental Airlines Pass Through Certificates, Series 2000-2, Class B, 8.307%, 10/02/2019		22,162
	313,925	United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023		326,542
	1,150,000	United Continental Holdings, Inc., 6.375%, 6/01/2018		1,178,175
	1,101,233	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		1,190,939
	222,229	US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021		241,119
	1,889,070	US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023		2,009,498
	1,750,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		1,841,875
	114,246	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		118,516
	146,285	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		150,635

				13,018,471

		Automotive – 1.0%
	1,000,000	American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		1,032,500

		Automotive – continued
	2,090,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		2,335,575
	3,505,000	Lear Corp., 5.375%, 3/15/2024		3,734,265

				7,102,340

		Banking – 0.9%
	915,000	Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(b)		928,084
	160,000	RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(b)		186,800
	3,545,000	Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018		3,607,497
	105,000	Royal Bank of Scotland Group PLC, 5.250%, (EUR)(b)		125,714
	1,545,000	Royal Bank of Scotland Group PLC, 5.500%, (EUR)(b)		1,851,308
	85,000	Royal Bank of Scotland Group PLC, (fixed rate to 12/31/2017, variable rate thereafter), 3.655%(b)		81,388

				6,780,791

		Brokerage – 0.3%
	350,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A		350,875
	1,615,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,792,220

				2,143,095

		Building Materials – 0.8%
	2,245,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		2,276,879
	178,000	Masco Corp., 6.500%, 8/15/2032		212,264
	3,245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		3,480,262

				5,969,405

		Cable Satellite – 1.7%
	125,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		129,063
	60,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		62,475
	70,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A		72,546
	2,215,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		2,300,831
	300,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		314,250
	3,215,000	CSC Holdings LLC, 5.250%, 6/01/2024		3,251,169
	1,390,000	DISH DBS Corp., 5.000%, 3/15/2023		1,420,406
	2,686,000	DISH DBS Corp., 5.875%, 11/15/2024		2,815,264
	1,720,000	DISH DBS Corp., 7.750%, 7/01/2026		1,974,852
	170,000	Time Warner Cable LLC, 4.500%, 9/15/2042		161,117

				12,501,973

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Chemicals – 2.7%
$	1,025,000	Aruba Investments, Inc., 8.750%, 2/15/2023, 144A	$	1,048,063
	1,060,000	GCP Applied Technologies, Inc., 9.500%, 2/01/2023, 144A		1,197,800
	4,738,000	Hercules LLC, 6.500%, 6/30/2029(c)(d)		4,761,690
	2,564,000	Hexion, Inc., 7.875%, 2/15/2023(c)(e)(f)		1,307,640
	2,641,000	Hexion, Inc., 9.200%, 3/15/2021(c)(e)(f)		1,426,140
	3,190,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,109,387
	4,680,000	Kraton Polymers LLC/Kraton Polymers Capital Corp., 10.500%, 4/15/2023, 144A		5,346,900
	2,971,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,881,870

				20,079,490

		Construction Machinery – 0.8%
	330,000	United Rentals North America, Inc., 4.875%, 1/15/2028		331,650
	1,370,000	United Rentals North America, Inc., 5.500%, 7/15/2025		1,467,613
	2,320,000	United Rentals North America, Inc., 5.750%, 11/15/2024		2,462,100
	1,140,000	United Rentals North America, Inc., 5.875%, 9/15/2026		1,238,325

				5,499,688

		Consumer Cyclical Services – 0.3%
	135,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		137,025
	1,902,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		2,077,935

				2,214,960

		Electric – 1.3%
	455,000	AES Corp. (The), 4.875%, 5/15/2023		468,650
	200,000	AES Corp. (The), 5.500%, 4/15/2025		210,366
	340,000	Dynegy, Inc., 5.875%, 6/01/2023		338,300
	210,000	Dynegy, Inc., 7.625%, 11/01/2024		217,612
	4,415,000	Dynegy, Inc., 8.125%, 1/30/2026, 144A		4,547,450
	1,100,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		1,154,153
	2,430,000	NRG Energy, Inc., 7.250%, 5/15/2026		2,606,175

				9,542,706

		Finance Companies – 2.9%
	1,000,000	AGFC Capital Trust I, 3-month LIBOR + 1.750%, 3.054%, 1/15/2067, 144A(a)		527,500
	240,000	International Lease Finance Corp., 4.625%, 4/15/2021		255,003
	60,000	International Lease Finance Corp., 6.250%, 5/15/2019		63,773
	300,000	International Lease Finance Corp., 8.250%, 12/15/2020		350,554
	3,980,000	iStar, Inc., 4.875%, 7/01/2018		4,030,148

		Finance Companies – continued
	1,190,000	iStar, Inc., 5.000%, 7/01/2019		1,205,619
	1,900,000	iStar, Inc., 6.500%, 7/01/2021		1,985,500
	1,984,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		2,028,640
	1,365,000	Navient Corp., MTN, 6.125%, 3/25/2024		1,407,315
	325,000	Navient LLC, MTN, 7.250%, 1/25/2022		355,469
	5,550,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(c)(d)		4,791,315
	3,205,000	Springleaf Finance Corp., 5.250%, 12/15/2019		3,336,405
	805,000	Springleaf Finance Corp., 8.250%, 10/01/2023		913,675

				21,250,916

		Food & Beverage – 0.2%
	1,081,000	Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A		1,113,430

		Government Owned – No Guarantee – 0.2%
	900,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		803,250
	75,000(††)	Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)		402,937

				1,206,187

		Healthcare – 7.1%
	250,000	CHS/Community Health Systems, Inc., 5.125%, 8/01/2021		246,875
	6,945,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		5,451,825
	2,825,000	HCA, Inc., 5.875%, 5/01/2023		3,072,188
	1,065,000	HCA, Inc., 7.050%, 12/01/2027		1,200,788
	4,660,000	HCA, Inc., 7.500%, 11/06/2033		5,289,100
	620,000	HCA, Inc., 7.690%, 6/15/2025		720,750
	375,000	HCA, Inc., 8.360%, 4/15/2024		450,000
	2,945,000	HCA, Inc., MTN, 7.580%, 9/15/2025		3,401,475
	3,875,000	HCA, Inc., MTN, 7.750%, 7/15/2036		4,407,812
	2,475,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		2,598,750
	1,465,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		1,438,908
	1,865,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		1,738,926
	4,745,000	Tenet Healthcare Corp., 5.125%, 5/01/2025, 144A		4,679,756
	3,345,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		3,211,200
	10,334,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		9,042,250
	910,000	Tenet Healthcare Corp., 7.000%, 8/01/2025, 144A		855,400
	1,395,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,419,413
	2,554,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		2,643,390

				51,868,806

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description		Value (†)

	Bonds and Notes – continued

		Home Construction – 1.8%
$	2,350,000	Beazer Homes USA, Inc., 5.875%, 10/15/2027, 144A		$	2,350,000
	300,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023			312,000
	2,205,000	Beazer Homes USA, Inc., 8.750%, 3/15/2022			2,437,352
	882,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(d)			792,759
	3,060,000	Lennar Corp., 4.500%, 6/15/2019			3,147,975
	400,000	PulteGroup, Inc., 6.000%, 2/15/2035			417,000
	2,425,000	TRI Pointe Group, Inc., 4.875%, 7/01/2021			2,534,125
	1,000,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.875%, 6/15/2024			1,070,000

					13,061,211

		Independent Energy – 10.1%
	530,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024			525,978
	480,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044			456,832
	2,840,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A			3,045,900
	470,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A			438,275
	870,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A			789,525
	4,910,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A			4,484,647
	647,000	California Resources Corp., 5.500%, 9/15/2021			344,528
	106,000	California Resources Corp., 6.000%, 11/15/2024			48,230
	4,845,000	California Resources Corp., 8.000%, 12/15/2022, 144A			3,149,250
	1,000,000	Chesapeake Energy Corp., 4.875%, 4/15/2022			930,000
	2,835,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A			2,863,350
	3,610,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A			3,573,900
	1,885,000	Continental Resources, Inc., 3.800%, 6/01/2024			1,819,025
	2,095,000	Continental Resources, Inc., 4.500%, 4/15/2023			2,100,237
	2,345,000	Continental Resources, Inc., 5.000%, 9/15/2022			2,383,106
	6,850,000	Eclipse Resources Corp., 8.875%, 7/15/2023			6,969,875
	2,275,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A			2,354,625
	1,270,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A			1,108,075
	9,165,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A			7,858,987
	1,075,000	OGX Austria GmbH, 8.375%, 4/01/2022, 144A(c)(e)(f)(g)			—
	400,000	OGX Austria GmbH, 8.500%, 6/01/2018, 144A(c)(e)(f)(g)			—

		Independent Energy – continued
	565,000	QEP Resources, Inc., 5.250%, 5/01/2023			549,463
	340,000	Range Resources Corp., 5.000%, 8/15/2022, 144A			339,575
	5,250,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)			2,625,000
	538,000	RSP Permian, Inc., 6.625%, 10/01/2022			564,227
	1,140,000	Sanchez Energy Corp., 6.125%, 1/15/2023			974,700
	1,270,000	SM Energy Co., 5.000%, 1/15/2024			1,196,975
	545,000	SM Energy Co., 5.625%, 6/01/2025			517,750
	572,000	SM Energy Co., 6.125%, 11/15/2022			573,430
	145,000	SM Energy Co., 6.500%, 11/15/2021			146,450
	1,000,000	SM Energy Co., 6.500%, 1/01/2023	��		1,007,500
	2,495,000	Southwestern Energy Co., 4.100%, 3/15/2022			2,398,319
	6,345,000	Southwestern Energy Co., 6.700%, 1/23/2025			6,440,175
	4,526,000	Whiting Petroleum Corp., 5.000%, 3/15/2019			4,527,358
	4,865,000	Whiting Petroleum Corp., 5.750%, 3/15/2021			4,779,862
	1,690,000	Whiting Petroleum Corp., 6.250%, 4/01/2023			1,661,287

					73,546,416

		Industrial Other – 0.1%
	635,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A			650,875

		Life Insurance – 0.4%
	1,530,000	MetLife, Inc., 10.750%, 8/01/2069			2,558,925
	280,000	MetLife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A			415,800

					2,974,725

		Local Authorities – 0.2%
	2,095,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)			1,666,761

		Media Entertainment – 0.3%
	1,000,000	iHeartCommunications, Inc., 9.000%, 3/01/2021			710,000
	1,890,000	iHeartCommunications, Inc., 9.000%, 9/15/2022			1,332,450
	345,000	R.R. Donnelley & Sons Co., 7.625%, 6/15/2020			372,600

					2,415,050

		Metals & Mining – 5.1%
	4,146,853	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(c)(e)(f)(g)(i)			1,659
	500,000	AK Steel Corp., 7.625%, 10/01/2021			520,000
	2,520,000	Allegheny Technologies, Inc., 7.875%, 8/15/2023			2,731,050
	3,000,000	ArcelorMittal, 5.750%, 8/05/2020			3,262,500
	1,880,000	Barrick Gold Corp., 5.250%, 4/01/2042			2,151,040
	4,530,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A			4,637,587

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – continued
$	200,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A	$	204,500
	12,000,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		11,212,500
	785,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020		803,055
	3,960,000	Hecla Mining Co., 6.875%, 5/01/2021		4,108,698
	535,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		556,400
	1,860,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		2,022,750
	463,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		480,362
	4,000,000	United States Steel Corp., 6.650%, 6/01/2037		3,840,000
	750,000	United States Steel Corp., 7.375%, 4/01/2020		817,500

				37,349,601

		Midstream – 1.8%
	800,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		830,000
	5,415,000	Energy Transfer LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		5,848,737
	2,545,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		2,065,168
	180,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		167,400
	50,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		50,000
	3,450,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		3,432,750
	764,273	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		826,974

				13,221,029

		Non-Agency Commercial Mortgage-Backed Securities – 0.0%
	104,989	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(m)		107,225

		Oil Field Services – 2.3%
	2,500,000	FTS International, Inc., 6.250%, 5/01/2022		2,291,450
	2,035,000	Noble Holding International Ltd., 7.750%, 1/15/2024		1,806,063
	6,050,000	Pioneer Energy Services Corp., 6.125%, 3/15/2022		5,112,250
	1,797,317	Precision Drilling Corp., 6.625%, 11/15/2020		1,804,057
	5,391,250	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		5,647,334
	530,000	Transocean, Inc., 6.800%, 3/15/2038		431,950

				17,093,104

		Packaging – 0.3%
	335,000	Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 6.000%, 6/30/2021, 144A		344,213

		Packaging – continued
	1,830,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		2,013,000

				2,357,213

		Property & Casualty Insurance – 0.6%
	1,920,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.564%, 1/15/2033, 144A(a)(j)		921,600
	3,245,000	Sirius International Group Ltd., (fixed rate to 10/25/2017, variable rate thereafter), 4.535%, 144A(b)		3,241,755

				4,163,355

		Railroads – 0.0%
	314,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)(d)		302,684
	30,000	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c)(d)		29,871

				332,555

		REITs – Health Care – 0.3%
	1,815,000	MPT Operating Partnership LP/MPT Finance Corp., 5.000%, 10/15/2027		1,860,375

		Retailers – 2.0%
	1,523,000	Foot Locker, Inc., 8.500%, 1/15/2022		1,778,103
	500,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		518,125
	1,925,000	J.C. Penney Corp., Inc., 5.650%, 6/01/2020		1,891,312
	399,000	J.C. Penney Corp., Inc., 5.750%, 2/15/2018		400,995
	165,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		116,738
	420,000	J.C. Penney Corp., Inc., 8.125%, 10/01/2019		448,350
	3,005,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		480,800
	4,615,000	TRU Taj LLC/TRU Taj Finance, Inc., 11.000%, 1/22/2019, 144A(e)		4,730,375
	4,499,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		4,288,109

				14,652,907

		Supermarkets – 3.0%
	6,300,000	New Albertson’s, Inc., 7.450%, 8/01/2029		4,882,500
	2,865,000	New Albertson’s, Inc., 7.750%, 6/15/2026		2,352,222
	10,190,000	New Albertson’s, Inc., 8.000%, 5/01/2031		8,151,287
	5,625,000	New Albertson’s, Inc., 8.700%, 5/01/2030		4,640,625
	1,150,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		885,500
	155,000	Safeway, Inc., 7.250%, 2/01/2031		133,300
	830,000	SUPERVALU, Inc., 7.750%, 11/15/2022		778,125

				21,823,559

		Technology – 0.8%
	874,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		924,255

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Technology – continued
$	3,420,000	Amkor Technology, Inc., 6.375%, 10/01/2022	$	3,533,031
	263,000	Micron Technology, Inc., 5.500%, 2/01/2025		280,424
	1,151,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		1,316,456

				6,054,166

		Transportation Services – 0.4%
	3,285,000	APL Ltd., 8.000%, 1/15/2024(c)(d)		3,112,538

		Treasuries – 9.0%
	350,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		379,199
	270,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		233,770
	170,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		145,267
	40,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		33,848
	490,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)		410,383
	635,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		530,848
	60,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		50,040
	1,540,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		1,285,683
	24,750,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		209,416
	50,205,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		409,424
	110,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		640,211
	310,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,776,840
	1,595,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		9,320,546
	75,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		462,467

		Treasuries – continued
	490,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		3,186,076
	15,955,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		12,026,816
	1,575,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		217,825
	2,260,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		301,891
	4,170,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		1,432,097
	20,850,000	U.S. Treasury Note, 0.750%, 1/31/2018		20,821,214
	12,000,000	U.S. Treasury Note, 1.000%, 11/30/2018		11,945,625

				65,819,486

		Wireless – 1.6%
	29,970,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		1,565,467
	7,280,000	Sprint Capital Corp., 6.875%, 11/15/2028		8,153,600
	215,000	Sprint Capital Corp., 8.750%, 3/15/2032		274,931
	605,000	Sprint Communications, Inc., 6.000%, 11/15/2022		647,665
	760,000	Sprint Corp., 7.125%, 6/15/2024		855,000

				11,496,663

		Wirelines – 7.6%
	11,550,000	CB Escrow Corp., 8.000%, 10/15/2025, 144A		11,607,750
	205,000	CenturyLink, Inc., 5.625%, 4/01/2025		196,288
	1,555,000	CenturyLink, Inc., 7.650%, 3/15/2042		1,356,737
	1,495,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,323,075
	385,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		378,193
	2,460,000	Cincinnati Bell, Inc., 7.000%, 7/15/2024, 144A		2,410,800
	4,177,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		4,015,141
	1,945,000	Frontier Communications Corp., 6.875%, 1/15/2025		1,453,887
	465,000	Frontier Communications Corp., 7.000%, 11/01/2025		288,300
	4,851,000	Frontier Communications Corp., 7.875%, 1/15/2027		3,492,720
	902,000	Frontier Communications Corp., 8.750%, 4/15/2022		737,385
	2,600,000	Frontier Communications Corp., 9.000%, 8/15/2031		2,021,500
	940,000	Frontier Communications Corp., 11.000%, 9/15/2025		796,650
	1,160,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		1,191,900
	200,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(g)		70,000
	900,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(g)		361,662
	2,100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(g)		843,877

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	800,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028	$	764,464
	1,385,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		1,441,827
	5,332,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		4,952,095
	645,000	Qwest Corp., 7.250%, 9/15/2025		713,697
	1,407,000	Qwest Corp., 7.250%, 10/15/2035		1,407,482
	2,213,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		2,448,131
	1,550,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		1,784,437
	2,595,000	Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.250%, 10/15/2023		2,296,575
	610,000	Windstream Services LLC, 7.500%, 6/01/2022		438,822
	4,740,000	Windstream Services LLC, 7.500%, 4/01/2023		3,377,250
	3,840,000	Windstream Services LLC, 7.750%, 10/15/2020		3,072,000
	375,000	Windstream Services LLC, 7.750%, 10/01/2021		277,500

				55,520,145


		Total Non-Convertible Bonds
		(Identified Cost $511,978,319)		524,322,713


	Convertible Bonds – 8.1%

		Aerospace & Defense – 0.3%
	1,895,000	RTI International Metals, Inc., 1.625%, 10/15/2019		2,109,372

		Building Materials – 0.6%
	3,510,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		3,360,825
	770,000	KB Home, 1.375%, 2/01/2019		808,019

				4,168,844

		Cable Satellite – 1.6%
	10,465,000	DISH Network Corp., 3.375%, 8/15/2026		11,707,719

		Consumer Products – 0.5%
	3,622,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018		3,585,780

		Diversified Manufacturing – 0.4%
	2,315,000	Trinity Industries, Inc., 3.875%, 6/01/2036		3,103,547

		Finance Companies – 0.1%
	390,000	Euronet Worldwide, Inc., 1.500%, 10/01/2044		527,475

		Healthcare – 0.4%
	1,465,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		1,646,294
	1,325,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		1,613,187

				3,259,481


		Leisure – 0.4%
	3,000,000	Rovi Corp., 0.500%, 3/01/2020		3,035,820

		Midstream – 0.6%
	3,915,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		3,592,013
	1,095,000	SM Energy Co., 1.500%, 7/01/2021		1,027,931

				4,619,944

		Pharmaceuticals – 0.5%
	225,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		227,953
	310,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		371,031
	2,310,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		2,086,219
	750,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		579,375

				3,264,578

		Property & Casualty Insurance – 1.1%
	6,242,000	Old Republic International Corp., 3.750%, 3/15/2018		7,981,957

		Technology – 1.6%
	235,000	Finisar Corp., 0.500%, 12/15/2036, 144A		220,313
	41,020	Liberty Interactive LLC, 3.500%, 1/15/2031		41,109
	9,615,000	Nuance Communications, Inc., 1.000%, 12/15/2035		9,018,005
	665,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		642,556
	989,000	Nuance Communications, Inc., 1.500%, 11/01/2035		985,291
	830,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		867,350

				11,774,624


		Total Convertible Bonds
		(Identified Cost $54,309,540)		59,139,141


	Municipals – 0.4%

		District of Columbia – 0.1%
	540,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		765,277

		Puerto Rico – 0.3%
	4,260,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(g)		2,066,100


		Total Municipals
		(Identified Cost $4,120,493)		2,831,377


		Total Bonds and Notes
		(Identified Cost $570,408,352)		586,293,231

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Loan Participations – 0.1%

		ABS Other – 0.1%
$	536,020	Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(e)(m) (Identified Cost $540,040)	$	538,700


	Senior Loans – 0.4%

		Chemicals – 0.2%
	1,610,000	Houghton International, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 8.500%, 9.833%, 12/20/2020(a)		1,620,063

		Financial Other – 0.1%
	721,500	DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 6.567%, 3/04/2022(a)		714,285

		Oil Field Services – 0.0%
	155,170	Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 3.833%, 3/19/2021(a)		130,343

		Other Utility – 0.1%
	325,000	PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.583%, 11/06/2020(a)		322,969

		Retailers – 0.0%
	291,962	Toys “R” Us Property Co. I LLC, New Term Loan B, 1-month LIBOR + 5.000%, 6.235%, 8/21/2019(a)		274,237

		Technology – 0.0%
	128,399	IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.049%, 4/01/2022(a)		123,665

		Transportation Services – 0.0%
	139,839	OSG Bulk Ships, Inc., OBS Term Loan, 3-month LIBOR + 4.250%, 5.570%, 8/05/2019(a)		132,847


		Total Senior Loans
		(Identified Cost $3,329,108)		3,318,409


	Shares

	Common Stocks – 6.7%

		Automobiles – 1.4%
	876,900	Ford Motor Co.		10,496,493

		Electronic Equipment, Instruments & Components – 4.6%
	1,119,766	Corning, Inc.		33,503,399

		Media – 0.0%
	2,154	Dex Media, Inc.(c)(e)(f)(j)(l)		12,493

		Oil, Gas & Consumable Fuels – 0.1%
	2,846	Chesapeake Energy Corp.(j)		12,238
	588	Frontera Energy Corp.(j)		20,523
	11,182	Paragon Offshore Ltd.(e)(f)(j)		181,707

		Oil, Gas & Consumable Fuels – continued
	11,182	Paragon Offshore Ltd., Litigation Units Class A(e)(f)(j)(n)		10,064
	16,773	Paragon Offshore Ltd., Litigation Units Class B(e)(f)(j)(o)		315,886

				540,418

		Pharmaceuticals – 0.6%
	64,900	Bristol-Myers Squibb Co.		4,136,726


		Total Common Stocks
		(Identified Cost $29,388,179)		48,689,529


	Preferred Stocks – 1.6%

	Convertible Preferred Stocks – 1.4%

		Banking – 0.0%
	138	Wells Fargo & Co., Series L, Class A, 7.500%		181,470

		Communications – 0.0%
	1,120	Cincinnati Bell, Inc., 6.750%		56,437

		Energy – 0.7%
	105,921	El Paso Energy Capital Trust I, 4.750%		5,190,129

		Midstream – 0.4%
	12,537	Chesapeake Energy Corp., 5.000%		725,579
	3,000	Chesapeake Energy Corp., 5.750%, 144A		1,830,000
	160	Chesapeake Energy Corp., Series A, 5.750%, 144A		91,500
	30	Chesapeake Energy Corp., 5.750%		18,300

				2,665,379

		REITs – Mortgage – 0.2%
	38,508	iStar, Inc., Series J, 4.500%		1,909,996

		Technology – 0.1%
	5,752	Belden, Inc., 6.750%		621,561


		Total Convertible Preferred Stocks
		(Identified Cost $10,790,588)		10,624,972


	Non-Convertible Preferred Stocks – 0.2%

		Banking – 0.1%
	18,000	Bank of America Corp., 6.375%		463,320

		Finance Companies – 0.0%
	5,300	iStar, Inc., Series F, 7.800%		133,348
	2,575	iStar, Inc., Series G, 7.650%		65,354

				198,702

		Home Construction – 0.1%
	96,887	Hovnanian Enterprises, Inc., 7.625%(j)		587,135

		REITs – Warehouse/Industrials – 0.0%
	3,363	ProLogis, Inc., Series Q, 8.540%		225,321


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,278,555)		1,474,478


		Total Preferred Stocks
		(Identified Cost $12,069,143)		12,099,450

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Institutional High Income Fund – continued


Shares		Description	Value (†)

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


	Principal Amount (‡)

	Short-Term Investments – 11.4%
$	16,625,000	Federal Home Loan Bank Discount Notes, 1.060%, 1/19/2018(k)		16,570,636
	6,565,000	Federal National Mortgage Association Discount Notes, 1.040%, 10/30/2017(k)		6,559,945
	16,212,552	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $16,213,011 on 10/02/2017 collateralized by $15,715,000 U.S. Treasury Inflation Note, 0.125% due 4/15/2020 valued at $16,538,733 including accrued interest (Note 2 of Notes to Financial Statements)		16,212,552
	22,865,000	U.S. Treasury Bills, 0.993%, 10/05/2017(k)		22,863,617
	8,435,000	U.S. Treasury Bills, 1.020%, 10/12/2017(k)		8,432,834
	12,685,000	U.S. Treasury Cash Management Bills, 1.025%, 1/02/2018(k)		12,651,610


		Total Short-Term Investments
		(Identified Cost $83,289,464)		83,291,194


		Total Investments – 100.4%
		(Identified Cost $699,024,286)		734,230,513
		Other assets less liabilities—(0.4)%		(3,188,646	)


		Net Assets – 100.0%	$	731,041,867


	(‡)	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)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	Perpetual bond with no specified maturity date.
	(c)	Illiquid security. (Unaudited)
	(d)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $13,790,857 or 1.9% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(f)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $3,255,589 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 principal.
	(j)	Non-income producing security.
	(k)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(l)	Security subject to restrictions on resale. This security was acquired on August 12, 2016 at a cost of $10,493. At September 30, 2017, the value of this security amounted to $12,493 or less than 0.1% of net assets.
	(m)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(n)	Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $85,478. At September 30, 2017, the value of this security amounted to $10,064 or less than 0.1% of net assets.
	(o)	Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $1,709,463. At September 30, 2017, the value of this security amounted to $315,886 or less than 0.1% of net assets.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $148,834,069 or 20.4% of net assets.
	ABS	Asset-Backed Securities
	EMTN	Euro Medium Term Note
	GO	General Obligation
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	PIK	Payment-in-Kind
	REITs	Real Estate Investment Trusts

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

Industry Summary at September 30, 2017


Independent Energy	10.1	%
Treasuries	9.0
Wirelines	7.6
Healthcare	7.5
Metals & Mining	5.1
Electronic Equipment, Instruments & Components	4.6
Cable Satellite	3.3
Finance Companies	3.0
Supermarkets	3.0
Chemicals	2.9
Midstream	2.8
Technology	2.5
Oil Field Services	2.3
Aerospace & Defense	2.3
Retailers	2.0
Other Investments, less than 2% each	21.0
Short-Term Investments	11.4

Total Investments	100.4
Other assets less liabilities	(0.4	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 79.9% of Net Assets

	Non-Convertible Bonds – 76.3%

		ABS Home Equity – 0.0%
$	31,943	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 3.179%, 7/25/2035(k)	$	29,782


		ABS Other – 3.1%
	2,732,175	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b)(c)(d)		2,700,755
	8,655,887	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		9,063,498
	534,323	Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A		551,804
	288,715	Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A		284,732

				12,600,789


		Aerospace & Defense – 0.3%
	480,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		519,840
	410,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		608,566


				1,128,406

		Airlines – 1.7%
	277,822	Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A		292,825
	480,625	American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027		501,105
	88,881	Continental Airlines Pass Through Certificates, Series 2000-2, Class A-1, 7.707%, 10/02/2022		95,769
	71,945	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		75,902
	80,292	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		84,151
	839,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		856,829
	612,151	Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023		673,366
	657,765	Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024		749,852
	1,391,777	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		1,523,675
	662,024	Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020		681,885
	431,600	US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025		507,475

		Airlines – continued
$	834,977	US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026	$	893,426

				6,936,260

		Automotive – 3.1%
	840,000	Cummins, Inc., 5.650%, 3/01/2098		945,882
	10,935,000	Ford Motor Credit Co. LLC, GMTN, 4.389%, 1/08/2026		11,373,911
	540,000	General Motors Co., 5.200%, 4/01/2045		543,607

				12,863,400

		Banking – 8.3%
	2,875,000	Ally Financial, Inc., 4.125%, 2/13/2022		2,970,163
	800,000	Bank of America Corp., 5.490%, 3/15/2019		835,918
	400,000	Bank of America Corp., MTN, 4.250%, 10/22/2026		418,474
	683,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		707,913
	750,000	Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019		818,480
	1,045,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		786,270
	4,099,000	Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD)		3,303,641
	6,050,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		4,998,359
	660,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		709,018
	4,110,000	JPMorgan Chase & Co., 4.125%, 12/15/2026		4,285,421
	1,291,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		1,509,386
	665,000	Morgan Stanley, 2.500%, 1/24/2019		670,556
	615,000	Morgan Stanley, 3.950%, 4/23/2027		625,627
	1,215,000	Morgan Stanley, 4.350%, 9/08/2026		1,271,993
	840,000	Morgan Stanley, 5.750%, 1/25/2021		927,499
	2,202,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		2,639,412
	420,000	National City Bank of Indiana, 4.250%, 7/01/2018		428,256
	905,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		1,000,857
	2,695,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		2,964,624
	304,000	Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR)		371,920
	1,500,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(e)		2,104,228

				34,348,015

		Brokerage – 1.3%
	3,223,000	Jefferies Group LLC, 5.125%, 1/20/2023		3,520,418
	934,000	Jefferies Group LLC, 6.250%, 1/15/2036		1,036,491
	437,000	Jefferies Group LLC, 6.450%, 6/08/2027		505,994
	80,000	Jefferies Group LLC, 6.875%, 4/15/2021		90,406

				5,153,309

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Building Materials – 0.4%
$	269,000	Masco Corp., 6.500%, 8/15/2032	$	320,780
	133,000	Masco Corp., 7.750%, 8/01/2029		175,133
	992,000	Owens Corning, 7.000%, 12/01/2036		1,283,221

				1,779,134

		Cable Satellite – 0.1%
	15,000	Cox Communications, Inc., 4.800%, 2/01/2035, 144A		14,853
	185,000	Time Warner Cable LLC, 5.500%, 9/01/2041		192,090

				206,943

		Chemicals – 0.8%
	2,995,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		3,084,850
	140,000	Methanex Corp., 5.250%, 3/01/2022		147,501

				3,232,351

		Collateralized Mortgage Obligations – 0.2%
	512,433	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035		563,531
	3,329	Federal National Mortgage Association, REMIC, 7.000%, 4/25/2020(d)(f)		3,426

				566,957

		Consumer Products – 0.1%
	459,000	Hasbro, Inc., 6.600%, 7/15/2028		540,286

		Diversified Manufacturing – 2.5%
	65,000	General Electric Co., GMTN, 3.100%, 1/09/2023		67,798
	12,895,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		9,364,123
	286,000	General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 1.604%, 5/13/2024(a)		277,586
	592,000	Snap-on, Inc., 6.700%, 3/01/2019		630,935

				10,340,442

		Electric – 2.2%
	985,000	Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039, 144A		1,424,182
	797,453	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		342,729
	2,581,000	EDP Finance BV, 4.900%, 10/01/2019, 144A		2,708,063
	450,000	EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP)		813,086
	1,322,000	Enel Finance International NV, 6.000%, 10/07/2039, 144A		1,629,512
	531,000	Enel Finance International NV, 6.800%, 9/15/2037, 144A		700,225
	875,000	Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP)		1,589,238

				9,207,035


		Finance Companies – 2.6%
	889,000	International Lease Finance Corp., 4.625%, 4/15/2021		944,575

		Finance Companies – continued
$	2,080,000	International Lease Finance Corp., 6.250%, 5/15/2019	$	2,210,802
	875,000	Navient Corp., MTN, 6.125%, 3/25/2024		902,125
	4,297,000	Navient LLC, 5.500%, 1/25/2023		4,350,713
	159,000	Navient LLC, MTN, 5.500%, 1/15/2019		164,307
	507,000	Navient LLC, MTN, 7.250%, 1/25/2022		554,531
	983,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		848,624
	611,000	Springleaf Finance Corp., 5.250%, 12/15/2019		636,051

				10,611,728

		Government Guaranteed – 1.1%
	5,314,000	Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD)		4,272,068


		Government Owned – No Guarantee – 0.5%
	780,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		924,552
	705,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		696,892
	625,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		557,813

				2,179,257

		Health Insurance – 0.0%
	13,000	Cigna Corp., 7.875%, 5/15/2027		17,873

		Healthcare – 0.6%
	649,000	Boston Scientific Corp., 6.000%, 1/15/2020		703,656
	1,520,000	HCA, Inc., 4.500%, 2/15/2027		1,554,200
	42,000	HCA, Inc., 5.875%, 3/15/2022		46,515
	232,000	HCA, Inc., MTN, 7.750%, 7/15/2036		263,900


				2,568,271


		Home Construction – 0.9%
	2,536,000	PulteGroup, Inc., 6.000%, 2/15/2035		2,643,780
	1,105,000	PulteGroup, Inc., 6.375%, 5/15/2033		1,198,925

				3,842,705

		Hybrid ARMs – 0.0%
	16,002	FNMA, 6-month LIBOR + 1.504%, 2.952%, 2/01/2037(a)		16,514
	27,691	FNMA, 12-month LIBOR + 1.881%, 3.495%, 9/01/2036(a)		29,287

				45,801


		Independent Energy – 1.6%
	46,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		47,380
	42,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		43,260
	450,000	Continental Resources, Inc., 3.800%, 6/01/2024		434,250
	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		80,200
	1,632,000	EQT Corp., 6.500%, 4/01/2018		1,666,534
	2,277,000	EQT Corp., 8.125%, 6/01/2019		2,498,583

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	1,805,000	Noble Energy, Inc., 3.900%, 11/15/2024	$	1,847,911

				6,618,118

		Integrated Energy – 0.1%
	500,000	Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A		549,399


		Life Insurance – 2.6%
	50,000	American International Group, Inc., 4.125%, 2/15/2024		53,097
	71,000	American International Group, Inc., 4.875%, 6/01/2022		77,989
	1,788,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		2,042,797
	1,898,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)		3,150,026
	1,989,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		2,441,228
	2,190,000	Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A		3,000,524

				10,765,661

		Local Authorities – 1.1%
	2,407,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		1,929,408
	3,412,400	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		2,714,872

				4,644,280

		Media Entertainment – 0.6%
	182,000	21st Century Fox America, Inc., 8.150%, 10/17/2036		269,127
	18,220,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		788,534
	50,000	Viacom, Inc., 4.375%, 3/15/2043		43,074
	845,000	Viacom, Inc., 5.250%, 4/01/2044		809,270
	305,000	Viacom, Inc., 5.850%, 9/01/2043		313,441

				2,223,446

		Metals & Mining – 1.4%
	319,000	ArcelorMittal, 6.750%, 2/25/2022		365,654
	1,750,000	ArcelorMittal, 7.250%, 3/01/2041		2,071,562
	387,000	ArcelorMittal, 7.500%, 10/15/2039		464,400
	1,717,000	Freeport-McMoRan, Inc., 6.500%, 11/15/2020		1,756,491
	873,000	Worthington Industries, Inc., 6.500%, 4/15/2020		957,522

				5,615,629

		Midstream – 2.1%
	159,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		166,950
	1,265,000	Enbridge Energy Partners LP, 7.375%, 10/15/2045		1,629,586
	1,330,000	EnLink Midstream Partners LP, 4.150%, 6/01/2025		1,340,732
	152,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A		165,180

		Midstream – continued
$	607,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A	$	655,501
	3,760,000	ONEOK Partners LP, 4.900%, 3/15/2025		4,021,191
	55,000	ONEOK Partners LP, 6.200%, 9/15/2043		62,680
	35,000	Plains All American Pipeline LP / PAA Finance Corp., 2.850%, 1/31/2023		33,640
	500,000	Williams Partners LP, 3.350%, 8/15/2022		507,503

				8,582,963

		Mortgage Related – 0.0%
	156	FHLMC, 10.000%, with various maturities in 2018(g)		159
	441	FNMA, 6.000%, 12/01/2018		496

				655

		Non-Agency Commercial Mortgage-Backed Securities – 0.9%
	336,103	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		268,678
	278,525	Morgan Stanley Capital I Trust, Series 2008-T29, Class A4, 6.498%, 1/11/2043(k)		280,231
	3,515,000	Original Wempi, Inc., 4.309%, 2/13/2024, (CAD)		2,876,426
	94,890	WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.813%, 3/15/2044, 144A(k)		88,030

				3,513,365

		Packaging – 0.5%
	1,660,000	Sealed Air Corp., 5.500%, 9/15/2025, 144A		1,826,000

		Paper – 0.3%
	704,000	Georgia-Pacific LLC, 7.250%, 6/01/2028		924,487
	175,000	WestRock MWV LLC, 7.550%, 3/01/2047(b)(c)		242,363
	133,000	WestRock MWV LLC, 8.200%, 1/15/2030		186,348

				1,353,198

		Property & Casualty Insurance – 0.9%
	87,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.564%, 1/15/2033, 144A(a)(h)		41,760
	1,640,000	Old Republic International Corp., 4.875%, 10/01/2024		1,762,516
	1,530,000	XLIT Ltd., 6.250%, 5/15/2027		1,812,269

				3,616,545

		Railroads – 0.0%
	144,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		138,810

		REITs – Office Property – 0.2%
	816,000	Highwoods Realty LP, 7.500%, 4/15/2018		840,189

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		REITs – Single Tenant – 0.1%
$	109,000	Realty Income Corp., 5.750%, 1/15/2021	$	119,488
	270,000	Realty Income Corp., 6.750%, 8/15/2019		292,978

				412,466

		Restaurants – 0.1%
	463,000	Darden Restaurants, Inc., 6.000%, 8/15/2035		531,345

		Retailers – 0.0%
	66,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		46,695

		Sovereigns – 1.7%
	2,806,000	U.S. Department of Housing and Urban Development, 1.980%, 8/01/2020		2,823,004
	1,851,000	U.S. Department of Housing and Urban Development, 2.350%, 8/01/2021		1,881,134
	2,244,000	U.S. Department of Housing and Urban Development, 2.450%, 8/01/2022		2,283,495

				6,987,633

		Supermarkets – 0.6%
	171,000	Koninklijke Ahold Delhaize NV, 5.700%, 10/01/2040		196,553
	292,000	New Albertson’s, Inc., 7.450%, 8/01/2029		226,300
	230,000	New Albertson’s, Inc., 7.750%, 6/15/2026		188,835
	999,000	New Albertson’s, Inc., 8.000%, 5/01/2031		799,130
	167,000	New Albertson’s, Inc., 8.700%, 5/01/2030		137,775
	65,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		50,050
	1,063,000	SUPERVALU, Inc., 6.750%, 6/01/2021		1,007,192

				2,605,835

		Supranational – 0.6%
	3,321,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		2,417,579

		Technology – 0.6%
	990,000	KLA-Tencor Corp., 5.650%, 11/01/2034		1,123,315
	209,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		246,833
	1,125,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		1,232,438

				2,602,586

		Transportation Services – 0.2%
	76,000	APL Ltd., 8.000%, 1/15/2024(b)(c)		72,010
	717,000	ERAC USA Finance LLC, 6.700%, 6/01/2034, 144A		894,265

				966,275


		Treasuries – 24.6%
	30,366,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)	$	23,749,120
	26,800,000	Canadian Government International Bond, 1.750%, 9/01/2019, (CAD)		21,564,362
	51,425,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		435,119
	87,450,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		713,158
	255,000(††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		1,484,125
	265,000(††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		1,518,911
	737,400(††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		4,309,072
	175,000(††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		1,079,090
	1,165,000(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		7,575,059
	1,675,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		1,262,608
	10,896,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		1,506,933
	15,641,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		2,089,329
	3,986,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		1,274,780
	10,035,000	U.S. Treasury Note, 0.750%, 10/31/2017		10,032,692
	13,000,000	U.S. Treasury Note, 0.750%, 4/30/2018		12,962,386
	5,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		4,969,727
	5,000,000	U.S. Treasury Note, 1.250%, 6/30/2019		4,982,422

				101,508,893

		Wireless – 0.2%
	10,630,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		555,253
	178,000	Sprint Capital Corp., 6.875%, 11/15/2028		199,360
	66,000	Sprint Communications, Inc., 6.000%, 11/15/2022		70,654
	25,000	Sprint Corp., 7.125%, 6/15/2024		28,125

				853,392

		Wirelines – 5.5%
	1,985,000	AT&T, Inc., 2.625%, 12/01/2022		1,967,102
	1,585,000	AT&T, Inc., 3.000%, 2/15/2022		1,601,757
	1,860,000	AT&T, Inc., 3.950%, 1/15/2025		1,910,441
	1,518,000	BellSouth Telecommunications LLC, 5.850%, 11/15/2045		1,604,374
	186,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		179,711
	1,719,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		1,521,315
	926,000	Embarq Corp., 7.995%, 6/01/2036		939,890

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
	228,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(i)	$	91,621
	100,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(i)		40,185
	380,000	Qwest Capital Funding, Inc., 6.500%, 11/15/2018		399,000
	1,856,000	Qwest Corp., 6.875%, 9/15/2033		1,816,294
	1,117,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		1,235,681
	300,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		467,404
	1,000,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		1,602,511
	400,000	Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP)		666,385
	6,725,000	Verizon Communications, Inc., 2.450%, 11/01/2022		6,673,716

				22,717,387


		Total Non-Convertible Bonds
		(Identified Cost $314,650,274)		314,409,156


	Convertible Bonds – 3.0%

		Property & Casualty Insurance – 2.0%
	6,526,000	Old Republic International Corp., 3.750%, 3/15/2018		8,345,122

		Technology – 1.0%
	402,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		1,228,613
	2,615,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		3,000,712

				4,229,325


		Total Convertible Bonds
		(Identified Cost $9,442,294)		12,574,447


	Municipals – 0.6%

		Illinois – 0.1%
	315,000	State of Illinois, 5.100%, 6/01/2033		318,560

		Michigan – 0.2%
	700,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034		691,222

		Virginia – 0.3%
	1,595,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		1,459,090


		Total Municipals
		(Identified Cost $2,535,936)		2,468,872


		Total Bonds and Notes
		(Identified Cost $326,628,504)		329,452,475

Shares		Description	Value (†)

	Common Stocks – 5.5%

		Automobiles – 0.3%
	91,715	Ford Motor Co.	$	1,097,829

		Electronic Equipment, Instruments & Components – 5.2%
	721,200	Corning, Inc.		21,578,304


		Total Common Stocks
		(Identified Cost $10,079,758)		22,676,133


	Preferred Stocks – 0.8%

	Convertible Preferred Stocks – 0.5%

		Banking – 0.2%
	714	Bank of America Corp., Series L, 7.250%		929,249

		Energy – 0.2%
	15,775	El Paso Energy Capital Trust I, 4.750%		772,975

		Midstream – 0.1%
	4,353	Chesapeake Energy Corp., 5.000%		251,930


		Total Convertible Preferred Stocks
		(Identified Cost $1,679,488)		1,954,154


	Non-Convertible Preferred Stocks – 0.3%
		Electric – 0.1%
	213	Connecticut Light & Power Co. (The), 2.200%		10,710
	2,360	Union Electric Co., 4.500%		236,000

				246,710

		Metals & Mining – 0.2%
	31,440	Arconic, Inc., 5.375%		1,223,016


		Total Non-Convertible Preferred Stocks
		(Identified Cost $1,585,757)		1,469,726


		Total Preferred Stocks
		(Identified Cost $3,265,245)		3,423,880


	Principal Amount (‡)

	Short-Term Investments – 12.9%
$	5,000,000	Federal National Mortgage Association Discount Notes, 1.040%, 11/08/2017(j)		4,994,860
	6,565,000	Federal National Mortgage Association Discount Notes, 1.040%, 10/30/2017(j)		6,559,945

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Investment Grade Fixed Income Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – continued
$	15,075,367	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $15,075,794 on 10/02/2017 collateralized by $14,720,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $15,379,898 including accrued interest (Note 2 of Notes to Financial Statements)	$	15,075,367
	3,000,000	U.S. Treasury Bills, 1.015%, 11/09/2017(j)		2,996,961
	14,905,000	U.S. Treasury Bills, 1.020%, 11/30/2017(j)		14,880,836
	8,435,000	U.S. Treasury Bills, 1.020%, 10/12/2017(j)		8,432,834


		Total Short-Term Investments
		(Identified Cost $52,938,112)		52,940,803


		Total Investments – 99.1%
		(Identified Cost $392,911,619)		408,493,291
		Other assets less liabilities—0.9%		3,741,801


		Net Assets – 100.0%	$	412,235,092


	(‡)	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)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	Illiquid security. (Unaudited)
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $11,979,342 or 2.9% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(e)	Perpetual bond with no specified maturity date.
	(f)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of this security amounted to $3,426 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	The Fund’s investment in mortgage related securities of Federal Home Loan Mortgage Corp. 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.
	(k)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $43,745,722 or 10.6% 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
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts
	REMIC	Real Estate Mortgage Investment Conduit

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

Industry Summary at September 30, 2017


Treasuries	24.6	%
Banking	8.5
Wirelines	5.5
Electronic Equipment, Instruments & Components	5.2
Automotive	3.1
ABS Other	3.1
Property & Casualty Insurance	2.9
Life Insurance	2.6
Finance Companies	2.6
Diversified Manufacturing	2.5
Electric	2.3
Midstream	2.2
Other Investments, less than 2% each	21.1
Short-Term Investments	12.9

Total Investments	99.1
Other assets less liabilities	0.9

Net Assets	100.0	%

See accompanying notes to financial statements.

| 60

Statements of Assets and Liabilities

September 30, 2017


	Core Disciplined Alpha Bond Fund		Fixed Income Fund		Global Bond Fund
ASSETS
Investments at cost	$	30,475,884	$	1,051,713,257	$	1,026,841,396
Net unrealized appreciation		108,830		28,952,268		18,884,689

Investments at value		30,584,714		1,080,665,525		1,045,726,085
Cash		—		284,133		196,952
Due from brokers (Note 2)		—		—		2,582,000
Foreign currency at value (identified cost $0, $8,390 and $17,304,145, respectively)		—		8,193		17,145,002
Receivable for Fund shares sold		—		—		1,547,638
Receivable from investment adviser (Note 6)		12,563		—		—
Receivable for securities sold		1,263,483		3,281,158		122,529,853
Receivable for when-issued/delayed delivery securities sold (Note 2)		2,443,344		—		6,601,982
Collateral received for forward foreign currency contracts (Notes 2 and 4)		—		—		980,000
Dividends and interest receivable		125,294		12,842,417		8,614,521
Unrealized appreciation on forward foreign currency contracts (Note 2)		—		—		2,240,454
Tax reclaims receivable		—		10,777		—
Prepaid expenses (Note 8)		56		804		730

TOTAL ASSETS		34,429,454		1,097,093,007		1,208,165,217


LIABILITIES
Payable for securities purchased		1,696,565		1,742,477		134,825,929
Payable for when-issued/delayed delivery securities purchased (Note 2)		6,953,197		—		13,200,690
Payable for Fund shares redeemed		—		1,165,394		831,342
Unrealized depreciation on forward foreign currency contracts (Note 2)		—		—		2,775,060
Foreign taxes payable (Note 2)		—		—		41,599
Due to brokers (Note 2)		—		—		980,000
Payable for variation margin on futures contracts (Note 2)		—		—		3,002
Management fees payable (Note 6)		—		447,586		479,456
Deferred Trustees’ fees (Note 6)		2,988		189,445		287,219
Administrative fees payable (Note 6)		945		40,118		39,180
Payable to distributor (Note 6d)		3		—		8,383
Other accounts payable and accrued expenses		67,120		85,990		195,025

TOTAL LIABILITIES		8,720,818		3,671,010		153,666,885

NET ASSETS	$	25,708,636	$	1,093,421,997	$	1,054,498,332

NET ASSETS CONSIST OF:
Paid-in capital	$	25,408,319	$	1,023,982,059	$	1,064,358,841
Undistributed (Distributions in excess of) net investment income		14,070		26,287,397		(22,264,559	)
Accumulated net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		177,417		13,624,750		(6,520,277	)
Net unrealized appreciation on investments, futures contracts and foreign currency translations		108,830		29,527,791		18,924,327

NET ASSETS	$	25,708,636	$	1,093,421,997	$	1,054,498,332


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	25,708,636	$	1,093,421,997	$	509,080,475

Shares of beneficial interest		2,541,139		78,333,205		30,839,603

Net asset value, offering and redemption price per share	$	10.12	$	13.96	$	16.51

Retail Class:
Net assets	$	—	$	—	$	288,478,554

Shares of beneficial interest		—		—		17,761,523

Net asset value, offering and redemption price per share	$	—	$	—	$	16.24

Class N shares:
Net assets	$	—	$	—	$	256,939,303

Shares of beneficial interest		—		—		15,525,120

Net asset value, offering and redemption price per share	$	—	$	—	$	16.55

See accompanying notes to financial statements.

61 |

Statements of Assets and Liabilities – continued

September 30, 2017


	Inflation Protected Securities Fund			Institutional High Income Fund		Investment Grade Fixed Income Fund
ASSETS
Investments at cost	$	29,574,915		$	699,024,286	$	392,911,619
Net unrealized appreciation (depreciation)		(88,660	)		35,206,227		15,581,672

Investments at value		29,486,255			734,230,513		408,493,291
Cash		—			161,124		—
Due from brokers (Note 2)		117,000			—		—
Foreign currency at value (identified cost $0, $11 and $3,689, respectively)		—			11		3,635
Receivable for Fund shares sold		16,611			—		—
Receivable from investment adviser (Note 6)		6,921			—		—
Receivable for securities sold		6,550,460			1,464,127		485,852
Dividends and interest receivable		68,171			9,671,239		3,610,156
Tax reclaims receivable		—			5,239		1,841
Prepaid expenses (Note 8)		63			785		291

TOTAL ASSETS		36,245,481			745,533,038		412,595,066


LIABILITIES
Payable for securities purchased		6,322,257			13,888,250		—
Payable for Fund shares redeemed		2,453			—		—
Payable to custodian bank (Note 9)		313,529			—		—
Payable for variation margin on futures contracts (Note 2)		699			—		—
Management fees payable (Note 6)		—			359,577		135,510
Deferred Trustees’ fees (Note 6)		97,038			136,428		139,554
Administrative fees payable (Note 6)		1,133			26,849		15,170
Payable to distributor (Note 6d)		297			79		—
Other accounts payable and accrued expenses		51,820			79,988		69,740

TOTAL LIABILITIES		6,789,226			14,491,171		359,974

NET ASSETS	$	29,456,255		$	731,041,867	$	412,235,092

NET ASSETS CONSIST OF:
Paid-in capital	$	31,708,344		$	672,030,343	$	393,311,409
Undistributed (Distributions in excess of) net investment income		(88,462	)		23,236,275		2,194,275
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(2,088,214	)		463,841		1,005,304
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		(75,413	)		35,311,408		15,724,104

NET ASSETS	$	29,456,255		$	731,041,867	$	412,235,092


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	26,972,411		$	731,041,867	$	412,235,092

Shares of beneficial interest		2,591,715			104,242,471		33,160,945

Net asset value, offering and redemption price per share	$	10.41		$	7.01	$	12.43

Retail Class:
Net assets	$	1,144,498		$	—	$	—

Shares of beneficial interest		110,114			—		—

Net asset value, offering and redemption price per share	$	10.39		$	—	$	—

Class N shares:
Net assets	$	1,339,346		$	—	$	—

Shares of beneficial interest		128,675			—		—

Net asset value, offering and redemption price per share	$	10.41		$	—	$	—

See accompanying notes to financial statements.

| 62

Statements of Operations

For the Year Ended September 30, 2017


	Core Disciplined Alpha Bond Fund(a)			Fixed Income Fund			Global Bond Fund
INVESTMENT INCOME
Interest	$	468,791		$	50,439,949		$	29,058,615
Dividends		—			2,493,480			—
Less net foreign taxes withheld		—			(13,828	)		(96,228	)

		468,791			52,919,601			28,962,387

Expenses
Management fees (Note 6)		63,233			5,517,655			6,369,163
Service and distribution fees (Note 6)		—			—			752,902
Administrative fees (Note 6)		9,408			492,456			484,829
Trustees’ fees and expenses (Note 6)		11,805			63,715			74,831
Transfer agent fees and expenses (Notes 6 and 7)		790			5,997			1,051,268
Audit and tax services fees		52,283			56,246			54,073
Custodian fees and expenses		29,489			63,787			156,255
Legal fees		530			24,644			23,486
Registration fees		20,628			29,493			77,256
Shareholder reporting expenses		3,449			9,117			130,293
Miscellaneous expenses (Note 8)		7,388			50,147			78,093

Total expenses		199,003			6,313,257			9,252,449
Less waiver and/or expense reimbursement (Note 6)		(104,136	)		—			(500,560	)

Net expenses		94,867			6,313,257			8,751,889

Net investment income		373,924			46,606,344			20,210,498


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		224,067			16,751,135			(26,666,469	)
Futures contracts		—			—			1,619,734
Forward foreign currency contracts (Note 2d)		—			—			(12,256,030	)
Foreign currency transactions (Note 2c)		—			220,411			323,520
Net change in unrealized appreciation (depreciation) on:
Investments		108,830			7,080,876			17,447,508
Futures contracts		—			—			319,897
Forward foreign currency contracts (Note 2d)		—			—			(1,200,625	)
Foreign currency translations (Note 2c)		—			611,953			13,750

Net realized and unrealized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		332,897			24,664,375			(20,398,715	)


NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	706,821		$	71,270,719		$	(188,217	)

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

See accompanying notes to financial statements.

63 |

Statements of Operations – continued

For the Year Ended September 30, 2017


	Inflation Protected Securities Fund			Institutional High Income Fund			Investment Grade Fixed Income Fund
INVESTMENT INCOME
Interest	$	789,359		$	40,670,197		$	16,932,682
Dividends		—			2,599,127			765,577
Less net foreign taxes withheld		—			(6,740	)		(3,725	)

		789,359			43,262,584			17,694,534

Expenses
Management fees (Note 6)		92,547			4,437,703			1,654,621
Service and distribution fees (Note 6)		3,430			—			—
Administrative fees (Note 6)		16,522			330,072			184,591
Trustees’ fees and expenses (Note 6)		27,392			48,647			41,456
Transfer agent fees and expenses (Notes 6 and 7)		36,822			14,065			3,596
Audit and tax services fees		45,329			52,001			55,486
Custodian fees and expenses		11,102			62,938			29,769
Legal fees		822			16,647			9,158
Registration fees		53,947			29,518			25,318
Shareholder reporting expenses		6,821			6,000			3,778
Miscellaneous expenses (Note 8)		9,703			35,072			22,333

Total expenses		304,437			5,032,663			2,030,106
Less waiver and/or expense reimbursement (Note 6)		(153,163	)		—			—

Net expenses		151,274			5,032,663			2,030,106

Net investment income		638,085			38,229,921			15,664,428


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		249,621			9,089,168			6,056,053
Futures contracts		155,990			—			—
Foreign currency transactions (Note 2c)		—			20,051			40,969
Net change in unrealized appreciation (depreciation) on:
Investments		(1,006,678	)		18,285,183			543,156
Futures contracts		18,962			—			—
Foreign currency translations (Note 2c)		—			118,838			161,397

Net realized and unrealized gain (loss) on investments, futures contracts and foreign currency transactions		(582,105	)		27,513,240			6,801,575


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	55,980		$	65,743,161		$	22,466,003

See accompanying notes to financial statements.

| 64

Statements of Changes in Net Assets


	Core Disciplined Alpha Bond Fund(a)			Fixed Income Fund
	Period Ended September 30, 2017			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	373,924		$	46,606,344		$	54,193,709
Net realized gain (loss) on investments and foreign currency transactions		224,067			16,971,546			(14,733,139	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		108,830			7,692,829			71,351,050

Net increase in net assets resulting from operations		706,821			71,270,719			110,811,620

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(412,025	)		(38,594,289	)		(55,935,164	)
Net realized capital gains
Institutional Class		—			(668,776	)		(20,555,156	)

Total distributions		(412,025	)		(39,263,065	)		(76,490,320	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		25,413,840			(140,094,362	)		(103,275,850	)

Net increase (decrease) in net assets		25,708,636			(108,086,708	)		(68,954,550	)
NET ASSETS
Beginning of the year		—			1,201,508,705			1,270,463,255

End of the year	$	25,708,636		$	1,093,421,997		$	1,201,508,705

UNDISTRIBUTED NET INVESTMENT INCOME	$	14,070		$	26,287,397		$	19,210,462

(a)

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

See accompanying notes to financial statements.

65 |

Statements of Changes in Net Assets – continued


	Global Bond Fund						Inflation Protected Securities Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	20,210,498		$	31,167,541		$	638,085		$	265,586
Net realized gain (loss) on investments, futures contracts, forward foreign currency contracts and foreign currency transactions		(36,979,245	)		(71,540,046	)		405,611			(340,246	)
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		16,580,530			174,257,302			(987,716	)		1,886,004

Net increase (decrease) in net assets resulting from operations		(188,217	)		133,884,797			55,980			1,811,344

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(2,561,646	)		—			(668,425	)		(347,784	)
Retail Class		(872,650	)		—			(20,989	)		(16,091	)
Class N		(303,406	)		—			(20,520	)		—
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	)		—			(709,934	)		(385,978	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(161,874,817	)		(681,545,914	)		(1,066,925	)		(13,146,542	)

Net decrease in net assets		(167,304,715	)		(547,661,117	)		(1,720,879	)		(11,721,176	)
NET ASSETS
Beginning of the year		1,221,803,047			1,769,464,164			31,177,134			42,898,310

End of the year	$	1,054,498,332		$	1,221,803,047		$	29,456,255		$	31,177,134

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME/ACCUMULATED NET INVESTMENT LOSS	$	(22,264,559	)	$	(1,709,790	)	$	(88,462	)	$	(129,717	)

See accompanying notes to financial statements.

| 66

Statements of Changes in Net Assets – continued


	Institutional High Income Fund						Investment Grade Fixed Income Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	38,229,921		$	38,101,822		$	15,664,428		$	18,546,966
Net realized gain (loss) on investments and foreign currency transactions		9,109,219			1,121,332			6,097,022			(1,495,230	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		18,404,021			43,640,612			704,553			19,812,531

Net increase in net assets resulting from operations		65,743,161			82,863,766			22,466,003			36,864,267

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(39,328,553	)		(38,822,138	)		(14,046,243	)		(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	)		(22,250,314	)		(15,161,682	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 12)		(7,521,647	)		59,897,205			(49,409,381	)		(121,681,227	)

Net increase (decrease) in net assets		16,853,703			83,766,006			(49,193,692	)		(99,978,642	)
NET ASSETS
Beginning of the year		714,188,164			630,422,158			461,428,784			561,407,426

End of the year	$	731,041,867		$	714,188,164		$	412,235,092		$	461,428,784

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	23,236,275		$	20,278,507		$	2,194,275		$	(1,030,169	)

See accompanying notes to financial statements.

67 |

Financial Highlights

For a share outstanding throughout each period.


	Core Disciplined Alpha Bond Fund – Institutional Class
	Period Ended September 30, 2017*
Net asset value, beginning of the period	$	10.00

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15
Net realized and unrealized gain (loss)		0.13

Total from Investment Operations		0.28

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)

Net asset value, end of the period	$	10.12

Total return(b)(c)		2.86	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	25,709
Net expenses(d)(e)		0.45	%
Gross expenses(d)		0.94	%
Net investment income(d)		1.77	%
Portfolio turnover rate(g)		694	%

From commencement of operations on November 30, 2016 through September 30, 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)

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.

(g)

High level of portfolio turnover is attributable to significant TBA transaction activity (See Note 2h).


	Fixed Income Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	13.52		$	13.16		$	15.22		$	14.97		$	14.83

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.57			0.58			0.60			0.65			0.69
Net realized and unrealized gain (loss)		0.34			0.61			(1.46	)		0.57			0.27

Total from Investment Operations		0.91			1.19			(0.86	)		1.22			0.96

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

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

Net asset value, end of the period	$	13.96		$	13.52		$	13.16		$	15.22		$	14.97

Total return		6.96	%		9.72	%		(5.96	)%		8.51	%		6.71	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,093,422		$	1,201,509		$	1,270,463		$	1,403,927		$	1,192,028
Net expenses		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Gross expenses		0.57	%		0.57	%		0.57	%		0.57	%		0.57	%
Net investment income		4.22	%		4.48	%		4.29	%		4.31	%		4.64	%
Portfolio turnover rate		10	%		14	%		15	%		26	%		18	%

(a)

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

See accompanying notes to financial statements.

| 68

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	16.47		$	15.00		$	16.13		$	16.56		$	17.36

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.30			0.33			0.32			0.34			0.33
Net realized and unrealized gain (loss)		(0.18	)		1.14			(1.16	)		(0.08	)		(0.70	)

Total from Investment Operations		0.12			1.47			(0.84	)		0.26			(0.37	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.06	)		—			(0.14	)		(0.51	)		(0.43	)
Net realized capital gains		(0.02	)		—			(0.15	)		(0.18	)		—

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

Net asset value, end of the period	$	16.51		$	16.47		$	15.00		$	16.13		$	16.56

Total return(b)		0.74	%		9.80	%		(5.31	)%		1.57	%		(2.14	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	509,080		$	822,993		$	1,289,885		$	1,553,641		$	1,669,103
Net expenses(c)		0.75	%(d)		0.75	%		0.75	%		0.75	%		0.75	%
Gross expenses		0.80	%		0.83	%		0.78	%		0.77	%		0.78	%
Net investment income		1.88	%		2.13	%		2.07	%		2.03	%		1.96	%
Portfolio turnover rate		163	%		120	%		117	%		143	%		185	%

(a)

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

(b)

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

(c)

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

(d)

Effective July 1, 2017, the expense limit decreased to 0.72%.


	Global Bond Fund – Retail Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	16.23		$	14.82		$	15.97		$	16.40		$	17.20

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.26			0.29			0.28			0.29			0.29
Net realized and unrealized gain (loss)		(0.19	)		1.12			(1.15	)		(0.07	)		(0.70	)

Total from Investment Operations		0.07			1.41			(0.87	)		0.22			(0.41	)

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

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

Net asset value, end of the period	$	16.24		$	16.23		$	14.82		$	15.97		$	16.40

Total return		0.48	%(b)		9.51	%(b)		(5.56	)%(b)		1.35	%		(2.39	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	288,479		$	350,915		$	447,304		$	682,624		$	798,335
Net expenses		1.00	%(c)(d)		1.00	%(c)		1.00	%(c)		0.98	%		0.98	%
Gross expenses		1.05	%		1.08	%		1.03	%		0.98	%		0.98	%
Net investment income		1.67	%		1.87	%		1.81	%		1.80	%		1.72	%
Portfolio turnover rate		163	%		120	%		117	%		143	%		185	%

(a)

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

(b)

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

(c)

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

(d)

Effective July 1, 2017, the expense limit decreased to 0.97%.

See accompanying notes to financial statements.

69 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Global Bond Fund – Class N
	Year Ended September 30, 2017			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)		0.33			0.34			0.34			0.36			0.22
Net realized and unrealized gain (loss)		(0.20	)		1.15			(1.17	)		(0.08	)		(0.56	)

Total from Investment Operations		0.13			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	$	16.55		$	16.50		$	15.01		$	16.13		$	16.56

Total return		0.81	%		9.93	%		(5.22	)%		1.70	%		(1.97	)%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	256,939		$	47,895		$	32,275		$	27,993		$	550
Net expenses		0.69	%(f)		0.66	%		0.63	%		0.63	%(d)		0.70	%(e)(g)
Gross expenses		0.69	%		0.66	%		0.63	%		0.63	%(d)		0.83	%(g)
Net investment income		2.09	%		2.19	%		2.20	%		2.16	%		2.01	%(g)
Portfolio turnover rate		163	%		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)

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

(c)

Periods less than one year are not annualized.

(d)

Includes fee/expense recovery of 0.01%.

(e)

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

(f)

Effective July 1, 2017, the expense limit decreased to 0.67%.

(g)

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

See accompanying notes to financial statements.

| 70

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.64		$	10.17		$	10.33		$	10.64		$	12.18

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.12			0.06			0.15			0.09
Net realized and unrealized gain (loss)		(0.22	)		0.49			(0.15	)		(0.16	)		(0.74	)

Total from Investment Operations		(0.04	)		0.61			(0.09	)		(0.01	)		(0.65	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.19	)		(0.13	)		(0.07	)		(0.20	)		(0.19	)
Net realized capital gains		—			—			—			(0.10	)		(0.70	)
Paid-in capital		—			(0.01	)		—			—			—

Total Distributions		(0.19	)		(0.14	)		(0.07	)		(0.30	)		(0.89	)

Net asset value, end of the period	$	10.41		$	10.64		$	10.17		$	10.33		$	10.64

Total return(b)		(0.33	)%		6.00	%		(0.92	)%		(0.02	)%		(5.70	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	26,972		$	29,655		$	23,696		$	24,480		$	18,434
Net expenses(c)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.81	%		0.86	%		0.80	%		0.91	%		0.91	%
Net investment income		1.73	%		1.16	%		0.62	%		1.41	%		0.75	%
Portfolio turnover rate		354	%(e)		61	%		135	%		206	%(d)		56	%

(a)

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

(b)

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

(c)

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

(d)

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

(e)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to significant shareholder flows.

See accompanying notes to financial statements.

71 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Inflation Protected Securities Fund – Retail Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.62		$	10.14		$	10.31		$	10.61		$	12.15

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

Total from Investment Operations		(0.06	)		0.55			(0.12	)		(0.02	)		(0.69	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)		(0.07	)		(0.05	)		(0.18	)		(0.15	)
Net realized capital gains		—			—			—			(0.10	)		(0.70	)
Paid-in capital		—			(0.00	)(b)		—			—			—

Total Distributions		(0.17	)		(0.07	)		(0.05	)		(0.28	)		(0.85	)

Net asset value, end of the period	$	10.39		$	10.62		$	10.14		$	10.31		$	10.61

Total return(c)		(0.59	)%		5.47	%		(1.17	)%		(0.15	)%		(6.04	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,144		$	1,522		$	19,203		$	5,700		$	3,499
Net expenses(d)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		1.06	%		1.07	%		1.03	%		1.19	%		1.23	%
Net investment income (loss)		1.37	%		(0.47	)%		0.75	%		1.36	%		(0.44	)%
Portfolio turnover rate		354	%(f)		61	%		135	%		206	%(e)		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)

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)

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.

(f)

The variation in the Fund’s turnover rate from 2016 to 2017 was primarily due to significant shareholder flows.


	Inflation Protected Securities Fund – Class N
	Period Ended September 30, 2017*
Net asset value, beginning of the period	$	10.43

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.15
Net realized and unrealized gain (loss)		(0.01	)

Total from Investment Operations		0.14

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)

Total Distributions		(0.16	)

Net asset value, end of the period	$	10.41

Total return(b)(c)		1.40	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,339
Net expenses(d)(e)		0.35	%
Gross expenses(d)		0.77	%
Net investment income(d)		2.18	%
Portfolio turnover rate(f)		354	%

From commencement of Class operations on February 1, 2017 through September 30, 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)

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)

Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

See accompanying notes to financial statements.

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Financial Highlights – continued

For a share outstanding throughout each period.


	Institutional High Income Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	6.81		$	6.72		$	8.15		$	8.24		$	7.74

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.35			0.37			0.40			0.42			0.46
Net realized and unrealized gain (loss)		0.25			0.36			(1.04	)		0.43			0.57

Total from Investment Operations		0.60			0.73			(0.64	)		0.85			1.03

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

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

Net asset value, end of the period	$	7.01		$	6.81		$	6.72		$	8.15		$	8.24

Total return		9.19	%		12.53	%		(8.38	)%		11.14	%		14.17	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	731,042		$	714,188		$	630,422		$	693,333		$	664,866
Net expenses		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Gross expenses		0.68	%		0.68	%		0.68	%		0.68	%		0.68	%
Net investment income		5.17	%		5.87	%		5.45	%		5.16	%		5.76	%
Portfolio turnover rate		17	%		17	%		19	%		29	%		28	%

(a)

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


	Investment Grade Fixed Income Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	12.42		$	11.81		$	12.82		$	12.82		$	13.21

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.46			0.45			0.42			0.46			0.49
Net realized and unrealized gain (loss)		0.22			0.50			(0.88	)		0.21			(0.21	)

Total from Investment Operations		0.68			0.95			(0.46	)		0.67			0.28

LESS DISTRIBUTIONS FROM:
Net investment income		(0.42	)		(0.22	)		(0.44	)		(0.51	)		(0.54	)
Net realized capital gains		(0.25	)		(0.12	)		(0.11	)		(0.16	)		(0.13	)

Total Distributions		(0.67	)		(0.34	)		(0.55	)		(0.67	)		(0.67	)

Net asset value, end of the period	$	12.43		$	12.42		$	11.81		$	12.82		$	12.82

Total return		5.73	%		8.27	%		(3.74	)%		5.36	%		2.14	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	412,235		$	461,429		$	561,407		$	611,607		$	739,886
Net expenses		0.49	%		0.48	%		0.48	%		0.48	%		0.47	%
Gross expenses		0.49	%		0.48	%		0.48	%		0.48	%		0.47	%
Net investment income		3.79	%		3.72	%		3.34	%		3.52	%		3.72	%
Portfolio turnover rate		3	%		23	%		26	%		23	%		25	%

(a)

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

See accompanying notes to financial statements.

73 |

Notes to Financial Statements

September 30, 2017

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 Investment Managers, L.P. (“Natixis”) 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) offer 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, $1,000,000 for Core Disciplined Alpha Bond Fund and $3,000,000 for Fixed Income Fund, Institutional High Income Fund and Investment Grade Fixed Income 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.

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, and Gateway Trust (“Natixis Funds Trusts”) and Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and Natixis ETF Trust. Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class), and transfer agent fees are borne collectively for Institutional Class and Retail Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of a Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

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Notes to Financial Statements – continued

September 30, 2017

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 in accordance with the Fund’s pricing policies and procedures.

As of September 30, 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	$	21,869,512		2.0%	$	4,592,035		0.4%
Global Bond Fund		2,776,317		0.3%		—		—%
Institutional High Income Fund		13,790,857		1.9%		3,255,589		0.4%
Investment Grade Fixed Income Fund		11,979,342		2.9%		3,426		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.

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.

75 |

Notes to Financial Statements – continued

September 30, 2017

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 year ended September 30, 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:


Fixed Income	$	8,395,826
Global Bond		44,152,001
Institutional High Income		1,555,607
Investment Grade Fixed Income		2,118,194

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

| 76

Notes to Financial Statements – continued

September 30, 2017

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 year ended September 30, 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 year ended September 30, 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.

77 |

Notes to Financial Statements – continued

September 30, 2017

Purchases of when-issued or delayed delivery securities may have a similar effect on the Funds’ NAV as if the Funds’ had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities.

i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as distribution redesignations, foreign currency gains and losses, convertible bonds, paydown gains and losses, premium amortization, capital gain and return of capital distributions received, corporate actions, trust preferred securities, defaulted and/or non-income producing securities, capital gain taxes, non-deductible expenses and contingent payment debt instruments. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, straddle loss deferrals, wash sales, convertible bonds, premium amortization, forward foreign currency and futures contracts mark-to-market, trust preferred securities, return of capital distributions received, contingent payment debt instruments, corporate actions, treasury inflation protected bonds and defaulted and/or non-income producing securities. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Funds’ fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2017 and 2016 were as follows:


	2017 Distributions Paid From:						2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Return of Capital		Total
Core Disciplined Alpha Bond Fund	$	412,025	$	—	$	412,025	$	—	$	—	$	—	$	—
Fixed Income Fund		39,263,065		—		39,263,065		57,108,952		19,381,368		—		76,490,320
Global Bond Fund		3,731,727		1,509,954		5,241,681		—		—		—		—
Inflation Protected Securities Fund		709,934		—		709,934		363,875		—		22,103		385,978
Institutional High Income Fund		39,328,553		2,039,258		41,367,811		39,304,593		19,690,372		—		58,994,965
Investment Grade Fixed Income Fund		14,508,117		7,742,197		22,250,314		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.

| 78

Notes to Financial Statements – continued

September 30, 2017

As of September 30, 2017, the components of distributable earnings on a tax basis were 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
Undistributed ordinary income	$	233,302	$	30,793,319	$	—		$	8,514		$	29,847,917	$	2,497,508
Undistributed long-term capital gains		—		17,292,018		—			—			1,665,597		2,680,736

Total undistributed earnings		233,302		48,085,337		—			8,514			31,513,514		5,178,244

Capital loss carryforward:		—		—		—			—			—		—
Short-term:
No expiration date		—		—		—			(641,321	)		—		—
Long-term:
No expiration date		—		—		—			(1,326,843	)		—		—

Total capital loss carryforward		—		—		—			(1,968,164	)		—		—

Late-year ordinary and post-October capital loss deferrals*		—		—		(21,626,563	)		—			—		—

Unrealized appreciation (depreciation)		69,744		23,428,871		12,053,273			(195,401	)		30,792,352		13,947,856

Total accumulated earnings (losses)	$	303,046	$	71,514,208	$	(9,573,290	)	$	(2,155,051	)	$	62,305,866	$	19,126,100

Capital loss carryforward utilized in the current year	$	—	$	—	$	—		$	255,969		$	—	$	—

* Under current tax law, net operating losses, capital losses, foreign currency losses, losses on passive foreign investment companies and contingent payment debt instruments after October 31 or December 31, as applicable, may be deferred and treated as occurring on the first day of the following taxable year. Global Bond Fund is deferring foreign currency losses.

As of September 30, 2017, unrealized appreciation (depreciation) on a tax basis was 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	$	69,744	$	49,081,124		$	15,070,717		$	(195,401	)	$	41,829,467		$	29,840,535
Foreign currency translations		—		(25,652,253	)		(3,017,444	)		—			(11,037,115	)		(15,892,679	)

Total unrealized appreciation (depreciation)	$	69,744	$	23,428,871		$	12,053,273		$	(195,401	)	$	30,792,352		$	13,947,856

As of September 30, 2017, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were 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
Federal tax cost	$	30,932,484		$	1,057,901,025		$	1,033,578,963		$	29,681,656		$	703,639,769		$	394,712,981

Gross tax appreciation	$	125,372		$	79,304,648		$	33,358,757		$	146,476		$	71,606,465		$	35,160,359
Gross tax depreciation		(55,628	)		(56,540,148	)		(21,211,640	)		(341,877	)		(41,015,721	)		(21,380,049	)

Net tax appreciation (depreciation)	$	69,744		$	22,764,500		$	12,147,117		$	( 195,401	)	$	30,590,744		$	13,780,310

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency mark-to-market and capital gains taxes.

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

79 |

Notes to Financial Statements – continued

September 30, 2017

loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. Loan agreements and participations outstanding at the end of the period, if any, are listed in each applicable Fund’s Schedule of Investments.

l. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 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.

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

For the year ended September 30, 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.

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 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.

| 80

Notes to Financial Statements – continued

September 30, 2017

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 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	$	—	$	1,654,816	$	99,989	(b)	$	1,754,805
ABS Home Equity		—		389,178		100,000	(b)		489,178
All Other Non-Convertible Bonds(a)		—		24,801,213		—			24,801,213

Total Non-Convertible Bonds		—		26,845,207		199,989			27,045,196

Municipals(a)		—		188,201		—			188,201

Total Bonds and Notes		—		27,033,408		199,989			27,233,397

Short-Term Investments		—		3,351,317		—			3,351,317

Total	$	—	$	30,384,725	$	199,989		$	30,584,714

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

(b) Valued using broker-dealer bid prices.

For the year ended September 30, 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	$	—	$	806,624	$	886,269	(b)	$	1,692,893
Chemicals		—		16,637,888		3,161,100	(c)		19,798,988
Finance Companies		760,422		45,689,457		—			46,449,879
Metals & Mining		—		16,955,944		1,041	(c)		16,956,985
Retailers		—		6,074,667		2,229,375	(d)		8,304,042
All Other Non-Convertible Bonds(a)		—		662,464,037		—			662,464,037

Total Non-Convertible Bonds		760,422		748,628,617		6,277,785			755,666,824

Convertible Bonds(a)		—		56,541,205		—			56,541,205
Municipals(a)		—		7,397,380		—			7,397,380

Total Bonds and Notes		760,422		812,567,202		6,277,785			819,605,409

Senior Loans(a)		—		785,063		—			785,063
Common Stocks
Media		—		—		39,364	(b)		39,364
Oil, Gas & Consumable Fuels		233,314		—		504,261	(b)		737,575
All Other Common Stocks(a)		20,605,006		—		—			20,605,006

Total Common Stocks		20,838,320		—		543,625			21,381,945

81 |

Notes to Financial Statements – continued

September 30, 2017

Fixed Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	517,901	$	1,075,121	$	—	$	1,593,022
REITs—Mortgage		—		259,061		—		259,061
All Other Convertible Preferred Stocks(a)		8,982,910		—		—		8,982,910

Total Convertible Preferred Stocks		9,500,811		1,334,182		—		10,834,993

Non-Convertible Preferred Stocks
Electric		—		773,751		—		773,751
All Other Non-Convertible Preferred Stocks(a)		2,660,565		—		—		2,660,565

Total Non-Convertible Preferred Stocks		2,660,565		773,751		—		3,434,316

Total Preferred Stocks		12,161,376		2,107,933		—		14,269,309

Short-Term Investments		—		224,623,799		—		224,623,799

Total	$	33,760,118	$	1,040,083,997	$	6,821,410	$	1,080,665,525

(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 process for which the inputs are unobservable to the Fund.

(d) Valued using broker-dealer bid prices.

For the year ended September 30, 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
Non-Convertible Bonds
United States	$	—	$	324,720,758	$	7,725,000	(b)	$	332,445,758
All Other Non-Convertible Bonds(a)		—		694,985,165		—			694,985,165

Total Non-Convertible Bonds		—		1,019,705,923		7,725,000			1,027,430,923

Convertible Bonds(a)		—		1,149,713		—			1,149,713

Total Bonds and Notes		—		1,020,855,636		7,725,000			1,028,580,636

Short-Term Investments		—		17,145,449		—			17,145,449

Total Investments		—		1,038,001,085		7,725,000			1,045,726,085

Forward Foreign Currency Contracts (unrealized appreciation)		—		2,240,454		—			2,240,454
Futures Contracts (unrealized appreciation)		886,277		—		—			886,277

Total	$	886,277	$	1,040,241,539	$	7,725,000		$	1,048,852,816

Liability Valuation Inputs


Description	Level 1			Level 2			Level 3		Total
Forward Foreign Currency Contracts (unrealized depreciation)	$	—		$	(2,775,060	)	$	—	$	(2,775,060	)
Futures Contracts (unrealized depreciation)		(218,184	)		—			—		(218,184	)

Total	$	(218,184	)	$	(2,775,060	)	$	—	$	(2,993,244	)

(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.

| 82

Notes to Financial Statements – continued

September 30, 2017

Inflation Protected Securities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes(a)	$	—	$	27,893,325	$	—		$	27,893,325
Senior Loans(a)		—		1,313,246		—			1,313,246
Short-Term Investments(a)		—		279,684		—	��		279,684
Futures Contracts (unrealized appreciation)		14,318		—		—			14,318

Total	$	14,318	$	29,486,255	$	—		$	29,500,573

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)	$	(1,071	)	$	—	$	—	$	(1,071	)

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

For the year ended September 30, 2017, there were no transfers among Levels 1, 2 and 3.

Institutional High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	—	$	17,345,710	$	2,733,780	(b)	$	20,079,490
Independent Energy		—		73,546,416		—	(c)		73,546,416
Metals & Mining		—		37,347,942		1,659	(b)		37,349,601
Retailers		—		9,922,532		4,730,375	(d)		14,652,907
All Other Non-Convertible Bonds(a)		—		378,694,299		—			378,694,299

Total Non-Convertible Bonds		—		516,856,899		7,465,814			524,322,713

Convertible Bonds(a)		—		59,139,141		—			59,139,141
Municipals(a)		—		2,831,377		—			2,831,377

Total Bonds and Notes		—		578,827,417		7,465,814			586,293,231

Loan Participations(a)		—		—		538,700	(d)		538,700
Senior Loans		—		3,318,409		—			3,318,409
Common Stocks
Media		—		—		12,493	(e)		12,493
Oil, Gas & Consumable Fuels		32,761		—		507,657	(e)		540,418
All Other Common Stocks(a)		48,136,618		—		—			48,136,618

Total Common Stocks		48,169,379		—		520,150			48,689,529

Preferred Stocks
Convertible Preferred Stocks
Midstream		—		2,665,379		—			2,665,379
REITs—Mortgage		—		1,909,996		—			1,909,996
All Other Convertible Preferred Stocks(a)		6,049,597		—		—			6,049,597

Total Convertible Preferred Stocks		6,049,597		4,575,375		—			10,624,972

Non-Convertible Preferred Stocks
REITs—Warehouse/Industrials		—		225,321		—			225,321
All Other Non-Convertible Preferred Stocks(a)		1,249,157		—		—			1,249,157

Total Non-Convertible Preferred Stocks		1,249,157		225,321		—			1,474,478

Total Preferred Stocks		7,298,754		4,800,696		—			12,099,450

83 |

Notes to Financial Statements – continued

September 30, 2017

Institutional High Income Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Warrants	$	—	$	—	$	—	(c)	$	—
Short-Term Investments		—		83,291,194		—			83,291,194

Total	$	55,468,133	$	670,237,716	$	8,524,664		$	734,230,513

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

(b) Fair valued by the Fund’s adviser.

(d) Valued using broker-dealer bid prices.

(e) Fair valued by the Fund’s adviser using broker-dealer bid process for which the inputs are unobservable to the Fund.

For the year ended September 30, 2017, there were no transfers among Levels 1, 2 and 3.

Investment Grade Fixed Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	9,900,034	$	2,700,755	(b)	$	12,600,789
Collateralized Mortgage Obligations		—		563,531		3,426	(c)		566,957
All Other Non-Convertible Bonds(a)		—		301,241,410		—			301,241,410

Total Non-Convertible Bonds		—		311,704,975		2,704,181			314,409,156

Convertible Bonds(a)		—		12,574,447		—			12,574,447
Municipals(a)		—		2,468,872		—			2,468,872

Total Bonds and Notes		—		326,748,294		2,704,181			329,452,475

Common Stocks(a)		22,676,133		—		—			22,676,133

Preferred Stocks
Convertible Preferred Stocks
Midstream		—		251,930		—			251,930
All Other Convertible Preferred Stocks(a)		1,702,224		—		—			1,702,224

Total Convertible Preferred Stocks		1,702,224		251,930		—			1,954,154

Non-Convertible Preferred Stocks
Electric		—		246,710		—			246,710
All Other Non-Convertible Preferred Stocks(a)		1,223,016		—		—			1,223,016

Total Non-Convertible Preferred Stocks		1,223,016		246,710		—			1,469,726

Total Preferred Stocks		2,925,240		498,640		—			3,423,880

Short-Term Investments		—		52,940,803		—			52,940,803

Total	$	25,601,373	$	380,187,737	$	2,704,181		$	408,493,291

(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.

| 84

Notes to Financial Statements – continued

September 30, 2017

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 September 30, 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 September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	—	$	—	$	99,989	$	—	$	—	$	—	$	99,989	$	—
ABS Home Equity		—		—		—		—		100,000		—		—		—		100,000		—

Total	$	—	$	—	$	—	$	—	$	199,989	$	—	$	—	$	—	$	199,989	$	—

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 September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	793,720	$	—	$	—		$	(2,648	)	$	95,197	$	—		$	—	$	—	$	886,269	$	23,322
Chemicals		2,239,350		61,168		—			860,582			—		—			—		—		3,161,100		860,582
Metals & Mining		1,041		17,083		—			(17,083	)		—		—			—		—		1,041		(17,083	)
Retailers		—		—		—			141,375			2,088,000		—			—		—		2,229,375		141,375
Transportation Services		525,427		—		142,451			(135,988	)		—		(531,890	)		—		—		—		—
Common Stocks
Media		13,493		—		—			25,871			—		—			—		—		39,364		25,871
Oil, Gas & Consumable Fuels		—		—		(218	)		(2,867,878	)		3,372,357		—			—		—		504,261		(2,867,878	)
Senior Loans
Wirelines		1,099,188		421		4,053			59,500			—		(1,163,162	)		—		—		—		—
Warrants		17,909		—		25,009			(17,909	)		—		(25,009	)		—		—		—		—

Total	$	4,690,128	$	78,672	$	171,295		$	(1,954,178	)	$	5,555,554	$	(1,720,061	)	$	—	$	—	$	6,821,410	$	(1,833,811	)

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 in to Level 3		Transfers out of Level 3			Balance as of September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
United States	$	1,874,325	$	—	$	—	$	518	$	7,724,482	$	—	$	—	$	(1,874,325	)	$	7,725,000	$	518

A debt security valued at $1,874,325 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

85 |

Notes to Financial Statements – continued

September 30, 2017

Institutional High Income

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 September 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
Chemicals	$	1,953,030		$	113,538	$	—		$	667,212		$	—	$	—		$	—	$	—	$	2,733,780		$	667,212
Independent Energy		—	(a)		86,318		—			(86,318	)		—		—			—		—		—	(a)		(86,318	)
Metals & Mining		1,659			30,384		—			(30,384	)		—		—			—		—		1,659			(30,384	)
Retailers		—			—		—			299,975			4,430,400		—			—		—		4,730,375			299,975
Transportation Services		691,478			—		156,992			(163,637	)		71,063		(755,896	)		—		—		—			—
Loan Participations
ABS Other		642,558			—		(854	)		10,845			—		(113,849	)		—		—		538,700			8,710
Senior Loans
Wirelines		503,243			193		1,835			27,261			—		(532,532	)		—		—		—			—
Common Stocks
Media		4,282			—		—			8,211			—		—			—		—		12,493			8,211
Oil, Gas & Consumable Fuels		—			—		(248	)		(3,424,413	)		3,932,318		—			—		—		507,657			(3,424,413	)
Warrants		4,451			—		6,215			(4,451	)		—		(6,215	)		—		—		—	(a)		—

Total	$	3,800,701		$	230,433	$	163,940		$	(2,695,699	)	$	8,433,781	$	(1,408,492	)	$	—	$	—	$	8,524,664		$	(2,557,007	)

(a) Fair valued at zero.

Investment Grade Fixed Income

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 September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	43,515	$	—	$	—		$	—		$	—	$	—		$	—	$	(43,515	)	$	—	$	—
ABS Other		3,413,077		—		1,492			(3,805	)		—		(102,021	)		—		(607,988	)		2,700,755		(3,361	)
Collateralized Mortgage Obligations		5,603		—		(59	)		(24	)		—		(2,094	)		—		—			3,426		(13	)
Non-Agency Commercial Mortgage-Backed Securities		2,738,247		—		(3,436	)		5,189			—		(2,740,000	)		—		—			—		—
Transportation Services		426,481		—		12,190			(7,335	)		—		(431,336	)		—		—			—		—

Total	$	6,626,923	$	—	$	10,187		$	(5,975	)	$	—	$	(3,275,451	)	$	—	$	(651,503	)	$	2,704,181	$	(3,374	)

A debt security valued at $43,515 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $607,988 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

| 86

Notes to Financial Statements – continued

September 30, 2017

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 year ended September 30, 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 year ended September 30, 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 September 30, 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	$	2,240,454		$	—
Exchange-traded/cleared asset derivatives
Interest rate contracts		—			886,277

Total asset derivatives	$	2,240,454		$	886,277


Liabilities	Unrealized depreciation on forward foreign currency contracts			Unrealized depreciation on futures contracts¹
Over-the-counter liability derivatives
Foreign exchange contracts	$	(2,775,060	)	$	—
Exchange-traded/cleared liability derivatives
Interest rate contracts		—			(218,184	)

Total liability derivatives	$	(2,775,060	)	$	(218,184	)

¹ Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day’s variation margin on futures contracts is reported within the Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.

Transactions in derivative instruments for Global Bond Fund during the year ended September 30, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts		Forward foreign currency contracts
Interest rate contracts	$	1,619,734	$	—
Foreign exchange contracts		—		(12,256,030	)

Total	$	1,619,734	$	(12,256,030	)


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts		Forward foreign currency contracts
Interest rate contracts	$	319,897	$	—
Foreign exchange contracts		—		(1,200,625	)

Total	$	319,897	$	(1,200,625	)

87 |

Notes to Financial Statements – continued

September 30, 2017

The following is a summary of derivative instruments for Inflation Protected Securities Fund as of September 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets	Unrealized appreciation on futures contracts¹
Exchange-traded/cleared asset derivatives
Interest rate contracts	$	14,318

Liabilities	Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	(1,071	)

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 Inflation Protected Securities Fund during the year ended September 30, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Futures contracts
Interest rate contracts	$	155,990

Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	18,962

As the Funds value their derivatives at fair value and recognize changes in fair value through the Statements of Operations, they do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds’ investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of these disclosures.

The volume of forward foreign currency contract and futures contract activity, as a percentage of net assets for Global Bond Fund and Inflation Protected Securities Fund based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2017:


Global Bond Fund	Forwards		Futures
Average Notional Amount Outstanding		30.77%		23.07%
Highest Notional Amount Outstanding		41.02%		28.67%
Lowest Notional Amount Outstanding		24.46%		8.24%
Notional Amount Outstanding as of September 30, 2017		32.18%		13.09%

Inflation Protected Fund			Futures
Average Notional Amount Outstanding				40.78%
Highest Notional Amount Outstanding				131.81%
Lowest Notional Amount Outstanding				9.49%
Notional Amount Outstanding as of September 30, 2017				29.18%

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.

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

| 88

Notes to Financial Statements – continued

September 30, 2017

amount payable by either the Funds or the counterparty. The Funds’ ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of a Fund declines beyond a certain threshold. For financial reporting purposes, the Funds do not offset derivative assets and liabilities, and any related collateral received or pledged, on the Statements of Assets and Liabilities.

As of September 30, 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
Bank of America, N.A.	$	85,616	$	—		$	85,616	$	—		$	85,616
Citibank N.A.		837,627		(205,292	)		632,335		(632,335	)		—
Credit Suisse International		252,572		(252,572	)		—		—			—
Deutsche Bank AG		76,566		—			76,566		—			76,566
HSBC Bank USA		375,304		—			375,304		—			375,304
Morgan Stanley & Co.		323,864		(228,352	)		95,512		—			95,512
UBS AG		288,905		—			288,905		(280,000	)		8,905

	$	2,240,454	$	(686,216	)	$	1,554,238	$	(912,335	)	$	641,903


Counterparty	Gross Amounts of Liabilities			Offset Amount		Net Liability Balance			Collateral (Received)/ Pledged		Net Amount
Citibank N.A.	$	(205,292	)	$	205,292	$	—		$	—	$	—
Credit Suisse International		(2,305,058	)		252,572		(2,052,486	)		2,052,486		—
Morgan Stanley & Co.		(228,352	)		228,352		—			—		—
State Street Bank and Trust Company		(36,358	)		—		(36,358	)		—		(36,358	)

	$	(2,775,060	)	$	686,216	$	(2,088,844	)	$	2,052,486	$	(36,358	)

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 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 Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2017:


Fund	Maximum Amount of Loss - Gross		Maximum Amount of Loss - Net
Global Bond Fund	$	9,862,298	$	6,211,261
Inflation Protected Securities Fund		136,943		136,943

89 |

Notes to Financial Statements – continued

September 30, 2017

These amounts include cash received as collateral for Global Bond Fund of $980,000.

5. Purchases and Sales of Securities. For the year ended September 30, 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	$	180,062,121	$	164,661,875	$	31,539,783	$	19,586,020
Fixed Income Fund		34,947,266		72,170,449		66,600,052		338,067,830
Global Bond Fund		1,210,940,418		1,266,674,401		514,584,833		580,054,681
Inflation Protected Securities Fund		119,905,041		124,966,811		6,108,114		2,334,292
Institutional High Income Fund		11,968,594		—		102,890,223		189,421,016
Investment Grade Fixed Income Fund		4,992,187		9,986,590		7,878,660		101,766,202

6. Management Fees and Other Transactions with Affiliates.

a. Management Fees. Loomis, Sayles & Company, L.P. (“Loomis Sayles”) serves as investment adviser to each Fund. Separate management agreements for each Fund in effect for the year ended September 30, 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		0.575%		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%

Prior to July 1, 2017, Global Bond Fund’s management agreement provided for fees at the following annual percentage rates of the 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

Global Bond Fund

0.60%

0.50%

0.48%

0.45%

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, except for Global Bond Fund which is in effect until January 31, 2019, may be terminated before then only with the consent of the Funds’ Board of Trustees, and are reevaluated on an annual basis. Management fees payable, as reflected on the Statements of Assets and Liabilities, is net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.

For the year ended September 30, 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		0.72%		0.97%		0.67%
Inflation Protected Securities Fund		0.40%		0.65%		0.35%
Institutional High Income Fund		0.75%		—		—
Investment Grade Fixed Income Fund		0.55%		—		—

| 90

Notes to Financial Statements – continued

September 30, 2017

Prior to July 1, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements for Global Bond Fund were as follows:

Expense Limit as a Percentage of
Average Daily Net Assets

Fund

Institutional
Class

Retail
Class

Class N

Global Bond Fund

0.75%

1.00%

0.70%

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 year ended September 30, 2017, the management fees and waivers of management fees for each Fund were as follows:


Fund	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
Core Disciplined Alpha Bond Fund	$	63,233	$	63,233	$	—		0.30	%		—	%
Fixed Income Fund		5,517,655		—		5,517,655		0.50	%		0.50	%
Global Bond Fund		6,369,163		4,169		6,364,994		0.59	%		0.59	%
Inflation Protected Securities Fund		92,547		92,547		—		0.25	%		—	%
Institutional High Income Fund		4,437,703		—		4,437,703		0.60	%		0.60	%
Investment Grade Fixed Income Fund		1,654,621		—		1,654,621		0.40	%		0.40	%

¹ Management fee waiver is subject to possible recovery until September 30, 2018.

For the year ended September 30, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement²
Fund	Institutional Class		Retail Class		Class N		Total
Global Bond Fund		334,262		160,760		1,369	$	496,391
Inflation Protected Securities Fund		23,168		873		—	$	24,041

In addition, the investment adviser reimbursed non-class-specific expenses of Core Disciplined Alpha Bond Fund and Inflation Protected Securities Fund in the amount of $40,903 and $36,183, respectively.²

² Expense reimbursements are subject to possible recovery until September 30, 2018.

No expenses were recovered for any of the Funds during the year ended September 30, 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, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.

b. Distribution Fees. Natixis Distribution, which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution, L.P. (“Natixis 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”).

91 |

Notes to Financial Statements – continued

September 30, 2017

For the year ended September 30, 2017, the distribution fees for each Fund were as follows:


Fund	Retail Class
Global Bond Fund	$	752,902
Inflation Protected Securities Fund		3,430

For the year ended September 30, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
Core Disciplined Alpha Bond Fund	$	9,408
Fixed Income Fund		492,456
Global Bond Fund		484,829
Inflation Protected Securities Fund		16,522
Institutional High Income Fund		330,072
Investment Grade Fixed Income Fund		184,591

d. Sub-Transfer Agent Fees. Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Funds’ Board of Trustees, which is based on fees for similar services paid to the Funds’ transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended September 30, 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
Core Disciplined Alpha Bond Fund	$	6
Global Bond Fund		999,039
Inflation Protected Securities Fund		29,656
Institutional High Income Fund		6,156


Fund	Reimbursements of Sub-Transfer Agent Fees
Core Disciplined Alpha Bond Fund	$	3
Global Bond Fund		8,383
Inflation Protected Securities Fund		297
Institutional High Income Fund		79

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.

| 92

Notes to Financial Statements – continued

September 30, 2017

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, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

f. Affiliated Ownership. As of September 30, 2017, the percentage of each Fund’s net assets owned by affiliates is as follows:


Core Disciplined Alpha Bond Fund	Percentage of Net Assets
Natixis		100%


Inflation Protected Securities Fund	Percentage of Net Assets
Loomis Sayles Distributors		8.83%
Loomis Sayles Employees’ Profit Sharing Retirement Plan		15.30%
Natixis Sustainable Future 2015 Fund		1.30%
Natixis Sustainable Future 2020 Fund		0.87%
Natixis Sustainable Future 2025 Fund		0.55%
Natixis Sustainable Future 2030 Fund		0.46%
Natixis Sustainable Future 2035 Fund		0.37%
Natixis Sustainable Future 2040 Fund		0.38%
Natixis Sustainable Future 2045 Fund		0.15%
Natixis Sustainable Future 2050 Fund		0.15%
Natixis Sustainable Future 2055 Fund		0.15%
Natixis Sustainable Future 2060 Fund		0.15%


Institutional High Income Fund	Percentage of Net Assets
Loomis Sayles Employees’ Profit Sharing Retirement Plan		2.36%

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

g. Reimbursement of Transfer Agent Fees and Expenses. Natixis 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 year ended September 30, 2017, Natixis Advisors reimbursed the Fund $392 for transfer agency expenses related to Class N shares.

7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Global Bond Fund and Inflation Protected Securities Fund 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.

93 |

Notes to Financial Statements – continued

September 30, 2017

For the year ended September 30, 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	$	707,591	$	342,308	$	1,369

For the period from February 1, 2017 (commencement of Class N operations) through September 30, 2017, Inflation Protected Securities 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
Inflation Protected Securities Fund	$	35,163	$	1,267	$	392

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 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the year ended September 30, 2017, none of the Funds had borrowings under this agreement.

9. Payable to Custodian Bank. The Funds’ custodian bank, State Street Bank, provides overdraft protection to the Funds in the event of a cash shortfall. Cash overdrafts bear interest at a rate per annum equal to the Federal Funds rate plus 2.00%. At September 30, 2017, the Fund had payables to the custodian bank for overdrafts and incurred interest in connection with these overdrafts as follows:


Fund	Payable to Custodian Bank
Inflation Protected Securities Fund	$	313,529

10. 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.

11. Concentration of Ownership. From time to time, a Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of September 30, 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 Fund		—		—		100.00%		100.00%
Fixed Income Fund		4		29.46%		—		29.46%
Global Bond Fund		1		21.68%		—		21.68%
Inflation Protected Securities Fund		2		25.83%		28.66%		54.49%
Institutional High Income Fund		2		13.47%		—		13.47%
Investment Grade Fixed Income Fund		4		39.01%		—		39.01%

| 94

Notes to Financial Statements – continued

September 30, 2017

12. 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 September 30, 2017(a)

Institutional Class	Shares			Amount
Issued from the sale of shares		2,500,179		$	25,001,815
Issued in connection with the reinvestment of distributions		40,960			412,025

Net change		2,541,139		$	25,413,840

Increase (decrease) from capital share transactions		2,541,139		$	25,413,840


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

	Fixed Income Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		3,717,267		$	50,497,595			4,891,553		$	62,806,285
Issued in connection with the reinvestment of distributions		2,755,884			35,633,586			5,631,834			68,539,429
Redeemed		(17,001,767	)		(226,225,543	)		(18,212,948	)		(234,621,564	)

Net change		(10,528,616	)	$	(140,094,362	)		(7,689,561	)	$	(103,275,850	)

Increase (decrease) from capital share transactions		(10,528,616	)	$	(140,094,362	)		(7,689,561	)	$	(103,275,850	)


	Global Bond Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		8,923,076		$	141,685,513			12,012,824		$	185,937,871
Issued in connection with the reinvestment of distributions		215,847			3,336,980			—			—
Redeemed		(28,273,035	)		(441,751,354	)		(48,030,491	)		(748,675,574	)

Net change		(19,134,112	)	$	(296,728,861	)		(36,017,667	)	$	(562,737,703	)


Retail Class
Issued from the sale of shares		2,947,547		$	46,634,209			3,051,116		$	46,513,165
Issued in connection with the reinvestment of distributions		83,316			1,268,803			—			—
Redeemed		(6,890,864	)		(107,779,128	)		(11,614,502	)		(176,898,846	)

Net change		(3,860,001	)	$	(59,876,116	)		(8,563,386	)	$	(130,385,681	)


Class N
Issued from the sale of shares		16,040,773		$	249,378,730			919,910		$	14,173,535
Issued in connection with the reinvestment of distributions		23,012			356,772			—			—
Redeemed		(3,441,640	)		(55,005,342	)		(166,839	)		(2,596,065	)

Net change		12,622,145		$	194,730,160			753,071		$	11,577,470

Increase (decrease) from capital share transactions		(10,371,968	)	$	(161,874,817	)		(43,827,982	)	$	(681,545,914	)

95 |

Notes to Financial Statements – continued

September 30, 2017

12. Capital Shares – continued


	Inflation Protected Securities Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		1,740,738		$	18,132,311			1,087,435		$	11,405,849
Issued in connection with the reinvestment of distributions		46,571			483,546			27,761			292,974
Redeemed		(1,983,730	)		(20,686,159	)		(656,052	)		(6,793,970	)

Net change		(196,421	)	$	(2,070,302	)		459,144		$	4,904,853


Retail Class
Issued from the sale of shares		32,413		$	338,026			475,636		$	4,848,867
Issued in connection with the reinvestment of distributions		1,997			20,705			1,606			16,580
Redeemed		(67,566	)		(704,693	)		(2,228,362	)		(22,916,842	)

Net change		(33,156	)	$	(345,962	)		(1,751,120	)	$	(18,051,395	)


Class N(a)
Issued from the sale of shares		126,867		$	1,330,496			—		$	—
Issued in connection with the reinvestment of distributions		1,970			20,520			—			—
Redeemed		(162	)		(1,677	)		—			—

Net change		128,675		$	1,349,339			—		$	—

Increase (decrease) from capital share transactions		(100,902	)	$	(1,066,925	)		(1,291,976	)	$	(13,146,542	)


(a) From commencement of Class operations on February 1, 2017 through September 30, 2017.

	Institutional High Income Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		8,973,166		$	60,734,665			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		(15,396,789	)		(105,855,512	)		(14,850,839	)		(96,030,408	)

Net change		(674,510	)	$	(7,521,647	)		11,151,158		$	59,897,205

Increase (decrease) from capital share transactions		(674,510	)	$	(7,521,647	)		11,151,158		$	59,897,205


	Investment Grade Fixed Income Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		4,119,247		$	50,393,178			4,197,598		$	50,532,659
Issued in connection with the reinvestment of distributions		1,688,036			20,304,273			1,199,344			14,138,073
Redeemed		(9,790,799	)		(120,106,832	)		(15,778,562	)		(186,351,959	)

Net change		(3,983,516	)	$	(49,409,381	)		(10,381,620	)	$	(121,681,227	)

Increase (decrease) from capital share transactions		(3,983,516	)	$	(49,409,381	)		(10,381,620	)	$	(121,681,227	)

| 96

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds I and Shareholders of 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 and Loomis Sayles Investment Grade Fixed Income Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles 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, and Loomis Sayles Investment Grade Fixed Income Fund, each a series of Loomis Sayles Funds I, (collectively, the “Funds”) as of September 30, 2017, the results of its operations for the period then ended, the changes in its net assets for each of the periods indicated and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2017

97 |

2017 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2017, a percentage of dividends distributed by the Funds listed below qualify for the dividends received deduction for corporate shareholders. These percentages are as follows:


Fund	Qualifying Percentage
Fixed Income		6.93%
Institutional High Income		6.47%
Investment Grade Fixed Income		6.03%


Fund	Amount
Global Bond	$	1,509,954
Institutional High Income		2,039,258
Investment Grade Fixed Income		7,742,197

Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Funds below will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Funds pay a distribution during calendar year 2017, complete information will be reported in conjunction with Form 1099-DIV.

Fund

Fixed Income

Institutional High Income

Investment Grade Fixed Income

Foreign Tax Credit. For the year ended September 30, 2017, the Fund intends to pass through foreign tax credits and have derived gross income from sources within foreign countries amounting to:


Fund	Foreign Tax Credit Pass-Through		Foreign Source Income
Global Bond	$	65,048	$	23,129,405

| 98

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement(s) of Additional Information include additional information about the trustees of the Trust and are available by calling Loomis Sayles Funds at 800-633-3330.


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

Independent Trustees
Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

99 |


Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
Maureen B. Mitchell³ (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	53 None	Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

Sandra O. Moose (1942)	Trustee since 2003 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

| 100


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

Interested Trustees
Kevin P. Charleston⁴ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁵ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.	53 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation.

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

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

³	Ms. Mitchell was appointed as a Trustee effective July 1, 2017.

⁴	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁵

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


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

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

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

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

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

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

101 |

LOOMIS FUNDS

Supplement dated June 30, 2017 to the Loomis Funds Summary Prospectuses, dated February 1, 2017, as may be revised or supplemented from time to time, for the following funds:

LOOMIS SAYLES GLOBAL BOND FUND

Effective July 1, 2017, Loomis, Sayles & Company, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses (exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses) to 0.72%, 0.97% and 0.67% of the Fund’s average daily net assets for Institutional Class, Retail Class and Class N, respectively.

This undertaking is in effect through January 31, 2019.

Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)


	Institutional Class	Retail Class	Class N
Management fees¹	0.55%	0.55%	0.55%
Distribution and/or service (12b-1) fees	0.00%	0.25%	0.00%
Other expenses	0.26%	0.26%	0.09%
Total annual fund operating expenses	0.81%	1.06%	0.64%
Fee waiver and/or expense reimbursement²	0.09%	0.09%	0.00%
Total annual fund operating expenses after fee waiver and/or expense reimbursement	0.72%	0.97%	0.64%

1	The Fund’s operating expenses have been restated to reflect a reduction in management fees, effective as of July 1, 2017, as if such reduction had been in effect during the fiscal year ended September 30, 2016. The information has been restated to better reflect anticipated expenses of the Fund.

Loomis, Sayles & Company, L.P. (“Loomis Sayles” or the “Adviser”) has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses to 0.72%, 0.97% and 0.67% of the Fund’s average daily net assets for Institutional Class shares, Retail Class shares and Class N shares, respectively, exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through January 31, 2019 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Institutional Class shares, Retail Class shares and Class N shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the examples for the Institutional Class and Retail Class shares are based on the Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will only be in place through the date noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be higher or lower, based on these assumptions your costs would be:


If shares are redeemed:
	1 year	3 years	5 years	10 years
Institutional Class	$74	$244	$435	$988
Retail Class	$99	$323	$571	$1,281
Class N	$65	$205	$357	$798

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Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Retail Class Shares

Retail Class shares of the Fund are subject to a minimum initial investment of $2,500 and a minimum subsequent investment of $50.

There is no initial or subsequent investment minimum for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Institutional Class Shares

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.

LOOMIS SAYLES CORE DISCIPLINED ALPHA BOND FUND

LOOMIS SAYLES SMALL/MID CAP GROWTH FUND

Institutional Class Shares

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

This page not part of shareholder report

103 |

•

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.

LOOMIS SAYLES FIXED INCOME FUND

LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND

LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND

Institutional Class Shares

Institutional Class shares of the Fund are generally subject to a minimum initial investment of $3,000,000 and a minimum subsequent investment of $50,000, except there is no minimum initial or subsequent investment for:

•

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Class N Shares


Loomis Sayles Bond Fund		Loomis Sayles Institutional High Income Fund
Loomis Sayles Core Disciplined Alpha Bond Fund		Loomis Sayles Investment Grade Fixed Income Fund
Loomis Sayles Fixed Income Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund		Loomis Sayles Small/Mid Cap Growth Fund

Effective July 1, 2017, the first sentence in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

The following information shows the investment minimum for various types of accounts:

Effective July 1, 2017, the following is added to the section “Purchase and Sale of Fund Shares” in each Fund’s Summary:

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| 104

Effective July 1, 2017, the last paragraph in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is amended and restated as follows:

This page not part of shareholder report

105 |

LOGO

Loomis Sayles High Income Opportunities Fund

Loomis Sayles Securitized Asset Fund

Annual Report

September 30, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			9
Financial Statements			31
Notes to Financial Statements			35

LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND


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

Investment Objective

The Fund’s investment objective is high current income. Capital appreciation is the Fund’s secondary objective.

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of the Loomis Sayles High Income Opportunities Fund returned 8.91%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 8.88%.

Explanation of Fund Performance

Security selection within high yield corporate credit was a leading contributor to performance, with positive contributions from energy, metals and mining, and pharmaceuticals names. Exposure to emerging markets credit also benefited return as selected holdings in the space performed well. In addition, an out-of-benchmark allocation to convertible securities generated strong positive performance, bolstered by holdings within the pharmaceutical and technology sectors.

Conversely, the Fund’s out-of-benchmark exposure to equities was the most significant detractor from performance. Selected energy-related equity holdings were among the biggest laggards. In addition, the Fund’s modest exposure to US Treasuries weighed on performance. An out-of-benchmark allocation to investment grade corporate bonds also detracted from relative performance as the segment lagged high yield corporate bonds during the period.

Outlook

Within the high yield sector, we believe valuations have become less compelling, and we do not expect broad-based price appreciation from current levels. The underlying fundamentals of the sector remain supportive given the positive outlook for corporate profits and the low probability of defaults or economic recession. At this stage of the credit cycle,¹we are seeing increasing debt levels, but overall, balance sheets remain healthy and interest rate coverage is strong. We are watching for idiosyncratic risk factors or volatility that may allow us to selectively add to existing positions or establish exposure to new issues. In general, we are focusing on undervalued issues and looking for areas where we can move up in quality.

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

1 |

Looking ahead, our investment themes are centered on broadening portfolio diversification, generating income, lowering duration and reducing overall interest rate sensitivity. In terms of asset allocation, the fund is structurally very different from the benchmark and is well-positioned going into the fund’s next fiscal year, in our view. We are also comfortable keeping a larger allocation to reserve-type positions, and we will patiently monitor market developments for better buying opportunities where we feel we can add long-term value for our investors.

Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2007 through September 30, 2017

LOGO

Average Annual Total Returns — September 30, 2017



										Expense Ratios²
	1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 4/12/04)		8.91	%		7.50	%		8.26	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index¹		8.88			6.36			7.84

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 Bond 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 Natixis Advisors, L.P.

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LOOMIS SAYLES SECURITIZED ASSET FUND


Managers	Symbol
Ian Anderson	Institutional Class	LSSAX
Alessandro Pagani, CFA^®
Clifton V. Rowe, CFA^®

Investment Objective

The Fund’s investment objective is to seek a high level of current income consistent with capital preservation.

Market Conditions

Securitized credit assets generated positive total returns and outperformed duration-matched Treasuries (duration refers to a security’s price sensitivity to interest rate changes). In September 2017, volatility remained muted after the Fed announced it would start tapering mortgage-backed security (MBS) reinvestments in October 2017; the move had been well telegraphed and was largely expected.

Performance Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Securitized Asset Fund returned 1.40%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Securitized Bond Index, which returned 0.29%.

Explanation of Fund Performance

The Fund’s asset-backed security (ABS) holdings were the top contributor to relative performance during the period, largely due to strong security selection. The allocation generated positive absolute return and outperformed duration-matched Treasuries.

An overweight to commercial mortgage-backed securities (CMBS) was also a strong contributor to relative performance. The Fund’s positions in the space generated positive absolute and duration-adjusted returns. An allocation to residential mortgage-backed securities (RMBS) was also beneficial to relative performance, as these holdings generated significant excess return over Treasuries for the period.

Despite producing positive absolute and relative return over duration-matched Treasuries, agency pass-through securities lagged agency CMBS, ABS and RMBS on a duration-adjusted basis.

Outlook

Principal prepayments and mortgage refinances remain muted. We foresee downside risks only if US Treasury rates rally to approximately 1.5% – 1.6% and stay there for a prolonged period of time. With rates at that level, borrowers may be motivated to refinance existing mortgages.

Most ABS sectors continue to offer modest yield advantages relative to corporate bonds with similar ratings. The consumer sector has mixed fundamentals. Job and income growth continue to increase, but pressures from rising rent and health costs appear to be weighing on the consumer. This could be a potential cause for performance deterioration. Separately, regulatory risk in the consumer sector has declined with the current US administration. The commercial sector has positive, but mixed, fundamentals as it can be more directly exposed to global trade and commodity prices. The aviation industry is still enjoying low fuel prices, though labor costs have been increasing. A number of franchise-related businesses have been tapping the whole business securitization market.

Commercial real estate fundamentals remain strong, but we believe the credit cycle¹ is maturing. We expect modest job growth to boost occupancy and support 2% to 4% property net operating income growth, but rising interest rates may limit appreciation, causing property values to be flat in 2017 and potentially decline in the next two years. As a result, we remain defensive in CMBS, focusing on shorter-maturity and seasoned bonds. CMBS spreads tend to follow corporate bond spreads with a lag (spread refers to the yield differential between US Treasury and non-US Treasury securities of similar maturity). Currently, we view CMBS as fair value relative to corporate bonds, but expensive relative to Treasuries. Light dealer inventory and negative net issuance should support spreads for the remainder of 2017, particularly in a stable spread environment. We also expect a positive net supply for the remainder of the year.

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

3 |

Hypothetical Growth of $10,000 Investment in Institutional Class Shares

September 30, 2007 through September 30, 2017

LOGO

Average Annual Total Returns — September 30, 2017



										Expense Ratios²
	1 Year			5 Years			10 Years			Gross			Net

Institutional Class (Inception 3/2/06)		1.40	%		3.14	%		5.89	%		0.00	%		0.00	%

Comparative Performance
Bloomberg Barclays U.S. Securitized Bond Index¹		0.29			1.98			4.09

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

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

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

Additional Index Information

Proxy Voting Information

A description of the Funds’ proxy voting policies and procedures is available without charge, upon request by calling Loomis Sayles at 800-633-3330; on the Funds’ website at www.loomissayles.com, and on the Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information about how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and the SEC’s website.

Quarterly Portfolio Schedules

5 |

UNDERSTANDING FUND EXPENSES

Typically, mutual fund shareholders incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, distribution fees (12b-1 fees), and other fund expenses. However, the Funds are unlike other mutual funds; they do not charge any fees or expenses.

You should be aware that shares in the Funds are available only to institutional investment advisory clients of Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and Natixis Advisors, L.P. (“Natixis Advisors”) and to participants in “wrap fee” programs sponsored by broker-dealers and investment advisers that may be affiliated or unaffiliated with the Funds, Loomis Sayles or Natixis Advisors. The institutional investment advisory clients of Loomis Sayles and Natixis Advisors pay Loomis Sayles or Natixis Advisors a fee for their investment advisory services, while participants in “wrap fee” programs pay a “wrap fee” to the program’s sponsor. The “wrap fee” program sponsors, in turn, pay a fee to Natixis Advisors. “Wrap fee” program participants should read carefully the wrap fee brochure provided to them by their program’s sponsor and the fees paid by such sponsor to Natixis Advisors. Shareholders pay no additional fees or expenses to purchase shares of the Funds. However, shareholders will indirectly pay a proportionate share of those costs, such as brokerage commissions, taxes and extraordinary expenses, that are borne by the Funds through a reduction in each Fund’s net asset value.

The first line in each Fund’s table shows the actual amount of Fund expenses ($0) you would have paid on a $1,000 investment in the Fund from April 1, 2017 through September 30, 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 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,043.40		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.07		$0.00
^*Expenses are equal to the Fund’s annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

Loomis Sayles Securitized Asset Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,023.00		$0.00
Hypothetical (5% return before expenses)		$1,000.00		$1,025.07		$0.00
^*Expenses are equal to the Fund’s annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

| 6

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

The Board most recently approved the continuation of the Agreements at its meeting held in June 2017. The Agreements were continued for a one-year period for both Funds. In considering whether to approve the continuation of the Agreements, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreements included, but were not limited to, the factors listed below.

The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the monitoring and oversight services provided by Natixis Advisors. They also considered the administrative services provided by Natixis Advisors and its affiliates to the Funds. The Trustees also considered that the Funds are generally only available to institutional clients of Loomis Sayles and participants in certain “wrap programs.”

7 |


	One-Year		Three-Year
Loomis Sayles High Income Opportunities Fund		21%		2%
Loomis Sayles Securitized Asset Fund		55%		14%

In the case of each Fund that had performance that lagged that of a relevant peer group median and/or category median for certain (although not all) periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors include: (1) the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s performance although lagging in certain periods, was stronger over the long term.

The costs of the services to be provided and profits to be realized by the Adviser and its affiliates from their respective relationships with the Funds. Under the terms of the Agreements, the Adviser does not charge the Funds an investment advisory fee or any other fee for services. The Adviser also bears most of the Funds’ expenses. The Trustees considered that, although the Funds do not compensate the Adviser directly for services under the Agreements, the Adviser will typically receive an advisory fee from its advisory clients who have invested in the Funds or from the sponsors of “wrap programs,” who in turn charge the programs’ participants. Because the Funds do not charge an advisory fee, the Trustees did not consider the profitability of the Adviser’s relationship to the Funds.

After reviewing these and related factors, the Trustees concluded, within the context of their overall conclusions regarding each of the Agreements that each Fund’s advisory fee of 0% was fair and reasonable and supported the renewal of the Agreements.

Economies of Scale. The Trustees noted that because the Adviser has borne most of the Funds’ expenses, economies of scale were not relevant to these Funds.

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

•

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

•

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

•

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

| 8

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 94.1% of Net Assets

	Non-Convertible Bonds �� 85.1%

		ABS Home Equity – 1.7%
$	175,000	American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A	$	191,295
	46,807	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033		47,697
	49,185	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		51,752
	52,861	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		54,034
	78,615	Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 1-month LIBOR + 0.210%, 1.447%, 5/25/2035(a)		73,801
	48,438	Countrywide Asset-Backed Certificates Trust, Series 2004-13, Class AF5B, 5.603%, 5/25/2035(j)		49,232
	187,735	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 1.567%, 9/19/2045(a)		153,597
	320,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 1-month LIBOR + 4.250%, 5.487%, 11/25/2023(a)		352,001
	270,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 1-month LIBOR + 3.300%, 4.537%, 10/25/2027(a)		299,381
	60,596	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 4.002%, 7/19/2035(j)		58,700
	99,701	IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1-month LIBOR + 0.640%, 1.877%, 7/25/2045(a)		96,008
	261,197	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.294%, 3/25/2035(j)		246,739
	175,000	RCO Mortgage LLC, Series 2017-1, Class A2, 5.125%, 8/25/2022, 144A(j)		174,919
	56,110	Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034		56,738
	365,000	VOLT LVI LLC, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(j)		367,701
	175,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(j)		175,399

				2,448,994

		ABS Other – 0.1%
	203,869	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(j)		201,040

		Aerospace & Defense – 2.4%
	90,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		95,512
	75,000	Engility Corp., 8.875%, 9/01/2024		82,313
	690,000	KLX, Inc., 5.875%, 12/01/2022, 144A		722,913

		Aerospace & Defense – continued
	1,425,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,610,250
	400,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		489,000
	350,000	Oshkosh Corp., 5.375%, 3/01/2025		371,000

				3,370,988

		Airlines – 2.3%
	1,097,706	American Airlines Pass Through Certificates, Series 2013-1, Class B, 5.625%, 7/15/2022, 144A		1,152,876
	350,601	American Airlines Pass Through Certificates, Series 2014-1, Class B, 4.375%, 4/01/2024		360,943
	1,265,039	Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025		1,270,099
	410,000	Latam Finance Ltd., 6.875%, 4/11/2024, 144A		433,575
	32,055	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		33,008

				3,250,501

		Automotive – 1.3%
	520,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A		523,900
	150,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		155,678
	225,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		237,234
	65,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		67,763
	60,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		62,775
	320,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		357,600
	485,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		491,062

				1,896,012

		Banking – 4.3%
	600,000	Ally Financial, Inc., 3.500%, 1/27/2019		609,000
	20,000	Ally Financial, Inc., 4.125%, 3/30/2020		20,600
	20,000	Ally Financial, Inc., 4.125%, 2/13/2022		20,662
	980,000	Ally Financial, Inc., 5.125%, 9/30/2024		1,061,340
	1,240,000	Barclays PLC, 5.200%, 5/12/2026		1,323,891
	1,125,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,363,894
	1,335,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		1,357,165
	265,000	Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023		293,069
	120,000	Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022		132,005

				6,181,626

		Brokerage – 0.7%
	200,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		201,000
	140,000	Jefferies Group LLC, 6.250%, 1/15/2036		155,363

See accompanying notes to financial statements.

9 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount			Description	Value (†)

	Bonds and Notes – continued

			Brokerage – continued
$	515,000		Jefferies Group LLC, 6.450%, 6/08/2027	$	596,308

					952,671

			Building Materials – 0.9%
	300,000		Cemex SAB de CV, 5.700%, 1/11/2025, 144A		319,800
	300,000		Cemex SAB de CV, 7.750%, 4/16/2026, 144A		344,700
	7,000		Masco Corp., 7.750%, 8/01/2029		9,217
	150,000		NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		160,875
	160,000		U.S. Concrete, Inc., 6.375%, 6/01/2024		172,400
	185,000		USG Corp., 4.875%, 6/01/2027, 144A		193,094
	100,000		USG Corp., 5.500%, 3/01/2025, 144A		107,000

					1,307,086

			Cable Satellite – 7.2%
	690,000		Altice Financing S.A., 6.625%, 2/15/2023, 144A		731,400
	400,000		CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		413,000
	605,000		CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		628,444
	575,000		CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A		602,312
	540,000		CSC Holdings LLC, 5.250%, 6/01/2024		546,075
	395,000		CSC Holdings LLC, 5.500%, 4/15/2027, 144A		410,800
	45,000		CSC Holdings LLC, 6.750%, 11/15/2021		49,725
	300,000		CSC Holdings LLC, 10.125%, 1/15/2023, 144A		346,125
	625,000		DISH DBS Corp., 5.000%, 3/15/2023		638,672
	440,000		DISH DBS Corp., 5.125%, 5/01/2020		461,318
	480,000		DISH DBS Corp., 5.875%, 7/15/2022		510,000
	500,000		DISH DBS Corp., 5.875%, 11/15/2024		524,063
	245,000		DISH DBS Corp., 7.750%, 7/01/2026		281,302
	275,000		Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A		280,500
	1,320,000		Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,407,450
	875,000		Virgin Media Secured Finance PLC, 5.250%, 1/15/2026, 144A		911,094
	200,000		Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		210,250
	565,000		Ziggo Bond Finance BV, 5.875%, 1/15/2025, 144A		589,012
	660,000		Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		676,295

					10,217,837

			Chemicals – 0.6%
	805,000		Hercules LLC, 6.500%, 6/30/2029(b)(c)		809,025

			Construction Machinery – 0.9%
	200,000		Ashtead Capital, Inc., 4.125%, 8/15/2025, 144A		206,000
	200,000		Ashtead Capital, Inc., 4.375%, 8/15/2027, 144A		206,000
	115,000		United Rentals North America, Inc., 4.625%, 7/15/2023		120,031

			Construction Machinery – continued
	490,000		United Rentals North America, Inc., 4.625%, 10/15/2025		496,125
	290,000		United Rentals North America, Inc., 5.750%, 11/15/2024		307,763

					1,335,919

			Consumer Cyclical Services – 1.0%
	460,000		Interval Acquisition Corp., 5.625%, 4/15/2023		473,800
	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		704,663

					1,474,863

			Consumer Products – 0.2%
	225,000		Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		233,438

			Diversified Manufacturing – 0.1%
	75,000		Entegris, Inc., 6.000%, 4/01/2022, 144A		78,375

			Electric – 1.4%
	90,000		AES Corp., 5.125%, 9/01/2027		92,250
	300,000		AES Corp. (The), 5.500%, 4/15/2025		315,549
	220,000		AES Corp. (The), 6.000%, 5/15/2026		236,775
	925,000		Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,120,406
	200,000		Minejesa Capital BV, 4.625%, 8/10/2030, 144A		204,202

					1,969,182

			Environmental – 0.2%
	45,000		GFL Environmental, Inc., 5.625%, 5/01/2022, 144A		46,800
	175,000		GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		186,879

					233,679

			Finance Companies – 4.9%
	535,000		Aircastle Ltd., 4.125%, 5/01/2024		553,725
	375,000		Aircastle Ltd., 5.125%, 3/15/2021		399,375
	410,000		Aircastle Ltd., 5.500%, 2/15/2022		447,925
	30,000		Aircastle Ltd., 7.625%, 4/15/2020		33,413
	135,000		iStar, Inc., 4.000%, 11/01/2017		135,108
	65,000		iStar, Inc., 4.625%, 9/15/2020		66,463
	195,000		iStar, Inc., 4.875%, 7/01/2018		197,457
	585,000		iStar, Inc., 5.000%, 7/01/2019		592,678
	220,000		iStar, Inc., 5.250%, 9/15/2022		223,300
	245,000		iStar, Inc., 6.500%, 7/01/2021		256,025
	55,000		iStar, Inc., 7.125%, 2/15/2018		56,034
	340,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		336,814
	435,000		Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		444,787
	30,000		Navient Corp., MTN, 6.125%, 3/25/2024		30,930
	65,000	��	Navient LLC, 4.875%, 6/17/2019		67,275
	185,000		Navient LLC, 5.500%, 1/25/2023		187,313
	835,000		Navient LLC, MTN, 5.500%, 1/15/2019		862,872

See accompanying notes to financial statements.

| 10

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Finance Companies – continued
$	245,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A	$	257,250
	550,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		577,500
	395,000	Springleaf Finance Corp., 5.250%, 12/15/2019		411,195
	255,000	Springleaf Finance Corp., 7.750%, 10/01/2021		288,073
	110,000	Springleaf Finance Corp., 8.250%, 10/01/2023		124,850
	102,000	Stearns Holdings LLC, 9.375%, 8/15/2020, 144A		106,590
	320,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		332,637

				6,989,589

		Financial Other – 0.7%
	645,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		664,350
	388,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		390,910

				1,055,260

		Food & Beverage – 1.8%
	730,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		792,386
	225,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		224,156
	220,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		224,400
	205,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		209,356
	635,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		654,050
	120,000	TreeHouse Foods, Inc., 4.875%, 3/15/2022		124,050
	265,000	WhiteWave Foods Co. (The), 5.375%, 10/01/2022		298,408

				2,526,806

		Gaming – 1.0%
	150,000	Boyd Gaming Corp., 6.375%, 4/01/2026		163,688
	80,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		87,300
	165,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co., 4.500%, 1/15/2028, 144A		166,452
	925,000	MGM Resorts International, 6.000%, 3/15/2023		1,019,812

				1,437,252

		Government Owned – No Guarantee – 1.9%
	480,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		428,400
	1,135,000	Petrobras Global Finance BV, 5.999%, 1/27/2028, 144A		1,134,149
	130,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		138,905

		Government Owned – No Guarantee – continued
	25,000	Petrobras Global Finance BV, 6.750%, 1/27/2041		24,875
	80,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		81,000
	265,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		275,931
	545,000	YPF S.A., 6.950%, 7/21/2027, 144A		577,700

				2,660,960

		Health Insurance – 0.2%
	320,000	Centene Corp., 4.750%, 1/15/2025		332,000

		Healthcare – 4.9%
	185,000	CHS/Community Health Systems, Inc., 6.250%, 3/31/2023		181,762
	750,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		588,750
	135,000	Envision Healthcare Corp., 5.625%, 7/15/2022		140,738
	300,000	HCA Healthcare, Inc., 6.250%, 2/15/2021		324,750
	410,000	HCA, Inc., 4.500%, 2/15/2027		419,225
	115,000	HCA, Inc., 5.250%, 4/15/2025		124,344
	60,000	HCA, Inc., 5.250%, 6/15/2026		64,650
	655,000	HCA, Inc., 5.375%, 2/01/2025		690,206
	430,000	HCA, Inc., 7.050%, 12/01/2027		484,825
	35,000	HCA, Inc., 7.500%, 12/15/2023		40,775
	790,000	HCA, Inc., 7.500%, 11/06/2033		896,650
	40,000	HCA, Inc., 7.690%, 6/15/2025		46,500
	40,000	HCA, Inc., 8.360%, 4/15/2024		48,000
	205,000	HCA, Inc., MTN, 7.580%, 9/15/2025		236,775
	20,000	HCA, Inc., MTN, 7.750%, 7/15/2036		22,750
	135,000	Hologic, Inc., 5.250%, 7/15/2022, 144A		141,750
	140,000	LifePoint Health, Inc., 5.500%, 12/01/2021		144,638
	665,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		696,587
	330,000	Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		349,800
	440,000	SP Finco LLC, 6.750%, 7/01/2025, 144A		413,600
	70,000	Tenet Healthcare Corp., 5.125%, 5/01/2025, 144A		69,038
	250,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		218,750
	640,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		677,600

				7,022,463

		Home Construction – 2.1%
	690,000	CalAtlantic Group, Inc., 5.000%, 6/15/2027		697,331
	200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(b)(d)(e)(f)		2
	260,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(c)		233,693
	385,000	Lennar Corp., 4.750%, 11/15/2022		407,138
	720,000	PulteGroup, Inc., 6.000%, 2/15/2035		750,600
	495,000	PulteGroup, Inc., 6.375%, 5/15/2033		537,075
	380,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		388,075

				3,013,914

See accompanying notes to financial statements.

11 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – 8.4%
$	265,000	Aker BP ASA, 6.000%, 7/01/2022, 144A	$	275,600
	1,035,000	Antero Resources Corp., 5.125%, 12/01/2022		1,058,287
	75,000	Antero Resources Corp., 5.375%, 11/01/2021		76,969
	250,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		268,125
	595,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		539,962
	68,000	California Resources Corp., 5.500%, 9/15/2021		36,210
	33,000	California Resources Corp., 6.000%, 11/15/2024		15,015
	360,000	California Resources Corp., 8.000%, 12/15/2022, 144A		234,000
	110,000	Callon Petroleum Co., 6.125%, 10/01/2024		113,850
	103,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		95,790
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,380
	12,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		12,090
	21,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		21,630
	600,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		606,000
	310,000	Continental Resources, Inc., 3.800%, 6/01/2024		299,150
��	80,000	Continental Resources, Inc., 4.500%, 4/15/2023		80,200
	630,000	Continental Resources, Inc., 5.000%, 9/15/2022		640,237
	445,000	Eclipse Resources Corp., 8.875%, 7/15/2023		452,787
	670,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		693,450
	85,000	Matador Resources Co., 6.875%, 4/15/2023		89,994
	250,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		218,125
	240,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		234,300
	465,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		398,738
	135,000	Newfield Exploration Co., 5.625%, 7/01/2024		144,788
	834,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		848,595
	75,000	PDC Energy, Inc., 6.125%, 9/15/2024		78,375
	120,000	QEP Resources, Inc., 5.250%, 5/01/2023		116,700
	225,000	QEP Resources, Inc., 5.375%, 10/01/2022		221,063
	380,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(g)		190,000
	660,000	Rice Energy, Inc., 6.250%, 5/01/2022		689,700
	370,000	RSP Permian, Inc., 6.625%, 10/01/2022		388,038

		Independent Energy – continued
	200,000	Sanchez Energy Corp., 6.125%, 1/15/2023		171,000
	260,000	Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A		261,950
	280,000	SM Energy Co., 5.000%, 1/15/2024		263,900
	230,000	SM Energy Co., 5.625%, 6/01/2025		218,500
	170,000	SM Energy Co., 6.125%, 11/15/2022		170,425
	135,000	SM Energy Co., 6.500%, 11/15/2021		136,350
	40,000	SM Energy Co., 6.500%, 1/01/2023		40,300
	75,000	SM Energy Co., 6.750%, 9/15/2026		75,000
	250,000	Southwestern Energy Co., 6.700%, 1/23/2025		253,750
	265,000	Southwestern Energy Co., 7.500%, 4/01/2026		275,600
	270,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		270,081
	755,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		741,787

				12,023,791

		Leisure – 0.1%
	100,000	Constellation Merger Sub, Inc., 8.500%, 9/15/2025, 144A		98,250

		Life Insurance – 0.3%
	430,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		459,025

		Local Authorities – 0.3%
	185,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		200,503
	260,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		273,933

				474,436

		Lodging – 0.9%
	115,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024		117,300
	595,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025		612,850
	550,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		577,500

				1,307,650

		Media Entertainment – 2.1%
	660,000	AMC Networks, Inc., 4.750%, 12/15/2022		678,770
	830,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		819,625
	85,000	Clear Channel Worldwide Holdings, Inc., Series A, 6.500%, 11/15/2022		87,231
	540,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		556,200
	760,000	Viacom, Inc., 4.375%, 3/15/2043		654,725
	35,000	Viacom, Inc., 4.850%, 12/15/2034		32,983
	85,000	Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		85,531

				2,915,065

See accompanying notes to financial statements.

| 12

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Metals & Mining – 2.9%
$	395,000	Anglo American Capital PLC, 4.875%, 5/14/2025, 144A	$	418,770
	150,000	ArcelorMittal, 7.250%, 3/01/2041		177,563
	930,000	ArcelorMittal, 7.500%, 10/15/2039		1,116,000
	355,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		363,431
	870,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		870,870
	75,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		70,078
	165,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		182,505
	340,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		353,600
	345,000	Stillwater Mining Co., 6.125%, 6/27/2022, 144A		349,588
	65,000	Vale Overseas Ltd., 6.875%, 11/10/2039		74,503
	150,000	Vale S.A., 5.625%, 9/11/2042		153,000

				4,129,908

		Midstream – 4.8%
	365,000	Access Midstream Partners LP/ACMP Finance Corp., 4.875%, 3/15/2024		381,998
	80,000	Andeavor Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		84,200
	525,000	Andeavor Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		558,469
	335,000	Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027, 144A		345,050
	40,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		41,400
	80,000	Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023		80,876
	35,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		33,632
	150,000	MPLX LP, 4.500%, 7/15/2023		159,585
	430,000	MPLX LP, 4.875%, 12/01/2024		463,352
	340,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		339,731
	145,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		134,850
	395,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		395,000
	110,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		109,450
	125,000	NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A		129,687
	540,000	NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A		565,839
	160,000	Sabine Pass Liquefaction LLC, 5.625%, 4/15/2023		177,338
	335,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		369,550
	195,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		219,325
	160,000	SemGroup Corp./Rose Rock Finance Corp., 5.625%, 7/15/2022		156,400
	175,000	SemGroup Corp./Rose Rock Finance Corp., 5.625%, 11/15/2023		170,187

		Midstream – continued
	985,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		994,850
	50,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		49,563
	670,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		683,400
	135,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		144,450

				6,788,182

		Non-Agency Commercial Mortgage-Backed Securities – 1.1%
	590,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 1-month LIBOR + 8.200%, 9.433%, 5/15/2020, 144A(a)(b)(c)(d)		592,950
	795,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		708,517
	213,258	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(j)		217,802

				1,519,269

		Oil Field Services – 0.7%
	370,000	Ensco PLC, 5.750%, 10/01/2044		265,475
	20,000	Global Marine, Inc., 7.000%, 6/01/2028		20,200
	90,000	Noble Holding International Ltd., 5.250%, 3/15/2042		58,950
	185,000	Noble Holding International Ltd., 6.050%, 3/01/2041		126,263
	330,000	Noble Holding International Ltd., 7.750%, 1/15/2024		292,875
	15,000	Parker Drilling Co., 6.750%, 7/15/2022		12,014
	209,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		218,927

				994,704

		Packaging – 1.0%
	330,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023(h)		353,199
	345,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		354,384
	350,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		383,905
	360,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		373,500

				1,464,988

		Paper – 0.5%
	350,000	Klabin Finance S.A., 4.875%, 9/19/2027, 144A		347,340
	320,000	Suzano Austria GmbH, 5.750%, 7/14/2026, 144A		343,776

				691,116

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Pharmaceuticals – 1.1%
$	375,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A	$	365,625
	95,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		83,363
	115,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		107,525
	1,110,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		980,962

				1,537,475

		Property & Casualty Insurance – 0.7%
	350,000	Ardonagh Midco 3 PLC, 8.625%, 7/15/2023, 144A		367,517
	555,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		577,894

				945,411

		REITs – Hotels – 0.3%
	385,000	Felcor Lodging LP, 5.625%, 3/01/2023		398,956

		Restaurants – 0.5%
	685,000	1011778 B.C. ULC/New Red Finance, Inc., 5.000%, 10/15/2025, 144A		693,494

		Retailers – 1.1%
	480,000	Dillard’s, Inc., 7.000%, 12/01/2028		529,781
	280,000	Foot Locker, Inc., 8.500%, 1/15/2022		326,900
	125,000	Group 1 Automotive, Inc., 5.000%, 6/01/2022		129,531
	535,000	Group 1 Automotive, Inc., 5.250%, 12/15/2023, 144A		541,688
	225,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		36,000

				1,563,900

		Supermarkets – 1.1%
	730,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025		642,400
	415,000	KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A		417,075
	5,000	New Albertson’s, Inc., 7.450%, 8/01/2029		3,875
	10,000	New Albertson’s, Inc., 8.700%, 5/01/2030		8,250
	615,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		473,550

				1,545,150

		Technology – 5.6%
	110,000	ACI Worldwide, Inc., 6.375%, 8/15/2020, 144A		111,980
	260,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		232,050
	135,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		145,463
	70,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		74,813
	140,000	CommScope, Inc., 5.000%, 6/15/2021, 144A		143,500

		Technology – continued
	1,265,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A		1,404,846
	310,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		398,143
	520,000	Dell International LLC/EMC Corp., REGS, 8.350%, 7/15/2046		667,853
	150,000	Equinix, Inc., 5.375%, 1/01/2022		157,275
	140,000	Equinix, Inc., 5.375%, 4/01/2023		145,712
	590,000	First Data Corp., 5.000%, 1/15/2024, 144A		612,597
	695,000	First Data Corp., 7.000%, 12/01/2023, 144A		742,121
	320,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		336,800
	92,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		105,225
	190,000	MSCI, Inc., 5.250%, 11/15/2024, 144A		202,350
	655,000	Open Text Corp., 5.625%, 1/15/2023, 144A		686,112
	20,000	Open Text Corp., 5.875%, 6/01/2026, 144A		21,950
	575,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		590,812
	235,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		243,530
	205,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		224,578
	660,000	Western Digital Corp., 10.500%, 4/01/2024		775,500

				8,023,210

		Transportation Services – 0.1%
	185,000	APL Ltd., 8.000%, 1/15/2024(b)(c)		175,288

		Treasuries – 2.9%
	2,740,000	U.S. Treasury Note, 0.750%, 2/28/2018		2,734,863
	1,410,000	U.S. Treasury Note, 1.125%, 1/31/2019		1,404,602

				4,139,465

		Wireless – 3.8%
	220,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		237,325
	970,000	Altice Luxembourg S.A., 7.750%, 5/15/2022, 144A		1,029,413
	325,000	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		327,763
	80,000	Nokia Oyj, 3.375%, 6/12/2022		80,599
	135,000	Nokia Oyj, 4.375%, 6/12/2027		138,881
	690,000	SFR Group S.A., 6.000%, 5/15/2022, 144A		721,050
	496,000	Sprint Capital Corp., 6.875%, 11/15/2028		555,520
	1,205,000	Sprint Corp., 7.250%, 9/15/2021		1,339,056
	585,000	T-Mobile USA, Inc., 6.125%, 1/15/2022		608,400
	395,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		399,321

				5,437,328

		Wirelines – 2.0%
	220,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		216,110

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	15,000	Frontier Communications Corp., 7.000%, 11/01/2025	$	9,300
	235,000	Frontier Communications Corp., 7.450%, 7/01/2035		142,948
	480,000	Frontier Communications Corp., 10.500%, 9/15/2022		416,400
	95,000	Level 3 Financing, Inc., 5.125%, 5/01/2023		96,603
	520,000	Level 3 Financing, Inc., 5.250%, 3/15/2026		532,839
	35,000	Level 3 Financing, Inc., 5.375%, 5/01/2025		35,984
	480,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		458,679
	320,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		395,184
	150,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		192,420
	390,000	Windstream Services LLC, 7.750%, 10/15/2020		312,000

				2,808,467


		Total Non-Convertible Bonds
		(Identified Cost $114,994,457)		121,134,008


	Convertible Bonds – 9.0%

		Building Materials – 0.1%
	95,000	Tutor Perini Corp., 2.875%, 6/15/2021		110,616

		Cable Satellite – 0.5%
	660,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		655,875

		Consumer Cyclical Services – 0.5%
	685,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		663,594

		Diversified Operations – 0.3%
	485,000	RWT Holdings, Inc., 5.625%, 11/15/2019		499,550

		Healthcare – 0.9%
	395,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A		443,881
	740,000	Teladoc, Inc., 3.000%, 12/15/2022, 144A		803,363

				1,247,244

		Industrial Other – 0.2%
	255,000	II-VI, Inc., 0.250%, 9/01/2022, 144A		284,644

		Leisure – 0.1%
	140,000	Rovi Corp., 0.500%, 3/01/2020		141,672

		Media Entertainment – 0.1%
	205,000	Liberty Media Corp., 2.250%, 9/30/2046		217,812

		Midstream – 0.9%
	880,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		807,400
	155,000	PDC Energy, Inc., 1.125%, 9/15/2021		150,931
	55,000	SM Energy Co., 1.500%, 7/01/2021		51,631
	295,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		262,919

				1,272,881

		Oil Field Services – 0.5%
	205,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A		208,203
	670,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		544,794

				752,997

		Pharmaceuticals – 2.2%
	285,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		288,741
	516,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		617,587
	90,000	Dermira, Inc., 3.000%, 5/15/2022, 144A		96,863
	345,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		311,578
	295,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		265,131
	875,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		675,937
	85,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		89,781
	670,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024, 144A		762,544
	80,000	Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A		78,100

				3,186,262

		Railroads – 0.4%
	325,000	Echo Global Logistics, Inc., 2.500%, 5/01/2020		312,610
	215,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024, 144A		241,606

				554,216

		REITs – Mortgage – 0.1%
	210,000	iStar, Inc., 3.125%, 9/15/2022, 144A		211,837

		Technology – 2.2%
	100,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022		130,562
	1,080,000	Finisar Corp., 0.500%, 12/15/2036, 144A		1,012,500
	400,000	MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A		607,500
	965,000	Nuance Communications, Inc., 1.000%, 12/15/2035		905,083
	90,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		86,963
	350,000	Verint Systems, Inc., 1.500%, 6/01/2021		342,125

				3,084,733


		Total Convertible Bonds
		(Identified Cost $12,698,965)		12,883,993


		Total Bonds and Notes
		(Identified Cost $127,693,422)		134,017,941


	Senior Loans – 0.4%

		Chemicals – 0.1%
	99,853	Chemours Co. (The), 2017 USD Term Loan B,1-month LIBOR + 2.500%, 3.740%, 5/12/2022(a)		100,352

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued


Principal Amount		Description	Value (†)

	Senior Loans – continued

		Independent Energy – 0.3%
$	407,467	Chesapeake Energy Corp., Term Loan, 3-month LIBOR + 7.500%, 8.814%, 8/23/2021(a)	$	438,663


		Total Senior Loans
		(Identified Cost $507,320)		539,015


	Shares

	Preferred Stocks – 0.9%

		Food & Beverage – 0.5%
	6,784	Bunge Ltd., 4.875%		704,264

		Midstream – 0.3%
	641	Chesapeake Energy Corp., 5.750%		391,010
	13	Chesapeake Energy Corp., 5.750%, 144A		7,930
	90	Chesapeake Energy Corp., 5.750%		51,469

				450,409

		Technology – 0.1%
	1,438	Belden, Inc., 6.750%		155,390


		Total Preferred Stocks
		(Identified Cost $1,287,698)		1,310,063


	Common Stocks – 0.7%

		Oil, Gas & Consumable Fuels – 0.5%
	17,026	Bonanza Creek Energy, Inc.(i)		561,688
	8,051	Halcon Resources Corp.(i)		54,747
	570	Rex Energy Corp.(i)		1,539
	25,834	Whiting Petroleum Corp.(i)		141,053

				759,027

		Pharmaceuticals – 0.2%
	4,298	Bristol-Myers Squibb Co.		273,955


		Total Common Stocks
		(Identified Cost $1,967,608)		1,032,982


	Warrants – 0.0%
	2,186	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(i)		1,202
	1,657	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(b)(d)(f)(i)		—


		Total Warrants
		(Identified Cost $—)		1,202


	Short-Term Investments – 2.7%
	3,788,489	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $3,788,597 on 10/02/2017 collateralized by $3,675,000 U.S. Treasury Inflation Note, 0.125% due 4/15/2020 valued at $3,867,632 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $3,788,489)		3,788,489


		Total Investments – 98.8%
		(Identified Cost $135,244,537)		140,689,692
		Other assets less liabilities—1.2%		1,683,038


		Net Assets – 100.0%	$	142,372,730


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	Illiquid security. (Unaudited)
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $1,810,956 or 1.3% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(e)	The issuer is in default with respect to interest and/or principal payments. Income is not being accrued.
	(f)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $2 or 0.0% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	Coupon rate is a fixed rate for an initial period then resets at a specified date and rate.
	(h)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended September 30, 2017, interest payments were made in cash.
	(i)	Non-income producing security.
	(j)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $58,279,623 or 40.9% of net assets.
	ABS	Asset-Backed Securities
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	PIK	Payment-in-Kind
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Opportunities Fund – continued

Industry Summary at September 30, 2017


Independent Energy	8.7	%
Technology	7.9
Cable Satellite	7.7
Midstream	6.0
Healthcare	5.8
Finance Companies	4.9
Banking	4.3
Wireless	3.8
Pharmaceuticals	3.5
Treasuries	2.9
Metals & Mining	2.9
Aerospace & Defense	2.4
Airlines	2.3
Food & Beverage	2.3
Media Entertainment	2.2
Home Construction	2.1
Wirelines	2.0
Other Investments, less than 2% each	24.4
Short-Term Investments	2.7

Total Investments	98.8
Other assets less liabilities	1.2

Net Assets	100.0	%

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund


Principal Amount		Description	Value (†)

	Bonds and Notes – 114.0% of Net Assets

		ABS Car Loan – 11.3%
$	443,207	AmeriCredit Automobile Receivables Trust, Series 2014-2, Class B, 1.600%, 7/08/2019	$	443,241
	1,840,000	AmeriCredit Automobile Receivables Trust, Series 2015-2, Class C, 2.400%, 1/08/2021(a)		1,850,942
	1,440,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		1,457,976
	5,060,000	Americredit Automobile Receivables Trust, Series 2016-4, Class C, 2.410%, 7/08/2022		5,057,222
	645,000	Avis Budget Rental Car Funding AESOP LLC, Series 2013-1A, Class B, 2.620%, 9/20/2019, 144A		646,561
	2,630,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A(a)		2,638,428
	300,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A, 2.500%, 2/20/2021, 144A		300,737
	4,395,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-1A, Class A, 2.500%, 7/20/2021, 144A(a)		4,388,430
	3,480,000	Avis Budget Rental Car Funding AESOP LLC, Series 2015-2A, Class A, 2.630%, 12/20/2021, 144A(a)		3,480,492
	2,430,000	California Republic Auto Receivables Trust, Series 2016-2, Class B, 2.520%, 5/16/2022		2,423,342
	3,100,000	California Republic Auto ReceivablesTrust, Series 2017-1, Class C, 3.760%, 12/15/2023		3,099,229
	889,006	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A(a)		888,508
	1,835,000	CarNow Auto Receivables Trust, Series 2015-1A, Class C, 3.880%, 4/15/2020, 144A		1,843,711
	2,200,261	Centre Point Funding LLC, Series 2012-2A, Class 1, 2.610%, 8/20/2021, 144A		2,168,972
	2,225,000	CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A		2,276,964
	1,610,000	CPS Auto Receivables Trust, Series 2015-B, Class C, 4.200%, 5/17/2021, 144A		1,630,208
	1,745,000	CPS Auto Receivables Trust, Series 2016-A, Class D, 5.000%, 12/15/2021, 144A		1,794,754
	4,025,000	CPS Auto Trust, Series 2016-D, Class D, 4.530%, 1/17/2023, 144A		4,103,562
	4,000,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A(a)		4,010,281
	6,770,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		6,819,401

		ABS Car Loan – continued
	2,010,000	Drive Auto Receivables Trust, Series 2016-AA, Class C, 3.910%, 5/17/2021, 144A(a)		2,035,211
	7,550,000	Drive Auto Receivables Trust, Series 2016-CA, Class C, 3.020%, 11/15/2021, 144A		7,643,812
	1,240,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		1,262,398
	2,340,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		2,382,907
	5,040,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		5,050,751
	1,233,630	Exeter Automobile Receivables Trust, Series 2014-3A, Class B, 2.770%, 11/15/2019, 144A(a)		1,235,714
	1,687,638	First Investors Auto Owner Trust, Series 2014-1A, Class B, 2.260%, 1/15/2020, 144A		1,689,133
	1,915,000	First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A		1,927,742
	2,245,000	First Investors Auto Owner Trust, Series 2017-1A, Class C, 2.950%, 4/17/2023, 144A		2,246,985
	5,530,000	Flagship Credit Auto Trust, Series 2014-2, Class B, 2.840%, 11/16/2020, 144A(a)		5,556,099
	1,535,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		1,547,168
	710,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		725,927
	3,900,000	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A(a)		3,931,791
	1,390,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		1,400,153
	3,210,000	Hertz Vehicle Financing LLC, Series 2016-3A, Class A, 2.270%, 7/25/2020, 144A(a)		3,194,945
	2,435,000	Hertz Vehicle Financing LLC, Series 2017-2A, Class A, 3.290%, 10/25/2023, 144A		2,418,697
	1,399,543	Honor Automobile Trust Securitization, Series 2016-1A, Class A, 2.940%, 11/15/2019, 144A		1,404,656
	1,285,000	Motor PLC, Series 2017-1A, Class A1, 1.773%, 9/25/2024, 144A(k)		1,285,495
	8,605,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A(a)		8,606,100
	2,990,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A(a)		2,993,392
	1,061,262	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A(a)		1,061,258

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Car Loan – continued
$	1,820,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021	$	1,835,349
	5,060,000	Santander Drive Auto Receivables Trust, Series 2016-3, Class C, 2.460%, 3/15/2022		5,086,260
	5,660,000	Santander Drive Auto Receivables Trust, Series 2017-3, Class C, 2.760%, 12/15/2022		5,666,344
	1,515,000	Westlake Automobile Receivables Trust, Series 2016-1A, Class C, 3.290%, 9/15/2021, 144A		1,526,729
	2,795,000	Westlake Automobile Receivables Trust, Series 2016-2A, Class C, 2.830%, 5/17/2021, 144A		2,813,057

				127,851,034

		ABS Credit Card – 1.1%
	2,000,000	Barclays Dryrock Issuance Trust, Series 2015-1, Class A, 2.200%, 12/15/2022(a)		2,008,827
	9,215,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023(a)		9,384,117
	1,000,000	World Financial Network Credit Card Master Trust, Series 2012-C, Class M, 3.320%, 8/15/2022		1,012,800

				12,405,744

		ABS Home Equity – 3.9%
	3,205,000	Bayview Opportunity Master Fund IIIa Trust, Series 2017-RN7, Class A1, 3.105%, 9/28/2032, 144A(c)(k)		3,205,000
	2,581,116	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A(a)		2,672,861
	2,163,182	Bayview Opportunity Master Fund IVa Trust, Series 2017-RT1, Class A1, 3.000%, 3/28/2057, 144A(a)(k)		2,186,892
	2,122,803	Bayview Opportunity Master Fund IVb Trust, Series 2016-SPL2, Class A, 4.000%, 6/28/2053, 144A(a)(k)		2,202,194
	898,457	Bayview Opportunity Master Fund IVb Trust, Series 2017-NPL1, Class A1, 3.598%, 1/28/2032, 144A(k)		896,135
	1,385,000	Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL2, Class B1, 4.250%, 6/28/2054, 144A(k)		1,425,018
	2,016,100	Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL3, Class B1, 4.250%, 11/28/2053, 144A(k)		2,108,645
	3,198,446	Bayview Opportunity Master Fund IVb Trust, Series 2017-SPL4, Class A, 3.500%, 1/28/2055, 144A(k)		3,278,949
	2,562,711	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A(a)		2,577,993

		ABS Home Equity – continued
	1,500,000	Colony American Homes, Series 2014-1A, Class B, 1-month LIBOR + 1.350%, 2.584%, 5/17/2031, 144A(b)		1,501,922
	96,417	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.956%, 7/25/2021(k)		93,700
	93,922	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(k)		94,899
	215,393	Countrywide Home Equity Loan Trust, Series 2006-S7, Class A3, 5.712%, 11/25/2035(k)		214,554
	6,025,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 3.087%, 10/25/2027(a)(b)		6,155,043
	3,265,766	HarborView Mortgage Loan Trust, Series 2004-3, Class 1A, 3.114%, 5/19/2034(a)(k)		3,329,846
	2,025,000	Home Partners of America Trust, Series 2016-1, Class D, 1-month LIBOR + 3.300%, 4.534%, 3/17/2033, 144A(b)		2,064,477
	578,090	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(k)		577,787
	103,915	Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 3.179%, 7/25/2035(k)		96,885
	1,417,000	Progress Residential Trust, Series 2015-SFR3, 4.673%, 11/12/2032, 144A		1,473,195
	73,244	Residential Accredit Loans, Inc., Trust, Series 2006-QS13, Class 2A1, 5.750%, 9/25/2021(c)(d)		71,153
	347,013	Residential Accredit Loans, Inc., Trust, Series 2006-QS18, Class 3A3, 5.750%, 12/25/2021		329,524
	14,626	Residential Accredit Loans, Inc., Trust, Series 2006-QS6, Class 2A1, 6.000%, 6/25/2021(c)(d)		14,212
	770,000	Sequoia Mortgage Trust, Series 2017-CH1, Class A1, 4.000%, 10/25/2047, 144A(c)(k)		790,564
	1,772,231	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(a)(k)		1,780,024
	1,767,557	Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250%, 4/25/2056, 144A(a)(k)		1,758,763
	3,386,009	WaMu Mortgage Pass Through Certificates, Series 2007-HY2, Class 2A2, 3.346%, 11/25/2036(k)		3,178,136

				44,078,371

		ABS Other – 4.4%
	982,187	AASET Trust, Series 2017-1A, Class A, 3.967%, 5/16/2042, 144A		988,794
	1,945,417	Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class A, 4.213%, 12/16/2041, 144A(k)		2,022,151

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		ABS Other – continued
$	1,044,185	CLI Funding V LLC, Series 2014-1A, Class A, 3.290%, 6/18/2029, 144A	$	1,042,133
	2,101,125	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		2,104,424
	1,320,931	Emerald Aviation Finance Ltd., Series 2013-1, Class A, 4.650%, 10/15/2038, 144A(k)		1,356,966
	283,975	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		282,801
	1,607,000	GreatAmerica Leasing Receivables Funding LLC, Series 2017-1, Class A4, 2.360%, 1/20/2023, 144A		1,605,729
	2,375,000	Lendmark Funding Trust, Series 2017-1A, Class A, 2.830%, 12/22/2025, 144A		2,376,032
	1,451,154	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(k)		1,464,263
	9,265,000	OneMain Financial Issuance Trust, Series 2015-3A, Class A, 3.630%, 11/20/2028, 144A(a)		9,504,157
	4,160,000	OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A		4,323,140
	1,556,858	Orange Lake Timeshare Trust, Series 2012-AA, Class A, 3.450%, 3/10/2027, 144A		1,563,743
	5,335,194	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		5,320,595
	3,753,014	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(a)		3,929,745
	128,073	Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A		127,973
	2,232,934	SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.050%, 4/25/2029, 144A		2,248,154
	701,396	SVO VOI Mortgage LLC, Series 2012-AA, Class A, 2.000%, 9/20/2029, 144A		693,654
	1,402,042	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		1,401,998
	593,379	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		591,970
	3,490,167	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A(a)		3,472,417
	2,420,000	Tidewater Sales Finance Master Trust, Series 2017-AA, Class A, 4.550%, 4/15/2021, 144A(e)(f)		2,418,448
	635,000	Verizon Owner Trust, Series 2016-1A, Class A, 1.420%, 1/20/2021, 144A		632,035

				49,471,322


		ABS Student Loan – 2.9%
	1,697,265	Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A		1,689,413
	1,607,325	Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A2, 3-month LIBOR + 0.950%, 2.249%, 7/01/2024(a)(b)		1,610,030
	1,625,000	SLM Private Credit Student Loan Trust, Series 2003-A, Class A3, 28-day ARS, 3.790%, 6/15/2032(b)(c)		1,624,350
	7,850,000	SLM Private Credit Student Loan Trust, Series 2003-B, Class A4, 28-day ARS, 3.280%, 3/15/2033(b)(c)		7,846,860
	3,540,192	SLM Student Loan Trust, Series 2008-2, Class A3, 3-month LIBOR + 0.750%, 2.064%, 4/25/2023(b)		3,533,830
	81,424	SoFi Professional Loan Program LLC, Series 2014-A, Class A2, 3.020%, 10/25/2027, 144A		82,301
	422,336	SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1-month LIBOR + 1.250%, 2.482%, 8/25/2032, 144A(b)		427,326
	6,342,033	SoFi Professional Loan Program LLC, Series 2015-C, Class B, 3.580%, 8/25/2036, 144A(a)		6,364,110
	3,220,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A(a)		3,244,204
	6,622,652	South Carolina Student Loan Corp., Series 2010-1, Class A2, 3-month LIBOR + 1.000%, 2.314%, 7/25/2025(a)(b)		6,670,666

				33,093,090

		ABS Whole Business – 0.4%
	3,351,600	Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/2047, 144A		3,484,266
	975,000	Five Guys Funding LLC, Series 2017-1A, Class A2, 4.600%, 7/25/2047, 144A		998,894

				4,483,160

		Agency Commercial Mortgage-Backed Securities – 10.3%
	14,155,000	Federal National Mortgage Association, Series 2015-M13, Class A2, 2.802%, 6/25/2025(k)		14,170,034
	1,025,353	Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 2.162%, 11/25/2022(b)		1,025,823
	22,300,000	Federal National Mortgage Association, Series 2015-M8, Class A2, 2.900%, 1/25/2025(k)		22,554,978
	6,043,000	Federal National Mortgage Association, Series 2016-M1, Class A2, 2.939%, 1/25/2026(k)		6,103,282

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	398,578,299	FHLMC Multifamily Structured Pass Through Certificates, Series K028, Class X1, 0.440%, 2/25/2023(a)(g)(k)	$	5,552,913
	6,125,000	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(a)(k)		6,419,080
	84,874,975	FHLMC Multifamily Structured Pass Through Certificates, Series K031, Class X1, 0.357%, 4/25/2023(a)(g)(k)		979,449
	34,338,809	FHLMC Multifamily Structured Pass Through Certificates, Series K036, Class X1, 0.907%, 10/25/2023(g)(k)		1,328,833
	36,493,195	FHLMC Multifamily Structured Pass Through Certificates, Series K038, Class X1, 1.334%, 3/25/2024(g)(k)		2,254,535
	39,480,913	FHLMC Multifamily Structured Pass Through Certificates, Series K040, Class X1, 0.871%, 9/25/2024(a)(g)(k)		1,685,724
	78,285,275	FHLMC Multifamily Structured Pass Through Certificates, Series K046, Class X1, 0.499%, 3/25/2025(g)(k)		1,928,847
	74,050,129	FHLMC Multifamily Structured Pass Through Certificates, Series K047, Class X1, 0.286%, 5/25/2025(g)(k)		803,984
	37,403,488	FHLMC Multifamily Structured Pass Through Certificates, Series K049, Class X1, 0.739%, 7/25/2025(g)(k)		1,480,928
	21,728,928	FHLMC Multifamily Structured Pass Through Certificates, Series K050, Class X1, 0.462%, 8/25/2025(g)(k)		501,336
	42,827,330	FHLMC Multifamily Structured Pass Through Certificates, Series K051, Class X1, 0.686%, 9/25/2025(a)(g)(k)		1,565,228
	17,631,398	FHLMC Multifamily Structured Pass Through Certificates, Series K052, Class X1, 0.807%, 11/25/2025(g)(k)		773,177
	9,752,753	FHLMC Multifamily Structured Pass Through Certificates, Series K053, Class X1, 1.030%, 12/25/2025(g)(k)		591,736
	17,085,451	FHLMC Multifamily Structured Pass Through Certificates, Series K054, Class X1, 1.318%, 1/25/2026(g)(k)		1,376,322

		Agency Commercial Mortgage-Backed Securities – continued
	7,702,501	FHLMC Multifamily Structured Pass Through Certificates, Series K055, Class X1, 1.502%, 3/25/2026(g)(k)		729,223
	8,721,091	FHLMC Multifamily Structured Pass Through Certificates, Series K057, Class X1, 1.327%, 7/25/2026(g)(k)		736,270
	8,734,442	FHLMC Multifamily Structured Pass Through Certificates, Series K058, Class X1, 1.058%, 8/25/2026(g)(k)		595,710
	26,095,980	FHLMC Multifamily Structured Pass Through Certificates, Series K059, Class X1, 0.437%, 9/25/2026(g)(k)		637,786
	94,848,486	FHLMC Multifamily Structured Pass Through Certificates, Series K060, Class X1, 0.201%, 10/25/2026(g)(k)		762,060
	15,699,758	FHLMC Multifamily Structured Pass Through Certificates, Series K152, Class X1, 1.097%, 1/25/2031(g)(k)		1,424,114
	3,288,178	FHLMC Multifamily Structured Pass Through Certificates, Series KS01, Class X1, 1.472%, 1/25/2023(g)(k)		160,648
	52,408,138	FHLMC Multifamily Structured Pass Through Certificates, Series KS03, Class X, 0.430%, 8/25/2025(g)(k)		778,130
	3,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series KS07, Class A2, 2.735%, 9/25/2025(a)		2,987,032
	35,581,793	FHLMC Multifamily Structured Pass Through Certificates, Series KW02, Class X1, 0.447%, 12/25/2026(g)(k)		725,997
	1,953,077	FNMA, 3.340%, 3/01/2029		2,020,762
	4,000,000	Government National Mortgage Association, Series 2008-52, Class E, 6.041%, 8/16/2042(a)(k)		4,693,232
	1,749,838	Government National Mortgage Association, Series 2008-80, Class E, 5.674%, 8/16/2042(a)(k)		1,879,037
	2,213,141	Government National Mortgage Association, Series 2011-121, Class ZA, 6.500%, 8/16/2051(a)		2,783,352
	64,142,898	Government National Mortgage Association, Series 2012-85, Class IO, 0.816%, 9/16/2052(a)(g)(k)		2,875,494
	11,841,267	Government National Mortgage Association, Series 2014-101, Class IO, 0.827%, 4/16/2056(g)(k)		663,861
	18,105,091	Government National Mortgage Association, Series 2014-86, Class IO, 0.785%, 4/16/2056(g)(k)		872,752
	72,004,124	Government National Mortgage Association, Series 2015-146, Class IB, 0.864%, 7/16/2055(a)(g)(k)		3,923,973
	17,572,189	Government National Mortgage Association, Series 2015-171, Class IO, 0.893%, 11/16/2055(g)(k)		1,172,401
	27,202,942	Government National Mortgage Association, Series 2015-189, Class IG, 0.932%, 1/16/2057(a)(g)(k)		1,716,984

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Agency Commercial Mortgage-Backed Securities – continued
$	18,105,013	Government National Mortgage Association, Series 2015-21, Class IO, 1.033%, 7/16/2056(g)(k)	$	1,099,115
	37,374,741	Government National Mortgage Association, Series 2015-32, Class IO, 0.873%, 9/16/2049(a)(g)(k)		2,160,324
	13,051,273	Government National Mortgage Association, Series 2015-68, Class IO, 0.780%, 7/16/2057(g)(k)		737,445
	45,754,192	Government National Mortgage Association, Series 2015-70, Class IO, 1.069%, 12/16/2049(a)(g)(k)		2,919,959
	35,904,143	Government National Mortgage Association, Series 2015-73, Class IO, 0.813%, 11/16/2055(a)(g)(k)		1,989,542
	28,126,082	Government National Mortgage Association, Series 2016-143, 0.957%, 10/16/2056(g)		2,292,453
	55,985,743	Government National Mortgage Association, Series 2016-6, Class IO, 0.752%, 2/16/2051(a)(g)(k)		2,747,024

				117,180,889

		Collateralized Mortgage Obligations – 25.0%
	117,217	Federal Home Loan Mortgage Corp., REMIC, Series 1673, Class SE, 8.390%, 2/15/2024(l)		131,370
	95,468	Federal Home Loan Mortgage Corp., REMIC, Series 2060, Class ZA, 6.000%, 4/15/2028(a)		105,581
	1,082,627	Federal Home Loan Mortgage Corp., REMIC, Series 2626, Class SQ, 11.914%, 6/15/2023(l)		1,236,021
	483,651	Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class MH, 5.000%, 7/15/2033		515,300
	208,193	Federal Home Loan Mortgage Corp., REMIC, Series 2649, Class IM, 7.000%, 7/15/2033(a)(c)(d)(g)		51,894
	214,186	Federal Home Loan Mortgage Corp., REMIC, Series 2725, Class SC, 7.219%, 11/15/2033(l)		222,707
	2,698,323	Federal Home Loan Mortgage Corp., REMIC, Series 2882, Class TF, 1-month LIBOR + 0.250%, 1.484%, 10/15/2034(a)(b)		2,704,285
	7,444,567	Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035(a)		8,186,916
	3,332,226	Federal Home Loan Mortgage Corp., REMIC, Series 3013, Class AS, 15.168%, 5/15/2035(a)(l)		4,345,040
	7,765,855	Federal Home Loan Mortgage Corp., REMIC, Series 3149, Class LS, 5.966%, 5/15/2036(a)(g)(l)		1,726,238
	2,223,750	Federal Home Loan Mortgage Corp., REMIC, Series 3416, Class BI, 5.016%, 2/15/2038(g)(l)		331,888

		Collateralized Mortgage Obligations – continued
	1,517,718	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class WS, 13.136%, 2/15/2038(a)(l)		1,902,135
	1,548,397	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.024%, 6/15/2048(a)(g)(k)		1,477,010
	450,000	Federal Home Loan Mortgage Corp., REMIC, Series 3605, Class NC, 5.500%, 6/15/2037		502,053
	1,654,988	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.217%, 12/15/2036(a)(g)(k)		1,743,292
	1,007,080	Federal Home Loan Mortgage Corp., REMIC, Series 3752, Class KF, 1-month LIBOR + 0.500%, 1.734%, 12/15/2037(b)		1,010,587
	1,937,290	Federal Home Loan Mortgage Corp., REMIC, Series 3785, Class LS, 7.431%, 1/15/2041(a)(l)		2,253,288
	360,817	Federal Home Loan Mortgage Corp., REMIC, Series 3808, Class SH, 6.726%, 2/15/2041(l)		402,476
	1,830,902	Federal Home Loan Mortgage Corp., REMIC, Series 3828, Class EF, 1-month LIBOR + 0.400%, 1.634%, 5/15/2037(a)(b)		1,837,305
	1,800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4041, Class ES, 17.828%, 8/15/2040(a)(l)		3,036,927
	4,379,579	Federal Home Loan Mortgage Corp., REMIC, Series 4097, 4.916%, 8/15/2032(g)(l)		573,790
	1,820,000	Federal Home Loan Mortgage Corp., REMIC, Series 4204, Class QP, 3.000%, 5/15/2043(a)		1,776,744
	1,624,459	Federal Home Loan Mortgage Corp., REMIC, Series 4238, Class FD, 1-month LIBOR + 0.300%, 1.534%, 2/15/2042(a)(b)		1,622,274
	15,389,283	Federal Home Loan Mortgage Corp., REMIC, Series 4321, Class BS, 1.696%, 6/15/2039(g)(k)		813,493
	800,000	Federal Home Loan Mortgage Corp., REMIC, Series 4395, Class PE, 2.500%, 4/15/2037		710,161
	357,917	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class NT, 6.500%, 8/15/2043(l)		388,727
	425,382	Federal Home Loan Mortgage Corp., REMIC, Series 4460, Class TN, 5.000%, 8/15/2043(l)		454,972
	1,399,000	Federal Home Loan Mortgage Corp., REMIC, Series 4480, Class NB, 3.500%, 6/15/2045		1,407,638
	631,630	Federal Home Loan Mortgage Corp., Series 224, Class IO, 6.000%, 3/01/2033(a)(g)		114,298
	8,644,124	Federal Home Loan Mortgage Corp., Series 277, Class 30, 3.000%, 9/15/2042(a)		8,743,127

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	736,401	Federal Home Loan Mortgage Corp., Series 3792, Class DF, 1-month LIBOR + 0.400%, 1.634%, 11/15/2040(b)	$	737,264
	2,170,761	Federal Home Loan Mortgage Corp., Series 4268, Class DL, 2.500%, 11/15/2028		2,128,451
	1,655,138	Federal Home Loan Mortgage Corp., Series 4290, Class QB, 2.500%, 1/15/2029		1,613,732
	255,193	Federal National Mortgage Association, REMIC, Series 1996-45, Class SC, 6.013%, 1/25/2024(c)(d)(g)(l)		30,248
	1,472,728	Federal National Mortgage Association, REMIC, Series 2005-22, Class DG, 6.810%, 4/25/2035(a)(l)		1,556,470
	3,772,955	Federal National Mortgage Association, REMIC, Series 2005-45, Class DA, 19.884%, 6/25/2035(l)		5,866,012
	1,725,408	Federal National Mortgage Association, REMIC, Series 2005-62, Class GZ, 5.750%, 7/25/2035(a)		2,095,449
	2,969,415	Federal National Mortgage Association, REMIC, Series 2006-46, Class SK, 19.664%, 6/25/2036(a)(l)		4,164,146
	154,857	Federal National Mortgage Association, REMIC, Series 2006-69, Class KI, 6.063%, 8/25/2036(c)(d)(g)(l)		25,708
	757,326	Federal National Mortgage Association, REMIC, Series 2008-15, Class AS, 26.814%, 8/25/2036(l)		1,294,379
	717,637	Federal National Mortgage Association, REMIC, Series 2008-35, Class CD, 4.500%, 5/25/2023(a)		721,992
	2,032,726	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.441%, 8/25/2038(a)(k)		2,120,533
	496,272	Federal National Mortgage Association, REMIC, Series 2008-87, Class LD, 4.647%, 11/25/2038(k)		519,442
	1,301,533	Federal National Mortgage Association, REMIC, Series 2009-11, Class VP, 2.684%, 3/25/2039(a)(k)		1,291,488
	109,377	Federal National Mortgage Association, REMIC, Series 2009-71, Class MB, 4.500%, 9/25/2024		115,034
	266,268	Federal National Mortgage Association, REMIC, Series 2010-75, Class MT, 4.682%, 12/25/2039(k)		271,425
	3,693,540	Federal National Mortgage Association, REMIC, Series 2010-95, Class FB, 1-month LIBOR + 0.400%, 1.637%, 9/25/2040(a)(b)		3,699,091
	458,025	Federal National Mortgage Association, REMIC, Series 2011-100, Class SH, 6.463%, 11/25/2040(l)		510,244
	6,895,651	Federal National Mortgage Association, REMIC, Series 2012-112, Class DA, 3.000%, 10/25/2042(a)		6,890,506

		Collateralized Mortgage Obligations – continued
	1,500,000	Federal National Mortgage Association, REMIC, Series 2013-109, Class US, 9.138%, 7/25/2043(a)(l)		1,984,902
	939,818	Federal National Mortgage Association, REMIC, Series 2013-23, Class TS, 4.294%, 3/25/2043(l)		860,925
	722,847	Federal National Mortgage Association, REMIC, Series 2013-26, Class SJ, 3.975%, 4/25/2033(l)		728,907
	5,210,271	Federal National Mortgage Association, REMIC, Series 2013-34, Class PS, 4.913%, 8/25/2042(a)(g)(l)		861,133
	139,555	Federal National Mortgage Association, REMIC, Series 2014-67, Class PT, 6.000%, 10/25/2044(l)		146,326
	1,845,566	Federal National Mortgage Association, REMIC, Series 2015-1, Class SN, 6.000%, 7/25/2043(a)(l)		2,079,973
	687,206	Federal National Mortgage Association, REMIC, Series 2015-55, Class KT, 5.500%, 5/25/2041(l)		681,436
	2,863,339	Federal National Mortgage Association, REMIC, Series 2016-26, Class KL, 4.500%, 11/25/2042(a)(l)		2,663,794
	28,561,082	Federal National Mortgage Association, REMIC, Series 2016-32, Class SA, 4.863%, 10/25/2034(a)(g)(l)		4,401,063
	2,251,867	Federal National Mortgage Association, REMIC, Series 2016-32, Class TG, 4.500%, 1/25/2043(a)(k)		2,133,940
	826,837	Federal National Mortgage Association, Series 334, Class 11, 6.000%, 3/25/2033(a)(g)		193,548
	182,387	Federal National Mortgage Association, Series 334, Class 19, 7.000%, 2/25/2033(a)(c)(d)(g)(k)		47,769
	872,161	Federal National Mortgage Association, Series 339, Class 13, 6.000%, 6/25/2033(a)(g)		201,884
	167,359	Federal National Mortgage Association, Series 339, Class 7, 5.500%, 11/25/2033(a)(c)(d)(g)		35,903
	1,856,305	Federal National Mortgage Association, Series 356, Class 13, 5.500%, 6/25/2035(a)(g)		342,085
	798,449	Federal National Mortgage Association, Series 359, Class 17, 6.000%, 7/25/2035(a)(g)		167,495
	448,998	Federal National Mortgage Association, Series 374, Class 18, 6.500%, 8/25/2036(a)(c)(d)(g)		97,504
	928,243	Federal National Mortgage Association, Series 374, Class 20, 6.500%, 9/25/2036(a)(g)		207,297
	440,273	Federal National Mortgage Association, Series 374, Class 22, 7.000%, 10/25/2036(a)(c)(d)(g)		94,603
	510,022	Federal National Mortgage Association, Series 374, Class 23, 7.000%, 10/25/2036(a)(g)		118,812

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	645,543	Federal National Mortgage Association, Series 374, Class 24, 7.000%, 6/25/2037(a)(g)	$	148,214
	576,282	Federal National Mortgage Association, Series 381, Class 12, 6.000%, 11/25/2035(a)(g)		115,135
	273,664	Federal National Mortgage Association, Series 381, Class 13, 6.000%, 11/25/2035(a)(c)(d)(g)(k)		52,479
	370,133	Federal National Mortgage Association, Series 381, Class 18, 7.000%, 3/25/2037(a)(c)(d)(g)		81,076
	239,923	Federal National Mortgage Association, Series 381, Class 19, 7.000%, 3/25/2037(a)(c)(d)(g)(k)		57,818
	71,850	Federal National Mortgage Association, Series 383, Class 32, 6.000%, 1/25/2038(a)(c)(d)(g)		15,015
	2,187,024	Federal National Mortgage Association, Series 384, Class 20, 5.500%, 5/25/2036(a)(g)(k)		421,393
	709,363	Federal National Mortgage Association, Series 384, Class 31, 6.500%, 7/25/2037(a)(g)		158,517
	686,263	Federal National Mortgage Association, Series 384, Class 36, 7.000%, 7/25/2037(a)(g)(k)		140,503
	626,816	Federal National Mortgage Association, Series 384, Class 4, 4.500%, 9/25/2036(a)(c)(d)(g)(k)		85,028
	350,966	Federal National Mortgage Association, Series 385, Class 23, 7.000%, 7/25/2037(a)(c)(d)(g)		65,754
	58,846	Federal National Mortgage Association, Series 386, Class 25, 7.000%, 3/25/2038(c)(d)(g)(k)		11,528
	10,743,254	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class X1, 1.503%, 12/25/2021(g)(k)		505,058
	4,960,161	Government National Mortgage Association, Series 2006-46, Class IO, 0.475%, 4/16/2046(c)(d)(g)(k)		74,955
	2,637,909	Government National Mortgage Association, Series 2006-51, Class IO, 0.928%, 8/16/2046(a)(c)(d)(g)(k)		80,015
	7,247,966	Government National Mortgage Association, Series 2009-114, Class IO, 0.000%, 10/16/2049(c)(d)(g)(k)		55,457
	258,671	Government National Mortgage Association, Series 2009-65, Class NZ, 5.500%, 8/20/2039		316,926
	9,440,668	Government National Mortgage Association, Series 2010-124, Class X, 0.092%, 1/15/2053(a)(c)(d)(g)(k)		78,478
	393,105	Government National Mortgage Association, Series 2010-49, Class IA, 1.509%, 10/16/2052(c)(d)(g)(k)		21,981

		Collateralized Mortgage Obligations – continued
	720,965	Government National Mortgage Association, Series 2010-H20, Class AF, 1-month LIBOR + 0.330%, 1.561%, 10/20/2060(b)		716,112
	2,365,452	Government National Mortgage Association, Series 2010-H22, Class FE, 1-month LIBOR + 0.350%, 1.581%, 5/20/2059(a)(b)		2,359,250
	8,172,887	Government National Mortgage Association, Series 2011-119, Class IO, 0.548%, 8/16/2051(g)(k)		194,130
	29,435,005	Government National Mortgage Association, Series 2011-121, Class IO, 0.744%, 6/16/2043(a)(g)(k)		476,794
	18,504,906	Government National Mortgage Association, Series 2011-161, Class IO, 0.499%, 4/16/2045(g)(k)		382,548
	8,371,809	Government National Mortgage Association, Series 2011-38, Class IO, 0.075%, 4/16/2053(a)(g)(k)		151,916
	3,193,713	Government National Mortgage Association, Series 2011-53, Class IO, 0.459%, 5/16/2051(a)(c)(d)(g)(k)		80,349
	1,316,132	Government National Mortgage Association, Series 2011-H01, Class AF, 1-month LIBOR + 0.450%, 1.681%, 11/20/2060(b)		1,312,241
	572,585	Government National Mortgage Association, Series 2011-H21, Class FT, 1-year CMT + 0.700%, 1.930%, 10/20/2061(b)		578,014
	15,534,276	Government National Mortgage Association, Series 2012-100, Class IC, 1.367%, 9/16/2050(g)(k)		945,001
	11,810,746	Government National Mortgage Association, Series 2012-111, Class IC, 1.267%, 9/16/2050(g)(k)		688,708
	62,840,758	Government National Mortgage Association, Series 2012-142, Class IO, 1.001%, 4/16/2054(a)(g)(k)		2,620,592
	17,792,996	Government National Mortgage Association, Series 2012-23, Class IO, 0.800%, 6/16/2053(a)(g)(k)		541,213
	31,534,674	Government National Mortgage Association, Series 2012-55, Class IO, 0.769%, 4/16/2052(a)(g)(k)		722,213
	20,042,706	Government National Mortgage Association, Series 2012-70, Class IO, 0.506%, 8/16/2052(a)(g)(k)		483,861
	19,497,588	Government National Mortgage Association, Series 2012-79, Class IO, 0.803%, 3/16/2053(g)(k)		813,508
	7,725,971	Government National Mortgage Association, Series 2012-H08, Class FA, 1-month LIBOR + 0.600%, 1.831%, 1/20/2062(a)(b)		7,750,623
	1,192,786	Government National Mortgage Association, Series 2012-H11, Class GA, 1-month LIBOR + 0.580%, 1.811%, 5/20/2062(b)		1,194,677

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	769,503	Government National Mortgage Association, Series 2012-H16, Class HA, 2.000%, 7/20/2062	$	768,445
	2,277,335	Government National Mortgage Association, Series 2012-H20, Class BA, 1-month LIBOR + 0.560%, 1.791%, 9/20/2062(a)(b)		2,281,668
	1,300,153	Government National Mortgage Association, Series 2012-H22, Class HD, 5.258%, 1/20/2061(k)		1,403,876
	2,159,315	Government National Mortgage Association, Series 2012-H24, Class FD, 1-month LIBOR + 0.590%, 1.821%, 9/20/2062(a)(b)		2,163,497
	307,260	Government National Mortgage Association, Series 2012-H24, Class FE, 1-month LIBOR + 0.600%, 1.831%, 10/20/2062(b)		308,443
	16,539,114	Government National Mortgage Association, Series 2012-H24, Class HI, 1.193%, 10/20/2062(c)(g)(k)		656,396
	4,389,001	Government National Mortgage Association, Series 2012-H26, Class BA, 1-month LIBOR + 0.350%, 1.581%, 10/20/2062(a)(b)		4,370,385
	1,947,486	Government National Mortgage Association, Series 2012-H27, Class FA, 1-month LIBOR + 0.400%, 1.631%, 10/20/2062(a)(b)		1,941,956
	1,730,262	Government National Mortgage Association, Series 2012-H27, Class FB, 1-month LIBOR + 0.500%, 1.731%, 10/20/2062(a)(b)		1,732,956
	2,773,228	Government National Mortgage Association, Series 2012-H30, Class GA, 1-month LIBOR + 0.350%, 1.581%, 12/20/2062(a)(b)		2,756,620
	5,221,374	Government National Mortgage Association, Series 2013-175, Class IO, 0.700%, 5/16/2055(g)(k)		185,259
	37,702,204	Government National Mortgage Association, Series 2013-H04, Class BA, 1.650%, 2/20/2063(a)		37,458,889
	22,379,638	Government National Mortgage Association, Series 2013-H16, Class AI, 1.630%, 7/20/2063(c)(g)(k)		1,307,810
	16,083,000	Government National Mortgage Association, Series 2013-H18, Class EI, 1.733%, 7/20/2063(c)(g)(k)		1,133,385
	2,614,099	Government National Mortgage Association, Series 2013-H18, Class JI, 1.396%, 8/20/2063(c)(g)(k)		123,353
	1,602,264	Government National Mortgage Association, Series 2013-H21, Class FB, 1-month LIBOR + 0.700%, 1.931%, 9/20/2063(b)		1,610,279

		Collateralized Mortgage Obligations – continued
	297,757	Government National Mortgage Association, Series 2013-H22, Class FT, 1-year CMT + 0.650%, 1.880%, 4/20/2063(b)		300,160
	43,610,060	Government National Mortgage Association, Series 2014-130, Class IB, 0.905%, 8/16/2054(a)(g)(k)		2,200,625
	72,624	Government National Mortgage Association, Series 2014-160, Class ST, 6.500%, 10/20/2044(l)		73,001
	35,497,492	Government National Mortgage Association, Series 2014-24, Class IX, 0.752%, 1/16/2054(a)(g)(k)		1,392,826
	25,100,505	Government National Mortgage Association, Series 2014-70, Class IO, 0.895%, 3/16/2049(a)(g)(k)		1,152,306
	13,856,530	Government National Mortgage Association, Series 2014-H03, Class FS, 1-month LIBOR + 0.650%, 1.881%, 2/20/2064(a)(b)		13,922,003
	4,203,097	Government National Mortgage Association, Series 2014-H05, Class FB, 1-month LIBOR + 0.600%, 1.831%, 12/20/2063(a)(b)		4,211,447
	3,444,361	Government National Mortgage Association, Series 2014-H06, Class FA, 1-month LIBOR + 0.570%, 1.801%, 3/20/2064(a)(b)		3,452,655
	8,301,718	Government National Mortgage Association, Series 2014-H12, Class HZ, 4.601%, 6/20/2064(a)(k)		9,105,275
	3,288,685	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)(b)		3,283,452
	2,342,645	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)(b)		2,338,553
	44,383,502	Government National Mortgage Association, Series 2015-120, Class IO, 0.908%, 3/16/2057(a)(g)(k)		2,696,000
	1,299,207	Government National Mortgage Association, Series 2015-39, Class SN, 3.117%, 3/20/2045(a)(l)		1,318,966
	3,147,107	Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 1.531%, 4/20/2061(a)(b)		3,146,774
	5,794,041	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065(a)		5,676,246
	3,805,646	Government National Mortgage Association, Series 2015-H13, Class FL, 1-month LIBOR + 0.280%, 1.511%, 5/20/2063(a)(b)		3,804,499
	1,438,067	Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 1.931%, 10/20/2065(a)(b)		1,442,610

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Collateralized Mortgage Obligations – continued
$	108,763	Government National Mortgage Association, Series 2015-H29, Class HZ, 4.588%, 9/20/2065(k)	$	121,007
	993,299	Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 1.911%, 8/20/2061(b)		996,352
	1,770,000	Government National Mortgage Association, Series 2016-17, Class GT, 5.000%, 8/20/2045(l)		1,651,542
	1,653,028	Government National Mortgage Association, Series 2016-23, Class PA, 5.720%, 7/20/2037(a)(k)		1,814,627
	4,280,086	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 2.151%, 2/20/2066(a)(b)		4,332,034
	28,580,959	Government National Mortgage Association, Series 2016-H09, Class JI, 2.093%, 4/20/2066(a)(c)(g)(k)		2,911,685
	5,461,559	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 1.831%, 4/20/2066(a)(b)		5,473,677
	2,696,415	Government National Mortgage Association, Series 2016-H13, Class FT, 1-month LIBOR + 0.580%, 1.811%, 5/20/2066(a)(b)		2,700,867
	529,236	Government National Mortgage Association, Series 2016-H14, Class JZ, 4.541%, 8/20/2063(k)		559,919
	522,962	Government National Mortgage Association, Series 2016-H19, Class CZ, 4.483%, 8/20/2066(k)		581,102
	525,891	Government National Mortgage Association, Series 2016-H19, Class EZ, 5.087%, 6/20/2061(k)		579,421
	2,537,599	Government National Mortgage Association, Series 2016-H19, Class FC, 1-month LIBOR + 0.400%, 1.631%, 8/20/2066(a)(b)		2,535,110
	3,046,366	Government National Mortgage Association, Series 2016-H19, Class FE, 1-month LIBOR + 0.370%, 1.601%, 6/20/2061(a)(b)		3,047,489
	2,570,124	Government National Mortgage Association, Series 2016-H19, Class FJ, 1-month LIBOR + 0.400%, 1.631%, 9/20/2063(a)(b)		2,573,382
	5,000,000	Government National Mortgage Association, Series 2017-H17, Class FG, 1.750%, 8/20/2067(c)(k)		4,996,875

				283,121,234

		Hybrid ARMs – 1.0%
	181,390	FHLMC, 1-year CMT + 2.238%, 2.991%, 1/01/2036(a)(b)		191,487
	1,720,482	FHLMC, 1-year CMT + 2.216%, 3.095%, 6/01/2035(a)(b)		1,813,622

		Hybrid ARMs – continued
	92,088	FHLMC, 1-year CMT + 2.248%, 3.111%, 1/01/2035(a)(b)		97,188
	963,901	FHLMC, 12-month LIBOR + 2.190%, 3.815%, 2/01/2037(a)(b)		1,023,541
	405,034	FNMA, 6-month LIBOR + 1.504%, 2.952%, 2/01/2037(a)(b)		417,982
	2,115,430	FNMA, 1-year CMT + 2.215%, 2.956%, 6/01/2034(a)(b)		2,232,462
	847,882	FNMA, 1-year CMT + 2.127%, 3.012%, 9/01/2034(a)(b)		892,567
	228,664	FNMA, 1-year CMT + 2.045%, 3.170%, 10/01/2035(a)(b)		234,349
	1,699,059	FNMA, 12-month LIBOR + 1.697%, 3.365%, 8/01/2038(a)(b)		1,785,701
	2,823,921	FNMA, 12-month LIBOR + 1.736%, 3.484%, 9/01/2037(a)(b)		2,964,203
	355,093	FNMA, 12-month LIBOR + 1.881%, 3.495%, 9/01/2036(a)(b)		375,551

				12,028,653

		Mortgage Related – 45.1%
	1,612,231	Federal Home Loan Mortgage Corp., REMIC, Series 3417, Class VS, 14.244%, 2/15/2038(a)(l)		2,107,503
	3,779,296	FHLMC, 3.500%, with various maturities from 2042 to 2046(a)(h)		3,910,730
	750,292	FHLMC, 4.000%, 9/01/2045		790,240
	61,402	FHLMC, 5.000%, 9/01/2035		67,190
	7,724,275	FNMA, 4.000%, with various maturities from 2041 to 2052(h)		8,173,275
	2,292,648	FNMA, 4.500%, with various maturities from 2045 to 2046(a)(h)		2,465,676
	486,577	FNMA, 5.500%, 8/01/2034(a)		548,277
	5,436	FNMA, 6.000%, 10/01/2034		6,207
	5,345,000	FNMA (TBA), 2.500%, 11/01/2032(i)		5,375,111
	32,995,000	FNMA (TBA), 3.000%, 11/01/2047(i)		33,051,708
	97,860,000	FNMA (TBA), 3.500%, 11/01/2047(i)		100,702,141
	117,545,000	FNMA (TBA), 4.000%, 11/01/2047(i)		123,578,361
	754,475	GNMA, 1-month LIBOR + 0.530%, 1.762%, 8/20/2063(b)		759,208
	431,299	GNMA, 1-month LIBOR + 1.735%, 2.955%, 7/20/2060(b)		449,793
	1,797,793	GNMA, 1-month LIBOR + 1.719%, 2.965%, 2/20/2061(a)(b)		1,875,015
	316,813	GNMA, 1-month LIBOR + 1.773%, 2.992%, 9/20/2060(b)		331,408
	2,483,173	GNMA, 1-month LIBOR + 2.005%, 3.235%, 2/20/2063(a)(b)		2,606,423
	1,103,275	GNMA, 1-month LIBOR + 2.374%, 3.583%, 6/20/2065(b)		1,189,636
	381,015	GNMA, 4.089%, 8/20/2062(k)		391,626
	49,436	GNMA, 4.291%, 12/20/2060(k)		50,121
	1,363,267	GNMA, 4.294%, 3/20/2063(k)		1,420,462
	1,799,189	GNMA, 4.427%, 5/20/2063(a)(k)		1,883,396
	3,471,278	GNMA, 4.444%, 2/20/2063(a)(k)		3,615,853
	27,939	GNMA, 4.459%, 3/20/2063(k)		29,191
	1,032,004	GNMA, 4.465%, 6/20/2063(k)		1,077,939

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	49,538	GNMA, 4.466%, 10/20/2062(k)	$	51,480
	31,917	GNMA, 4.467%, 5/20/2062(k)		32,935
	1,480,254	GNMA, 4.477%, 2/20/2062(a)(k)		1,522,176
	2,184,910	GNMA, 4.479%, with various maturities from 2062 to 2063(a)(h)(k)		2,283,324
	297,481	GNMA, 4.489%, 11/20/2061(k)		304,345
	1,906,253	GNMA, 4.491%, 4/20/2063(a)(k)		1,988,861
	834,934	GNMA, 4.496%, 7/20/2062(k)		864,349
	1,435,348	GNMA, 4.497%, 1/20/2062(a)(k)		1,473,990
	381,798	GNMA, 4.500%, 9/20/2060(k)		397,031
	333,553	GNMA, 4.501%, 10/20/2061(k)		340,776
	1,362,648	GNMA, 4.503%, 8/20/2063(k)		1,425,023
	44,807	GNMA, 4.504%, 5/20/2062(k)		46,208
	1,575,178	GNMA, 4.513%, 4/20/2066(a)(k)		1,705,306
	2,216,987	GNMA, 4.516%, 2/20/2067(a)(k)		2,442,135
	2,550,532	GNMA, 4.519%, 12/20/2061(a)(k)		2,616,648
	1,132,543	GNMA, 4.520%, 12/20/2061(k)		1,158,967
	4,080,195	GNMA, 4.523%, with various maturities from 2063 to 2067(h)(k)		4,506,305
	669,908	GNMA, 4.527%, 1/20/2064(k)		694,735
	5,611,035	GNMA, 4.528%, with various maturities from 2063 to 2064(a)(h)(k)		6,001,804
	2,541,245	GNMA, 4.529%, 4/20/2067(k)		2,811,698
	475,361	GNMA, 4.536%, 1/20/2063(k)		495,219
	945,339	GNMA, 4.537%, 6/20/2062(k)		971,528
	2,346,747	GNMA, 4.538%, 12/20/2066(a)(k)		2,583,823
	3,285,982	GNMA, 4.544%, 12/20/2064(a)(k)		3,553,203
	4,705,054	GNMA, 4.552%, 3/20/2063(a)(k)		4,900,931
	12,064,813	GNMA, 4.554%, 6/20/2067(k)		13,380,582
	430,329	GNMA, 4.556%, 9/20/2062(k)		446,048
	893,334	GNMA, 4.563%, 9/20/2063(k)		955,635
	6,041,820	GNMA, 4.564%, 7/20/2065(a)(k)		6,575,272
	2,102,607	GNMA, 4.566%, with various maturities in 2067(h)(k)		2,316,607
	1,651,303	GNMA, 4.567%, 1/20/2067(a)(k)		1,724,303
	514,808	GNMA, 4.568%, 2/20/2066(k)		557,444
	4,232,716	GNMA, 4.571%, 6/20/2063(a)(k)		4,427,575
	54,552	GNMA, 4.580%, 6/20/2062(k)		56,265
	863,089	GNMA, 4.583%, 6/20/2061(k)		880,438
	1,387,927	GNMA, 4.584%, 12/20/2063(k)		1,488,638
	1,544,951	GNMA, 4.585%, 1/20/2067(a)(k)		1,705,239
	3,688,107	GNMA, 4.588%, 3/20/2062(a)(k)		3,773,626
	52,101	GNMA, 4.591%, 3/20/2063(k)		54,285
	876,520	GNMA, 4.595%, 4/20/2067(k)		956,726
	443,090	GNMA, 4.599%, 6/20/2063(k)		463,058
	1,444,815	GNMA, 4.601%, 5/20/2067(k)		1,570,006
	4,605,529	GNMA, 4.602%, 5/20/2067(k)		5,108,403
	14,166	GNMA, 4.603%, 12/20/2063(k)		14,674
	9,431,625	GNMA, 4.604%, with various maturities from 2062 to 2067(h)(k)		10,438,160
	2,032,912	GNMA, 4.605%, 5/20/2067(k)		2,265,245
	811,105	GNMA, 4.613%, 7/20/2062(k)		839,653
	4,062,222	GNMA, 4.614%, 8/20/2066(a)(k)		4,490,633
	468,118	GNMA, 4.615%, 3/20/2062(k)		481,376
	603,924	GNMA, 4.617%, 10/20/2061(k)		617,031
	1,127,905	GNMA, 4.621%, 4/20/2067(k)		1,247,506
	357,714	GNMA, 4.623%, 7/20/2063(k)		373,646
	766,185	GNMA, 4.624%, 6/20/2062(k)		789,594
	1,554,053	GNMA, 4.633%, 12/20/2063(k)		1,673,455

		Mortgage Related – continued
	1,209,959	GNMA, 4.637%, 8/20/2061(k)		1,233,637
	35,506	GNMA, 4.650%, 1/20/2061(k)		36,095
	6,849,394	GNMA, 4.654%, 5/20/2067(k)		7,638,207
	4,119,238	GNMA, 4.655%, with various maturities from 2062 to 2067(a)(h)(k)		4,551,382
	3,340,579	GNMA, 4.656%, 10/20/2061(a)(k)		3,412,459
	1,194,179	GNMA, 4.667%, 4/20/2067(k)		1,220,135
	11,199,846	GNMA, 4.671%, with various maturities from 2062 to 2064(a)(h)(k)		11,574,478
	17,815	GNMA, 4.672%, 3/20/2062(k)		18,445
	35,877	GNMA, 4.677%, 2/20/2062(k)		36,745
	10,067,828	GNMA, 4.683%, with various maturities from 2061 to 2063(a)(h)(k)		10,376,990
	1,504,195	GNMA, 4.684%, 5/20/2064(a)(k)		1,634,867
	474,278	GNMA, 4.690%, 1/20/2062(k)		485,407
	4,195,696	GNMA, 4.700%, with various maturities in 2061(a)(h)(k)		4,266,587
	92,303	GNMA, 4.716%, 3/20/2061(k)		93,638
	607,690	GNMA, 4.721%, 12/20/2063(k)		656,506
	861,200	GNMA, 4.737%, 8/20/2062(k)		885,746
	1,475,729	GNMA, 4.739%, 6/20/2061(a)(k)		1,502,051
	489,279	GNMA, 4.795%, 5/20/2061(k)		496,988
	2,051,580	GNMA, 4.807%, 5/20/2061(a)(k)		2,083,050
	65,575	GNMA, 4.819%, 3/20/2062(k)		67,010
	524,436	GNMA, 4.897%, 1/20/2062(k)		550,121
	222,989	GNMA, 5.140%, 5/20/2060(k)		229,635
	33,920	GNMA, 5.169%, 2/20/2062(k)		35,063
	257,207	GNMA, 5.240%, 5/20/2060(k)		265,345
	155,536	GNMA, 5.305%, 7/20/2060(k)		160,654
	3,460	GNMA, 5.444%, 6/20/2062(k)		3,502
	156,685	GNMA, 5.474%, 5/20/2060(k)		162,394
	34,045	GNMA, 5.500%, with various maturities in 2059(h)(k)		34,389
	2,393	GNMA, 5.505%, 7/20/2058(k)		2,665
	247,860	GNMA, 5.590%, 2/20/2060(k)		255,613
	99,284	GNMA, 5.650%, 12/20/2059(k)		102,420
	3,486	GNMA, 5.685%, 9/20/2059(k)		3,557
	308,712	GNMA, 6.572%, 5/20/2061(k)		319,270
	3,463,326	Government National Mortgage Association, Series 2012-H11, Class BA, 2.000%, 5/20/2062(a)		3,463,165
	2,212,351	Government National Mortgage Association, Series 2013-H13, Class SI, 1.303%, 6/20/2063(c)(g)(k)		123,062
	3,257,045	Government National Mortgage Association, Series 2013-H22, Class FB, 1-month LIBOR + 0.700%, 1.931%, 8/20/2063(a)(b)		3,273,416
	23,191,058	Government National Mortgage Association, Series 2014-H24, Class HI, 0.941%, 9/20/2064(c)(g)(k)		1,025,045
	12,942,508	Government National Mortgage Association, Series 2015-H01, Class XZ, 4.623%, 10/20/2064(a)(k)		14,504,220
	15,490,092	Government National Mortgage Association, Series 2015-H04, Class FL, 1-month LIBOR + 0.470%, 1.701%, 2/20/2065(a)(b)		15,446,938
	2,334,666	Government National Mortgage Association, Series 2015-H12, Class FL, 1-month LIBOR + 0.230%, 1.461%, 5/20/2065(a)(b)		2,314,831

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Mortgage Related – continued
$	3,463,717	Government National Mortgage Association, Series 2015-H19, Class FA, 1-month LIBOR + 0.200%, 1.431%, 4/20/2063(a)(b)	$	3,460,186
	767,114	Government National Mortgage Association, Series 2015-H28, Class JZ, 4.960%, 3/20/2065(k)		817,384
	19,934,413	Government National Mortgage Association, Series 2016-H01, Class AI, 1.701%, 1/20/2066(a)(c)(g)(k)		1,812,786

				511,936,497

		Non-Agency Commercial Mortgage-Backed Securities – 8.6%
	2,424,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A(a)		2,427,383
	2,572,000	Commercial Mortgage Pass Through Certificates, Series 2013-CR13, Class A4, 4.194%, 11/12/2046(a)(k)		2,780,295
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		1,235,178
	2,670,000	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047(a)		2,794,755
	1,300,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,377,669
	2,520,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS5, Class A4, 3.838%, 9/10/2047(a)		2,653,319
	1,220,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A4, 3.691%, 3/10/2047		1,274,554
	2,605,000	Commercial Mortgage Trust, Series 2013-CR6, Class A4, 3.101%, 3/10/2046(a)		2,675,161
	3,110,000	Commercial Mortgage Trust, Series 2015-DC1, Class A5, 3.350%, 2/10/2048(a)		3,175,556
	3,015,000	Commercial Mortgage Trust, Series 2016-SAVA, Class C, 1-month LIBOR + 3.000%, 4.235%, 10/15/2034, 144A(b)		3,047,020
	636,887	Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.514%, 2/15/2041(a)(k)		636,407
	2,450,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A(a)		2,537,846
	1,228,682	GP Portfolio Trust, Series 2014-GPP, Class A, 1-month LIBOR + 1.200%, 2.427%, 2/15/2027, 144A(a)(b)		1,231,408

		Non-Agency Commercial Mortgage-Backed Securities – continued
	5,200,000	GS Mortgage Securities Corp. II, Series 2013-KING, Class C, 3.550%, 12/10/2027, 144A(a)(k)		5,267,629
	5,775,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(a)(k)		5,723,559
	3,461,000	GS Mortgage Securities Trust, Series 2013-GC16, Class B, 5.161%, 11/10/2046(a)(k)		3,765,571
	2,930,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047(a)		3,130,869
	2,936,150	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047(a)		3,013,256
	1,416,000	GS Mortgage Securities Trust, Series 2014-GC20, Class A5, 3.998%, 4/10/2047		1,504,817
	6,465,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1-month LIBOR + 0.900%, 2.134%, 10/15/2029, 144A(a)(b)		6,467,018
	1,628,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047(a)		1,696,049
	472,386	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1-month LIBOR + 0.980%, 2.207%, 7/15/2031, 144A(a)(b)		473,093
	3,025,000	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 1-month LIBOR + 4.500%, 5.727%, 7/15/2036, 144A(a)(b)		3,058,980
	2,735,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048(a)		2,811,620
	3,390,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047(a)		3,528,627
	2,084,602	Morgan Stanley Capital I Trust, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044(a)		2,086,500
	1,000,000	Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.666%, 6/15/2044, 144A(k)		1,035,143
	3,475,000	RBS Commercial Funding, Inc., Trust, Series 2013-SMV, Class C, 3.704%, 3/11/2031, 144A(k)		3,411,534
	680,000	SCG Trust, Series 2013-SRP1, Class A, 1-month LIBOR + 1.650%, 2.877%, 11/15/2026, 144A(b)		666,871
	905,000	SCG Trust, Series 2013-SRP1, Class B, 1-month LIBOR + 2.500%, 3.977%, 11/15/2026, 144A(b)		891,279

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued


Principal Amount		Description	Value (†)

	Bonds and Notes – continued

		Non-Agency Commercial Mortgage-Backed Securities – continued
$	2,100,000	Starwood Retail Property Trust, Inc., 1-month LIBOR + 1.220%, 2.454%, 11/15/2027, 144A(a)(b)	$	2,095,808
	6,500,000	Starwood Retail Property Trust, Inc., 1-month LIBOR + 1.650%, 2.884%, 11/15/2027, 144A(a)(b)		6,411,058
	4,000,000	Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class ASB, 3.400%, 6/15/2048(a)		4,159,770
	1,465,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class A4, 3.723%, 5/15/2047		1,536,694
	1,635,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class A5, 3.995%, 5/15/2047		1,739,915
	4,632,000	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047(a)		4,851,319

				97,173,530


		Total Bonds and Notes
		(Identified Cost $1,321,999,633)		1,292,823,524


	Short-Term Investments – 8.7%
	67,575,000	Federal Home Loan Bank Discount Notes, 1.025%, 11/13/2017(j)		67,496,140
	18,815,426	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $18,815,959 on 10/02/2017 collateralized by $19,055,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $19,192,425 including accrued interest (Note 2 of Notes to Financial Statements)		18,815,426
	12,405,000	U.S. Treasury Bills, 1.040%, 12/07/2017(j)		12,382,599


		Total Short-Term Investments
		(Identified Cost $98,688,683)		98,694,165


		Total Investments – 122.7%
		(Identified Cost $1,420,688,316)		1,391,517,689
		Other assets less liabilities—(22.7)%		(257,880,056	)


		Net Assets – 100.0%	$	1,133,637,633


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under open derivative contracts or TBA transactions.
	(b)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(c)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(d)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $1,228,927 or 0.1% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Illiquid security. (Unaudited)
	(f)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $2,418,448 or 0.2% of net assets. See Note 2 of Notes to Financial Statements.
	(g)	Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(h)	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.
	(i)	When-issued/delayed delivery. See Note 2 of Notes to Financial Statements.
	(j)	Interest rate represents discount rate at time of purchase; not a coupon rate.
	(k)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(l)	Variable rate security. Security pays interest at a rate which is periodically pre-determined by reference to a base lending rate (e.g. LIBOR) plus or minus a margin. The base lending rate may also be adjusted by a multiplier and/or subject to certain floors or caps. Rate as of September 30, 2017 is disclosed.

	144A	All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $241,939,013 or 21.3% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	ARS	Auction Rate Security
	CMT	Constant Maturity Treasury
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GNMA	Government National Mortgage Association
	LIBOR	London Interbank Offered Rate
	REMIC	Real Estate Mortgage Investment Conduit
	SLM	Sallie Mae
	TBA	To Be Announced

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Securitized Asset Fund – continued

At September 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
10 Year U.S. Treasury Note		12/19/2017		128	$	16,230,305	$	16,040,000	$	(190,305	)
30 Year U.S. Treasury Bond		12/19/2017		123		19,176,653		18,795,938		(380,715	)
Ultra 10 Year U.S. Treasury Note		12/19/2017		308		41,986,963		41,373,062		(613,901	)

Total									$	(1,184,921	)

At September 30, 2017, open short futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
2 Year U.S. Treasury Note		12/29/2017		190	$	41,096,085	$	40,983,594	$	112,491
5 Year U.S. Treasury Note		12/29/2017		640		75,792,304		75,200,000		592,304

Total									$	704,795

Industry Summary at September 30, 2017


Mortgage Related	45.1	%
Collateralized Mortgage Obligations	25.0
ABS Car Loan	11.3
Agency Commercial Mortgage-Backed Securities	10.3
Non-Agency Commercial Mortgage-Backed Securities	8.6
ABS Other	4.4
ABS Home Equity	3.9
ABS Student Loan	2.9
Other Investments, less than 2% each	2.5
Short-Term Investments	8.7

Total Investments	122.7
Other assets less liabilities (including futures contracts)	(22.7	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 30

Statements of Assets and Liabilities

September 30, 2017


	High Income Opportunities Fund			Securitized Asset Fund
ASSETS
Investments at cost	$	135,244,537		$	1,420,688,316
Net unrealized appreciation (depreciation)		5,445,155			(29,170,627	)

Investments at value		140,689,692			1,391,517,689
Cash		39,917			868,184
Due from brokers (Note 2)		—			2,101,000
Receivable for Fund shares sold		125,015			1,139,931
Receivable for securities sold		154,692			—
Receivable for when-issued/delayed delivery securities sold (Note 2)		—			263,723,440
Dividends and interest receivable		1,800,701			4,045,439
Receivable for variation margin on futures contracts (Note 2)		—			49,660

TOTAL ASSETS		142,810,017			1,663,445,343


LIABILITIES
Payable for securities purchased		429,852			2,377,969
Payable for when-issued/delayed delivery securities purchased (Note 2)		—			527,346,952
Payable for Fund shares redeemed		7,435			82,789

TOTAL LIABILITIES		437,287			529,807,710

NET ASSETS	$	142,372,730		$	1,133,637,633

NET ASSETS CONSIST OF:
Paid-in capital	$	136,852,021		$	1,175,424,214
Undistributed net investment income		598,371			9,075,452
Accumulated net realized loss on investments and futures contracts		(522,817	)		(21,211,280	)
Net unrealized appreciation (depreciation) on investments and futures contracts		5,445,155			(29,650,753	)

NET ASSETS	$	142,372,730		$	1,133,637,633


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	142,372,730		$	1,133,637,633

Shares of beneficial interest		13,004,708			111,552,866

Net asset value, offering and redemption price per share	$	10.95		$	10.16

See accompanying notes to financial statements.

31 |

Statements of Operations

For the Year Ended September 30, 2017


	High Income Opportunities Fund			Securitized Asset Fund
INVESTMENT INCOME
Interest	$	7,630,148		$	39,912,359
Dividends		187,492			—
Less net foreign taxes withheld		(5,129	)		—

Investment income		7,812,511			39,912,359


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FUTURES CONTRACTS
Net realized gain on:
Investments		1,046,012			1,463,472
Futures contracts		—			978,553
Net change in unrealized appreciation (depreciation) on:
Investments		2,721,211			(26,176,737	)
Futures contracts		—			(464,651	)

Net realized and unrealized gain (loss) on investments and futures contracts		3,767,223			(24,199,363	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	11,579,734		$	15,712,996

See accompanying notes to financial statements.

| 32

Statements of Changes in Net Assets


	High Income Opportunities Fund						Securitized Asset Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	7,812,511		$	7,907,165		$	39,912,359		$	36,937,926
Net realized gain (loss) on investments and futures contracts		1,046,012			(1,280,168	)		2,442,025			15,646,361
Net change in unrealized appreciation (depreciation) on investments and futures contracts		2,721,211			8,956,827			(26,641,388	)		(11,733,579	)

Net increase in net assets resulting from operations		11,579,734			15,583,824			15,712,996			40,850,708

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(7,943,545	)		(8,169,008	)		(56,065,078	)		(44,606,095	)
Net realized capital gains
Institutional Class		—			(452,100	)		—			—

Total distributions		(7,943,545	)		(8,621,108	)		(56,065,078	)		(44,606,095	)

NET INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 10)		3,030,853			8,574,679			158,131,172			74,405,757

Net increase in net assets		6,667,042			15,537,395			117,779,090			70,650,370
NET ASSETS
Beginning of the year		135,705,688			120,168,293			1,015,858,543			945,208,173

End of the year	$	142,372,730		$	135,705,688		$	1,133,637,633		$	1,015,858,543

UNDISTRIBUTED NET INVESTMENT INCOME	$	598,371		$	621,993		$	9,075,452		$	6,923,736

See accompanying notes to financial statements.

33 |

Financial Highlights

For a share outstanding throughout each period.


	High Income Opportunities Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.66		$	10.11		$	10.92		$	10.53		$	10.35

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.62			0.60			0.55			0.62			0.67
Net realized and unrealized gain (loss)		0.30			0.60			(0.81	)		0.43			0.25

Total from Investment Operations		0.92			1.20			(0.26	)		1.05			0.92

LESS DISTRIBUTIONS FROM:
Net investment income		(0.63	)		(0.62	)		(0.55	)		(0.66	)		(0.74	)
Net realized capital gains		—			(0.03	)		—			—			—

Total Distributions		(0.63	)		(0.65	)		(0.55	)		(0.66	)		(0.74	)

Net asset value, end of the period	$	10.95		$	10.66		$	10.11		$	10.92		$	10.53

Total return		8.91	%		12.55	%		(2.61	)%		10.01	%		9.19	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	142,373		$	135,706		$	120,168		$	69,343		$	78,102
Net expenses(b)		—			—			—			—			—
Gross expenses(b)		—			—			—			—			—
Net investment income		5.74	%		5.94	%		5.12	%		5.70	%		6.33	%
Portfolio turnover rate		37	%		36	%		28	%		41	%		41	%

(a)

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

(b)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.


	Securitized Asset Fund – Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.57		$	10.62		$	10.73		$	10.73		$	11.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.39			0.40			0.37			0.41			0.41
Net realized and unrealized gain (loss)		(0.25	)		0.04			0.06			0.14			(0.33	)

Total from Investment Operations		0.14			0.44			0.43			0.55			0.08

LESS DISTRIBUTIONS FROM:
Net investment income		(0.55	)		(0.49	)		(0.54	)		(0.55	)		(0.62	)
Net realized capital gains		—			—			—			—			(0.12	)

Total Distributions		(0.55	)		(0.49	)		(0.54	)		(0.55	)		(0.74	)

Net asset value, end of the period	$	10.16		$	10.57		$	10.62		$	10.73		$	10.73

Total return		1.40	%		4.27	%		4.13	%		5.25	%		0.75	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,133,638		$	1,015,859		$	945,208		$	824,407		$	689,196
Net expenses(b)		—			—			—			—			—
Gross expenses(b)		—			—			—			—			—
Net investment income		3.78	%		3.84	%		3.47	%		3.80	%		3.67	%
Portfolio turnover rate		313	%		306	%		272	%		260	%		244	%

(a)

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

(b)

Loomis Sayles has agreed to pay, without reimbursement from the Fund, all expenses associated with the operations of the Fund.

See accompanying notes to financial statements.

| 34

Notes to Financial Statements

September 30, 2017

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

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

Loomis Sayles Securitized Asset Fund (the “Securitized Asset Fund”)

Each Fund is a diversified investment company.

Each Fund offers Institutional Class shares. The Funds’ shares are offered exclusively to investors in “wrap fee” programs approved by Natixis Advisors, L.P. (“Natixis Advisors”) and/or Loomis, Sayles & Company, L.P. (“Loomis Sayles”) and to institutional advisory clients of Natixis Advisors or Loomis Sayles that, in each case, meet the Funds’ policies as established by Loomis Sayles.

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

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.

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As of September 30, 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	$	1,810,956		1.3%	$	2		Less than 0.1%
Securitized Asset Fund		2,418,448		0.2%		1,228,927		0.1%

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

The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.

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

No forward foreign currency contracts were held by the Funds during the year ended September 30, 2017.

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September 30, 2017

was opened and the value at the time it was closed, minus brokerage commissions. When a Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

f. 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 year ended September 30, 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.

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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.

h. Stripped Securities. Each Fund may invest in stripped securities, which are usually structured with two or more classes that receive different proportions of the interest and principal distribution on a pool of U.S. or foreign government securities or mortgage assets. In some cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). Stripped securities commonly have greater market volatility than other types of fixed-income securities. In the case of stripped mortgage securities, if the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to recoup fully its investments in IOs.

i. Federal and Foreign Income Taxes. The Trust treats each Fund as a separate entity for federal income tax purposes. Each Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its investment income and any net realized capital gains at least annually. Management has performed an analysis of each Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

j. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as premium amortization, defaulted bonds and/or non-income producing securities, non-deductible expenses, convertible bonds and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to capital accounts reported on the Statements of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to wash sales, premium amortization, 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 character of distributions paid to shareholders during the years ended September 30, 2017 and 2016 were as follows:


	2017 Distributions Paid From:						2016 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total		Ordinary Income		Long-Term Capital Gains		Total
High Income Opportunities Fund	$	7,943,545	$	—	$	7,943,545	$	8,164,479	$	456,629	$	8,621,108
Securitized Asset Fund		56,065,078		—		56,065,078		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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September 30, 2017

As of September 30, 2017, the components of distributable earnings on a tax basis were as follows:


	High Income Opportunities Fund			Securitized Asset Fund
Undistributed ordinary income	$	670,900		$	9,075,452
Capital loss carryforward:
Short-term:
No expiration date		—			(3,340,498	)
Long-term:
No expiration date		(399,803	)		(18,350,908	)

Total capital loss carryforward		(399,803	)		(21,691,406	)

Unrealized appreciation (depreciation)		5,267,017			(29,170,627	)

Total accumulated earnings (losses)	$	5,538,114		$	(41,786,581	)

Capital loss carryforward utilized in the current year	$	894,868		$	—

As of September 30, 2017, unrealized appreciation (depreciation) on a tax basis was as follows:


	High Income Opportunities Fund		Securitized Asset Fund
Unrealized appreciation (depreciation)
Investments	$	5,267,017	$	(29,170,627	)
Foreign currency translations		—		—

Total unrealized appreciation (depreciation)	$	5,267,017	$	(29,170,627	)

As of September 30, 2017, the cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	High Income Opportunities Fund			Securitized Asset Fund
Federal tax cost	$	135,422,675		$	1,420,688,316

Gross tax appreciation	$	7,886,262		$	7,665,420
Gross tax depreciation		(2,619,245	)		(36,836,047	)

Net tax appreciation (depreciation)	$	5,267,017		$	(29,170,627	)

k. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 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 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 or 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

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

For the year ended September 30, 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.

•

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

•

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

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

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2017, at value:

High Income Opportunities Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	3,013,912	$	2	(b)	$	3,013,914
Non-Agency Commercial Mortgage-Backed Securities		—		926,319		592,950	(c)		1,519,269
All Other Non-Convertible Bonds(a)		—		116,600,825		—			116,600,825

Total Non-Convertible Bonds		—		120,541,056		592,952			121,134,008

Convertible Bonds(a)		—		12,883,933		—			12,883,933

Total Bonds and Notes		—		133,424,989		592,952			134,017,941

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High Income Opportunities Fund

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3			Total
Senior Loans(a)	$	—	$	539,015	$	—		$	539,015
Preferred Stocks
Food & Beverage		—		704,264		—			704,264
Midstream		—		450,409		—			450,409
All Other Preferred Stocks(a)		155,390		—		—			155,390

Total Preferred Stocks		155,390		1,154,673		—			1,310,063

Common Stocks(a)		1,032,982		—		—			1,032,982

Warrant		1,202		—		—	(d)		1,202
Short-Term Investments		—		3,788,489		—			3,788,489

Total	$	1,189,574	$	138,907,166	$	592,952		$	140,689,692

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

(b) Fair valued by the Fund’s adviser.

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

A preferred stock valued at $285,512 was transferred from Level 1 to Level 2 during the period ended September 30, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At September 30, 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.

Securitized Asset Fund

Asset Valuation Inputs


Description	Level 1			Level 2		Level 3			Total
Bonds and Notes
ABS Home Equity	$	—		$	39,997,442	$	4,080,929	(b)	$	44,078,371
ABS Student Loan		—			23,621,880		9,471,210	(c)		33,093,090
Collateralized Mortgage Obligations		—			270,848,168		12,273,066	(d)		283,121,234
Mortgage Related		—			508,975,604		2,960,893	(c)		511,936,497
All Other Bonds and Notes(a)		—			420,594,332		—			420,594,332

Total Bonds and Notes		—			1,264,037,426		28,786,098			1,292,823,524

Short-Term Investments		—			98,694,165		—			98,694,165

Total Investments		—			1,362,731,591		28,786,098			1,391,517,689

Futures Contracts (unrealized appreciation)		704,795			—		—			704,795

Total	$	704,795		$	1,362,731,591	$	28,786,098		$	1,392,222,484

Liability Valuation Inputs
Description	Level 1			Level 2		Level 3			Total
Futures Contracts (unrealized depreciation)	$	(1,184,921	)	$	—	$	—		$	(1,184,921	)

(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 ($3,995,564) or fair valued by the Fund’s adviser ($85,365).

(d) Valued using broker-dealer bid prices ($11,129,504) or fair valued by the Fund’s adviser ($1,143,562).

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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 September 30, 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 September 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	4	$	91	$	(198,057	)	$	197,968		$	—	$	(4	)	$	—	$	—		$	2		$	—
Non-Agency Commercial Mortgage-Backed Securities		573,514		—		—			19,436			—		—			—		—			592,950			19,436
Transportation Services		113,265		—		17,506			(19,806	)		—		(110,965	)		—		—			—			—
Warrants		3,336		—		—			—			—		—			—		(3,336	)		—	(a)		—

Total	$	690,119	$	91	$	(180,551	)	$	197,598		$	—	$	(110,969	)	$	—	$	(3,336	)	$	592,952		$	19,436

(a) Includes a security fair valued at zero using Level 3 inputs.

Warrants valued at $3,336 was transferred from Level 3 to Level 1 during the period ended September 30, 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 September 30, 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.

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 September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	5,037,047	$	—	$	—		$	—		$	—	$	—		$	—	$	(5,037,047	)	$	—	$	—
ABS Home Equity		1,303,154		—		(3,866	)		4,634			3,995,564		(36,765	)		—		(1,181,792	)		4,080,929		1,012
ABS Other		4,046,953		—		6,812			(7,518	)		—		(986,022	)		—		(3,060,225	)		—		—
ABS Student Loan		—		—		—			6,022			9,465,188		—			—		—			9,471,210		6,022
Collateralized Mortgage Obligations		18,241,211		—		(1,263,795	)		(835,440	)		5,828,092		(427,541	)		—		(9,269,461	)		12,273,066		(846,005	)
Mortgage Related		3,754,871		—		(357,438	)		(436,540	)		—		—			—		—			2,960,893		(436,540	)
Non-Agency Commercial Mortgage-Backed Securities		5,374,722		—		(6,990	)		12,268			—		(5,380,000	)		—		—			—		—

Total	$	37,757,958	$	—	$	(1,625,277	)	$	(1,256,574	)	$	19,288,844	$	(6,830,328	)	$	—	$	(18,548,525	)	$	28,786,098	$	(1,275,511	)

Debt securities valued at $8,097,272 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $10,451,253 were transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

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September 30, 2017

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 Securitized Asset Fund used during the period include futures contracts.

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 year ended September 30, 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 September 30, 2017, as reflected within the Statements of Assets and Liabilities:


Assets		Unrealized appreciation on futures contracts¹
Exchange-traded/cleared asset derivatives

Interest rate contracts		$704,795


Liabilities		Unrealized depreciation on futures contracts¹
Exchange-traded/cleared liability derivatives

Interest rate contracts		$(1,184,921)

Transactions in derivative instruments for Securitized Asset Fund during the year ended September 30, 2017 as reflected in the Statements of Operations were as follows:


Net Realized Gain (Loss) on:		Futures contracts
Interest rate contracts		$978,553


Net Change in Unrealized Appreciation (Depreciation) on:		Futures contracts
Interest rate contracts		$(464,651)

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 year ended September 30, 2017:


Securitized Asset Fund	Futures
Average Notional Amount Outstanding		20.57%
Highest Notional Amount Outstanding		25.23%
Lowest Notional Amount Outstanding		16.97%
Notional Amount Outstanding as of September 30, 2017		16.97%

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.

43 |

Notes to Financial Statements – continued

September 30, 2017

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 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 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	$	1,904,660	$	1,904,660

5. Purchases and Sales of Securities. For the year ended September 30, 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	$	9,507,396	$	5,370,750	$	43,936,149	$	42,563,848
Securitized Asset Fund		3,639,714,516		3,604,576,463		327,280,472		265,647,165

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.

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

b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trust. Pursuant to this agreement, Natixis Distribution serves as principal underwriter of the Funds of the Trust. Natixis Distribution currently is not paid a fee for serving as distributor for the Funds. Loomis Sayles has agreed to reimburse Natixis Distribution to the extent that Natixis Distribution incurs expenses in connection with any redemption of Fund shares.

c. Administrative Fees. Natixis Advisors provides certain administrative services for the Funds and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Loomis Sayles has agreed to pay, without reimbursement from the Trust or Funds, fees to Natixis Advisors for services to the Funds.

d. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis 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

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Notes to Financial Statements – continued

September 30, 2017

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, Loomis Sayles Funds Trusts and Natixis ETF Trust 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.

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

7. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts 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 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds (applicable allocations to the Funds are paid by Loomis Sayles) based on their average daily unused portion of the line of credit. Loomis Sayles, on behalf of the Funds, paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the year ended September 30, 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 September 30, 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		5		95.49%
Securitized Asset Fund		3		96.97%

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


	High Income Opportunities Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		2,798,284		$	30,037,359			3,946,889		$	39,857,592
Issued in connection with the reinvestment of distributions		423,355			4,531,661			455,812			4,556,737
Redeemed		(2,942,318	)		(31,538,167	)		(3,569,068	)		(35,839,650	)

Increase (decrease) from capital share transactions		279,321		$	3,030,853			833,633		$	8,574,679

45 |

Notes to Financial Statements – continued

September 30, 2017

10. Capital Shares – continued.


	Securitized Asset Fund

	Year Ended September 30, 2017						Year Ended September 30, 2016

Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		36,251,463		$	370,701,025			24,907,012		$	261,801,082
Issued in connection with the reinvestment of distributions		1,064,715			10,877,118			657,888			6,909,793
Redeemed		(21,878,143	)		(223,446,971	)		(18,480,008	)		(194,305,118	)

Increase (decrease) from capital share transactions		15,438,035		$	158,131,172			7,084,892		$	74,405,757

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles High Income Opportunities Fund and Loomis Sayles Securitized Asset Fund, each a series of Loomis Sayles Funds I, (collectively, the “Funds”) as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of at September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2017

47 |

2017 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
High Income Opportunities Fund		1.22%


Fund
High Income Opportunities Fund

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Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statement of Additional Information includes additional information about the trustees of the Trust and is available by calling Loomis Sayles Funds at 800-633-3330.


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

Independent Trustees
Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

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Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell³ (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	53 None	Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

Sandra O. Moose (1942)	Trustee since 2003 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

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Name and Year of Birth	Position(s) Held with the Trust, Length of Time Served and Term of Office¹	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen² and Other Directorships Held During Past 5 Years	Experience, Qualifications, Attributes, Skills for Board Membership
Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

Interested Trustees
Kevin P. Charleston⁴ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁵ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	53 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

³	Ms. Mitchell was appointed as a Trustee effective July 1, 2017.

⁴	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁵

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

51 |


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

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

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

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

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

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

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LOGO

Loomis Sayles Bond Fund

Annual Report

September 30, 2017



TABLE OF CONTENTS
Portfolio Review			1
Portfolio of Investments			13
Financial Statements			32
Notes to Financial Statements			39
Shareholder Supplement			enclosed
(previously posted to the Fund’s website)

LOOMIS SAYLES BOND FUND


Managers	Symbols
Matthew J. Eagan, CFA^®	Institutional Class	LSBDX
Daniel J. Fuss, CFA^®, CIC	Retail Class	LSBRX
Brian P. Kennedy	Admin Class	LBFAX
Elaine M. Stokes	Class N	LSBNX

Investment Objective

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

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

1 |

posted broadly positive returns for the full period. The sector benefited from the weakening US dollar, a rebound in corporate profits, and improving emerging market GDP growth.

Portfolio Results

For the 12 months ended September 30, 2017, Institutional Class shares of Loomis Sayles Bond Fund returned 5.99%. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Government/Credit Bond Index, which returned -0.01%.

Explanation of Fund Performance

Out-of-benchmark high yield corporate bond exposure generated strong positive returns during the period. Within the segment, the Fund’s industrial holdings were top contributors. High yield financial names also performed well. In addition, an out-of-benchmark allocation to non-US-dollar-denominated issues produced positive absolute and relative return. In particular, holdings denominated in the Mexican peso and Icelandic krona generated strong returns. A meaningful underweight to US Treasuries, combined with a shorter-than-benchmark duration stance, proved beneficial to results. Finally, out-of-benchmark exposure to common stock aided relative performance as equities rallied in the period and selected common stock holdings outperformed the broader market.

Among detractors, the Fund’s underweight to investment grade corporate bonds detracted from relative results as the sector produced positive returns and outperformed duration-matched US Treasuries.

Outlook

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

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LOOMIS SAYLES BOND FUND

policy uncertainty. In the current global growth environment, the US dollar is likely to be range bound and it may trend lower over the near term.

During periods in which the US dollar appreciates relative to foreign currencies, Funds that hold non-US-dollar denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These losses impact a Fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the Fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a Fund has available to distribute, even though these bonds continue to generate coupon income.

Fund officers have analyzed the Fund’s current portfolio of investments, schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2018. Based on this analysis, Fund officers believe that realized currency losses may have less of an impact on this Fund’s distributions in the 2018 fiscal year. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates, Fund advisors’ ability to manage realized currency losses and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.

3 |

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

September 30, 2007 through September 30, 2017²

LOGO

See notes to chart on page 5.

| 4

LOOMIS SAYLES BOND FUND

Average Annual Total Returns — September 30, 2017²


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

Institutional Class (Inception 5/16/91)		5.99	%		4.43	%		5.91	%		—	%		0.66	%		0.66	%
Retail Class (Inception 12/31/96)		5.75			4.16			5.61			—			0.91			0.91
Admin Class (Inception 1/2/98)		5.51			3.90			5.34			—			1.16			1.16
Class N (Inception 2/1/13)		6.14			—			—			3.75			0.58			0.58

Comparative Performance
Bloomberg Barclays U.S. Government/ Credit Bond Index¹		-0.01			2.10			4.34			2.38

Bloomberg Barclays U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Bond Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), government-related issues (i.e., agency, sovereign, supranational, and local authority debt), and corporates. The U.S. Government/Credit Bond Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate Index.

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

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 1/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 5 of the Notes to Financial Statements for more information about the Fund’s expense caps.

5 |

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.

| 6

The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from April 1, 2017 through September 30, 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.

Loomis Sayles Bond Fund


Institutional Class	Beginning Account Value 4/1/2017		Ending Account Value 9/30/2017		Expenses Paid During Period* 4/1/2017 – 9/30/2017
Actual		$1,000.00		$1,038.50		$3.37
Hypothetical (5% return before expenses)		$1,000.00		$1,021.76		$3.35

Retail Class
Actual		$1,000.00		$1,037.40		$4.65
Hypothetical (5% return before expenses)		$1,000.00		$1,020.51		$4.61

Admin Class
Actual		$1,000.00		$1,037.00		$5.92
Hypothetical (5% return before expenses)		$1,000.00		$1,019.25		$5.87

Class N
Actual		$1,000.00		$1,039.60		$3.02
Hypothetical (5% return before expenses)		$1,000.00		$1,022.11		$2.99
* Expenses are equal to the Fund’s annualized expense ratio: 0.66%, 0.91%, 1.16% and 0.59% for Institutional Class, Retail Class, Admin Class and Class N, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

7 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENT

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

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

In addition to the materials requested by the Trustees in connection with their annual consideration of the continuation of the Agreement, the Trustees receive materials in advance of each regular quarterly meeting of the Board that provide detailed information about the Fund’s investment performance and the fees charged to the Fund for advisory and other services. This information generally includes, among other things, an internal performance rating for the Fund based on agreed-upon criteria, graphs showing the Fund’s performance and fee differentials against the Fund’s peer group/category, performance

| 8

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

The Board most recently approved the continuation of the Agreement at its meeting held in June 2017. The Agreement was continued for a one-year period for the Fund. In considering whether to approve the continuation of the Agreement, the Board, including the Independent Trustees, did not identify any single factor as determinative. Individual Trustees may have evaluated the information presented differently from one another, giving different weights to various factors. Matters considered by the Trustees, including the Independent Trustees, in connection with their approval of the Agreement included, but were not limited to, the factors listed below.

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

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

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

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

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

9 |

The Board noted that, through December 31, 2016, the Fund’s one- and three-year performance, as applicable, stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):


	One-Year		Three-Year
Loomis Sayles Bond Fund		38%		86%

The Board noted that the Fund’s performance lagged that of the Fund’s peer group median and/or category group median for certain (although not all) periods. The Board concluded that other factors relevant to performance supported renewal of the Agreement. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) the Fund’s strong long-term performance as well as improving performance over the shorter-term.

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

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

| 10

The Trustees also considered the compensation directly or indirectly received by the Adviser and its affiliates from their relationships with the Fund. The Trustees reviewed information provided by management as to the profitability of the Adviser’s and its affiliates’ relationships with the Fund, and information about the allocation of expenses used to calculate profitability. They also reviewed information provided by management about the effect of distribution costs and changes in asset levels on Adviser profitability, including information regarding resources spent on distribution activities. When reviewing profitability, the Trustees also considered information about court cases in which adviser compensation or profitability were issues, the performance of the Fund, the expense levels of the Fund, and whether the Adviser had implemented breakpoints. The Trustees also noted management’s history of proposing additional advisory fee breakpoints as the Fund grew to substantially larger scale.

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

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

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

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

•

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

•

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

11 |

•

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

•

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

•

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

Based on their evaluation of all factors that they deemed to be material, including those factors described above, and assisted by the advice of independent counsel, the Trustees, including the Independent Trustees, concluded that the existing Agreement should be continued through June 30, 2018.

| 12

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – 71.8% of Net Assets

	Non-Convertible Bonds – 66.6%

		ABS Other – 0.4%
$	28,872,261	FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(a)(b)(c)	$	28,540,230
	18,817,628	GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(a)(b)(d)		12,984,163
	7,441,761	GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(a)(b)(d)		2,144,716
	32,585,000	GCA2014 Holdings Ltd., Series 2014-1, Class E, 0.000%, 1/05/2030, 144A(a)(b)(d)(e)		—
	14,463,957	Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(b)(c)		13,945,449

				57,614,558

		Aerospace & Defense – 1.2%
	26,680,000	Bombardier, Inc., 6.000%, 10/15/2022, 144A		25,812,900
	1,510,000	Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD)		1,155,720
	11,844,000	Bombardier, Inc., 7.450%, 5/01/2034, 144A		11,254,406
	4,055,000	Embraer Netherlands Finance BV, 5.400%, 2/01/2027		4,391,565
	275,000	Meccanica Holdings USA, Inc., 6.250%, 7/15/2019		292,188
	24,903,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		28,140,390
	25,480,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		31,149,300
	770,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039		941,325
	6,995,000	Textron Financial Corp., 3-month LIBOR + 1.735%, 3.050%, 2/15/2067, 144A(f)		6,120,625
	23,658,000	Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP)		35,115,757
	25,941,000	TransDigm, Inc., 6.500%, 7/15/2024		26,784,082

				171,158,258

		Airlines – 0.8%
	3,516,995	Continental Airlines Pass Through Certificates, Series 2012-1, Class B, 6.250%, 10/11/2021		3,710,429
	3,364,792	Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022		3,526,504
	32,465,000	Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018		33,154,881
	1,207	Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021(a)		1,197
	480,181	Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022		508,992
	6,138,711	United Airlines Pass Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027		6,493,160
	277,759	US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020		300,385
	56,320,000	Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A		59,276,800

See accompanying notes to financial statements.

13 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Airlines – continued
$	3,704,223	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A	$	3,842,687
	4,741,456	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		4,882,420

				115,697,455

		Automotive – 0.5%
	3,172,000	Cummins, Inc., 6.750%, 2/15/2027		3,938,220
	2,611,000	Ford Motor Co., 6.500%, 8/01/2018		2,710,251
	1,560,000	Ford Motor Co., 6.625%, 2/15/2028		1,849,801
	1,580,000	Ford Motor Co., 7.500%, 8/01/2026		1,940,485
	37,875,000	General Motors Financial Co., Inc., 4.375%, 9/25/2021		40,152,296
	6,201,000	Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028		6,929,618
	9,660,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		9,780,750

				67,301,421

		Banking – 5.7%
	1,600,000	Bank of America Corp., EMTN, 3-month EURIBOR + 0.550%, 0.220%, 9/14/2018, (EUR)(f)		1,893,404
	59,285,000	Bank of America Corp., Series L, MTN, 4.183%, 11/25/2027		61,447,488
	54,910,000	Bank of Nova Scotia (The), 2.130%, 6/15/2020, (CAD)		43,931,521
	16,525,000	Bank of Nova Scotia (The), 2.462%, 3/14/2019, (CAD)		13,346,346
	27,100,000	BNP Paribas S.A., (fixed rate to 10/23/2017, variable rate thereafter), 7.436%, (GBP)(g)		36,412,176
	22,200,000	BNP Paribas S.A., (fixed rate to 6/25/2037, variable rate thereafter), 7.195%, 144A(g)		26,057,250
	7,340,000	Citigroup, Inc., 4.500%, 1/14/2022		7,895,986
	52,380,000	Citigroup, Inc., 5.130%, 11/12/2019, (NZD)		39,411,309
	4,045,000	Cooperatieve Rabobank UA, 3.950%, 11/09/2022		4,245,168
	27,405,000	Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD)		22,641,329
	4,065,000	Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020		4,366,905
	26,445,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		26,884,070
	69,375,000	JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)		50,842,225
	3,600,000	Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034		4,208,976
	42,630,000	Morgan Stanley, 2.500%, 1/24/2019		42,986,177
	6,600,000	Morgan Stanley, 3.950%, 4/23/2027		6,714,046
	47,205,000	Morgan Stanley, 4.350%, 9/08/2026		49,419,286
	53,595,000	Morgan Stanley, 4.750%, 11/16/2018, (AUD)		43,044,790
	75,000,000	Morgan Stanley, 5.000%, 9/30/2021, (AUD)		62,718,063
	139,740,000	Morgan Stanley, MTN, 4.100%, 5/22/2023		146,116,188
	15,000,000	Morgan Stanley, MTN, 6.250%, 8/09/2026		17,979,648
	68,800,000	Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD)		56,157,673
	2,250,000	National Australia Bank Ltd., 5.000%, 3/11/2024, (AUD)		1,930,202

See accompanying notes to financial statements.

| 14

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Banking – continued
	6,000,000	Societe Generale S.A., EMTN, (fixed rate to 6/16/2018, variable rate thereafter), 8.875%, (GBP)(g)	$	8,416,911

				779,067,137

		Brokerage – 1.3%
	3,986,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		4,005,930
	2,010,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.250%, 8/15/2024, 144A		2,015,025
	29,995,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A		31,044,825
	19,787,000	Jefferies Group LLC, 5.125%, 4/13/2018		20,134,305
	51,270,000	Jefferies Group LLC, 5.125%, 1/20/2023		56,001,189
	29,470,000	Jefferies Group LLC, 6.250%, 1/15/2036		32,703,853
	22,428,000	Jefferies Group LLC, 6.450%, 6/08/2027		25,968,951

				171,874,078

		Building Materials – 0.3%
	11,905,000	Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A		12,074,051
	4,057,000	Masco Corp., 6.500%, 8/15/2032		4,837,939
	841,000	Masco Corp., 7.125%, 3/15/2020		933,510
	4,534,000	Masco Corp., 7.750%, 8/01/2029		5,970,344
	6,344,000	Owens Corning, 7.000%, 12/01/2036		8,206,403
	2,395,000	Titan Global Finance PLC, EMTN, 4.250%, 7/10/2019, (EUR)		2,998,877

				35,021,124

		Cable Satellite – 0.4%
	37,585,000	Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD)		32,084,080
	6,190,000	Time Warner Cable LLC, 4.500%, 9/15/2042		5,866,551
	535,000	Time Warner Cable LLC, 5.875%, 11/15/2040		587,090
	15,800,000	Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD)		13,565,017

				52,102,738

		Chemicals – 1.5%
	7,240,000	Chemours Co. (The), 6.625%, 5/15/2023		7,701,550
	22,161,000	Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A		22,548,817
	20,000,000	Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A		20,850,000
	33,969,000	Hexion, Inc., 7.875%, 2/15/2023(a)(b)(d)		17,324,190
	11,305,000	Hexion, Inc., 9.200%, 3/15/2021(a)(b)(d)		6,104,700
	3,390,000	Hexion, Inc./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020		2,241,638
	119,535,000	INVISTA Finance LLC, 4.250%, 10/15/2019, 144A		123,121,050
	6,795,000	Methanex Corp., 5.250%, 3/01/2022		7,159,078
	2,305,000	TPC Group, Inc., 8.750%, 12/15/2020, 144A		2,235,850

				209,286,873

		Construction Machinery – 0.2%
	27,030,000	Toro Co. (The), 6.625%, 5/01/2037(b)(c)		30,984,593

See accompanying notes to financial statements.

15 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Construction Machinery – continued
$	3,280,000	United Rentals North America, Inc., 4.875%, 1/15/2028	$	3,296,400

				34,280,993

		Consumer Cyclical Services – 0.1%
	1,000,000	ServiceMaster Co. LLC (The), 7.100%, 3/01/2018		1,015,000
	8,919,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		9,744,007

				10,759,007

		Consumer Products – 0.1%
	15,473,000	Avon Products, Inc., 8.950%, 3/15/2043		12,997,320

		Diversified Manufacturing – 0.4%
	64,245,000	General Electric Co., GMTN, 4.250%, 1/17/2018, (NZD)		46,653,596
	11,695,000	General Electric Co., Series A, MTN, 3-month LIBOR + 0.300%, 1.604%, 5/13/2024(f)		11,350,933

				58,004,529

		Electric – 1.4%
	3,075,000	AES Corp. (The), 4.875%, 5/15/2023		3,167,250
	50,514,487	Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A		56,920,877
	64,514,424	Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034(b)(c)		27,727,009
	12,250,000	Dynegy, Inc., 5.875%, 6/01/2023		12,188,750
	21,789,000	Dynegy, Inc., 7.625%, 11/01/2024		22,578,851
	14,980,000	Dynegy, Inc., 8.125%, 1/30/2026, 144A		15,429,400
	38,973,000	EDP Finance BV, 4.125%, 1/15/2020, 144A		40,419,678
	8,663,000	Empresa Nacional de Electricidad S.A., 7.875%, 2/01/2027		11,083,085

				189,514,900

		Finance Companies – 2.9%
	3,100,000	AGFC Capital Trust I, 3-month LIBOR + 1.750%, 3.054%, 1/15/2067, 144A(f)		1,635,250
	19,330,000	iStar, Inc., 4.875%, 7/01/2018		19,573,558
	20,395,000	iStar, Inc., 5.000%, 7/01/2019		20,662,684
	1,890,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		1,932,525
	2,830,000	Navient Corp., 5.875%, 10/25/2024		2,872,450
	150,996(††)	Navient Corp., 6.000%, 12/15/2043		3,619,248
	73,050,000	Navient Corp., MTN, 6.125%, 3/25/2024		75,314,550
	27,420,000	Navient LLC, 5.500%, 1/25/2023		27,762,750
	2,950,000	Navient LLC, MTN, 7.250%, 1/25/2022		3,226,563
	51,024,000	Navient LLC, Series A, MTN, 5.625%, 8/01/2033(b)(c)		44,049,019
	65,750,000	Springleaf Finance Corp., 5.250%, 12/15/2019		68,445,750
	38,415,000	Springleaf Finance Corp., 7.750%, 10/01/2021		43,397,426
	77,845,000	Springleaf Finance Corp., 8.250%, 10/01/2023		88,354,075

				400,845,848

See accompanying notes to financial statements.

| 16

Portfolio of Investments – as of September 30, 2017

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)	$	1,225,730

		Government Owned – No Guarantee – 0.6%
	28,720,000	Pertamina Persero PT, 6.450%, 5/30/2044, 144A		34,042,477
	31,880,000	Petrobras Global Finance BV, 4.375%, 5/20/2023		31,513,380
	24,335,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		21,718,987

				87,274,844

		Healthcare – 2.0%
	345,000	CHS/Community Health Systems, Inc., 5.125%, 8/01/2021		340,688
	38,000,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		29,830,000
	27,204,000	HCA, Inc., 7.050%, 12/01/2027		30,672,510
	27,545,000	HCA, Inc., 7.500%, 11/06/2033		31,263,575
	45,324,000	HCA, Inc., 8.360%, 4/15/2024		54,388,800
	6,944,000	HCA, Inc., MTN, 7.580%, 9/15/2025		8,020,320
	12,446,000	HCA, Inc., MTN, 7.750%, 7/15/2036		14,157,325
	335,000	Kindred Healthcare, Inc., 8.000%, 1/15/2020		329,034
	2,805,000	Kindred Healthcare, Inc., 8.750%, 1/15/2023		2,615,382
	1,430,000	Tenet Healthcare Corp., 4.375%, 10/01/2021		1,449,662
	25,860,000	Tenet Healthcare Corp., 5.125%, 5/01/2025, 144A		25,504,425
	38,260,000	Tenet Healthcare Corp., 6.750%, 6/15/2023		36,729,600
	35,499,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		31,061,625
	1,300,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		1,376,375
	990,000	Tenet Healthcare Corp., 8.125%, 4/01/2022		1,007,325
	690,000	Universal Health Services, Inc., 4.750%, 8/01/2022, 144A		714,150

				269,460,796

		Home Construction – 0.7%
	7,385,000	Beazer Homes USA, Inc., 7.250%, 2/01/2023		7,680,400
	16,729,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(b)(c)		15,036,360
	52,605,000	PulteGroup, Inc., 6.000%, 2/15/2035		54,840,712
	13,360,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		13,643,900

				91,201,372

		Independent Energy – 2.8%
	1,190,000	Anadarko Petroleum Corp., 3.450%, 7/15/2024		1,180,969
	2,770,000	Anadarko Petroleum Corp., 4.500%, 7/15/2044		2,636,303
	37,495,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		40,213,387
	7,440,000	Baytex Energy Corp., 5.125%, 6/01/2021, 144A		6,937,800
	6,507,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		5,905,102
	18,495,000	Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A		16,892,778
	11,379,000	California Resources Corp., 5.500%, 9/15/2021		6,059,317
	1,709,000	California Resources Corp., 6.000%, 11/15/2024		777,595
	62,530,000	California Resources Corp., 8.000%, 12/15/2022, 144A		40,644,500

See accompanying notes to financial statements.

17 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Independent Energy – continued
$	1,835,000	Chesapeake Energy Corp., 4.875%, 4/15/2022	$	1,706,550
	15,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		15,450
	1,940,000	Chesapeake Energy Corp., 6.875%, 11/15/2020		1,998,200
	24,610,000	Chesapeake Energy Corp., 8.000%, 1/15/2025, 144A		24,856,100
	34,430,000	Chesapeake Energy Corp., 8.000%, 6/15/2027, 144A		34,085,700
	19,891,000	Continental Resources, Inc., 3.800%, 6/01/2024		19,194,815
	8,832,000	Continental Resources, Inc., 4.500%, 4/15/2023		8,854,080
	760,000	Continental Resources, Inc., 5.000%, 9/15/2022		772,350
	1,775,000	EQT Corp., 8.125%, 6/01/2019		1,947,732
	8,415,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		8,709,525
	145,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		126,513
	5,740,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		4,922,050
	370,000	Noble Energy, Inc., 5.625%, 5/01/2021		381,041
	2,660,000	Oasis Petroleum, Inc., 6.875%, 1/15/2023		2,699,900
	280,000	Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A		302,168
	4,270,000	QEP Resources, Inc., 5.250%, 5/01/2023		4,152,575
	15,445,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		7,722,500
	3,900,000	Rice Energy, Inc., 6.250%, 5/01/2022		4,075,500
	23,125,000	Sanchez Energy Corp., 6.125%, 1/15/2023		19,771,875
	12,420,000	Sanchez Energy Corp., 7.750%, 6/15/2021		11,767,950
	4,915,000	SM Energy Co., 5.000%, 1/15/2024		4,632,387
	9,235,000	SM Energy Co., 5.625%, 6/01/2025		8,773,250
	23,842,000	SM Energy Co., 6.125%, 11/15/2022		23,901,605
	395,000	SM Energy Co., 6.500%, 11/15/2021		398,950
	8,080,000	SM Energy Co., 6.500%, 1/01/2023		8,140,600
	9,895,000	SM Energy Co., 6.750%, 9/15/2026		9,895,000
	42,270,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		41,530,275
	1,965,000	Whiting Petroleum Corp., 6.250%, 4/01/2023		1,931,615

				378,514,007

		Industrial Other – 0.0%
	160,000	Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A		164,000

		Life Insurance – 2.0%
	6,212,000	American International Group, Inc., 4.875%, 6/01/2022		6,823,478
	67,930,000	AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)(c)(g)		77,779,850
	1,185,000	AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(b)(c)(g)		1,741,926
	15,000,000	Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A(b)(c)		17,137,558
	10,175,000	MetLife, Inc., 10.750%, 8/01/2069		17,017,687
	2,030,000	MetLife, Inc., (fixed rate to 4/08/2038, variable rate thereafter), 9.250%, 4/08/2068, 144A		3,014,550
	57,985,000	Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A		74,254,462

See accompanying notes to financial statements.

| 18

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Life Insurance – continued
$	38,476,000	National Life Insurance Co., 10.500%, 9/15/2039, 144A(b)(c)	$	63,856,899
	12,950,000	NLV Financial Corp., 7.500%, 8/15/2033, 144A(b)(c)		15,894,371

				277,520,781

		Local Authorities – 1.7%
	38,490,000	New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD)		30,852,896
	99,500,000	New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD)		82,395,437
	142,855,000	New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD)		113,654,024
	1,507,000	Ontario Hydro, 6.037%, 11/27/2020, (CAD)(p)		1,126,926
	1,490,000	Province of Ontario Canada, 2.100%, 9/08/2018, (CAD)		1,200,646

				229,229,929

		Media Entertainment – 0.6%
	164,410,000	Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)		7,115,414
	1,595,000	iHeartCommunications, Inc., 9.000%, 3/01/2021		1,132,450
	66,650,000	iHeartCommunications, Inc., 9.000%, 9/15/2022		46,988,250
	20,694,000	R.R. Donnelley & Sons Co., 6.000%, 4/01/2024		19,323,022
	2,164,000	R.R. Donnelley & Sons Co., 6.500%, 11/15/2023		2,099,080
	1,976,000	R.R. Donnelley & Sons Co., 7.000%, 2/15/2022		2,035,280

				78,693,496

		Metals & Mining – 1.7%
	8,456,540	1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(a)(b)(d)(j)(k)		3,383
	35,180,000	ArcelorMittal, 7.250%, 3/01/2041		41,644,325
	3,635,000	ArcelorMittal, 7.500%, 10/15/2039		4,362,000
	3,950,000	Barrick Gold Corp., 5.800%, 11/15/2034		4,441,521
	23,735,000	Barrick North America Finance LLC, 5.750%, 5/01/2043		28,736,559
	100,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		102,875
	16,650,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		17,045,437
	1,445,000	First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A		1,477,513
	4,060,000	Freeport-McMoRan, Inc., 3.550%, 3/01/2022		3,997,841
	19,310,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		20,082,400
	66,920,000	Lundin Mining Corp., 7.875%, 11/01/2022, 144A		72,775,500
	3,762,000	Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A		3,903,075
	11,965,000	Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD)		9,876,938
	15,555,000	United States Steel Corp., 6.650%, 6/01/2037		14,932,800
	10,540,000	Worthington Industries, Inc., 6.500%, 4/15/2020		11,560,462

				234,942,629

		Midstream – 0.8%
	755,000	Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/2022, 144A		783,313
	9,050,000	DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A		9,502,500
	7,325,000	Energy Transfer LP/Regency Energy Finance Corp., 4.500%, 11/01/2023		7,676,097
	1,455,000	Energy Transfer LP/Regency Energy Finance Corp., 5.000%, 10/01/2022		1,571,544

See accompanying notes to financial statements.

19 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Midstream – continued
$	7,500,000	Florida Gas Transmission Co. LLC, 7.900%, 5/15/2019, 144A	$	8,150,333
	310,000	Gibson Energy, Inc., 5.375%, 7/15/2022, 144A, (CAD)		251,553
	31,400,000	IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A		33,908,954
	17,477,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		16,253,610
	1,158,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		1,158,000
	11,220,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		11,163,900
	205,000	NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A		255,225
	4,258,532	Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A		4,607,901
	18,753,000	Williams Partners LP, 3.350%, 8/15/2022		19,034,408

				114,317,338

		Mortgage Related – 0.0%
	34,587	FHLMC, 5.000%, 12/01/2031		37,716

		Natural Gas – 0.0%
	190,000	NiSource Finance Corp., 6.800%, 1/15/2019		201,449

		Non-Agency Commercial Mortgage-Backed Securities – 0.1%
	3,661,483	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(q)		3,739,489
	13,087,868	Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD)		10,462,322

				14,201,811

		Oil Field Services – 0.9%
	11,195,000	FTS International, Inc., 6.250%, 5/01/2022		10,261,113
	8,997,000	Global Marine, Inc., 7.000%, 6/01/2028		9,086,970
	15,000,000	Nabors Industries, Inc., 5.100%, 9/15/2023		14,436,900
	10,000	Precision Drilling Corp., 5.250%, 11/15/2024		9,200
	10,000	Precision Drilling Corp., 6.500%, 12/15/2021		10,125
	11,958	Precision Drilling Corp., 6.625%, 11/15/2020		12,003
	35,017,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		36,680,308
	51,710,000	Transocean, Inc., 5.800%, 10/15/2022		50,805,075
	6,600,000	Transocean, Inc., 6.800%, 3/15/2038		5,379,000

				126,680,694

		Packaging – 0.0%
	1,705,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		1,768,938

		Paper – 1.0%
	38,882,000	Georgia-Pacific LLC, 7.750%, 11/15/2029		54,017,905
	9,625,000	International Paper Co., 8.700%, 6/15/2038		14,371,702
	8,214,000	WestRock MWV LLC, 7.950%, 2/15/2031		11,414,497
	25,138,000	WestRock MWV LLC, 8.200%, 1/15/2030		35,221,103
	4,127,000	Weyerhaeuser Co., 6.950%, 10/01/2027		5,157,748

See accompanying notes to financial statements.

| 20

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Paper – continued
$	14,035,000	Weyerhaeuser Co., 7.375%, 3/15/2032	$	19,469,994

				139,652,949

		Property & Casualty Insurance – 0.1%
	2,000,000	Liberty Mutual Group, Inc., 3-month LIBOR + 2.905%, 4.225%, 3/07/2067, 144A(f)		1,955,000
	13,985,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.564%, 1/15/2033, 144A(e)(f)		6,712,800
	80,000	MBIA Insurance Corp., 3-month LIBOR + 11.260%, 12.564%, 1/15/2033(e)(f)		38,400
	1,140,000	Sirius International Group Ltd., (fixed rate to 10/25/2017, variable rate thereafter), 4.535%, 144A(g)		1,138,860

				9,845,060

		Railroads – 0.1%
	7,944,000	Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b)(c)		7,657,711
	63,300	Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b)(c)		63,028

				7,720,739

		Retailers – 1.0%
	4,680,000	Dillard’s, Inc., 7.000%, 12/01/2028		5,165,363
	7,182,000	Dillard’s, Inc., 7.750%, 7/15/2026		8,324,369
	2,250,000	Dillard’s, Inc., 7.750%, 5/15/2027		2,621,994
	7,730,000	Foot Locker, Inc., 8.500%, 1/15/2022		9,024,775
	7,675,000	GameStop Corp., 5.500%, 10/01/2019, 144A		7,847,687
	36,970,000	J.C. Penney Corp., Inc., 6.375%, 10/15/2036		26,156,275
	3,515,000	J.C. Penney Corp., Inc., 7.625%, 3/01/2097		2,416,563
	14,133,000	Macy’s Retail Holdings, Inc., 6.790%, 7/15/2027		14,902,324
	9,245,000	Marks & Spencer PLC, 7.125%, 12/01/2037, 144A		10,805,043
	815,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		130,400
	24,928,000	TRU Taj LLC/TRU Taj Finance, Inc., 11.000%, 1/22/2019, 144A(a)		25,551,200
	24,302,000	TRU Taj LLC/TRU Taj Finance, Inc., 12.000%, 8/15/2021, 144A		23,162,844

				136,108,837

		Supermarkets – 1.4%
	3,445,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025		3,031,600
	1,000,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 6/15/2024		933,750
	112,190,000	New Albertson’s, Inc., 7.450%, 8/01/2029		86,947,250
	33,814,000	New Albertson’s, Inc., 7.750%, 6/15/2026		27,761,970
	36,491,000	New Albertson’s, Inc., 8.000%, 5/01/2031		29,190,246
	13,559,000	New Albertson’s, Inc., 8.700%, 5/01/2030		11,186,175
	23,098,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		17,785,460
	2,705,000	Safeway, Inc., 7.250%, 2/01/2031		2,326,300

See accompanying notes to financial statements.

21 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Supermarkets – continued
$	3,585,000	SUPERVALU, Inc., 6.750%, 6/01/2021	$	3,396,787
	14,498,000	SUPERVALU, Inc., 7.750%, 11/15/2022		13,591,875

				196,151,413

		Supranational – 1.4%
	18,525,000	European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD)		15,974,489
	185,840,000	Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD)		135,285,446
	40,000,000	Inter-American Development Bank, MTN, 6.500%, 8/20/2019, (AUD)		33,895,926

				185,155,861

		Technology – 0.9%
	238,000	Advanced Micro Devices, Inc., 7.000%, 7/01/2024		251,685
	9,335,000	Amkor Technology, Inc., 6.375%, 10/01/2022		9,643,522
	73,905,000	KLA-Tencor Corp., 4.650%, 11/01/2024		80,062,288
	12,970,000	KLA-Tencor Corp., 5.650%, 11/01/2034		14,716,564
	2,783,000	Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A		3,286,779
	8,080,000	Western Digital Corp., 7.375%, 4/01/2023, 144A		8,851,640

				116,812,478

		Transportation Services – 0.1%
	20,994,000	APL Ltd., 8.000%, 1/15/2024(b)(c)		19,891,815

		Treasuries – 23.4%
	545,500,000	Canadian Government International Bond, 0.750%, 9/01/2020, (CAD)		426,633,244
	254,495,000	Canadian Government International Bond, 1.250%, 9/01/2018, (CAD)		203,722,457
	980,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(h)		1,061,756
	2,040,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h)		1,766,258
	1,290,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h)		1,102,323
	310,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(h)		262,324
	3,710,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(h)		3,107,184
	4,825,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(h)		4,033,612
	465,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(h)		387,813
	6,200,000	Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h)		5,176,126
	2,331,740,000	Iceland Government International Bond, 7.250%, 10/26/2022, (ISK)		19,729,412
	5,523,835,000	Iceland Government International Bond, 8.750%, 2/26/2019, (ISK)		45,047,089
	8,600,000(†††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)		44,035,684

See accompanying notes to financial statements.

| 22

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Treasuries – continued
	8,554,600(†††)	Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)	$	46,685,755
	4,579,595(†††)	Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN)		26,653,696
	10,160,320(†††)	Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN)		58,236,321
	39,547,655(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)		231,100,772
	3,288,446(†††)	Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN)		20,277,306
	34,470,000(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		224,130,717
	113,749(†††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		739,618
	137,580,000	New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)		103,707,260
	128,565,000	New Zealand Government Bond, 6.000%, 5/15/2021, (NZD)		104,864,442
	83,000,000	New Zealand Government Bond, Series 420, 3.000%, 4/15/2020, (NZD)		61,265,936
	764,599,000	Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK)		105,745,160
	1,096,778,000	Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)		146,507,893
	253,010,000	Republic of Brazil, 8.500%, 1/05/2024, (BRL)		80,916,227
	97,345,000	Republic of Brazil, 10.250%, 1/10/2028, (BRL)		33,431,060
	300,000,000	U.S. Treasury Note, 0.625%, 6/30/2018		298,535,157
	150,000,000	U.S. Treasury Note, 0.750%, 1/31/2018		149,792,908
	150,000,000	U.S. Treasury Note, 0.750%, 8/31/2018		149,179,688
	600,000,000	U.S. Treasury Note, 0.750%, 9/30/2018		596,367,186

				3,194,202,384

		Wireless – 1.0%
	281,500,000	America Movil SAB de CV, 6.450%, 12/05/2022, (MXN)		14,704,008
	143,600,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		7,323,774
	53,182,000	Sprint Capital Corp., 6.875%, 11/15/2028		59,563,840
	8,400,000	Sprint Capital Corp., 8.750%, 3/15/2032		10,741,500
	27,683,000	Sprint Communications, Inc., 6.000%, 11/15/2022		29,635,205
	10,853,000	Sprint Corp., 7.125%, 6/15/2024		12,209,625
	2,268,000	Sprint Corp., 7.250%, 9/15/2021		2,520,315

				136,698,267

		Wirelines – 5.1%
	75,360,000	AT&T, Inc., 2.625%, 12/01/2022		74,680,520
	59,951,000	AT&T, Inc., 3.000%, 2/15/2022		60,584,825
	5,790,000	Bell Canada, Inc., MTN, 6.550%, 5/01/2029, 144A, (CAD)		5,717,843
	3,695,000	Bell Canada, Inc., MTN, 7.300%, 2/23/2032, (CAD)		3,939,280
	10,946,000	Bell Canada, Inc., Series M-17, 6.100%, 3/16/2035, (CAD)		10,551,233
	31,630,000	CB Escrow Corp., 8.000%, 10/15/2025, 144A		31,788,150
	1,875,000	CenturyLink, Inc., 5.625%, 4/01/2025		1,795,312
	1,700,000	CenturyLink, Inc., 6.450%, 6/15/2021		1,768,901
	11,005,000	CenturyLink, Inc., Series G, 6.875%, 1/15/2028		10,632,893
	7,255,000	CenturyLink, Inc., Series P, 7.600%, 9/15/2039		6,420,675
	11,795,000	CenturyLink, Inc., Series W, 6.750%, 12/01/2023		11,931,680

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Wirelines – continued
$	1,440,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028	$	1,414,541
	10,839,000	Consolidated Communications, Inc., 6.500%, 10/01/2022		10,418,989
	8,735,000	Embarq Corp., 7.995%, 6/01/2036		8,866,025
	21,745,000	Frontier Communications Corp., 6.250%, 9/15/2021		17,878,739
	24,305,000	Frontier Communications Corp., 6.875%, 1/15/2025		18,167,987
	60,000	Frontier Communications Corp., 7.000%, 11/01/2025		37,200
	4,035,000	Frontier Communications Corp., 7.875%, 1/15/2027		2,905,200
	1,240,000	Frontier Communications Corp., 9.000%, 8/15/2031		964,100
	305,000	Oi Brasil Holdings Cooperatief UA, 5.750%, 2/10/2022, 144A(j)		106,750
	24,165,000	Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR)(j)		9,710,612
	43,231,000	Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR)(j)		17,372,210
	64,382,000	Qwest Capital Funding, Inc., 6.875%, 7/15/2028		61,522,152
	16,040,000	Qwest Capital Funding, Inc., 7.625%, 8/03/2021		16,698,121
	43,590,000	Qwest Capital Funding, Inc., 7.750%, 2/15/2031		40,484,212
	32,321,000	Qwest Corp., 6.875%, 9/15/2033		31,629,538
	10,785,000	Qwest Corp., 7.250%, 9/15/2025		11,933,673
	785,000	Qwest Corp., 7.250%, 10/15/2035		785,269
	49,543,000	Telecom Italia Capital S.A., 6.000%, 9/30/2034		54,806,944
	23,485,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		27,037,106
	4,300,000	Telecom Italia SpA, EMTN, 5.875%, 5/19/2023, (GBP)		6,715,723
	4,700,000	Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)		7,322,669
	18,145,000	Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP)		29,077,555
	27,020,000	Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD)		22,952,978
	73,892,000	Verizon Communications, Inc., 2.450%, 11/01/2022		73,328,508
	8,060,000	Windstream Services LLC, 7.750%, 10/15/2020		6,448,000

				698,396,113


		Total Non-Convertible Bonds (Identified Cost $9,415,549,984)		9,111,597,685


	Convertible Bonds – 3.6%

		Building Materials – 0.1%
	1,015,000	CalAtlantic Group, Inc., 0.250%, 6/01/2019		971,863
	14,067,000	KB Home, 1.375%, 2/01/2019		14,761,558

				15,733,421

		Cable Satellite – 1.4%
	170,470,000	DISH Network Corp., 3.375%, 8/15/2026		190,713,312

		Chemicals – 0.1%
	5,934,000	RPM International, Inc., 2.250%, 12/15/2020		6,838,935

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Consumer Products – 0.0%
$	675,000	Iconix Brand Group, Inc., 1.500%, 3/15/2018	$	668,250

		Diversified Manufacturing – 0.2%
	25,202,000	Trinity Industries, Inc., 3.875%, 6/01/2036		33,786,431

		Healthcare – 0.2%
	27,720,000	Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h)		33,749,100

		Leisure – 0.3%
	35,626,000	Rovi Corp., 0.500%, 3/01/2020		36,051,374

		Midstream – 0.4%
	40,405,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		37,071,587
	13,098,000	SM Energy Co., 1.500%, 7/01/2021		12,295,748

				49,367,335

		Pharmaceuticals – 0.0%
	2,107,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		2,134,654
	2,929,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		3,505,647

				5,640,301

		Property & Casualty Insurance – 0.4%
	45,617,000	Old Republic International Corp., 3.750%, 3/15/2018		58,332,739

		REITs – Mortgage – 0.0%
	5,425,000	iStar, Inc., 3.125%, 9/15/2022, 144A		5,472,469

		Technology – 0.5%
	1,605,000	Lam Research Corp., Series B, 1.250%, 5/15/2018		4,905,281
	6,771,074	Liberty Interactive LLC, 3.500%, 1/15/2031		6,785,787
	12,720,000	Nuance Communications, Inc., 1.000%, 12/15/2035		11,930,215
	5,910,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		5,710,538
	1,231,000	Nuance Communications, Inc., 1.500%, 11/01/2035		1,226,384
	13,345,000	Priceline Group, Inc. (The), 0.900%, 9/15/2021		15,313,388
	15,405,000	Viavi Solutions, Inc., 0.625%, 8/15/2033		16,098,225

				61,969,818


		Total Convertible Bonds (Identified Cost $436,341,527)		498,323,485


	Municipals – 1.6%

		District of Columbia – 0.1%
	5,610,000	Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047		7,950,380

		Illinois – 0.2%
	25,725,000	State of Illinois, 5.100%, 6/01/2033		26,015,692

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Bonds and Notes – continued

		Michigan – 0.1%
$	17,700,000	Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034	$	17,478,042

		Virginia – 0.9%
	135,045,000	Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046		123,537,816

		Puerto Rico – 0.3%
	85,210,000	Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035(j)		41,326,850


		Total Municipals (Identified Cost $249,499,900)		216,308,780


		Total Bonds and Notes (Identified Cost $10,101,391,411)		9,826,229,950


	Senior Loans – 0.9%

		Automotive – 0.1%
	9,257,294	IBC Capital Ltd., 1st Lien Term Loan, 3-month LIBOR + 3.750%, 5.067%, 9/09/2021(f)		9,172,404
	7,744,876	IBC Capital Ltd., 2nd Lien Term Loan, 3-month LIBOR + 7.000%, 8.317%, 9/09/2022(f)		7,357,632

				16,530,036

		Chemicals – 0.4%
	48,235,000	Houghton International, Inc., New 2nd Lien Term Loan, 3-month LIBOR + 8.500%, 9.833%, 12/20/2020(f)		48,536,469

		Consumer Cyclical Services – 0.1%
	10,830,793	Ex-Sigma 2 LLC, 2nd Lien PIK Term Loan, 7/12/2019(a)(d)(l)(m)		9,747,713

		Financial Other – 0.1%
	16,560,264	DBRS Ltd., Term Loan, 3-month LIBOR + 5.250%, 6.567%, 3/04/2022(f)		16,394,662

		Natural Gas – 0.0%
	1,934,047	Southcross Holdings Borrower LP, Exit Term Loan B, PIK, 3.500%, 4/13/2023(n)		1,672,951

		Oil Field Services – 0.0%
	502,670	Paragon Offshore Finance Co., Takeback Term Loan B, 3-month LIBOR + 6.000%, 7.304%, 7/18/2022(b)(c)(f)		417,216
	3,762,882	Petroleum Geo-Services ASA, New Term Loan B, 3-month LIBOR + 2.500%, 3.833%, 3/19/2021(f)		3,160,821

				3,578,037

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Senior Loans – continued

		Other Utility – 0.1%
$	4,525,000	PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.583%, 11/06/2020(f)	$	4,496,719

		Retailers – 0.0%
	4,357,913	Toys “R” Us Property Co. I LLC, New Term Loan B, 1-month LIBOR + 5.000%, 6.235%, 8/21/2019(f)		4,093,344

		Technology – 0.1%
	7,048,927	IQOR U.S., Inc., 2nd Lien Term Loan, 3-month LIBOR + 8.750%, 10.049%, 4/01/2022(f)		6,789,033

		Transportation Services – 0.0%
	4,544,772	OSG Bulk Ships, Inc., OBS Term Loan, 3-month LIBOR + 4.250%, 5.570%, 8/05/2019(f)		4,317,533


		Total Senior Loans (Identified Cost $128,342,190)		116,156,497


	Shares

	Common Stocks – 3.7%

		Automobiles – 1.9%
	21,480,222	Ford Motor Co.		257,118,257

		Diversified Telecommunication Services – 0.1%
	307,212	Hawaiian Telcom Holdco, Inc.(e)		9,161,062

		IT Services – 0.0%
	159,286	Exela Technologies, Inc.(e)(o)		780,502

		Media – 0.0%
	559,124	Dex Media, Inc.(a)(b)(d)(e)(o)		3,242,919

		Oil, Gas & Consumable Fuels – 0.1%
	1,033,462	Chesapeake Energy Corp.(e)		4,443,887
	1,177	Frontera Energy Corp.(e)		41,081
	209,389	Paragon Offshore Ltd.(a)(d)(e)		3,402,571
	209,391	Paragon Offshore Ltd., Litigation Units Class A(a)(d)(e)(o)		188,452
	299,302	Paragon Offshore Ltd., Litigation Units Class B(a)(d)(e)(o)		5,636,754
	2,021	Southcross Holdings Group LLC(a)(b)(d)(e)(o)		—
	2,021	Southcross Holdings LP, Class A(a)(b)(d)(e)(o)		1,313,650

				15,026,395

		Pharmaceuticals – 1.6%
	3,414,069	Bristol-Myers Squibb Co.		217,612,758


		Total Common Stocks (Identified Cost $384,259,087)		502,941,893

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – 1.7%

	Convertible Preferred Stocks – 1.2%

		Banking – 0.4%
	25,823	Bank of America Corp., Series L, 7.250%	$	33,607,860
	12,483	Wells Fargo & Co., Series L, Class A, 7.500%		16,415,145

				50,023,005

		Communications – 0.0%
	14,923	Cincinnati Bell, Inc., 6.750%		751,970

		Energy – 0.1%
	325,710	El Paso Energy Capital Trust I, 4.750%		15,959,790

		Midstream – 0.6%
	257,387	Chesapeake Energy Corp., 4.500%		13,052,095
	476,844	Chesapeake Energy Corp., 5.000%		27,597,347
	3,044	Chesapeake Energy Corp., 5.750%		1,856,840
	39,322	Chesapeake Energy Corp., 5.750%, 144A		23,986,420
	16,454	Chesapeake Energy Corp., Series A, 5.750%, 144A		9,409,631

				75,902,333

		REITs – Health Care – 0.1%
	172,150	Welltower, Inc., 6.500%		10,919,474

		REITs – Mortgage – 0.0%
	67,507	iStar, Inc., Series J, 4.500%		3,348,347

		Technology – 0.0%
	49,913	Belden, Inc., 6.750%		5,393,599


		Total Convertible Preferred Stocks (Identified Cost $180,203,152)		162,298,518


	Non-Convertible Preferred Stocks – 0.5%

		Electric – 0.0%
	2,925	Connecticut Light & Power Co. (The), 1.900%		138,481
	100	Entergy Arkansas, Inc., 4.320%		9,613
	5,000	Entergy Mississippi, Inc., 4.360%		480,469
	665	Entergy New Orleans, Inc., 4.360%		69,118
	200	Entergy New Orleans, Inc., 4.750%		20,681
	50,100	Southern California Edison Co., 4.780%		1,276,047

				1,994,409

		Finance Companies – 0.0%
	67,611	iStar, Inc., Series E, 7.875%		1,700,417
	64,123	iStar, Inc., Series F, 7.800%		1,613,335
	16,004	iStar, Inc., Series G, 7.650%		406,181

				3,719,933

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Shares		Description	Value (†)

	Preferred Stocks – continued

		Home Construction – 0.0%
	52,867	Hovnanian Enterprises, Inc., 7.625%(e)	$	320,374

		Metals & Mining – 0.4%
	1,182,307	Arconic, Inc., 5.375%		45,991,742

		REITs – Office Property – 0.0%
	2,318	Highwoods Realty LP, Series A, 8.625%		2,921,404


		REITs – Warehouse/Industrials – 0.1%
	169,007	ProLogis, Inc., Series Q, 8.540%		11,323,469


		Total Non-Convertible Preferred Stocks (Identified Cost $69,602,244)		66,271,331


		Total Preferred Stocks (Identified Cost $249,805,396)		228,569,849


	Closed-End Investment Companies – 0.0%
	170,002	NexPoint Credit Strategies Fund (Identified Cost $9,807,936)		3,918,546


	Principal Amount (‡)

	Short-Term Investments – 20.5%
$	56,715,000	Federal Home Loan Bank Discount Notes, 1.060%, 01/19/2018(i)		56,529,542
	328,180,000	Federal National Mortgage Association Discount Notes, 1.040%, 10/30/2017(i)		327,927,301
	210,000,000	Federal National Mortgage Association Discount Notes, 1.040%, 10/30/2017(i)		209,784,120
	350,000,000	Federal National Mortgage Association Discount Notes, 1.030%, 11/15/2017(i)		349,572,300
	349,608,119	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $349,618,024 on 10/02/2017 collateralized by $9,625,000 Federal Home Loan Mortgage Corp., 1.625% due 10/25/2019 valued at $9,694,416; $80,550,000 Federal Home Loan Mortgage Corp., 1.250% due 10/02/2019 valued at $80,599,136; $27,000,000 U.S. Treasury Note, 1.625% due 8/31/2019 valued at $27,123,687; $188,875,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $197,342,266; $42,000,000 U.S. Treasury Note, 1.000% due 9/30/2019 valued at $41,842,500 including accrued interest (Note 2 of Notes to Financial Statements)		349,608,119
	69,180,000	U.S. Treasury Bills, 0.995%, 10/05/2017(i)		69,175,814
	421,820,000	U.S. Treasury Bills, 1.020%, 10/12/2017(i)		421,711,698
	300,000,000	U.S. Treasury Bills, 1.015%, 11/09/2017(i)		299,696,097

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


Principal Amount (‡)		Description	Value (†)

	Short-Term Investments – continued
$	681,105,000	U.S. Treasury Bills, 1.020%, 11/30/2017(i)	$	680,000,793
	43,285,000	U.S. Treasury Cash Management Bills, 1.025%, 01/02/2018(i)		43,171,064

		Total Short-Term Investments (Identified Cost $2,807,011,859)		2,807,176,848


		Total Investments – 98.6% (Identified Cost $13,680,617,879)		13,484,993,583
		Other assets less liabilities—1.4%		191,496,079

		Net Assets – 100.0%	$	13,676,489,662


	(‡)	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)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(b)	Illiquid security. (Unaudited)
	(c)	Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $364,723,034 or 2.7% of net assets. See Note 2 of Notes to Financial Statements.
	(d)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $62,093,211 or 0.5% of net assets. See Note 2 of Notes to Financial Statements.
	(e)	Non-income producing security.
	(f)	Variable rate security. Rate as of September 30, 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.
	(i)	Interest rate represents discount rate 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 principal.
	(l)	Position is unsettled. Contract rate was not determined at September 30, 2017 and does not take effect until settlement date. Maturity date is not finalized until settlement date.
	(m)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended September 30, 2017, interest payments were made in cash.
	(n)	Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended September 30, 2017 interest payments were made in principal.
	(o)	Securities subject to restriction on resale. At September 30, 2017, the restricted securities held by the Fund are as follows:


	Acquisition Date	Cost		Value		% of Net Assets
Exela Technologies, Inc.	July 12, 2017	$	—	$	780,502		Less than 0.1%
Dex Media, Inc.	August 12, 2016		2,639,400		3,242,919		Less than 0.1%
Paragon Offshore Ltd., Litigation Units Class A	July 18, 2017		1,451,033		188,452		Less than 0.1%
Paragon Offshore Ltd., Litigation Units Class B	July 18, 2017		28,157,326		5,636,754		Less than 0.1%
Southcross Holdings Group LLC	April 29, 2016		—		—		—
Southcross Holdings LP, Class A	April 29, 2016		2,950,992		1,313,650		Less than 0.1%

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Bond Fund – continued


	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $1,829,568,290 or 13.4% of net assets.
	ABS			Asset-Backed Securities
	EMTN			Euro Medium Term Note
	EURIBOR			Euro Interbank Offered Rate
	FHLMC			Federal Home Loan Mortgage Corp.
	GMTN			Global Medium Term Note
	GO			General Obligation
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

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

Industry Summary at September 30, 2017


Treasuries	23.4	%
Banking	6.1
Wirelines	5.1
Finance Companies	2.9
Independent Energy	2.8
Healthcare	2.2
Metals & Mining	2.1
Life Insurance	2.0
Chemicals	2.0
Other Investments, less than 2% each	29.5
Short-Term Investments	20.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

Currency Exposure Summary at September 30, 2017


United States Dollar	75.7	%
Canadian Dollar	6.4
Mexican Peso	5.0
New Zealand Dollar	4.1
Australian Dollar	2.9
Other, less than 2% each	4.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

31 |

Statement of Assets and Liabilities

September 30, 2017


ASSETS
Investments at cost	$	13,680,617,879
Net unrealized depreciation		(195,624,296	)

Investments at value		13,484,993,583
Cash		2,857,305
Foreign currency at value (identified cost $3,695,909)		3,674,758
Receivable for Fund shares sold		18,573,647
Receivable for securities sold		69,915,553
Dividends and interest receivable		150,930,271
Tax reclaims receivable		88,897
Prepaid expenses (Note 7)		14,226

TOTAL ASSETS		13,731,048,240

LIABILITIES
Payable for securities purchased		35,013,934
Payable for Fund shares redeemed		10,777,732
Management fees payable (Note 5)		5,889,692
Deferred Trustees’ fees (Note 5)		1,586,720
Administrative fees payable (Note 5)		506,049
Payable to distributor (Note 5d)		118,679
Other accounts payable and accrued expenses		665,772

TOTAL LIABILITIES		54,558,578

NET ASSETS	$	13,676,489,662

NET ASSETS CONSIST OF:
Paid-in capital	$	13,589,160,608
Undistributed net investment income		79,215,158
Accumulated net realized gain on investments and foreign currency transactions		185,498,857
Net unrealized depreciation on investments and foreign currency translations		(177,384,961	)

NET ASSETS	$	13,676,489,662


COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Institutional Class:
Net assets	$	9,785,854,417

Shares of beneficial interest		685,084,108

Net asset value, offering and redemption price per share	$	14.28

Retail Class:
Net assets	$	3,496,125,624

Shares of beneficial interest		245,993,466

Net asset value, offering and redemption price per share	$	14.21

Admin Class shares:
Net assets	$	170,435,929

Shares of beneficial interest		12,037,710

Net asset value, offering and redemption price per share	$	14.16

Class N shares:
Net assets	$	224,073,692

Shares of beneficial interest		15,703,265

Net asset value, offering and redemption price per share	$	14.27

See accompanying notes to financial statements.

| 32

Statement of Operations

For the Year Ended September 30, 2017


INVESTMENT INCOME
Interest	$	568,763,606
Dividends		51,806,026
Less net foreign taxes withheld		(192,162	)

		620,377,470

Expenses
Management fees (Note 5)		72,499,615
Service and distribution fees (Note 5)		10,490,074
Administrative fees (Note 5)		6,202,921
Trustees’ fees and expenses (Note 5)		531,770
Transfer agent fees and expenses (Notes 5 and 6)		10,005,505
Audit and tax services fees		65,733
Custodian fees and expenses		734,661
Legal fees		305,548
Registration fees		225,209
Shareholder reporting expenses		540,453
Miscellaneous expenses (Note 7)		488,951

Total expenses		102,090,440

Net investment income		518,287,030


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain on:
Investments		400,685,671
Foreign currency transactions		84,496
Net change in unrealized appreciation (depreciation) on:
Investments		(153,314,641	)
Foreign currency translations		18,483,143

Net realized and unrealized gain on investments and foreign currency transactions		265,938,669


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	784,225,699

See accompanying notes to financial statements.

33 |

Statement of Changes in Net Assets


	Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	518,287,030		$	676,658,768
Net realized gain (loss) on investments and foreign currency transactions		400,770,167			(287,506,494	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translations		(134,831,498	)		915,964,187

Net increase in net assets resulting from operations		784,225,699			1,305,116,461

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Institutional Class		(300,703,961	)		(245,533,574	)
Retail Class		(110,036,070	)		(102,678,061	)
Admin Class		(4,604,350	)		(3,770,457	)
Class N		(5,721,561	)		(2,134,874	)
Net realized capital gains
Institutional Class		(96,594,898	)		(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		(561,310,203	)		(1,001,777,350	)

NET DECREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)		(1,387,086,339	)		(5,022,677,532	)

Net decrease in net assets		(1,164,170,843	)		(4,719,338,421	)
NET ASSETS
Beginning of the year		14,840,660,505			19,559,998,926

End of the year	$	13,676,489,662		$	14,840,660,505

UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME	$	79,215,158		$	(133,808,338	)

See accompanying notes to financial statements.

| 34

Financial Highlights

For a share outstanding throughout each period.


	Institutional Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	14.04		$	13.65		$	15.49		$	15.09		$	14.99

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.53			0.56			0.61			0.60			0.69
Net realized and unrealized gain (loss)		0.28			0.62			(1.55	)		0.54			0.27

Total from Investment Operations		0.81			1.18			(0.94	)		1.14			0.96

LESS DISTRIBUTIONS FROM:
Net investment income		(0.43	)		(0.29	)		(0.50	)		(0.67	)		(0.86	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.57	)		(0.79	)		(0.90	)		(0.74	)		(0.86	)

Net asset value, end of the period	$	14.28		$	14.04		$	13.65		$	15.49		$	15.09

Total return		5.99	%		9.17	%		(6.37	)%		7.66	%		6.51	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	9,785,854		$	10,045,427		$	12,966,991		$	15,488,726		$	12,997,813
Net expenses		0.66	%		0.66	%		0.64	%		0.63	%		0.63	%
Gross expenses		0.66	%		0.66	%		0.64	%		0.63	%		0.63	%
Net investment income		3.80	%		4.21	%		4.17	%		3.85	%		4.57	%
Portfolio turnover rate		9	%		13	%		22	%		26	%		28	%

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

See accompanying notes to financial statements.

35 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Retail Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	13.97		$	13.59		$	15.43		$	15.02		$	14.93

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.50			0.53			0.57			0.55			0.65
Net realized and unrealized gain (loss)		0.28			0.61			(1.55	)		0.56			0.25

Total from Investment Operations		0.78			1.14			(0.98	)		1.11			0.90

LESS DISTRIBUTIONS FROM:
Net investment income		(0.40	)		(0.26	)		(0.46	)		(0.63	)		(0.81	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.54	)		(0.76	)		(0.86	)		(0.70	)		(0.81	)

Net asset value, end of the period	$	14.21		$	13.97		$	13.59		$	15.43		$	15.02

Total return		5.75	%		8.86	%		(6.58	)%		7.40	%		6.15	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,496,126		$	4,495,997		$	6,268,878		$	8,627,288		$	8,282,010
Net expenses		0.91	%		0.91	%		0.89	%		0.91	%		0.92	%
Gross expenses		0.91	%		0.91	%		0.89	%		0.91	%		0.92	%
Net investment income		3.56	%		3.97	%		3.91	%		3.58	%		4.28	%
Portfolio turnover rate		9	%		13	%		22	%		26	%		28	%

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

See accompanying notes to financial statements.

| 36

Financial Highlights – continued

For a share outstanding throughout each period.


	Admin Class
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	13.92		$	13.54		$	15.38		$	14.98		$	14.89

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.46			0.49			0.53			0.51			0.61
Net realized and unrealized gain (loss)		0.28			0.62			(1.55	)		0.55			0.25

Total from Investment Operations		0.74			1.11			(1.02	)		1.06			0.86

LESS DISTRIBUTIONS FROM:
Net investment income		(0.36	)		(0.23	)		(0.42	)		(0.59	)		(0.77	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.50	)		(0.73	)		(0.82	)		(0.66	)		(0.77	)

Net asset value, end of the period	$	14.16		$	13.92		$	13.54		$	15.38		$	14.98

Total return		5.51	%		8.64	%		(6.89	)%		7.15	%		5.88	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	170,436		$	185,902		$	239,088		$	292,668		$	272,181
Net expenses		1.16	%		1.16	%		1.14	%		1.17	%		1.18	%
Gross expenses		1.16	%		1.16	%		1.14	%		1.17	%		1.18	%
Net investment income		3.31	%		3.72	%		3.67	%		3.32	%		4.02	%
Portfolio turnover rate		9	%		13	%		22	%		26	%		28	%

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

See accompanying notes to financial statements.

37 |

Financial Highlights – continued

For a share outstanding throughout each period.


	Class N
	Year Ended September 30, 2017			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)		0.54			0.57			0.63			0.59			0.47
Net realized and unrealized gain (loss)		0.29			0.61			(1.56	)		0.57			(0.25	)

Total from Investment Operations		0.83			1.18			(0.93	)		1.16			0.22

LESS DISTRIBUTIONS FROM:
Net investment income		(0.44	)		(0.30	)		(0.51	)		(0.68	)		(0.48	)
Net realized capital gains		(0.14	)		(0.50	)		(0.40	)		(0.07	)		—

Total Distributions		(0.58	)		(0.80	)		(0.91	)		(0.75	)		(0.48	)

Net asset value, end of the period	$	14.27		$	14.02		$	13.64		$	15.48		$	15.07

Total return		6.14	%		9.18	%		(6.31	)%		7.79	%		1.45	%(b)(c)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	224,074		$	113,335		$	85,042		$	31,387		$	241
Net expenses		0.59	%		0.58	%		0.57	%		0.58	%(d)		0.65	%(e)(f)
Gross expenses		0.59	%		0.58	%		0.57	%		0.58	%(d)		2.14	%(e)
Net investment income		3.83	%		4.28	%		4.33	%		3.80	%		4.73	%(e)
Portfolio turnover rate		9	%		13	%		22	%		26	%		28	%

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

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

(b)	Periods less than one year are not annualized.

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

(d)	Includes fee/expense recovery of 0.01%.

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

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

See accompanying notes to financial statements.

| 38

Notes to Financial Statements

September 30, 2017

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 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, and Gateway Trust (“Natixis Funds Trusts”), and Loomis Sayles Funds I and Loomis Sayles Funds II (“Loomis Sayles Funds Trusts”), and the Natixis ETF Trust. Expenses of the Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class) and transfer agent fees are borne collectively for Institutional Class, Retail Class, and Admin Class, and individually for Class N. In addition, each class votes as a class only with respect to its own Rule 12b-1 Plan. Shares of each class would receive their pro rata share of the net assets of the Fund if the Fund were liquidated. The Trustees approve separate distributions from net investment income on each class of shares.

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

39 |

Notes to Financial Statements – continued

September 30, 2017

| 40

Notes to Financial Statements – continued

September 30, 2017

prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

As of September 30, 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
$364,723,034	2.7%	$62,093,211	0.5%

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.

41 |

Notes to Financial Statements – continued

September 30, 2017

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 year ended September 30, 2017, the amount of income available to be distributed by the Fund has been reduced by $184,761,725 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.

| 42

Notes to Financial Statements – continued

September 30, 2017

There were no when-issued and delayed delivery securities held by the Fund as of September 30, 2017.

e. Federal and Foreign Income Taxes. The Fund intends to meet the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute to its shareholders substantially all of its net investment income and any net realized capital gains at least annually. Management has performed an analysis of the Fund’s tax positions for the open tax years as of September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Fund. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

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

f. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency transactions, defaulted and/or non-income producing securities, distribution re-designations, 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

43 |

Notes to Financial Statements – continued

September 30, 2017

capital accounts reported on the Statement of Assets and Liabilities. Temporary differences between book and tax distributable earnings are primarily due to deferred Trustees’ fees, wash sales, premium amortization, convertible bonds, defaulted and/or non-income producing securities, return of capital distributions received, trust preferred securities, corporate actions and contingent payment debt instruments. Amounts of income and capital gain available to be distributed on a tax basis are determined annually, and at other times during the Fund’s fiscal year as may be necessary to avoid knowingly declaring and paying a return of capital distribution. Distributions from net investment income and short-term capital gains are considered to be distributed from ordinary income for tax purposes.

The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the years ended September 30, 2017 and 2016 were as follows:


2017 Distributions Paid From:			2016 Distributions Paid From:
Ordinary Income	Long-Term Capital Gains	Total	Ordinary Income	Long-Term Capital Gains	Total
$420,372,111	$140,938,092	$561,310,203	$363,139,491	$638,637,859	$1,001,777,350

Differences between these amounts and those reported in the Statement of Changes in Net Assets are primarily attributable to different book and tax treatment for short-term capital gains.

As of September 30, 2017, the components of distributable earnings on a tax basis were as follows:


Undistributed ordinary income	$	128,967,688
Undistributed long-term capital gains		272,400,689

Total undistributed earnings		401,368,377

Unrealized depreciation		(288,234,434	)

Total accumulated earnings	$	113,133,943

As of September 30, 2017, unrealized appreciation (depreciation) on a tax basis was as follows:


Unrealized appreciation (depreciation)
Investments	$	220,077,976
Foreign currency translations		(508,312,410	)

Total unrealized depreciation	$	(288,234,434	)

| 44

Notes to Financial Statements – continued

September 30, 2017

As of September 30, 2017, the cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


Federal tax cost	$	13,795,987,903

Gross tax appreciation		833,340,383
Gross tax depreciation		(1,144,334,701	)

Net tax depreciation	$	(310,994,318	)

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to foreign currency translation.

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 September 30, 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.

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.

45 |

Notes to Financial Statements – continued

September 30, 2017

For the year ended September 30, 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.

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

•

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

•

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

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

The Fund’s pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a 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

| 46

Notes to Financial Statements – continued

September 30, 2017

comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Fund’s adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2017, at value:

Asset Valuation Inputs


Description	Level 1		Level 2			Level 3			Total
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	—	$	13,945,449		$	43,669,109	(b)(c)	$	57,614,558
Airlines		—		115,696,258			1,197	(d)		115,697,455
Chemicals		—		185,857,983			23,428,890	(e)		209,286,873
Finance Companies		3,619,248		397,226,600			—			400,845,848
Metals & Mining		—		234,939,246			3,383	(e)		234,942,629
Retailers		—		110,557,637			25,551,200	(d)		136,108,837
All Other Non-Convertible Bonds(a)		—		7,957,101,485			—			7,957,101,485

Total Non-Convertible Bonds		3,619,248		9,015,324,658			92,653,779			9,111,597,685

Convertible Bonds(a)		—		498,323,485			—			498,323,485
Municipals(a)		—		216,308,780			—			216,308,780

Total Bonds and Notes		3,619,248		9,729,956,923	��		92,653,779			9,826,229,950

Senior Loans
Consumer Cyclical Services		—		—			9,747,713	(e)		9,747,713
All Other Senior Loans(a)		—		106,408,784			—			106,408,784

Total Senior Loans		—		106,408,784			9,747,713			116,156,497

Common Stocks
Media		—		—			3,242,919	(f)		3,242,919
Oil, Gas & Consumable Fuels		4,484,968		—			10,541,427	(c)(g)		15,026,395
All Other Common Stocks(a)		484,672,579		—			—			484,672,579

Total Common Stocks		489,157,547		—			13,784,346			502,941,893

47 |

Notes to Financial Statements – continued

September 30, 2017

Asset Valuation Inputs – continued


Description	Level 1		Level 2		Level 3		Total
Preferred Stocks
Convertible Preferred Stocks
Midstream	$	13,052,095	$	62,850,238	$	—	$	75,902,333
REITs—Mortgage		—		3,348,347		—		3,348,347
All Other Convertible Preferred Stocks(a)		83,047,838		—		—		83,047,838

Total Convertible Preferred Stocks		96,099,933		66,198,585		—		162,298,518

Non-Convertible Preferred Stocks
Electric		1,276,047		718,362		—		1,994,409
REITs—Office Property		—		2,921,404		—		2,921,404
REITs—Warehouse/Industrials		—		11,323,469		—		11,323,469
All Other Non-Convertible Preferred Stocks(a)		50,032,049		—		—		50,032,049

Total Non-Convertible Preferred Stocks		51,308,096		14,963,235		—		66,271,331

Total Preferred Stocks		147,408,029		81,161,820		—		228,569,849

Closed-End Investment Companies		3,918,546		—		—		3,918,546
Short-Term Investments		—		2,807,176,848		—		2,807,176,848

Total	$	644,103,370	$	12,724,704,375	$	116,185,838	$	13,484,993,583

(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 ($28,540,230) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($15,128,879).

(d) Valued using broker-dealer bid prices.

(e) Fair valued by the Fund’s adviser.

(f) Fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund.

(g) Fair valued by the Fund’s adviser ($1,313,650) and fair valued by the Fund’s adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($9,227,777).

| 48

Notes to Financial Statements – continued

September 30, 2017

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 September 30, 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	$	—	$	15,767		$	(98,133	)	$	1,624,932
Airlines		114,908		—		6,632			(8,047	)		—
Chemicals		16,637,790		467,558		—			6,323,542			—
Metals & Mining		3,383		134,255		—			(134,255	)		—
Retailers		—		—		—			1,620,320			23,930,880
Transportation Services		21,484,700		—		4,867,749			(5,187,783	)		—
Senior Loans
Consumer Cyclical Services		—		—		—			(1,083,079	)		10,830,792
Wirelines		18,283,003		6,926		66,732			990,432			—
Common Stocks
Media		1,111,539		—		—			2,131,380			—
Oil, Gas & Consumable Fuels		727,560		—		(594	)		(56,070,319	)		65,884,780
Warrants		102,811		—		143,558			(102,811	)		—

Total	$	101,670,341	$	608,739	$	5,099,844		$	(51,618,753	)	$	102,271,384

49 |

Notes to Financial Statements – continued

September 30, 2017

Asset Valuation Inputs – continued


Investments in Securities – continued	Sales			Transfers into Level 3		Transfers out of Level 3		Balance as of September 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Other	$	(1,078,104	)	$	—	$	—	$	43,669,109	(a)	$	362,752
Airlines		(112,296	)		—		—		1,197			(13	)
Chemicals		—			—		—		23,428,890			6,323,542
Metals & Mining		—			—		—		3,383			(134,255	)
Retailers		—			—		—		25,551,200			1,620,320
Transportation Services		(21,164,666	)		—		—		—			—
Senior Loans
Consumer Cyclical Services		—			—		—		9,747,713			(1,083,079	)
Wirelines		(19,347,093	)		—		—		—			—
Common Stocks
Media		—			—		—		3,242,919			2,131,380
Oil, Gas & Consumable Fuels		—			—		—		10,541,427	(a)		(56,070,319	)
Warrants		(143,558	)		—		—		—			—

Total	$	(41,845,717	)	$	—	$	—	$	116,185,838		$	(46,849,672	)

(a) Includes a security fair valued at zero using Level 3 inputs.

For the year ended September 30, 2017, there were no transfers among Levels 1, 2 and 3.

4. Purchases and Sales of Securities. For the year ended September 30, 2017, purchases and sales of securities (excluding short-term investments and U.S. Government/Agency securities and including paydowns) were $783,345,273 and $4,577,892,043, respectively. Purchases and sales of U.S. Government/Agency securities (excluding short-term investments and including paydowns) were $299,296,875 and $425,000,000, respectively.

| 50

Notes to Financial Statements – continued

September 30, 2017

5. Management Fees and Other Transactions with Affiliates.

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


Percentage of Average Daily Net Assets
First $3 billion	Next $12 billion	Next $10 billion	Over $25 billion
0.60%	0.50%	0.49%	0.48%

Loomis Sayles has given a binding undertaking to the Fund to waive management fees and/or reimburse certain expenses to limit the Fund’s operating expenses, exclusive of acquired fund fees and expenses, brokerage expenses, interest expense, taxes, organizational and extraordinary expenses such as litigation and indemnification expenses. This undertaking is in effect until January 31, 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 year ended September 30, 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 year ended September 30, 2017, the management fees for the Fund were $72,499,615 (effective rate of 0.52% of average daily net assets).

No expenses were recovered during the year ended September 30, 2017 under the terms of the expense limitation agreement.

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

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Notes to Financial Statements – continued

September 30, 2017

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

Pursuant to Rule 12b-1 under the 1940 Act, the Trust has adopted Distribution Plans relating to the Fund’s Retail Class shares (the “Retail Class Plan”) and Admin Class shares (the “Admin Class Plan”).

Under the Retail Class Plan, the Fund pays Natixis 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 Natixis Distribution in connection with the marketing or sale of Retail Class shares or for payments made by Natixis 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 Natixis 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 Natixis Distribution in connection with the marketing or sale of Admin Class shares or for payments made by Natixis 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 Natixis Distribution an administrative service fee, at an annual rate not to exceed 0.25% of the average daily net assets attributable to Admin Class shares. These fees are subsequently paid to securities dealers or financial intermediaries for providing personal services and/or account maintenance for their customers who hold such shares.

For the year ended September 30, 2017, the service and distribution fees for the Fund were as follows:


Service Fees	Distribution Fees
Admin Class	Retail Class	Admin Class
$438,819	$9,612,436	$438,819

c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Fund and contracts with State Street Bank to serve as sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, the Fund pays Natixis Advisors monthly its pro rata portion of

| 52

Notes to Financial Statements – continued

September 30, 2017

fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2017, the administrative fees for the Fund were $6,202,921.

d. Sub-Transfer Agent Fees. Natixis 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 Natixis Distribution for all or a portion of the servicing fees paid to these intermediaries. The reimbursement amounts (sub-transfer agent fees) paid to Natixis Distribution are subject to a current per-account equivalent fee limit approved by the Fund’s Board of Trustees, which is based on fees for similar services paid to the Fund’s transfer agent and other service providers. Class N shares do not bear such expenses.

For the year ended September 30, 2017, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statement of Operations) for the Fund were $9,574,009.

As of September 30, 2017, the Fund owes Natixis Distribution $118,679 in reimbursements for sub-transfer agent fees (which are reflected in the Statement of Assets and Liabilities as payable to distributor).

e. Trustees Fees and Expenses. The Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis 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

53 |

Notes to Financial Statements – continued

September 30, 2017

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, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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

f. Affiliated Ownership. As of September 30, 2017, Loomis Sayles Funded Pension Plan and Trust and Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of the Fund representing 0.07% and 0.25% 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. 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.

For the year ended September 30, 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
$7,068,285	$2,804,468	$127,977	$4,775

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Notes to Financial Statements – continued

September 30, 2017

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 0.15% per annum, payable on the last business day of each month, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statement of Operations. The unamortized balance is reflected as prepaid expenses on the Statement of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the year ended September 30, 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:


	Year Ended September 30, 2017						Year Ended September 30, 2016
Institutional Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		140,116,763		$	1,958,708,238			160,180,222		$	2,127,904,277
Issued in connection with the reinvestment of distributions		26,172,060			361,992,329			47,619,624			617,686,160
Redeemed		(196,734,546	)		(2,741,442,227	)		(442,133,934	)		(5,869,449,395	)

Net change		(30,445,723	)	$	(420,741,660	)		(234,334,088	)	$	(3,123,858,958	)

55 |

Notes to Financial Statements – continued

September 30, 2017

9. Capital Shares – continued.


	Year Ended September 30, 2017						Year Ended September 30, 2016
Retail Class	Shares			Amount			Shares			Amount
Issued from the sale of shares		30,406,376		$	422,446,842			42,787,867		$	566,015,340
Issued in connection with the reinvestment of distributions		10,735,989			147,565,410			23,387,521			301,525,815
Redeemed		(116,977,494	)		(1,624,262,086	)		(205,716,845	)		(2,732,824,450	)

Net change		(75,835,129	)	$	(1,054,249,834	)		(139,541,457	)	$	(1,865,283,295	)

Admin Class
Issued from the sale of shares		2,361,177		$	32,664,519			2,197,113		$	29,050,927
Issued in connection with the reinvestment of distributions		450,900			6,173,600			903,959			11,602,619
Redeemed		(4,129,911	)		(57,113,542	)		(7,399,879	)		(98,569,951	)

Net change		(1,317,834	)	$	(18,275,423	)		(4,298,807	)	$	(57,916,405	)

Class N
Issued from the sale of shares		10,822,314		$	150,938,798			3,139,426		$	41,893,559
Issued in connection with the reinvestment of distributions		530,086			7,343,290			413,778			5,369,820
Redeemed		(3,730,740	)		(52,101,510	)		(1,707,652	)		(22,882,253	)

Net change		7,621,660		$	106,180,578			1,845,552		$	24,381,126

Increase (decrease) from capital share transactions		(99,977,026	)	$	(1,387,086,339	)		(376,328,800	)	$	(5,022,677,532	)

| 56

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds I and Shareholders of Loomis Sayles Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the portfolio of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Bond Fund, a series of Loomis Sayles Funds I, (the “Fund”) as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2017

57 |

2017 U.S. Tax Distribution Information to Shareholders (Unaudited)

Corporate Dividends Received Deduction. For the fiscal year ended September 30, 2017, 13.91% of dividends distributed by Bond Fund qualify for the dividends received deduction for corporate shareholders.

Capital Gains Distributions. Pursuant to Internal Revenue Section 852(b), the Bond Fund designated $140,938,092 as capital gains distributions for the fiscal year ended September 30, 2017, unless subsequently determined to be different.

Qualified Dividend Income. For the fiscal year ended September 30, 2017, the Bond Fund will designate up to the maximum amount allowable pursuant to the Internal Revenue Code as qualified dividend income eligible for reduced tax rates. These lower rates range from 0% to 20% depending on an individual’s tax bracket. If the Fund pays a distribution during calendar year 2017, complete information will be reported in conjunction with Form 1099-DIV.

| 58

Trustee and Officer Information

As of 9/30/17

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I (the “Trust”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Fund’s Statement of Additional Information include additional information about the trustees of the Trust and is available by calling Loomis Sayles Funds at 800-633-3330.


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

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

59 |

Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell³ (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	53 None	Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

| 60

Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Sandra O. Moose (1942)	Trustee since 2003 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

61 |

Trustee and Officer Information – continued


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

INDEPENDENT TRUSTEES – continued

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

INTERESTED TRUSTEES

Kevin P. Charleston⁴ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁵ (1965)	Trustee since 2011 Executive Vice President since 2008	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	53 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution, L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

³	Ms. Mitchell was appointed as a Trustee effective July 1, 2017.

⁴	Mr. Charleston is deemed an “interested person” of the Trust because he holds the following positions with an affiliated person of the Trust: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁵

| 62

Trustee and Officer Information – continued


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

OFFICERS OF THE TRUST

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

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

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

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

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

63 |

LOOMIS FUNDS

Supplement dated June 30, 2017 to the Loomis Funds Summary Prospectuses, dated February 1, 2017, as may be revised or supplemented from time to time, for the following funds:


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Retail Class Shares

Retail Class shares of the Fund are subject to a minimum initial investment of $2,500 and a minimum subsequent investment of $50.

There is no initial or subsequent investment minimum for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Institutional Class Shares

This page not part of shareholder report

| 64

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Institutional Class shares of a Fund below the stated minimums.


Loomis Sayles Bond Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund

Class N Shares

This page not part of shareholder report

65 |

LOOMIS SAYLES BOND FUND

LOOMIS SAYLES SMALL CAP VALUE FUND

Admin Class Shares


Loomis Sayles Bond Fund		Loomis Sayles Institutional High Income Fund
Loomis Sayles Core Disciplined Alpha Bond Fund		Loomis Sayles Investment Grade Fixed Income Fund
Loomis Sayles Fixed Income Fund		Loomis Sayles Small Cap Growth Fund
Loomis Sayles Global Bond Fund		Loomis Sayles Small Cap Value Fund
Loomis Sayles Inflation Protected Securities Fund		Loomis Sayles Small/Mid Cap Growth Fund

Effective July 1, 2017, the first sentence in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

The following information shows the investment minimum for various types of accounts:

Effective July 1, 2017, the following is added to the section “Purchase and Sale of Fund Shares” in each Fund’s Summary:

Effective July 1, 2017, the last paragraph in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is amended and restated as follows:

This page not part of shareholder report

| 66

ANNUAL REPORT

September 30, 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 23

Financial Statements page 63

Notes to Financial Statements page 79

Shareholder Supplement enclosed

(previously

posted to the Funds’ website)

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.

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets like high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

1 |

posted broadly positive returns for the full period. The sector benefited from the weakening US dollar, a rebound in corporate profits, and improving emerging market GDP growth.

Portfolio Review

For the 12 months ended September 30, 2017, Class Y shares of Loomis Sayles High Income Fund returned 8.47% at net asset value. The Fund underperformed its benchmark, the Bloomberg Barclays U.S. Corporate High-Yield Bond Index, which returned 8.88%.

Explanation of Fund Performance

Security selection within high yield corporate credit was a leading contributor to results, with positive contributions from energy, metals and mining, and pharmaceuticals names. An out-of-benchmark allocation to convertible securities also contributed to performance, led by pharmaceutical and technology holdings. In addition, security selection among securitized assets aided results. Finally, an out-of-benchmark allocation to investment grade corporate bonds generated positive return.

The Fund’s out-of-benchmark exposure to equities was the most significant detractor from performance. Selected energy-related equity holdings were among the biggest laggards. An allocation to reserves (typically cash, cash equivalents and short-dated US Treasuries) also weighed on performance.

Outlook

Within the high yield sector, we believe valuations have become less compelling, and we do not expect broad-based price appreciation from current levels. The underlying fundamentals of the sector remain supportive given the positive outlook for corporate profits and the low probability of defaults or economic recession. At this stage of the credit cycle¹, we are seeing increasing debt levels, but overall, balance sheets remain healthy and interest rate coverage is strong. We are watching for idiosyncratic risk factors or volatility that may allow us to selectively add to existing positions or establish exposure to new issues. In general, we are focusing on undervalued issues and looking for areas where we can move up in quality.

| 2

LOOMIS SAYLES HIGH INCOME FUND

driven by anticipated central bank action, election cycles, geopolitical risks and trade policy uncertainty. In the current global growth environment, the US dollar is likely to be range bound and it may trend lower over the near term.

Looking ahead, our investment themes are centered on broadening portfolio diversification, generating income, lowering duration and reducing overall interest rate sensitivity. In terms of asset allocation, the Fund is structurally very different from the benchmark and is well-positioned going into the Fund’s next fiscal year, in our view. We are also comfortable keeping a larger allocation to reserve-type positions, and we will patiently monitor market developments for better buying opportunities where we feel we can add long-term value for our investors.

During periods in which the US dollar appreciates relative to foreign currencies, funds that hold non-US-dollar-denominated bonds may realize currency losses in connection with the maturity or sale of certain bonds. These losses impact a fund’s ordinary income distributions (to the extent that losses are not offset by realized currency gains within the fund’s fiscal year). A recognized currency loss, in accordance with federal tax rules, decreases the amount of ordinary income a fund has available to distribute, even though these bonds continue to generate coupon income.

Fund officers have analyzed the Fund’s current portfolio of investments, its schedule of maturities and the corresponding amounts of unrealized currency losses that may become realized in the fiscal year ending on September 30, 2018. Based on this analysis, Fund officers believe that realized currency losses may have less of an impact on this Fund’s distributions in the 2018 fiscal year. This analysis is based on certain assumptions, including but not limited to the level of foreign currency exchange rates, security prices, interest rates, fund advisors’ ability to manage realized currency losses and the net asset level of the Fund. Changes to these assumptions could materially impact the analysis and the amounts of future Fund distributions. Fund officers will continue to monitor on a regular basis and take the necessary actions required to manage the Fund’s distributions to address realized currency losses while seeking to avoid a return of capital distribution.

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

3 |

Hypothetical Growth of $100,000 Investment in Class Y Shares^1,4

September 30, 2007 through September 30, 2017

LOGO

See notes to chart on page 5.

| 4

LOOMIS SAYLES HIGH INCOME FUND

Average Annual Total Returns — September 30, 2017⁴


													Expense Ratios⁵
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 2/29/08)¹
NAV		8.47	%		5.89	%		6.62	%		—	%		0.89	%		0.80	%

Class A (Inception 2/22/84)
NAV		8.17			5.60			6.38			—			1.14			1.05
With 4.25% Maximum Sales Charge		3.52			4.71			5.91			—

Class C (Inception 3/2/98)
NAV		7.33			4.80			5.59			—			1.89			1.80
With CDSC²		6.33			4.80			5.59			—

Class N (Inception 11/30/16)
NAV		—			—			—			8.99			0.77			0.75

Comparative Performance
Bloomberg Barclays U.S. Corporate High-Yield Bond Index³		8.88			6.36			7.84			5.37

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 im.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, and reflects 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.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 1/31/19. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

5 |

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND


Managers		Symbols
Christopher T. Harms		Class A�� LSDRX
Clifton V. Rowe, CFA^®		Class C LSCDX
Kurt L. Wagner, CFA^®, CIC		Class Y LSDIX

Investment Goal

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

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates on December 14, 2016, March 15, 2017 and June 14, 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets such as high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

High yield credit was a leading asset class throughout the period, benefiting from the “risk-on” environment and the search for yield. Improving corporate profits around the globe provided an additional tailwind to the sector.

Securitized credit assets generated positive total returns and outperformed duration-matched Treasuries. In September 2017, volatility remained muted after the Fed announced it would start tapering mortgage-backed security (MBS) reinvestments in October 2017; the move had been well telegraphed and was largely expected.

| 6

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Performance Results

For the 12 months ended September 30, 2017, Class Y shares of Loomis Sayles Intermediate Duration Bond Fund returned 0.69% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index, which returned 0.23%.

Explanation of Fund Performance

Overall, the Fund’s tilt away from risk-free assets and into spread sectors (non-government sectors) contributed the most to performance. A meaningful underweight to US Treasuries proved to help performance as much as the Fund’s overweight to investment grade corporate bonds.

Within investment grade corporate bonds, the Fund’s overweight to financials and security selection within industrial bonds drove performance during the period.

The Fund’s exposure to non-agency securitized credit contributed to absolute return during the period and had a significant impact on relative performance. Holdings of asset-backed securities (ABS) proved to be a positive contributor to relative return, and our allocation to commercial mortgage-backed securities (CMBS) also generated positive relative results.

The Fund’s underweight exposure to government-related securities detracted slightly from relative performance. While the Fund’s interest-rate sensitivity was similar to the benchmark during a period of rising interest rates, differences in the Fund’s interest rate sensitivity at various points on the yield curve slightly weighed on relative return.

Outlook

We believe that the Fed will tighten monetary conditions in a gradual and measured way as aggregate demand remains healthy, with the third hike of 2017 coming in December. The Fed began balance sheet reductions in October. We expect the market reaction to this activity to remain contained, given the well-telegraphed taper “caps” on both US Treasuries and MBS.

Corporate fundamentals have continued to indicate the United States is in the late expansion phase of the credit cycle,¹ with slowing margin growth, increased mergers and acquisitions and rising leverage. Our view is that the cycle will continue to evolve slowly. The Trump administration may implement fiscal programs and tax reforms that could support asset classes like credit, although any impact is likely a 2018 event.

Any reductions in corporate borrowing may preserve balance sheet health, promoting tighter credit spreads (the difference in yield between non-Treasury and Treasury yields of similar maturity) and lower default rates. While valuations may not be as attractive as they were last year, we continue to favor investment grade credit. We believe the primary risks to the credit markets include the pace of global growth, the timing of Fed tightening, shareholder-friendly activity and commodity price volatility.

We remain underweight government bonds given low yields and continue to favor sectors offering a yield advantage over Treasuries. We continue to be modestly overweight credit.

7 |

We are focused on security selection opportunities, buying new issues with concessions and secondary bonds that can offer favorable risk-return profiles.

We believe valuations in CMBS are fair. We continue to maintain an overweight to the sector, particularly senior parts of the capital stack. We think many areas of the MBS market appear overvalued and do not adequately compensate for prepayment risk. We are focused on securities with limited prepayment risk. The high-quality ABS sector remains attractive relative to government bonds. We are maintaining our exposure to the consumer through prime and subprime auto loans and credit card receivables.

The Fund continues to have a yield advantage and exposure to more credit-sensitive sectors relative to the benchmark. Finally, we continue to monitor and diversify our portfolios and holdings with an eye toward minimizing undue exposure to macro and/or issuer events.

¹	A credit cycle is a cyclical pattern that follows credit availability and corporate health.

Hypothetical Growth of $100,000 Investment in Class Y Shares^1,4,5

September 30, 2007 through September 30, 2017

LOGO

See notes to chart on page 9.

| 8

LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND

Average Annual Total Returns — September 30, 2017^4,5



										Expense Ratios⁶
	1 Year			5 Years			10 Years			Gross			Net

Class Y (Inception 1/28/98)¹
NAV		0.69	%		2.05	%		4.56	%		0.47	%		0.40	%

Class A (Inception 5/28/10)¹
NAV		0.44			1.79			4.30			0.72			0.65
With 4.25% Maximum Sales Charge		-3.86			0.91			3.85

Class C (Inception 8/31/16)¹
NAV		-0.29			1.01			3.37			1.56			1.40
With CDSC²		-1.27			1.01			3.37

Comparative Performance
Bloomberg Barclays U.S. Intermediate Government/Credit Bond Index³		0.23			1.61			3.64

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 im.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.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 1/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

9 |

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.

Market Conditions

Following the November 2016 US presidential election, investors expected less accommodative US monetary policy and pro-business reform. These expectations drove the US dollar and equities higher, and weighed on many fixed income assets as the US Treasury yield curve steepened (a curve that shows the relationship among bond yields across the maturity spectrum). The Federal Reserve (Fed) raised interest rates in December 2016 and in March and June 2017; investors took the increases in stride as a number of developments supported fixed income market performance through the rest of the period. The yield curve flattened out, the US dollar declined, global growth strengthened and corporate profits rebounded. Government bond yields remained low, driving investors into riskier assets such as high yield credit and emerging markets. As a result, nearly all asset classes posted positive returns for the full period.

Securitized credit assets generated positive total returns and outperformed duration-matched Treasuries (duration refers to a security’s price sensitivity to interest rate changes). In September 2017, volatility remained muted after the Fed announced it would start tapering its mortgage-backed security (MBS) reinvestments in October 2017; the move had been well telegraphed and was largely expected.

Performance Results

For the 12 months ended September 30, 2017, Class Y shares of Loomis Sayles Limited Term Government and Agency Fund returned 0.22% at net asset value. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. 1–5 Year Government Bond Index, which returned -0.06%.

Explanation of Fund Performance

Within securitized assets, a significant allocation to agency collateralized mortgage obligations (CMOs) made the largest positive contribution to relative performance. Agency

| 10

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

MBS was another one of the Fund’s larger allocations over the 12 months. These securities helped performance but to a lesser degree than CMO securities.

The Fund’s allocation to agency and non-agency commercial mortgage-backed securities (CMBS) generated positive absolute and relative performance. These bonds considerably outperformed Treasuries of comparable duration. Out-of-benchmark exposure to asset-backed securities (ABS) also boosted relative performance as selected car loan names performed particularly well.

Conversely, an underweight allocation to bonds issued by federal government agencies slightly detracted from performance for the period.

Outlook

Agency MBS spreads (the difference in yield between agency MBS and Treasuries of similar maturity) are narrow relative to history. Additionally, refinancing risk is beginning to increase, as mortgages issued in recent years are of relatively high quality compared with those issued in earlier years. Therefore, we favor an underweight to recently issued 30-year MBS and prefer sectors less likely to face refinancing risk, such as low loan balance mortgages and home equity conversion mortgages.

Within the commercial real estate sector, top-tier assets and markets have generally recovered and are at or above prior peak levels. We believe investment grade CMBS remain attractive.

We believe ABS currently offer an attractive combination of strong credit quality and enhanced yield. We favor higher yielding securities and bonds of less frequent issuers. Our analysis indicates the credit risk of these securities is inefficiently priced and they offer potentially attractive opportunities for additional yield.

11 |

Hypothetical Growth of $100,000 Investment in Class Y Shares³

September 30, 2007 through September 30, 2017

LOGO

See notes to chart on page 13.

| 12

LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND

Average Annual Total Returns — September 30, 2017³


													Expense Ratios⁴
	1 Year			5 Years			10 Years			Life of Class N			Gross			Net

Class Y (Inception 3/31/94)
NAV		0.22	%		0.81	%		3.01	%		—	%		0.52	%		0.52	%

Class A (Inception 1/3/89)
NAV		-0.04			0.55			2.74			—			0.77			0.77
With 2.25% Maximum Sales Charge		-2.25			0.09			2.51			—

Class C (Inception 12/30/94)
NAV		-0.79			-0.20			1.99			—			1.52			1.52
With CDSC¹		-1.77			-0.20			1.99			—

Class N (Inception 2/1/17)
NAV		—			—			—			1.12			0.44			0.44

Comparative Performance
Bloomberg Barclays U.S. 1-5 Year Government Bond Index²		-0.06			0.83			2.38			0.94

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 im.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.

Expense ratios are as shown in the Fund’s prospectus in effect as of the date of this report. The expense ratios for the current reporting period can be found in the Financial Highlights section of this report under Ratios to Average Net Assets. Net expenses reflect contractual expense caps set to expire on 1/31/18. When a Fund’s expenses are below the cap, gross and net expense ratios will be the same. See Note 6 of the Notes to Financial Statements for more information about the Fund’s expense caps.

13 |

ADDITIONAL INFORMATION

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

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

ADDITIONAL INDEX INFORMATION

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 im.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.

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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 April 1, 2017 through September 30, 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.

15 |


LOOMIS SAYLES HIGH INCOME FUND	BEGINNING ACCOUNT VALUE 4/1/2017		ENDING ACCOUNT VALUE 9/30/2017		EXPENSES PAID DURING PERIOD* 4/1/2017 – 9/30/2017
Class A
Actual		$1,000.00		$1,037.20		$5.52
Hypothetical (5% return before expenses)		$1,000.00		$1,019.65		$5.47
Class C
Actual		$1,000.00		$1,033.20		$9.33
Hypothetical (5% return before expenses)		$1,000.00		$1,015.89		$9.25
Class N
Actual		$1,000.00		$1,038.80		$3.88
Hypothetical (5% return before expenses)		$1,000.00		$1,021.26		$3.85
Class Y
Actual		$1,000.00		$1,038.60		$4.19
Hypothetical (5% return before expenses)		$1,000.00		$1,020.96		$4.15

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 1.08%, 1.83%, 0.76% and 0.82% 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 (183), divided by 365 (to reflect the half-year period).


LOOMIS SAYLES INTERMEDIATE DURATION BOND FUND	BEGINNING ACCOUNT VALUE 4/1/2017		ENDING ACCOUNT VALUE 9/30/2017		EXPENSES PAID DURING PERIOD* 4/1/2017 – 9/30/2017
Class A
Actual		$1,000.00		$1,015.70		$3.28
Hypothetical (5% return before expenses)		$1,000.00		$1,021.81		$3.29
Class C
Actual		$1,000.00		$1,012.80		$7.06
Hypothetical (5% return before expenses)		$1,000.00		$1,018.05		$7.08
Class Y
Actual		$1,000.00		$1,017.90		$2.02
Hypothetical (5% return before expenses)		$1,000.00		$1,023.06		$2.03

Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.65%, 1.40% and 0.40% for Class A, C and Y, respectively, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), divided by 365 (to reflect the half-year period).

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LOOMIS SAYLES LIMITED TERM GOVERNMENT AND AGENCY FUND	BEGINNING ACCOUNT VALUE 4/1/2017		ENDING ACCOUNT VALUE 9/30/2017		EXPENSES PAID DURING PERIOD* 4/1/2017 – 9/30/2017
Class A
Actual		$1,000.00		$1,005.60		$4.02
Hypothetical (5% return before expenses)		$1,000.00		$1,021.06		$4.05
Class C
Actual		$1,000.00		$1,001.80		$7.78
Hypothetical (5% return before expenses)		$1,000.00		$1,017.30		$7.84
Class N
Actual		$1,000.00		$1,008.20		$2.32
Hypothetical (5% return before expenses)		$1,000.00		$1,022.76		$2.33
Class Y
Actual		$1,000.00		$1,007.70		$2.77
Hypothetical (5% return before expenses)		$1,000.00		$1,022.31		$2.79

Hypothetical expenses are equal to the Fund’s annualized expense ratio: 0.80%, 1.55%, 0.46% 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 (183), divided by 365 (to reflect the half-year period).

17 |

BOARD APPROVAL OF THE EXISTING ADVISORY AGREEMENTS

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

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

19 |

The Board noted that, through December 31, 2016, each Fund’s one- and three-year performance stated as percentile rankings within categories selected by the independent third-party data provider was as follows (where the best performance would be in the first percentile of its category):


	One-Year			Three-Year
Loomis Sayles High Income Fund		33	%		39	%
Loomis Sayles Intermediate Duration Bond Fund		70	%		81	%
Loomis Sayles Limited Term Government and Agency Fund		29	%		21	%

In the case of Loomis Sayles Intermediate Duration Bond Fund, which had performance that lagged that of a relevant peer group median and/or category median for all periods, the Board concluded that other factors relevant to performance supported renewal of the Agreements. These factors included the following: (1) that the underperformance was attributable, to a significant extent, to investment decisions (such as security selection or sector allocation) by the Adviser that were reasonable and consistent with the Fund’s investment objective and policies; and (2) that the Fund’s more recent performance, although lagging in certain periods, had shown improvement relative to its category.

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the fund family. They noted that the Funds in this report have expense caps in place, and they considered the amounts waived or reimbursed by the Adviser for certain Funds that had current expenses over their respective caps. The Trustees also considered that the current expenses of Loomis Sayles Limited Term Government and Agency Fund are below its cap. The Trustees noted that Loomis Sayles High Income Fund had a total advisory fee rate that was above the median of a peer group of funds. In this regard, the Trustees considered the factors that management believed justified such relatively higher advisory fee rate, including: (1) that the Fund’s fee rate was only one basis point above the median of the Fund’s peer group; and (2) that management had proposed to reduce the Fund’s expense cap.

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

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

21 |

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

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

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

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Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund


Principal Amount (‡)		Description	Value (†)
	Bonds and Notes — 90.4% of Net Assets
	Non-Convertible Bonds — 81.6%
		ABS Home Equity — 1.5%
$	101,145	Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033	$	103,069
	106,380	Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035		111,931
	84,577	Banc of America Funding Trust, Series 2007-4, Class 5A1, 5.500%, 11/25/2034		86,455
	29,479	Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 3.294%, 11/20/2035(k)		27,040
	218,880	DSLA Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, 1-month LIBOR + 0.330%, 1.567%, 9/19/2045(a)		179,078
	250,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 1-month LIBOR + 4.250%, 5.487%, 11/25/2023(a)		275,001
	305,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M3, 1-month LIBOR + 3.300%, 4.537%, 10/25/2027(a)		338,190
	151,491	GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 4.002%, 7/19/2035(k)		146,751
	267,307	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 3.422%, 3/25/2035(k)		262,898
	303,384	MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 4A1, 3.294%, 3/25/2035(k)		286,590
	58,608	New York Mortgage Trust, Series 2006-1, Class 2A2, 3.616%, 5/25/2036(k)		57,257
	100,000	RCO Mortgage LLC, Series 2017-1, Class A2, 5.125%, 8/25/2022, 144A(k)		99,954
	470,000	VOLT LVI LLC, Series 2017-NPL3, Class A2, 5.875%, 3/25/2047, 144A(k)		473,477
	220,000	VOLT XL LLC, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(k)		220,501

				2,668,192

		ABS Other — 0.1%
	252,798	AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(k)		249,289

		Aerospace & Defense — 2.2%
	210,000	Embraer Netherlands Finance BV, 5.050%, 6/15/2025		222,862
	95,000	Engility Corp., 8.875%, 9/01/2024		104,263
	770,000	KLX, Inc., 5.875%, 12/01/2022, 144A		806,729
	1,500,000	Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A		1,695,000
	900,000	Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A		1,100,250

				3,929,104

		Airlines — 0.4%
	535,000	Latam Finance Ltd., 6.875%, 4/11/2024, 144A		565,762
	57,504	Virgin Australia Pass Through Certificates, Series 2013-1B, 6.000%, 4/23/2022, 144A		59,653
	69,937	Virgin Australia Pass Through Certificates, Series 2013-1C, 7.125%, 10/23/2018, 144A		72,017

				697,432

See accompanying notes to financial statements.

23 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Automotive — 1.2%
$	645,000	Allison Transmission, Inc., 4.750%, 10/01/2027, 144A	$	649,837
	195,000	Allison Transmission, Inc., 5.000%, 10/01/2024, 144A		202,381
	285,000	Dana Financing Luxembourg S.a.r.l., 5.750%, 4/15/2025, 144A		300,497
	115,000	Goodyear Tire & Rubber Co. (The), 5.000%, 5/31/2026		119,888
	240,000	Goodyear Tire & Rubber Co. (The), 5.125%, 11/15/2023		251,100
	670,000	Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A		678,375

				2,202,078

		Banking — 4.3%
	1,985,000	Ally Financial, Inc., 4.625%, 3/30/2025		2,081,769
	485,000	Ally Financial, Inc., 5.750%, 11/20/2025		525,837
	6,605,000	Banco Hipotecario S.A., Argentina Deposit Rates Badlar Pvt Banks + 2.500%, 22.479%, 1/12/2020, 144A, (ARS)(a)		374,796
	2,855,000	Banco Macro S.A., 17.500%, 5/08/2022, 144A, (ARS)		156,884
	7,075,000	Banco Supervielle S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.500%, 25.042%, 8/09/2020, 144A, (ARS)(a)		413,768
	1,280,000	Barclays PLC, 5.200%, 5/12/2026		1,366,597
	1,195,000	Commerzbank AG, 8.125%, 9/19/2023, 144A		1,448,758
	470,000	Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A		477,803
	895,000	Intesa Sanpaolo SpA, 5.710%, 1/15/2026, 144A		943,212

				7,789,424

		Brokerage — 0.3%
	535,000	Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A		537,675

		Building Materials — 0.8%
	230,000	Cemex SAB de CV, 5.700%, 1/11/2025, 144A		245,180
	350,000	Cemex SAB de CV, 7.750%, 4/16/2026, 144A		402,150
	50,000	Masco Corp., 6.500%, 8/15/2032		59,625
	161,000	Masco Corp., 7.750%, 8/01/2029		212,004
	245,000	NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A		262,762
	180,000	U.S. Concrete, Inc., 6.375%, 6/01/2024		193,950

				1,375,671

		Cable Satellite — 6.8%
	795,000	Altice Financing S.A., 6.625%, 2/15/2023, 144A		842,700
	475,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023		490,438
	625,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A		650,781
	430,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022		442,900
	15,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024		15,581
	865,000	CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 2/15/2026, 144A		906,952
	760,000	CSC Holdings LLC, 5.250%, 6/01/2024		768,550
	600,000	CSC Holdings LLC, 5.500%, 4/15/2027, 144A		624,000
	75,000	CSC Holdings LLC, 6.750%, 11/15/2021		82,875
	220,000	CSC Holdings LLC, 10.125%, 1/15/2023, 144A		253,825
	895,000	DISH DBS Corp., 5.125%, 5/01/2020		938,363
	1,620,000	DISH DBS Corp., 5.875%, 11/15/2024		1,697,962
	295,000	DISH DBS Corp., 7.750%, 7/01/2026		338,710

See accompanying notes to financial statements.

| 24

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Cable Satellite — continued
$	355,000	Sirius XM Radio, Inc., 5.000%, 8/01/2027, 144A	$	362,100
	1,485,000	Unitymedia GmbH, 6.125%, 1/15/2025, 144A		1,583,381
	265,000	Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A		278,581
	485,000	Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A		506,219
	375,000	Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A		394,219
	141,963	Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(b)		142,318
	840,000	Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A		860,740

				12,181,195

		Chemicals — 0.8%
	1,510,000	Hercules LLC, 6.500%, 6/30/2029(c)(d)		1,517,550

		Construction Machinery — 1.1%
	225,000	Ashtead Capital, Inc., 4.125%, 8/15/2025, 144A		231,750
	235,000	Ashtead Capital, Inc., 4.375%, 8/15/2027, 144A		242,050
	615,000	United Rentals North America, Inc., 4.625%, 10/15/2025		622,687
	15,000	United Rentals North America, Inc., 5.500%, 5/15/2027		15,994
	800,000	United Rentals North America, Inc., 5.750%, 11/15/2024		849,000

				1,961,481

		Consumer Cyclical Services — 0.7%
	1,095,000	ServiceMaster Co. LLC (The), 7.450%, 8/15/2027		1,196,287

		Consumer Products — 0.2%
	290,000	Avon International Operations, Inc., 7.875%, 8/15/2022, 144A		300,875

		Electric — 1.6%
	125,000	AES Corp., 5.125%, 9/01/2027		128,125
	520,000	AES Corp. (The), 5.500%, 4/15/2025		546,952
	150,000	AES Corp. (The), 6.000%, 5/15/2026		161,438
	1,502,000	Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A		1,819,297
	245,000	Minejesa Capital BV, 4.625%, 8/10/2030, 144A		250,147

				2,905,959

		Environmental — 0.1%
	100,000	GFL Environmental, Inc., 5.625%, 5/01/2022, 144A		104,000
	95,000	GFL Environmental, Inc., 9.875%, 2/01/2021, 144A		101,449

				205,449

		Finance Companies — 3.9%
	1,055,000	Aircastle Ltd., 4.125%, 5/01/2024		1,091,925
	515,000	Aircastle Ltd., 5.500%, 2/15/2022		562,637
	600,000	iStar, Inc., 4.000%, 11/01/2017		600,480
	120,000	iStar, Inc., 4.625%, 9/15/2020		122,700
	505,000	iStar, Inc., 5.000%, 7/01/2019		511,628
	395,000	iStar, Inc., 5.250%, 9/15/2022		400,925
	720,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.250%, 10/01/2025, 144A		713,254
	255,000	Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A		260,738

See accompanying notes to financial statements.

25 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Finance Companies — continued
$	315,000	Provident Funding Associates LP/PFG Finance Corp., 6.375%, 6/15/2025, 144A	$	330,750
	710,000	Quicken Loans, Inc., 5.750%, 5/01/2025, 144A		745,500
	1,110,000	Springleaf Finance Corp., 7.750%, 10/01/2021		1,253,967
	405,000	Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A		420,993

				7,015,497

		Financial Other — 0.9%
	565,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp, 6.000%, 8/01/2020		583,052
	180,000	Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022		185,400
	804,000	Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A		810,030

				1,578,482

		Food & Beverage — 1.8%
	200,000	BRF GmbH, 4.350%, 9/29/2026, 144A		196,010
	840,000	Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A		911,786
	330,000	JBS USA LUX S.A./JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A		328,763
	255,000	JBS USA LUX S.A./JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A		260,100
	385,000	Marfrig Holdings Europe BV, 8.000%, 6/08/2023, 144A		399,049
	260,000	Pilgrim’s Pride Corp., 5.875%, 9/30/2027, 144A		265,525
	830,000	Post Holdings, Inc., 5.750%, 3/01/2027, 144A		854,900

				3,216,133

		Gaming — 0.9%
	175,000	Boyd Gaming Corp., 6.375%, 4/01/2026		190,969
	375,000	GLP Capital LP/GLP Financing II, Inc., 5.375%, 4/15/2026		409,219
	210,000	MGM Growth Properties Operating Partnership LP/MGP Finance Co., 4.500%, 1/15/2028, 144A		211,848
	725,000	MGM Resorts International, 6.000%, 3/15/2023		799,312

				1,611,348

		Government Owned – No Guarantee — 3.0%
	740,000	Petrobras Global Finance BV, 5.625%, 5/20/2043		660,450
	1,160,000	Petrobras Global Finance BV, 5.999%, 1/27/2028, 144A		1,159,130
	165,000	Petrobras Global Finance BV, 6.250%, 3/17/2024		176,303
	50,000	Petrobras Global Finance BV, 6.750%, 1/27/2041		49,750
	160,000	Petrobras Global Finance BV, 6.875%, 1/20/2040		162,000
	405,000	Petrobras Global Finance BV, 7.250%, 3/17/2044		421,706
	160,521(††)	Petroleos Mexicanos, 7.190%, 9/12/2024, 144A, (MXN)		805,690
	129,850(††)	Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN)		646,141
	710,000	YPF S.A., 6.950%, 7/21/2027, 144A		752,600
	510,000	YPF S.A., Argentina Deposit Rates Badlar Pvt Banks + 4.000%, 24.104%, 7/07/2020, 144A(a)		482,010

				5,315,780

		Health Insurance — 0.2%
	365,000	Centene Corp., 6.125%, 2/15/2024		394,656

See accompanying notes to financial statements.

| 26

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Healthcare — 5.0%
$	235,000	CHS/Community Health Systems, Inc., 6.250%, 3/31/2023	$	230,888
	960,000	CHS/Community Health Systems, Inc., 6.875%, 2/01/2022		753,600
	360,000	Envision Healthcare Corp., 5.625%, 7/15/2022		375,300
	155,000	HCA, Inc., 4.500%, 2/15/2027		158,488
	25,000	HCA, Inc., 5.250%, 4/15/2025		27,031
	90,000	HCA, Inc., 5.250%, 6/15/2026		96,975
	260,000	HCA, Inc., 5.375%, 2/01/2025		273,975
	170,000	HCA, Inc., 7.050%, 12/01/2027		191,675
	655,000	HCA, Inc., 7.500%, 12/15/2023		763,075
	145,000	HCA, Inc., 7.500%, 11/06/2033		164,575
	590,000	HCA, Inc., 7.690%, 6/15/2025		685,875
	480,000	HCA, Inc., 8.360%, 4/15/2024		576,000
	820,000	HCA, Inc., MTN, 7.580%, 9/15/2025		947,100
	515,000	HCA, Inc., MTN, 7.750%, 7/15/2036		585,812
	865,000	MEDNAX, Inc., 5.250%, 12/01/2023, 144A		906,087
	200,000	Quintiles IMS, Inc., 5.000%, 10/15/2026, 144A		212,000
	555,000	SP Finco LLC, 6.750%, 7/01/2025, 144A		521,700
	390,000	Tenet Healthcare Corp., 5.125%, 5/01/2025, 144A		384,638
	180,000	Tenet Healthcare Corp., 6.875%, 11/15/2031		157,500
	830,000	Tenet Healthcare Corp., 7.500%, 1/01/2022, 144A		878,762

				8,891,056

		Home Construction — 2.0%
	1,200,000	Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(c)(e)(f)(g)		12
	750,000	K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021(c)(d)		674,115
	800,000	Lennar Corp., 4.750%, 5/30/2025		836,000
	1,130,000	PulteGroup, Inc., 5.500%, 3/01/2026		1,232,152
	915,000	TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 4.375%, 6/15/2019		934,444

				3,676,723

		Independent Energy — 8.3%
	335,000	Aker BP ASA, 6.000%, 7/01/2022, 144A		348,400
	1,205,000	Antero Resources Corp., 5.125%, 12/01/2022		1,232,112
	110,000	Antero Resources Corp., 5.375%, 11/01/2021		112,888
	310,000	Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.000%, 4/01/2022, 144A		332,475
	685,000	Baytex Energy Corp., 5.625%, 6/01/2024, 144A		621,637
	90,000	California Resources Corp., 5.500%, 9/15/2021		47,925
	41,000	California Resources Corp., 6.000%, 11/15/2024		18,655
	460,000	California Resources Corp., 8.000%, 12/15/2022, 144A		299,000
	140,000	Callon Petroleum Co., 6.125%, 10/01/2024		144,900
	153,000	Chesapeake Energy Corp., 4.875%, 4/15/2022		142,290
	8,000	Chesapeake Energy Corp., 5.750%, 3/15/2023		7,380
	13,000	Chesapeake Energy Corp., 6.125%, 2/15/2021		13,098
	34,000	Chesapeake Energy Corp., 6.625%, 8/15/2020		35,020
	795,000	CONSOL Energy, Inc., 5.875%, 4/15/2022		802,950
	645,000	Continental Resources, Inc., 3.800%, 6/01/2024		622,425
	235,000	Continental Resources, Inc., 4.500%, 4/15/2023		235,588

See accompanying notes to financial statements.

27 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Independent Energy — continued
$	470,000	Continental Resources, Inc., 5.000%, 9/15/2022	$	477,637
	690,000	Eclipse Resources Corp., 8.875%, 7/15/2023		702,075
	835,000	Halcon Resources Corp., 6.750%, 2/15/2025, 144A		864,225
	145,000	Matador Resources Co., 6.875%, 4/15/2023		153,519
	410,000	MEG Energy Corp., 6.375%, 1/30/2023, 144A		357,725
	300,000	MEG Energy Corp., 6.500%, 1/15/2025, 144A		292,875
	585,000	MEG Energy Corp., 7.000%, 3/31/2024, 144A		501,637
	185,000	Newfield Exploration Co., 5.625%, 7/01/2024		198,413
	625,000	Oasis Petroleum, Inc., 6.875%, 3/15/2022		635,937
	100,000	PDC Energy, Inc., 6.125%, 9/15/2024		104,500
	445,000	QEP Resources, Inc., 5.375%, 10/01/2022		437,212
	1,150,000	Rex Energy Corp., (Step to 8.000% on 10/01/2017), 1.000%, 10/01/2020(h)		575,000
	1,025,000	Rice Energy, Inc., 6.250%, 5/01/2022		1,071,125
	565,000	RSP Permian, Inc., 6.625%, 10/01/2022		592,544
	330,000	Sanchez Energy Corp., 6.125%, 1/15/2023		282,150
	325,000	Seven Generations Energy Ltd., 5.375%, 9/30/2025, 144A		327,437
	920,000	SM Energy Co., 5.000%, 1/15/2024		867,100
	35,000	SM Energy Co., 6.125%, 11/15/2022		35,088
	60,000	SM Energy Co., 6.500%, 1/01/2023		60,450
	190,000	SM Energy Co., 6.750%, 9/15/2026		190,000
	395,000	Southwestern Energy Co., 6.700%, 1/23/2025		400,925
	285,000	Southwestern Energy Co., 7.500%, 4/01/2026		296,400
	55,000	Whiting Petroleum Corp., 5.000%, 3/15/2019		55,017
	455,000	Whiting Petroleum Corp., 5.750%, 3/15/2021		447,037

				14,942,771

		Industrial Other — 0.2%
	315,000	II-VI, Inc., 0.250%, 9/01/2022, 144A		351,619

		Integrated Energy — 0.1%
	200,000	Geopark Ltd., 6.500%, 9/21/2024, 144A		200,468

		Leisure — 0.1%
	130,000	Constellation Merger Sub, Inc., 8.500%, 9/15/2025, 144A		127,725

		Life Insurance — 0.2%
	340,000	CNO Financial Group, Inc., 5.250%, 5/30/2025		362,950

		Local Authorities — 0.4%
	325,000	Provincia de Buenos Aires, 6.500%, 2/15/2023, 144A		342,417
	270,000	Provincia de Buenos Aires, 7.875%, 6/15/2027, 144A		292,626
	2,390,000	Provincia de Buenos Aires, Argentina Deposit Rates Badlar Pvt Banks + 3.830%, 25.330%, 5/31/2022, (ARS)(a)		142,411

				777,454

		Lodging — 0.9%
	150,000	Hilton Domestic Operating Co., Inc., 4.250%, 9/01/2024		153,000
	755,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.625%, 4/01/2025		777,650
	705,000	Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 4/01/2027		740,250

				1,670,900

See accompanying notes to financial statements.

| 28

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Media Entertainment — 2.0%
$	890,000	AMC Networks, Inc., 4.750%, 8/01/2025	$	898,900
	470,000	Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		464,125
	1,155,000	Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022		1,189,650
	975,000	Viacom, Inc., 4.375%, 3/15/2043		839,943
	49,000	Viacom, Inc., 4.850%, 12/15/2034		46,176
	105,000	Viacom, Inc., (fixed rate to 2/28/2027, variable rate thereafter), 6.250%, 2/28/2057		105,656

				3,544,450

		Metals & Mining — 2.9%
	1,395,000	ArcelorMittal, 7.250%, 3/01/2041		1,651,331
	180,000	Constellium NV, 4.625%, 5/15/2021, 144A, (EUR)		216,631
	145,000	First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A		149,169
	270,000	First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A		276,412
	1,375,000	Freeport-McMoRan, Inc., 4.550%, 11/14/2024		1,376,375
	85,000	Freeport-McMoRan, Inc., 5.450%, 3/15/2043		79,422
	245,000	Glencore Finance Canada Ltd., 5.550%, 10/25/2042, 144A		270,993
	440,000	Lundin Mining Corp., 7.500%, 11/01/2020, 144A		457,600
	440,000	Stillwater Mining Co., 6.125%, 6/27/2022, 144A		445,852
	80,000	Vale Overseas Ltd., 6.875%, 11/10/2039		91,696
	190,000	Vale S.A., 5.625%, 9/11/2042		193,800

				5,209,281

		Midstream — 4.3%
	355,000	Andeavor Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019		373,637
	360,000	Andeavor Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022		382,950
	435,000	Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027, 144A		448,050
	66,000	Gibson Energy, Inc., 6.750%, 7/15/2021, 144A		68,310
	75,000	Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042		72,068
	30,000	Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043		29,863
	570,000	NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019		569,550
	190,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 3/01/2025		176,700
	390,000	NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021		390,000
	145,000	NGL Energy Partners LP/NGL Energy Finance Corp., 7.500%, 11/01/2023		144,275
	165,000	NGPL PipeCo LLC, 4.375%, 8/15/2022, 144A		171,188
	700,000	NGPL PipeCo LLC, 4.875%, 8/15/2027, 144A		733,495
	480,000	Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025		529,505
	425,000	Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022		478,016
	385,000	SemGroup Corp./Rose Rock Finance Corp., 5.625%, 7/15/2022		376,337
	935,000	Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022		939,675
	973,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019		982,730
	95,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023		94,169
	640,000	Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023		652,800
	180,000	Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023		192,600

				7,805,918

See accompanying notes to financial statements.

29 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — 1.4%
$	935,000	BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 1-month LIBOR + 8.200%, 9.433%, 5/15/2020, 144A(a)(c)(d)(e)	$	939,675
	1,020,000	Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.373%, 9/15/2037, 144A		909,041
	554,472	GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.780%, 8/10/2045(k)		566,285
	38,392	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(k)		38,360

				2,453,361

		Oil Field Services — 0.7%
	430,000	Ensco PLC, 5.750%, 10/01/2044		308,525
	160,000	Noble Holding International Ltd., 5.250%, 3/15/2042		104,800
	160,000	Noble Holding International Ltd., 6.050%, 3/01/2041		109,200
	420,000	Noble Holding International Ltd., 7.750%, 1/15/2024		372,750
	35,000	Parker Drilling Co., 6.750%, 7/15/2022		28,033
	266,000	Transocean Proteus Ltd., 6.250%, 12/01/2024, 144A		278,635

				1,201,943

		Packaging — 1.3%
	200,000	ARD Finance S.A., PIK, 7.125%, 9/15/2023(b)		214,060
	395,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 4.625%, 5/15/2023, 144A		405,744
	200,000	Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc., 7.250%, 5/15/2024, 144A		219,374
	755,000	Sealed Air Corp., 6.875%, 7/15/2033, 144A		885,237
	600,000	Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A		622,500

				2,346,915

		Paper — 0.4%
	440,000	Klabin Finance S.A., 4.875%, 9/19/2027, 144A		436,656
	210,000	Suzano Austria GmbH, 5.750%, 7/14/2026, 144A		225,603

				662,259

		Pharmaceuticals — 1.1%
	200,000	Endo Dac/Endo Finance LLC/Endo Finance, Inc., 5.875%, 10/15/2024, 144A		209,500
	530,000	Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A		516,750
	265,000	Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A		232,538
	85,000	Valeant Pharmaceuticals International, Inc., 5.625%, 12/01/2021, 144A		79,475
	990,000	Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A		874,912

				1,913,175

		Property & Casualty Insurance — 0.6%
	180,000	Ardonagh Midco 3 PLC, 8.375%, 7/15/2023, 144A, (GBP)		249,890
	786,000	HUB International Ltd., 7.875%, 10/01/2021, 144A		818,423

				1,068,313

See accompanying notes to financial statements.

| 30

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Restaurants — 0.5%
$	890,000	1011778 B.C. ULC/New Red Finance, Inc., 5.000%, 10/15/2025, 144A	$	901,036

		Retailers — 1.1%
	40,000	Dillard’s, Inc., 7.000%, 12/01/2028		44,148
	435,000	Dillard’s, Inc., 7.750%, 7/15/2026		504,191
	205,000	Dillard’s, Inc., 7.750%, 5/15/2027		238,893
	1,035,000	GameStop Corp., 5.500%, 10/01/2019, 144A		1,058,288
	520,000	Nine West Holdings, Inc., 6.125%, 11/15/2034		83,200

				1,928,720

		Sovereigns — 0.4%
	10,810,000	Argentina Politica Monetaria, Argentina Central Bank 7-day Repo Reference Rate, 26.250%, 6/21/2020, (ARS)(a)		660,618

		Supermarkets — 0.6%
	335,000	Albertson’s Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 5.750%, 3/15/2025		294,800
	935,000	New Albertson’s, Inc., Series C, MTN, 6.625%, 6/01/2028		719,950

				1,014,750

		Supranational — 2.0%
	6,785,000	European Investment Bank, EMTN, 8.750%, 9/18/2021, (TRY)		1,825,139
	5,190,000,000	International Bank for Reconstruction and Development, 4.250%, 6/20/2019, (COP)		1,727,541

				3,552,680

		Technology — 4.7%
	416,000	Blackboard, Inc., 9.750%, 10/15/2021, 144A		371,280
	170,000	Camelot Finance S.A., 7.875%, 10/15/2024, 144A		183,175
	60,000	CommScope Technologies LLC, 6.000%, 6/15/2025, 144A		64,125
	1,440,000	Dell International LLC/EMC Corp., 6.020%, 6/15/2026, 144A		1,599,192
	1,345,000	Dell International LLC/EMC Corp., 8.350%, 7/15/2046, 144A		1,727,427
	480,000	Equinix, Inc., 5.375%, 1/01/2022		503,280
	430,000	First Data Corp., 5.000%, 1/15/2024, 144A		446,469
	800,000	First Data Corp., 7.000%, 12/01/2023, 144A		854,240
	55,000	Micron Technology, Inc., 5.250%, 1/15/2024, 144A		57,888
	95,000	Micron Technology, Inc., 5.500%, 2/01/2025		101,294
	110,000	Microsemi Corp., 9.125%, 4/15/2023, 144A		125,813
	515,000	Open Text Corp., 5.625%, 1/15/2023, 144A		539,462
	190,000	Open Text Corp., 5.875%, 6/01/2026, 144A		208,525
	275,000	Sabre GLBL, Inc., 5.250%, 11/15/2023, 144A		282,562
	405,000	Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A		419,701
	755,000	Western Digital Corp., 10.500%, 4/01/2024		887,125

				8,371,558

		Transportation Services — 0.1%
	275,000	APL Ltd., 8.000%, 1/15/2024(c)(d)		260,563

See accompanying notes to financial statements.

31 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Treasuries — 1.2%
	263,668(††)	Mexican Fixed Rate Bonds, Series M, 5.750%, 3/05/2026, (MXN)	$	1,350,093
	131,759(††)	Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)		856,723

				2,206,816

		Wireless — 3.6%
	100,000	Altice Luxembourg S.A., 7.250%, 5/15/2022, 144A, (EUR)		125,636
	355,000	Altice Luxembourg S.A., 7.625%, 2/15/2025, 144A		382,956
	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)		313,407
	6,100,000	America Movil SAB de CV, 8.460%, 12/18/2036, (MXN)		311,107
	200,000	Millicom International Cellular S.A., 5.125%, 1/15/2028, 144A		201,700
	105,000	Nokia Oyj, 3.375%, 6/12/2022		105,787
	170,000	Nokia Oyj, 4.375%, 6/12/2027		174,888
	605,000	SFR Group S.A., 7.375%, 5/01/2026, 144A		653,400
	786,000	Sprint Capital Corp., 6.875%, 11/15/2028		880,320
	1,420,000	Sprint Corp., 7.250%, 9/15/2021		1,577,975
	605,000	T-Mobile USA, Inc., 6.000%, 4/15/2024		642,056
	200,000	Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A		202,188

				6,404,501

		Wirelines — 2.7%
	705,000	CenturyLink, Inc., 7.650%, 3/15/2042		615,112
	130,000	Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028		127,702
	60,000,000	Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP)		16,368
	405,000	Frontier Communications Corp., 9.000%, 8/15/2031		314,888
	340,000	Frontier Communications Corp., 10.500%, 9/15/2022		294,950
	15,000	Frontier Communications Corp., 11.000%, 9/15/2025		12,713
	705,000	Level 3 Communications, Inc., 5.750%, 12/01/2022		724,387
	1,545,000	Level 3 Financing, Inc., 5.250%, 3/15/2026		1,583,146
	345,000	Telecom Italia Capital S.A., 6.375%, 11/15/2033		397,181
	250,000	Telecom Italia Capital S.A., 7.200%, 7/18/2036		308,738
	35,000	Telecom Italia Capital S.A., 7.721%, 6/04/2038		44,898
	505,000	Windstream Services LLC, 7.750%, 10/15/2020		404,000

				4,844,083

		Total Non-Convertible Bonds (Identified Cost $140,877,965)		146,202,163

	Convertible Bonds — 8.8%
		Building Materials — 0.1%
	130,000	Tutor Perini Corp., 2.875%, 6/15/2021		151,369

		Cable Satellite — 0.5%
	845,000	Dish Network Corp., 2.375%, 3/15/2024, 144A		839,719

		Consumer Cyclical Services — 0.5%
	860,000	Macquarie Infrastructure Corp., 2.000%, 10/01/2023		833,125

		Diversified Operations — 0.1%
	160,000	RWT Holdings, Inc., 5.625%, 11/15/2019		164,800

See accompanying notes to financial statements.

| 32

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
		Healthcare — 0.9%
$	510,000	Evolent Health, Inc., 2.000%, 12/01/2021, 144A	$	573,113
	940,000	Teladoc, Inc., 3.000%, 12/15/2022, 144A		1,020,487

				1,593,600

		Leisure — 0.1%
	185,000	Rovi Corp., 0.500%, 3/01/2020		187,209

		Midstream — 0.7%
	940,000	Chesapeake Energy Corp., 5.500%, 9/15/2026, 144A		862,450
	195,000	PDC Energy, Inc., 1.125%, 9/15/2021		189,881
	60,000	SM Energy Co., 1.500%, 7/01/2021		56,325
	170,000	Whiting Petroleum Corp., 1.250%, 4/01/2020		151,513

				1,260,169

		Oil Field Services — 0.5%
	255,000	Hercules Capital, Inc., 4.375%, 2/01/2022, 144A		258,984
	860,000	Nabors Industries, Inc., 0.750%, 1/15/2024, 144A		699,288

				958,272

		Pharmaceuticals — 2.7%
	760,000	BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024		769,975
	895,000	BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020		1,071,203
	115,000	Dermira, Inc., 3.000%, 5/15/2022, 144A		123,769
	465,000	Horizon Pharma Investment Ltd., 2.500%, 3/15/2022		419,953
	375,000	Impax Laboratories, Inc., 2.000%, 6/15/2022		337,031
	1,100,000	Intercept Pharmaceuticals, Inc., 3.250%, 7/01/2023		849,750
	105,000	Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021		110,906
	960,000	Neurocrine Biosciences, Inc., 2.250%, 5/15/2024, 144A		1,092,600
	100,000	Pacira Pharmaceuticals, Inc., 2.375%, 4/01/2022, 144A		97,625

				4,872,812

		Railroads — 0.4%
	415,000	Echo Global Logistics, Inc., 2.500%, 5/01/2020		399,178
	275,000	Greenbrier Cos., Inc. (The), 2.875%, 2/01/2024, 144A		309,031

				708,209

		REITs – Mortgage — 0.1%
	265,000	iStar, Inc., 3.125%, 9/15/2022, 144A		267,319

		Technology — 2.2%
	130,000	Cypress Semiconductor Corp., 4.500%, 1/15/2022		169,731
	1,370,000	Finisar Corp., 0.500%, 12/15/2036, 144A		1,284,375
	495,000	MagnaChip Semiconductor S.A., 5.000%, 3/01/2021, 144A		751,781
	1,210,000	Nuance Communications, Inc., 1.000%, 12/15/2035		1,134,871
	115,000	Nuance Communications, Inc., 1.250%, 4/01/2025, 144A		111,119
	450,000	Verint Systems, Inc., 1.500%, 6/01/2021		439,875

				3,891,752

		Total Convertible Bonds (Identified Cost $15,567,455)		15,728,355


		Total Bonds and Notes (Identified Cost $156,445,420)		161,930,518

See accompanying notes to financial statements.

33 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Principal Amount (‡)		Description	Value (†)
	Senior Loans — 0.8%
		Independent Energy — 0.3%
$	531,086	Chesapeake Energy Corp., Term Loan, 3-month LIBOR + 7.500%, 8.814%, 8/23/2021(a)	$	571,746

		Other Utility — 0.2%
	237,569	PowerTeam Services LLC, 1st Lien Term Loan, 3-month LIBOR + 3.250%, 4.583%, 5/06/2020(a)		236,975
	95,000	PowerTeam Services LLC, 2nd Lien Term Loan, 3-month LIBOR + 7.250%, 8.583%, 11/06/2020(a)		94,406

				331,381

		Supermarkets — 0.3%
	433,224	Albertsons LLC, USD 2017 Term Loan B4, 1-month LIBOR + 2.750%, 3.985%, 8/25/2021(a)		417,316

		Total Senior Loans (Identified Cost $1,296,007)		1,320,443

Shares
	Preferred Stocks — 1.3%
	Convertible Preferred Stocks — 1.0%
		Food & Beverage — 0.5%
	9,229	Bunge Ltd., 4.875%		958,086

		Midstream — 0.4%
	988	Chesapeake Energy Corp., 5.750%		602,680
	20	Chesapeake Energy Corp., 5.750%, 144A		12,200
	137	Chesapeake Energy Corp., 5.750%		78,347

				693,227

		Technology — 0.1%
	1,889	Belden, Inc., 6.750%		204,125

		Total Convertible Preferred Stocks (Identified Cost $1,842,200)		1,855,438

	Non-Convertible Preferred Stocks — 0.3%
		Finance Companies — 0.3%
	12,925	iStar, Inc., Series E, 7.875%		325,064
	7,500	iStar, Inc., Series F, 7.800%		188,700
	550	iStar, Inc., Series G, 7.650%		13,959

				527,723

		Total Non-Convertible Preferred Stocks (Identified Cost $417,822)		527,723


		Total Preferred Stocks (Identified Cost $2,260,022)		2,383,161

See accompanying notes to financial statements.

| 34

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)


Shares		Description	Value (†)
	Other Investments — 1.0%
		Aircraft ABS — 1.0%
	8,415	Aergen LLC(c)(e)(f)	$	863,261
	100	ECAF I Blocker Ltd.(c)(e)(f)		990,301

		Total Aircraft ABS (Identified Cost $1,841,500)		1,853,562

	Common Stocks — 1.6%
		Media — 0.0%
	4,113	Dex Media, Inc.(c)(e)(f)(i)(j)		23,855

		Oil, Gas & Consumable Fuels — 1.4%
	24,185	Bonanza Creek Energy, Inc.(i)		797,863
	8,265	Frontera Energy Corp.(i)		288,472
	12,992	Halcon Resources Corp.(i)		88,346
	14,882	Kinder Morgan, Inc.		285,437
	3,403	Paragon Offshore Ltd., Litigation Units Class A(e)(f)(i)(l)		3,063
	5,106	Paragon Offshore Ltd., Litigation Units Class B(e)(f)(i)(m)		96,161
	3,403	Paragon Offshore Ltd.(e)(f)(i)		55,299
	1,725	Rex Energy Corp.(i)		4,657
	162,248	Whiting Petroleum Corp.(i)		885,874

				2,505,172

		Pharmaceuticals — 0.2%
	5,539	Bristol-Myers Squibb Co.		353,056

		Total Common Stocks (Identified Cost $7,587,253)		2,882,083

	Warrants — 0.0%
	3,528	Halcon Resources Corp., Expiration on 9/9/2020 at $14.04(i)		1,940
	10,360	FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(e)(f)(i)		—

		Total Warrants (Identified Cost $—)		1,940

Principal Amount (‡)
	Short-Term Investments — 3.5%
$	6,240,308	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $6,240,485 on 10/02/2017 collateralized by $6,050,000 U.S. Treasury Inflation Note, 0.125% due 4/15/2020 valued at $6,367,123 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $6,240,308)		6,240,308


		Total Investments — 98.6% (Identified Cost $175,670,510)		176,612,015
		Other assets less liabilities — 1.4%		2,595,898

		Net Assets — 100.0%	$	179,207,913

See accompanying notes to financial statements.

35 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)



	(‡)			Principal Amount stated in U.S. dollars unless otherwise noted.
	(†)			See Note 2 of Notes to Financial Statements.
	(††)			Amount shown represents units. One unit represents a principal amount of 100.
	(a)			Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)			Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional principal. For the period ended September 30, 2017, interest payments were made in cash.
	(c)			Illiquid security. (Unaudited)
	(d)			Securities classified as fair valued pursuant to the Fund’s pricing policies and procedures. At September 30, 2017, the value of these securities amounted to $3,391,903 or 1.9% of net assets. See Note 2 of Notes to Financial Statements.
	(e)			Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(f)			Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $2,031,952 or 1.1% 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)			Non-income producing security.
	(j)			Security subject to restrictions on resale. This security was acquired on August 12, 2016 at a cost of $20,040. At September 30, 2017, the value of this security amounted to $23,855 or less than 0.1% of net assets.
	(k)			Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(l)			Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $25,887. At September 30, 2017, the value of this security amounted to $3,063 or less than 0.1% of net assets.
	(m)			Security subject to restrictions on resale. This security was acquired on July 18, 2017 at a cost of $517,958. At September 30, 2017, the value of this security amounted to $96,161 or 0.1% of net assets.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $71,664,260 or 40.0% of net assets.
	ABS			Asset-Backed Securities
	EMTN			Euro Medium Term Note
	LIBOR			London Interbank Offered Rate
	MTN			Medium Term Note
	PIK			Payment-in-Kind
	REITs			Real Estate Investment Trusts

	ARS			Argentine Peso
	COP			Colombian Peso
	EUR			Euro
	GBP			British Pound
	MXN			Mexican Peso
	TRY			Turkish Lira

See accompanying notes to financial statements.

| 36

Portfolio of Investments – as of September 30, 2017

Loomis Sayles High Income Fund – (continued)

Industry Summary at September 30, 2017


Independent Energy	8.6	%
Cable Satellite	7.3
Technology	7.0
Healthcare	5.9
Midstream	5.4
Banking	4.3
Finance Companies	4.2
Pharmaceuticals	4.0
Wireless	3.6
Government Owned - No Guarantee	3.0
Metals & Mining	2.9
Wirelines	2.7
Food & Beverage	2.3
Aerospace & Defense	2.2
Home Construction	2.0
Supranational	2.0
Media Entertainment	2.0
Other Investments, less than 2% each	25.7
Short-Term Investments	3.5

Total Investments	98.6
Other assets less liabilities	1.4

Net Assets	100.0	%

See accompanying notes to financial statements.

37 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 99.0% of Net Assets
		ABS Car Loan — 11.6%
$	3,862	AmeriCredit Automobile Receivables Trust, Series 2014-1, Class B, 1.680%, 7/08/2019	$	3,862
	375,000	AmeriCredit Automobile Receivables Trust, Series 2015-3, Class C, 2.730%, 3/08/2021		378,692
	152,000	AmeriCredit Automobile Receivables Trust, Series 2016-1, Class C, 2.890%, 1/10/2022		153,896
	72,000	AmeriCredit Automobile Receivables Trust, Series 2016-2, Class C, 2.870%, 11/08/2021		72,899
	160,000	AmeriCredit Automobile Receivables Trust, Series 2016-3, Class C, 2.240%, 4/08/2022		159,406
	555,000	Americredit Automobile Receivables Trust, Series 2016-4, Class B, 1.830%, 12/08/2021		550,995
	110,000	AmeriCredit Automobile Receivables Trust, Series 2017-1, Class B, 2.300%, 2/18/2022		110,206
	300,000	AmeriCredit Automobile Receivables Trust, Series 2017-2, Class B, 2.400%, 5/18/2022		300,845
	170,000	AmeriCredit Automobile Receivables Trust, Series 2017-3, Class B, 2.240%, 6/19/2023		169,496
	210,000	Avis Budget Rental Car Funding AESOP LLC, Series 2014-1A, Class A, 2.460%, 7/20/2020, 144A		210,673
	360,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A		363,191
	365,000	Avis Budget Rental Car Funding AESOP LLC, Series 2017-1A, Class A, 3.070%, 9/20/2023, 144A		367,935
	3,962	California Republic Auto Receivables Trust, Series 2013-2, Class A2, 1.230%, 3/15/2019		3,961
	520,000	California Republic Auto Recievables Trust, Series 2017-1, Class A4, 2.280%, 6/15/2022		521,721
	163,064	Capital Auto Receivables Asset Trust, Series 2015-1, Class A3, 1.610%, 6/20/2019		163,096
	36,399	CarFinance Capital Auto Trust, Series 2014-2A, Class A, 1.440%, 11/16/2020, 144A		36,379
	1,000,000	CarMax Auto Owner Trust, Series 2017-2, Class A3, 1.930%, 3/15/2022(d)		999,716
	325,000	Chrysler Capital Auto Receivables Trust, Series 2016-BA, Class A3, 1.640%, 7/15/2021, 144A		324,063
	465,000	CPS Auto Receivables Trust, Series 2015-A, Class B, 2.790%, 2/16/2021, 144A		467,733
	125,000	CPS Auto Receivables Trust, Series 2017-C, Class B, 2.300%, 7/15/2021, 144A		124,806
	275,000	Credit Acceptance Auto Loan Trust, Series 2015-1A, Class B, 2.610%, 1/17/2023, 144A		275,707
	800,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class B, 3.180%, 5/15/2024, 144A		805,838
	275,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		274,316
	185,733	Drive Auto Receivables Trust, Series 2015-BA, Class C, 2.760%, 7/15/2021, 144A		186,600
	362,000	Drive Auto Receivables Trust, Series 2016-BA, Class C, 3.190%, 7/15/2022, 144A		365,674

See accompanying notes to financial statements.

| 38

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	470,000	Drive Auto Receivables Trust, Series 2016-CA, Class B, 2.370%, 11/16/2020, 144A	$	471,822
	230,000	Drive Auto Receivables Trust, Series 2017-AA, Class C, 2.980%, 1/18/2022, 144A		232,443
	275,000	Drive Auto Receivables Trust, Series 2017-BA, Class C, 2.610%, 8/16/2021, 144A		276,044
	107,000	DT Auto Owner Trust, Series 2015-2A, Class D, 4.250%, 2/15/2022, 144A		108,933
	335,000	DT Auto Owner Trust, Series 2015-3A, Class D, 4.530%, 10/17/2022, 144A		341,143
	255,000	DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A		264,859
	440,000	DT Auto Owner Trust, Series 2016-4A, Class C, 2.740%, 10/17/2022, 144A		440,939
	90,000	DT Auto Owner Trust, Series 2017-1A, Class C, 2.700%, 11/15/2022, 144A		90,030
	350,000	DT Auto Owner Trust, Series 2017-3A, Class B, 2.400%, 5/17/2021, 144A		349,722
	300,000	Exeter Automobile Receivables Trust, Series 2017-2A, Class B, 2.820%, 5/16/2022, 144A		299,805
	260,000	First Investors Auto Owner Trust, Series 2017-1A, Class A2, 2.200%, 3/15/2022, 144A		259,944
	315,000	First Investors Auto Owner Trust, Series 2017-2A, Class A2, 2.270%, 7/15/2022, 144A		314,580
	290,000	Flagship Credit Auto Trust, Series 2015-2B, 3.080%, 12/15/2021, 144A		292,299
	195,000	Flagship Credit Auto Trust, Series 2016-2, Class B, 3.840%, 9/15/2022, 144A		199,374
	135,000	Flagship Credit Auto Trust, Series 2016-3, Class B, 2.430%, 6/15/2021, 144A		135,374
	160,000	Flagship Credit Auto Trust, Series 2016-4, Class B, 2.410%, 10/15/2021, 144A		160,221
	230,000	Ford Credit Auto Owner Trust, Series 2014-2, Class A, 2.310%, 4/15/2026, 144A		231,875
	705,000	Ford Credit Auto Owner Trust, Series 2016-2, Class A, 2.030%, 12/15/2027, 144A		699,572
	115,000	Ford Credit Auto Owner Trust/Ford Credit, Series 2014-1, Class A, 2.260%, 11/15/2025, 144A		115,840
	590,000	GM Financial Automobile Leasing Trust, Series 2016-2, Class A3, 1.620%, 9/20/2019		589,799
	275,000	GM Financial Consumer Automobile, Series 2017-1A, Class A3, 1.780%, 10/18/2021, 144A		274,731
	490,000	Hyundai Auto Lease Securitization Trust, Series 2016-C, Class A4, 1.650%, 7/15/2020, 144A		488,882
	275,000	Hyundai Auto Lease Securitization Trust, Series 2017-A, Class A3, 1.880%, 8/17/2020, 144A		275,377
	900,000	Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A3, 1.970%, 7/15/2020, 144A(d)		901,188
	595,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		595,076
	120,000	NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2, 2.190%, 9/15/2021, 144A		119,665
	510,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A		510,578
	71,873	Prestige Auto Receivables Trust, Series 2015-1, Class A3, 1.530%, 2/15/2021, 144A		71,872
	505,000	Prestige Auto Receivables Trust, Series 2016-2A, Class A3, 1.760%, 1/15/2021, 144A		503,265
	188,000	Santander Drive Auto Receivables Trust, Series 2016-2, Class C, 2.660%, 11/15/2021		189,585

See accompanying notes to financial statements.

39 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Car Loan — continued
$	500,000	Santander Drive Auto Receivables Trust, Series 2016-3, Class B, 1.890%, 6/15/2021	$	499,261
	165,000	Santander Drive Auto Receivables Trust, Series 2017-1, Class B, 2.100%, 6/15/2021		165,008
	265,000	Santander Drive Auto Receivables Trust, Series 2017-2, Class B, 2.210%, 10/15/2021		265,412
	800,000	Westlake Automobile Receivables Trust, Series 2016-3A, Class B, 2.070%, 12/15/2021, 144A		798,328
	295,000	Westlake Automobile Receivables Trust, Series 2017-1A, Class B, 2.300%, 10/17/2022, 144A		295,554
	103,847	World Omni Auto Receivables Trust, Series 2014-B, Class A3, 1.140%, 1/15/2020		103,725
	1,330,000	World Omni Auto Receivables Trust, Series 2017-A, Class A3, 1.930%, 9/15/2022(d)		1,330,026
	110,000	World Omni Auto Receivables Trust, Series 2017-B, Class A3, 1.950%, 2/15/2023		109,777

				20,763,634

		ABS Credit Card — 3.3%
	605,000	American Express Credit Account Master Trust, Series 2017-1, Class A, 1.930%, 9/15/2022		605,821
	630,000	Bank of America Credit Card Trust, Series 2017-A1, Class A1, 1.950%, 8/15/2022		630,907
	415,000	Barclays Dryrock Issuance Trust, Series 2014-3, Class A, 2.410%, 7/15/2022		419,392
	745,000	Capital One Multi-Asset Execution Trust, Series 2017-A1, Class A1, 2.000%, 1/17/2023(d)		747,145
	1,085,000	Chase Issuance Trust, Series 2016-A4, Class A4, 1.490%, 7/15/2022(d)		1,071,521
	260,000	Citibank Credit Card Issuance Trust, Series 2014-A1, Class A1, 2.880%, 1/23/2023		267,174
	470,000	Synchrony Credit Card Master Note Trust, Series 2016-3, Class A, 1.580%, 9/15/2022		467,288
	501,000	World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023		510,195
	555,000	World Financial Network Credit Card Master Trust, Series 2016-C, Class A, 1.720%, 8/15/2023		551,534
	730,000	World Financial Network Credit Card Master Trust, Series 2017-A, Class A, 2.120%, 3/15/2024(d)		730,242

				6,001,219

		ABS Home Equity — 1.1%
	418,559	Bayview Opportunity Master Fund IVa Trust, Series 2016-SPL1, Class A, 4.000%, 4/28/2055, 144A		433,437
	296,368	Colony American Finance Ltd., Series 2015-1, Class A, 2.896%, 10/15/2047, 144A		298,135
	207,353	Colony American Homes, Series 2014-1A, Class A, 1-month LIBOR + 1.150%, 2.384%, 5/17/2031, 144A(a)		208,221
	19,148	Countrywide Alternative Loan Trust, Series 2006-J5, Class 4A1, 4.956%, 7/25/2021(c)		18,609

See accompanying notes to financial statements.

| 40

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		ABS Home Equity — continued
$	12,743	Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(c)	$	12,876
	500,000	Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 1-month LIBOR + 1.850%, 3.087%, 10/25/2027(a)		510,792
	176,107	Mill City Mortgage Trust, Series 2016-1, Class A1, 2.500%, 4/25/2057, 144A(c)		176,015
	156,218	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(c)		156,905
	69,212	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 3.296%, 5/01/2035(c)		70,851

				1,885,841

		ABS Other — 2.0%
	131,625	DB Master Finance LLC, Series 2015-1A, Class A2I, 3.262%, 2/20/2045, 144A		131,832
	26,173	FRS I LLC, Series 2013-1A, Class A1, 1.800%, 4/15/2043, 144A		26,065
	270,000	John Deere Owner Trust, Series 2017-B, Class A3, 1.820%, 10/15/2021		269,822
	414,615	Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(c)		418,361
	30,760	OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A		30,795
	385,000	OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A		388,767
	350,000	OneMain Financial Issuance Trust, Series 2016-1A, Class A, 3.660%, 2/20/2029, 144A		358,278
	343,083	S-Jets Ltd., Series 2017-1, Class A, 3.967%, 8/15/2042, 144A		342,144
	211,606	Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A		221,571
	179,155	Sierra Receivables Funding Co. LLC, Series 2017-1A, Class A, 2.910%, 3/20/2034, 144A		180,143
	176,458	TAL Advantage V LLC, Series 2014-1A, Class A, 3.510%, 2/22/2039, 144A		176,453
	78,593	TAL Advantage V LLC, Series 2014-2A, Class A2, 3.330%, 5/20/2039, 144A		78,407
	179,167	TAL Advantage V LLC, Series 2014-3A, Class A, 3.270%, 11/21/2039, 144A		178,255
	795,000	Verizon Owner Trust, Series 2017-1A, Class A, 2.060%, 9/20/2021, 144A(d)		797,171

				3,598,064

		ABS Student Loan — 0.9%
	199,952	Earnest Student Loan Program LLC, Series 2017-A, Class A2, 2.650%, 1/25/2041, 144A		199,027
	313,842	North Carolina State Education Assistance Authority, Series 2011-2, Class A2, 3-month LIBOR + 0.800%, 2.114%, 7/25/2025(a)		314,366
	100,238	SoFi Professional Loan Program LLC, Series 2015-A, Class A2, 2.420%, 3/25/2030, 144A		100,298
	368,815	SoFi Professional Loan Program LLC, Series 2015-C, Class A2, 2.510%, 8/25/2033, 144A		369,556
	295,000	SoFi Professional Loan Program LLC, Series 2016-B, Class A2B, 2.740%, 10/25/2032, 144A		297,218
	276,564	South Carolina Student Loan Corp., Series 2010-1, Class A2, 3-month LIBOR + 1.000%, 2.314%, 7/25/2025(a)		278,569

				1,559,034

See accompanying notes to financial statements.

41 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Aerospace & Defense — 0.7%
$	580,000	General Dynamics Corp., 2.625%, 11/15/2027	$	561,299
	450,000	Rolls-Royce PLC, 2.375%, 10/14/2020, 144A		448,992
	270,000	Textron, Inc., 3.375%, 3/01/2028		268,069

				1,278,360

		Agency Commercial Mortgage-Backed Securities — 2.1%
	648,018	FHLMC Multifamily Structured Pass Through Certificates, Series K013, Class A2, 3.974%, 1/25/2021(c)		685,760
	509,476	FHLMC Multifamily Structured Pass Through Certificates, Series K029, Class A2, 3.320%, 2/25/2023(c)		533,937
	701,647	FHLMC Multifamily Structured Pass Through Certificates, Series K042, Class A2, 2.670%, 12/25/2024		705,818
	1,014,484	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019(d)		1,012,852
	625,673	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1-month LIBOR + 0.700%, 1.932%, 11/25/2022(a)		628,222
	161,033	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		160,965

				3,727,554

		Airlines — 0.0%
	59,516	Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021		65,156

		Automotive — 3.9%
	500,000	American Honda Finance Corp., MTN, 1.200%, 7/12/2019		495,467
	425,000	American Honda Finance Corp., MTN, 2.000%, 2/14/2020		425,938
	585,000	BMW U.S. Capital LLC, 1.850%, 9/15/2021, 144A		574,741
	740,000	Daimler Finance North America LLC, 2.200%, 5/05/2020, 144A		740,875
	220,000	Daimler Finance North America LLC, 2.450%, 5/18/2020, 144A		221,545
	45,000	Delphi Automotive PLC, 3.150%, 11/19/2020		46,042
	360,000	Ford Motor Credit Co. LLC, 2.459%, 3/27/2020		360,284
	670,000	Ford Motor Credit Co. LLC, 2.979%, 8/03/2022		667,181
	955,000	General Motors Co., 3-month LIBOR + 0.800%, 2.112%, 8/07/2020(a)		955,861
	730,000	Hyundai Capital America, 2.750%, 9/18/2020, 144A		728,680
	930,000	Nissan Motor Acceptance Corp., 2.150%, 7/13/2020, 144A		932,197
	150,000	PACCAR Financial Corp., MTN, 1.200%, 8/12/2019		148,189
	660,000	Toyota Motor Credit Corp., 2.150%, 9/08/2022		652,682

				6,949,682

		Banking — 17.9%
	530,000	ABN AMRO Bank NV, 1.800%, 9/20/2019, 144A		527,546
	955,000	American Express Co., 2.500%, 8/01/2022		953,906
	915,000	ANZ New Zealand (Int’l) Ltd., 2.200%, 7/17/2020, 144A		915,750
	116,000	Bank of America Corp., MTN, 6.875%, 4/25/2018		119,339
	365,000	Bank of Montreal, MTN, 1.500%, 7/18/2019		362,685
	545,000	Bank of Montreal, MTN, 2.100%, 12/12/2019		546,956
	875,000	Bank of Montreal, MTN, 2.350%, 9/11/2022		866,207
	1,080,000	Bank of New York Mellon Corp. (The), MTN, (fixed rate to 5/16/2022, variable rate thereafter), 2.661%, 5/16/2023		1,084,484

See accompanying notes to financial statements.

| 42

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Banking — continued
$	740,000	Bank of Nova Scotia, 2.150%, 7/14/2020	$	742,009
	450,000	Banque Federative du Credit Mutuel S.A., 2.200%, 7/20/2020, 144A		449,750
	930,000	Banque Federative du Credit Mutuel S.A., 2.700%, 7/20/2022, 144A		934,354
	490,000	BNZ International Funding Ltd., 2.400%, 2/21/2020, 144A		491,853
	750,000	Capital One Financial Corp., 2.500%, 5/12/2020		753,492
	435,000	Citigroup, Inc., 2.750%, 4/25/2022		437,092
	215,000	Citigroup, Inc., 2.900%, 12/08/2021		217,649
	625,000	Citizens Bank NA, 2.250%, 3/02/2020		625,827
	430,000	Citizens Bank NA, Series BKNT, 2.500%, 3/14/2019		433,032
	250,000	Comerica Bank, 2.500%, 6/02/2020		251,363
	970,000	Commonwealth Bank of Australia, 1.750%, 11/07/2019, 144A		965,005
	615,000	Commonwealth Bank of Australia, 3.150%, 9/19/2027, 144A		609,393
	595,000	Credit Agricole S.A., 3.250%, 10/04/2024, 144A		595,179
	615,000	Credit Suisse Group AG, (fixed rate to 12/14/2022, variable rate thereafter), 2.997%, 12/14/2023, 144A		613,175
	735,000	Danske Bank AS, 2.200%, 3/02/2020, 144A		736,618
	1,060,000	Deutsche Bank AG, 2.700%, 7/13/2020		1,064,299
	780,000	Fifth Third Bank, Series BKNT, 1.625%, 9/27/2019		775,201
	215,000	Goldman Sachs Group, Inc. (The), 2.750%, 9/15/2020		217,778
	185,000	HSBC USA, Inc., 2.375%, 11/13/2019		186,317
	580,000	Intesa Sanpaolo SpA, 3.125%, 7/14/2022, 144A		581,431
	1,035,000	JPMorgan Chase & Co., 3-month LIBOR + 0.550%, 1.867%, 3/09/2021(a)		1,035,859
	585,000	JPMorgan Chase Bank NA, 1.650%, 9/23/2019		582,852
	555,000	Key Bank NA, Series BKNT, 1.600%, 8/22/2019		552,023
	910,000	KeyBank N.A., 2.400%, 6/09/2022		906,296
	460,000	Mizuho Bank Ltd., 1.800%, 3/26/2018, 144A		459,931
	670,000	Mizuho Financial Group, Inc., 3.170%, 9/11/2027		655,728
	855,000	Morgan Stanley, Series 3NC2, 3-month LIBOR + 0.800%, 2.109%, 2/14/2020(a)		859,351
	295,000	National Bank of Canada, 2.100%, 12/14/2018		295,693
	540,000	Nordea Bank AB, 1.625%, 9/30/2019, 144A		536,522
	845,000	Nordea Bank AB, 2.125%, 5/29/2020, 144A		845,828
	315,000	Northern Trust Corp., (fixed rate to 5/8/2027, variable rate thereafter), 3.375%, 5/08/2032		315,116
	652,000	Royal Bank of Canada, GMTN, 1.625%, 4/15/2019		649,983
	855,000	Santander Holdings USA, Inc., 3.700%, 3/28/2022, 144A		871,109
	605,000	State Street Corp., (fixed rate to 5/15/2022, variable rate thereafter), 2.653%, 5/15/2023		608,358
	475,000	Sumitomo Mitsui Financial Group, Inc., 2.784%, 7/12/2022		476,840
	525,000	Svenska Handelsbanken AB, Series BKNT, 1.500%, 9/06/2019		521,349
	840,000	U.S. Bank NA, 2.000%, 1/24/2020		842,262
	920,000	UBS AG, 2.200%, 6/08/2020, 144A		921,932
	455,000	UniCredit SpA, 3.750%, 4/12/2022, 144A		466,404
	855,000	Wells Fargo & Co., MTN, 2.625%, 7/22/2022		856,430
	755,000	Wells Fargo & Co., MTN, 3.300%, 9/09/2024		767,433
	770,000	Wells Fargo Bank NA, 1.750%, 5/24/2019		769,467
	375,000	Westpac Banking Corp., 2.500%, 6/28/2022		374,820

				32,229,276

See accompanying notes to financial statements.

43 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Brokerage — 0.5%
$	335,000	CBOE Holdings, Inc., 1.950%, 6/28/2019	$	334,665
	480,000	E*TRADE Financial Corp., 2.950%, 8/24/2022		481,067

				815,732

		Building Materials — 0.4%
	107,000	Fortune Brands Home & Security, Inc., 3.000%, 6/15/2020		108,599
	600,000	Martin Marietta Materials, Inc., 3-month LIBOR + 0.650%, 1.965%, 5/22/2020(a)		602,426
	40,000	Masco Corp., 3.500%, 4/01/2021		41,075
	4,000	Masco Corp., 7.125%, 3/15/2020		4,440

				756,540

		Cable Satellite — 0.5%
	300,000	Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 4.908%, 7/23/2025		320,704
	645,000	Cox Communications, Inc., 3.150%, 8/15/2024, 144A		640,953

				961,657

		Chemicals — 0.3%
	107,000	Airgas, Inc., 3.050%, 8/01/2020		109,443
	9,000	Eastman Chemical Co., 4.500%, 1/15/2021		9,526
	385,000	EI du Pont de Nemours & Co., 2.200%, 5/01/2020		387,478
	45,000	Methanex Corp., 3.250%, 12/15/2019		45,414

				551,861

		Collateralized Mortgage Obligations — 1.7%
	211,826	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)		211,488
	143,787	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)		143,536
	345,087	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		344,338
	555,860	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		544,559
	577,472	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 2.151%, 2/20/2066(a)		584,481
	1,220,658	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 1.831%, 4/20/2066(a)(d)		1,223,367

				3,051,769

		Construction Machinery — 0.6%
	174,000	John Deere Capital Corp., 2.450%, 9/11/2020		175,984
	565,000	John Deere Capital Corp., MTN, 2.800%, 9/08/2027		555,480
	350,000	John Deere Capital Corp., MTN, 1.950%, 6/22/2020		350,354

				1,081,818

		Consumer Cyclical Services — 1.2%
	225,000	Alibaba Group Holding Ltd., 2.500%, 11/28/2019		226,840
	885,000	Expedia, Inc., 3.800%, 2/15/2028, 144A		877,185
	1,020,000	Western Union Co. (The), 3.600%, 3/15/2022		1,035,571

				2,139,596

See accompanying notes to financial statements.

| 44

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Consumer Products — 0.2%
$	120,000	Church & Dwight Co., Inc., 2.450%, 8/01/2022	$	119,552
	170,000	Hasbro, Inc., 3.500%, 9/15/2027		168,484

				288,036

		Diversified Manufacturing — 0.7%
	620,000	Eaton Corp., 3.103%, 9/15/2027		612,518
	80,000	Snap-on, Inc., 4.250%, 1/15/2018		80,588
	615,000	United Technologies Corp., 2.800%, 5/04/2024		615,550

				1,308,656

		Electric — 2.5%
	120,000	Consolidated Edison Co. of New York, Inc., Series B, 2.900%, 12/01/2026		118,101
	1,035,000	Consolidated Edison, Inc., Series A, 2.000%, 3/15/2020		1,034,794
	451,000	Exelon Corp., 2.450%, 4/15/2021		451,040
	179,000	Exelon Generation Co. LLC, 2.950%, 1/15/2020		182,166
	116,000	Exelon Generation Co. LLC, 4.250%, 6/15/2022		124,029
	395,000	Fortis, Inc., 2.100%, 10/04/2021		387,828
	188,000	National Rural Utilities Cooperative Finance Corp., (fixed rate to 4/30/2023, variable rate thereafter), 4.750%, 4/30/2043		195,175
	690,000	National Rural Utilities Cooperative Finance Corp., MTN, 1.500%, 11/01/2019		684,546
	280,000	NextEra Energy Capital Holdings, Inc., 1.649%, 9/01/2018		279,878
	273,000	Southern Co. (The), 2.750%, 6/15/2020		277,499
	720,000	Southern Power Co., Series E, 2.500%, 12/15/2021		716,894

				4,451,950

		Finance Companies — 0.4%
	665,000	Ares Capital Corp., 3.500%, 2/10/2023		657,584

		Financial Other — 0.6%
	410,000	Mitsubishi UFJ Lease & Finance Co. Ltd., 2.652%, 9/19/2022, 144A		406,527
	615,000	ORIX Corp., 2.900%, 7/18/2022		617,335

				1,023,862

		Food & Beverage — 1.8%
	9,000	Anheuser-Busch Cos. LLC, 5.000%, 3/01/2019		9,397
	210,000	Dr Pepper Snapple Group, Inc., 3.430%, 6/15/2027, 144A		211,086
	950,000	Kraft Heinz Food Co., 3-month LIBOR + 0.570%, 1.879%, 2/10/2021(a)		950,854
	845,000	Molson Coors Brewing Co., 2.250%, 3/15/2020, 144A		844,474
	140,000	Smithfield Foods, Inc., 3.350%, 2/01/2022, 144A		142,666
	1,070,000	Tyson Foods, Inc., 3-month LIBOR + 0.450%, 1.768%, 5/30/2019(a)		1,071,572

				3,230,049

		Government Owned – No Guarantee — 1.1%
	445,000	Petroleos Mexicanos, 6.375%, 2/04/2021		487,502
	155,000	Petroleos Mexicanos, 6.875%, 8/04/2026		176,312
	625,000	Sinopec Group, 3.250%, 9/13/2027, 144A		618,212
	780,000	Sinopec Group Overseas Development 2016 Ltd., 1.750%, 9/29/2019, 144A		771,631

				2,053,657

See accompanying notes to financial statements.

45 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Healthcare — 1.2%
$	41,000	Agilent Technologies, Inc., 6.500%, 11/01/2017	$	41,134
	750,000	Becton, Dickinson and Co., 2.133%, 6/06/2019		752,065
	640,000	Cardinal Health, Inc., 1.948%, 6/14/2019		640,255
	390,000	Express Scripts Holding Co., 3.500%, 6/15/2024		395,719
	183,000	Life Technologies Corp., 6.000%, 3/01/2020		198,824
	94,000	Quest Diagnostics, Inc., 4.750%, 1/30/2020		99,395

				2,127,392

		Hybrid ARMs — 0.1%
	55,884	FHLMC, 1-year CMT + 2.248%, 3.111%, 1/01/2035(a)		58,979
	155,491	FHLMC, 1-year CMT + 2.495%, 3.268%, 5/01/2036(a)		165,295

				224,274

		Independent Energy — 0.5%
	240,000	Concho Resources, Inc., 3.750%, 10/01/2027		241,068
	107,000	ConocoPhillips Co., 2.875%, 11/15/2021		109,008
	179,000	Encana Corp., 6.500%, 5/15/2019		190,485
	445,000	EQT Corp., 3.900%, 10/01/2027		445,078

				985,639

		Integrated Energy — 1.4%
	620,000	BP Capital Markets PLC, 3.279%, 9/19/2027		619,398
	845,000	Cenovus Energy, Inc., 4.250%, 4/15/2027, 144A		837,803
	1,030,000	Chevron Corp., 1.991%, 3/03/2020		1,033,876

				2,491,077

		Life Insurance — 1.9%
	85,000	AIG Global Funding, 2.150%, 7/02/2020, 144A		84,880
	535,000	Athene Global Funding, 2.750%, 4/20/2020, 144A		539,246
	535,000	Athene Global Funding, 3.000%, 7/01/2022, 144A		532,841
	655,000	Brighthouse Financial, Inc., 3.700%, 6/22/2027, 144A		643,129
	830,000	Jackson National Life Global Funding, 2.200%, 1/30/2020, 144A		830,632
	344,000	Reliance Standard Life Global Funding II, 2.150%, 10/15/2018, 144A		345,379
	63,000	Unum Group, 5.625%, 9/15/2020		68,612
	295,000	Voya Financial, Inc., 3.125%, 7/15/2024		291,137

				3,335,856

		Media Entertainment — 0.9%
	95,000	Activision Blizzard, Inc., 2.300%, 9/15/2021		94,464
	230,000	Discovery Communications LLC, 3.950%, 3/20/2028		228,352
	715,000	Moody’s Corp., 3-month LIBOR + 0.350%, 1.666%, 9/04/2018(a)		716,261
	112,000	S&P Global, Inc, 3.300%, 8/14/2020		114,892
	480,000	Walt Disney Co. (The), MTN, 1.950%, 3/04/2020		481,600

				1,635,569

		Metals & Mining — 0.0%
	40,000	Barrick North America Finance LLC, 4.400%, 5/30/2021		43,015
	31,000	Reliance Steel & Aluminum Co., 4.500%, 4/15/2023		32,893

				75,908

See accompanying notes to financial statements.

| 46

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Midstream — 0.6%
$	155,000	Enbridge, Inc., 3.500%, 6/10/2024	$	157,400
	255,000	Energy Transfer LP, 2.500%, 6/15/2018		256,001
	60,000	Energy Transfer LP, 4.900%, 2/01/2024		63,639
	255,000	Kinder Morgan Energy Partners LP, 4.150%, 2/01/2024		264,324
	160,000	Plains All American Pipeline LP/PAA Finance Corp., 3.850%, 10/15/2023		160,613
	143,000	Williams Partners LP, 3.600%, 3/15/2022		147,747

				1,049,724

		Mortgage Related — 4.4%
	4,429	FHLMC, 3.000%, 10/01/2026		4,555
	462	FHLMC, 6.500%, 1/01/2024		512
	82	FHLMC, 8.000%, 7/01/2025		91
	167	FNMA, 6.000%, 9/01/2021		170
	421,390	GNMA, 4.288%, 2/20/2063(c)		437,884
	231,799	GNMA, 4.297%, 2/20/2063(c)		242,097
	293,208	GNMA, 4.412%, with various maturities in 2066(b)(c)		320,122
	103,536	GNMA, 4.426%, 9/20/2066(c)		112,877
	68,453	GNMA, 4.448%, 11/20/2066(c)		74,677
	188,183	GNMA, 4.466%, 10/20/2062(c)		195,558
	185,432	GNMA, 4.467%, 5/20/2062(c)		191,347
	117,522	GNMA, 4.477%, 11/20/2066(c)		128,545
	67,617	GNMA, 4.479%, 8/20/2066(c)		73,749
	434,326	GNMA, 4.498%, 4/20/2063(c)		452,691
	247,579	GNMA, 4.504%, 5/20/2062(c)		255,320
	226,201	GNMA, 4.518%, 4/20/2063(c)		235,976
	113,837	GNMA, 4.522%, 10/20/2066(c)		124,712
	1,115,841	GNMA, 4.534%, 4/20/2067(c)(d)		1,232,463
	187,574	GNMA, 4.539%, 9/20/2066(c)		206,266
	193,924	GNMA, 4.559%, 3/20/2062(c)		199,947
	100,902	GNMA, 4.562%, 10/20/2066(c)		111,346
	220,484	GNMA, 4.563%, 3/20/2063(c)		230,148
	506,922	GNMA, 4.566%, 7/20/2067(c)(d)		557,642
	174,141	GNMA, 4.580%, 6/20/2062(c)		179,611
	254,434	GNMA, 4.581%, 2/20/2063(c)		264,736
	842,190	GNMA, 4.594%, 1/20/2067(c)(d)		931,912
	349,770	GNMA, 4.599%, 11/20/2064(c)		362,027
	141,452	GNMA, 4.602%, 7/20/2062(c)		146,021
	142,822	GNMA, 4.683%, 8/20/2061(c)		145,168
	474,585	GNMA, 4.684%, 5/20/2064(c)		515,813
	1,502	GNMA, 6.500%, 12/15/2023		1,657
	191	GNMA, 8.500%, 9/15/2022		192
	493	GNMA, 9.500%, 1/15/2019		499

				7,936,331

		Natural Gas — 0.5%
	965,000	Sempra Energy, 1.625%, 10/07/2019		958,915

See accompanying notes to financial statements.

47 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — 7.5%
$	565,000	Barclays Commercial Mortgage Securities Trust, Series 2017-C1, Class A2, 3.189%, 2/15/2050(d)	$	581,140
	491,600	CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.865%, 1/10/2048		515,359
	361,996	CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.283%, 5/10/2058		365,292
	992,138	Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class A4, 3.314%, 4/10/2049(d)		1,007,096
	263,676	Commercial Mortgage Pass Through Certificates, Series 2013-CR8, Class A5, 3.612%, 6/10/2046(c)		276,350
	535,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		535,747
	84,913	Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A2, 3.147%, 2/10/2047		85,969
	232,393	Commercial Mortgage Pass Through Certificates, Series 2014-CR15, Class A2, 2.928%, 2/10/2047		235,307
	205,578	Commercial Mortgage Pass Through Certificates, Series 2014-CR16, Class ASB, 3.653%, 4/10/2047		215,184
	478,193	Commercial Mortgage Pass Through Certificates, Series 2014-LC17, Class A3, 3.723%, 10/10/2047		492,496
	730,000	Commercial Mortgage Pass Through Certificates, Series 2014-TWC, Class A, 1-month LIBOR + 0.850%, 2.087%, 2/13/2032, 144A(a)		730,342
	280,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS3, Class A4, 3.819%, 6/10/2047		294,745
	520,299	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class A5, 3.765%, 2/10/2049		544,389
	280,000	Commercial Mortgage Trust, Series 2015-DC1, Class A5, 3.350%, 2/10/2048		285,902
	380,000	Credit Suisse Mortgage Capital Certificates, Series 2014-USA, Class A2, 3.953%, 9/15/2037, 144A		393,625
	84,913	CSAIL Commercial Mortgage Trust, Series 2015-C4, Class ASB, 3.617%, 11/15/2048		89,075
	107,224	GP Portfolio Trust, Series 2014-GPP, Class A, 1-month LIBOR + 1.200%, 2.427%, 2/15/2027, 144A(a)		107,462
	340,000	GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(c)		336,971
	330,000	GS Mortgage Securities Trust, Series 2014-GC18, Class A4, 4.074%, 1/10/2047		352,623
	216,993	GS Mortgage Securities Trust, Series 2014-GC20, Class A3, 3.680%, 4/10/2047		222,691
	355,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		359,557
	120,665	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-C19, Class ASB, 3.584%, 4/15/2047		125,709
	43,022	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1-month LIBOR + 0.980%, 2.207%, 7/15/2031, 144A(a)		43,086
	459,170	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 1-month LIBOR + 1.700%, 2.927%, 7/15/2036, 144A(a)		460,174
	259,993	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2017-JP5, Class A1, 2.086%, 3/15/2050		259,774

See accompanying notes to financial statements.

| 48

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Non-Agency Commercial Mortgage-Backed Securities — continued
$	240,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class A4, 4.219%, 7/15/2046(c)	$	258,035
	263,676	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 2/15/2047		274,459
	129,604	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class A4, 3.306%, 4/15/2048		132,391
	185,000	SCG Trust, Series 2013-SRP1, Class B, 1-month LIBOR + 2.500%, 3.977%, 11/15/2026, 144A(a)		182,195
	505,000	UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A		500,322
	565,000	UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4, 3.244%, 4/10/2046(d)		583,253
	201,109	Wells Fargo Commercial Mortgage Trust, Series 2016-C33, Class A4, 3.426%, 3/15/2059		206,407
	1,295,000	Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class A2, 3.118%, 1/15/2060(d)		1,329,615
	174,460	WFCG Commercial Mortgage Trust, Series 2015-BXRP, Class A, 1-month LIBOR + 1.122%, 2.356%, 11/15/2029, 144A(a)		174,459
	178,764	WFRBS Commercial Mortgage Trust, Series 2004-C19, Class A3, 3.660%, 3/15/2047		186,095
	325,000	WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5, 4.101%, 3/15/2047		347,389
	348,589	WFRBS Commercial Mortgage Trust, Series 2014-C20, Class ASB, 3.638%, 5/15/2047		365,094

				13,455,779

		Pharmaceuticals — 0.7%
	22,000	Amgen, Inc., 2.200%, 5/22/2019		22,102
	425,000	Novartis Capital Corp. (The), 1.800%, 2/14/2020		425,142
	775,000	Shire Acquisitions Investments Ireland DAC, 1.900%, 9/23/2019		773,468

				1,220,712

		Property & Casualty Insurance — 0.3%
	310,000	Kemper Corp., 4.350%, 2/15/2025		314,256
	235,000	RenaissanceRe Finance, Inc., 3.450%, 7/01/2027		231,612

				545,868

		Railroads — 0.3%
	206,000	CSX Corp., 3.700%, 10/30/2020		214,619
	27,000	CSX Corp., 6.150%, 5/01/2037		34,557
	215,000	Union Pacific Corp., 3.646%, 2/15/2024		226,830

				476,006

		REITs – Health Care — 0.4%
	31,000	Healthcare Realty Trust, Inc., 3.750%, 4/15/2023		31,522
	290,000	MPT Operating Partnership LP/MPT Finance Corp., 5.000%, 10/15/2027		297,250
	465,000	Omega Healthcare Investors, Inc., 4.750%, 1/15/2028		466,849

				795,621

See accompanying notes to financial statements.

49 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		REITs – Shopping Centers — 0.5%
$	480,000	Brixmor Operating Partnership LP, 3.650%, 6/15/2024	$	477,616
	435,000	Kimco Realty Corp., 3.800%, 4/01/2027		439,339

				916,955

		REITs – Single Tenant — 0.2%
	315,000	Select Income REIT, 4.250%, 5/15/2024		315,984

		Restaurants — 0.6%
	1,030,000	McDonald’s Corp., MTN, 2.625%, 1/15/2022		1,037,415

		Retailers — 0.6%
	1,080,000	Costco Wholesale Corp., 2.750%, 5/18/2024		1,082,462

		Sovereigns — 0.6%
	680,000	Kingdom of Saudi Arabia, 3.625%, 3/04/2028, 144A		678,273
	465,000	Republic of South Africa, 4.850%, 9/27/2027		460,196

				1,138,469

		Technology — 3.4%
	45,000	Apple, Inc., 2.250%, 2/23/2021		45,362
	380,000	Apple, Inc., 3.000%, 2/09/2024		389,405
	455,000	Arrow Electronics, Inc., 3.250%, 9/08/2024		449,882
	450,000	Genpact Luxembourg S.a.r.l., 3.700%, 4/01/2022, 144A		455,201
	610,000	Hewlett Packard Enterprise Co., 2.100%, 10/04/2019, 144A		610,207
	120,000	Hewlett Packard Enterprise Co., 4.900%, 10/15/2025		126,944
	246,000	HP, Inc., 4.300%, 6/01/2021		260,659
	665,000	IBM Credit LLC, 2.200%, 9/08/2022		659,516
	89,000	Jabil, Inc., 5.625%, 12/15/2020		96,405
	22,000	Jabil, Inc., 8.250%, 3/15/2018		22,538
	885,000	NetApp, Inc., 2.000%, 9/27/2019		884,723
	385,000	Pitney Bowes, Inc., 3.875%, 5/15/2022		378,804
	425,000	Pitney Bowes, Inc., 4.700%, 4/01/2023		417,896
	655,000	Seagate HDD Cayman, 4.875%, 3/01/2024, 144A		645,544
	725,000	Xerox Corp., 3.625%, 3/15/2023		718,930

				6,162,016

		Tobacco — 0.0%
	5,000	Philip Morris International, Inc., 5.650%, 5/16/2018		5,127

		Transportation Services — 0.2%
	430,000	TTX Co., 2.600%, 6/15/2020, 144A		431,900

		Treasuries — 15.0%
	7,200,000	U.S. Treasury Bond, 2.250%, 8/15/2027		7,151,063
	13,435,000	U.S. Treasury Note, 1.625%, 8/31/2022		13,250,269
	3,585,000	U.S. Treasury Note, 1.875%, 8/31/2022		3,575,757
	2,990,000	U.S. Treasury Note, 2.250%, 1/31/2024		3,016,279

				26,993,368

		Wirelines — 1.2%
	400,000	Deutsche Telekom International Finance BV, 1.500%, 9/19/2019, 144A		395,944
	790,000	Orange S.A., 1.625%, 11/03/2019		784,597

See accompanying notes to financial statements.

| 50

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)


Principal Amount		Description	Value (†)
		Wirelines — continued
$	870,000	Verizon Communications, Inc., 4.125%, 3/16/2027	$	907,770

				2,088,311

		Total Bonds and Notes (Identified Cost $178,001,785)		177,917,265

	Short-Term Investments — 1.3%
	2,392,787	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $2,392,855 on 10/02/2017 collateralized by $2,440,000 U.S. Treasury Note, 1.250% due 10/31/2019 valued at $2,442,108 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $2,392,787)		2,392,787


		Total Investments — 100.3% (Identified Cost $180,394,572)		180,310,052
		Other assets less liabilities — (0.3)%		(589,785	)

		Net Assets — 100.0%	$	179,720,267


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	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.
	(c)	Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.
	(d)	Security (or a portion thereof) has been designated to cover the Fund’s obligations under 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 September 30, 2017, the value of Rule 144A holdings amounted to $50,025,767 or 27.8% of net assets.
	ABS	Asset-Backed Securities
	ARMs	Adjustable Rate Mortgages
	CMT	Constant Maturity Treasury
	FHLMC	Federal Home Loan Mortgage Corp.
	FNMA	Federal National Mortgage Association
	GMTN	Global Medium Term Note
	GNMA	Government National Mortgage Association
	LIBOR	London Interbank Offered Rate
	MTN	Medium Term Note
	REITs	Real Estate Investment Trusts

See accompanying notes to financial statements.

51 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Intermediate Duration Bond Fund – (continued)

At September 30, 2017, open long futures contracts were as follows:


Financial Futures	Expiration Date		Contracts		Notional Amount		Value		Unrealized Appreciation (Depreciation)
5 Year U.S. Treasury Note		12/29/2017		80	$	9,503,275	$	9,400,000	$	(103,275	)

Industry Summary at September 30, 2017


Banking	17.9	%
Treasuries	15.0
ABS Car Loan	11.6
Non-Agency Commercial Mortgage-Backed Securities	7.5
Mortgage Related	4.4
Automotive	3.9
Technology	3.4
ABS Credit Card	3.3
Electric	2.5
Agency Commercial Mortgage-Backed Securities	2.1
ABS Other	2.0
Other Investments, less than 2% each	25.4
Short-Term Investments	1.3

Total Investments	100.3
Other assets less liabilities (including futures contracts)	(0.3	)

Net Assets	100.0	%

See accompanying notes to financial statements.

| 52

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund


Principal Amount		Description	Value (†)
	Bonds and Notes — 92.5% of Net Assets
		ABS Car Loan — 2.0%
$	1,550,000	Avis Budget Rental Car Funding AESOP LLC, Series 2016-1A, Class A, 2.990%, 6/20/2022, 144A	$	1,563,739
	317,749	CPS Auto Receivables Trust, Series 2015-C, Class A, 1.770%, 6/17/2019, 144A		317,809
	1,825,000	Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A, 2.420%, 11/15/2023, 144A		1,833,698
	2,875,000	Credit Acceptance Auto Loan Trust, Series 2016-3A, Class A, 2.150%, 4/15/2024, 144A		2,867,847
	2,310,000	Flagship Credit Auto Trust, Series 2016-4, Class A2, 1.960%, 2/16/2021, 144A		2,311,430
	3,500,000	NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A		3,500,447
	725,000	NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A2, 2.740%, 4/15/2021, 144A		731,080
	1,495,000	NextGear Floorplan Master Owner Trust, Series 2017-1A, Class A2, 2.540%, 4/18/2022, 144A		1,496,696

				14,622,746

		ABS Home Equity — 0.5%
	2,186,080	Home Partners of America Trust, Series 2016-1, Class A, 1-month LIBOR + 1.650%, 2.884%, 3/17/2033, 144A(a)		2,209,319
	1,427,835	Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060, 144A(g)		1,434,114

				3,643,433

		ABS Student Loan — 0.0%
	275,594	SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1-month LIBOR + 0.950%, 2.187%, 1/25/2039, 144A(a)		278,313

		Agency Commercial Mortgage-Backed Securities — 16.9%
	4,214,203	Federal National Mortgage Association, Series 2015-M17, Class FA, 1-month LIBOR + 0.930%, 2.162%, 11/25/2022(a)		4,216,131
	1,000,000	Federal National Mortgage Association, Series 2016-M3, Class ASQ2, 2.263%, 2/25/2023		997,294
	6,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020		6,277,790
	4,305,000	FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021		4,548,375
	4,000,000	FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021		4,148,592
	6,625,000	FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021		6,797,383
	2,580,000	FHLMC Multifamily Structured Pass Through Certificates, Series K064, Class A2, 3.224%, 3/25/2027(g)		2,660,113
	3,441,337	FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018		3,449,820
	679,226	FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018		681,419
	2,541,425	FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018		2,553,057

See accompanying notes to financial statements.

53 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Agency Commercial Mortgage-Backed Securities — continued
$	7,727,120	FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019	$	7,759,202
	34,370,000	FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019		34,314,705
	2,689,397	FHLMC Multifamily Structured Pass Through Certificates, Series K725, Class A1, 2.666%, 5/25/2023		2,734,974
	4,100,025	FHLMC Multifamily Structured Pass Through Certificates, Series KABM, Class A, 1-month LIBOR + 0.700%, 1.932%, 9/25/2022(a)		4,107,441
	1,064,430	FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 1-month LIBOR + 0.330%, 1.562%, 11/25/2021(a)		1,063,593
	8,700,404	FHLMC Multifamily Structured Pass Through Certificates, Series KF14, Class A, 1-month LIBOR + 0.650%, 1.882%, 1/25/2023(a)		8,719,476
	4,027,154	FHLMC Multifamily Structured Pass Through Certificates, Series KJ04, Class A1, 1.376%, 10/25/2020		4,005,377
	19,300,000	FHLMC Multifamily Structured Pass Through Certificates, Series KLH2, Class A, 1-month LIBOR + 0.700%, 1.932%, 11/25/2022(a)		19,378,640
	6,975,663	FHLMC Multifamily Structured Pass Through Certificates, Series KP03, Class A2, 1.780%, 7/25/2019		6,972,689
	182,926	Government National Mortgage Association, Series 2003-72, Class Z, 5.265%, 11/16/2045(g)		194,044
	159,379	Government National Mortgage Association, Series 2003-88, Class Z, 4.771%, 3/16/2046(g)		167,064

				125,747,179

		Collateralized Mortgage Obligations — 16.1%
	76,091	Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 7-year Treasury - 0.200%, 1.810%, 5/15/2023(a)(b)(c)		73,634
	50,312	Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 10-year Treasury - 0.650%, 1.540%, 8/15/2023(a)(b)(c)		49,678
	193,448	Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029		208,308
	467,004	Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019		475,669
	864,326	Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020		876,418
	1,507,662	Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035		1,678,855
	2,245,294	Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035		2,448,581
	1,824,700	Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038		1,954,298
	1,667,766	Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 3.024%, 6/15/2048(d)(g)		1,590,875
	1,887,475	Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.217%, 12/15/2036(d)(g)		1,988,184
	775,121	Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 1-month LIBOR + 2.100%, 3.334%, 6/15/2043(a)		756,323

See accompanying notes to financial statements.

| 54

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	1,551,718	Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033	$	1,732,413
	48,263	Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 7-year Treasury - 0.050%, 1.950%, 9/25/2022(a)(b)(c)		47,752
	49,419	Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 10-year Treasury - 0.500%, 1.690%, 4/25/2024(a)(b)(c)		48,913
	10,928	Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.857%, 8/25/2042(b)(c)(g)		11,666
	802,598	Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025		852,699
	808,709	Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 1-month LIBOR + 0.060%, 1.297%, 7/25/2037(a)		793,656
	1,764,772	Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.441%, 8/25/2038(g)		1,841,005
	5,412,360	Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1-month LIBOR + 1.000%, 2.237%, 7/25/2043(a)		5,262,798
	32,780	Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 10-year Treasury - 0.650%, 1.530%, 4/25/2023(a)(b)(c)		32,443
	10,094	FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.626%, 3/25/2044(b)(c)(g)		10,468
	743,809	FHLMC Structured Pass Through Securities, Series T-62, Class 1A1, 12-month MTA + 1.200%, 2.030%, 10/25/2044(a)		755,873
	1,267,347	Government National Mortgage Association, Series 2010-H20, Class AF, 1-month LIBOR + 0.330%, 1.561%, 10/20/2060(a)		1,258,815
	1,149,273	Government National Mortgage Association, Series 2010-H24, Class FA, 1-month LIBOR + 0.350%, 1.581%, 10/20/2060(a)		1,141,817
	986,041	Government National Mortgage Association, Series 2011-H06, Class FA, 1-month LIBOR + 0.450%, 1.681%, 2/20/2061(a)		984,747
	1,614,628	Government National Mortgage Association, Series 2012-124, Class HT, 7.269%, 7/20/2032(g)		1,809,322
	1,215,475	Government National Mortgage Association, Series 2012-H15, Class FA, 1-month LIBOR + 0.450%, 1.681%, 5/20/2062(a)		1,216,766
	1,139,014	Government National Mortgage Association, Series 2012-H18, Class NA, 1-month LIBOR + 0.520%, 1.751%, 8/20/2062(a)		1,138,620
	4,380,387	Government National Mortgage Association, Series 2012-H29, Class HF, 1-month LIBOR + 0.500%, 1.731%, 10/20/2062(a)		4,385,288
	3,673,455	Government National Mortgage Association, Series 2013-H02, Class GF, 1-month LIBOR + 0.500%, 1.731%, 12/20/2062(a)		3,678,932
	4,423,893	Government National Mortgage Association, Series 2013-H08, Class FA, 1-month LIBOR + 0.350%, 1.581%, 3/20/2063(a)		4,404,586
	3,207,897	Government National Mortgage Association, Series 2013-H10, Class FA, 1-month LIBOR + 0.400%, 1.631%, 3/20/2063(a)		3,199,522
	10,999,057	Government National Mortgage Association, Series 2013-H22, Class FT, 1-year CMT + 0.650%, 1.880%, 4/20/2063(a)		11,087,838
	6,376,841	Government National Mortgage Association, Series 2014-H14, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)		6,366,694
	4,273,066	Government National Mortgage Association, Series 2014-H15, Class FA, 1-month LIBOR + 0.500%, 1.731%, 7/20/2064(a)		4,265,601

See accompanying notes to financial statements.

55 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Collateralized Mortgage Obligations — continued
$	3,165,989	Government National Mortgage Association, Series 2015-H05, Class FA, 1-month LIBOR + 0.300%, 1.531%, 4/20/2061(a)	$	3,165,654
	9,219,131	Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065		9,199,138
	9,394,734	Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065		9,203,736
	1,721,337	Government National Mortgage Association, Series 2015-H11, Class FA, 1-month LIBOR + 0.250%, 1.481%, 4/20/2065(a)		1,720,462
	4,902,224	Government National Mortgage Association, Series 2015-H19, Class FH, 1-month LIBOR + 0.300%, 1.531%, 7/20/2065(a)		4,901,412
	1,493,377	Government National Mortgage Association, Series 2015-H29, Class FA, 1-month LIBOR + 0.700%, 1.931%, 10/20/2065(a)		1,498,095
	888,741	Government National Mortgage Association, Series 2015-H30, Class FA, 1-month LIBOR + 0.680%, 1.911%, 8/20/2061(a)		891,473
	6,326,714	Government National Mortgage Association, Series 2016-H06, Class FC, 1-month LIBOR + 0.920%, 2.151%, 2/20/2066(a)		6,403,502
	4,551,299	Government National Mortgage Association, Series 2016-H10, Class FJ, 1-month LIBOR + 0.600%, 1.831%, 4/20/2066(a)		4,561,398
	7,676,104	Government National Mortgage Association, Series 2016-H19, Class FJ, 1-month LIBOR + 0.400%, 1.631%, 9/20/2063(a)		7,685,834
	263,799	NCUA Guaranteed Notes, Series 2010-A1, Class A, 1-month LIBOR + 0.350%, 1.582%, 12/07/2020(a)		263,956
	637,567	NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 1-month LIBOR + 0.450%, 1.681%, 10/07/2020(a)		639,459
	1,149,046	NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 1-month LIBOR + 0.560%, 1.791%, 12/08/2020(a)		1,151,403
	77,655	NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 1-month LIBOR + 0.560%, 1.791%, 12/08/2020(a)		78,128

				119,792,707

		Hybrid ARMs — 12.4%
	1,371,695	FHLMC, 1-year CMT + 2.285%, 2.881%, 2/01/2036(a)		1,451,190
	698,129	FHLMC, 1-year CMT + 2.165%, 2.924%, 4/01/2036(a)		721,875
	257,529	FHLMC, 1-year CMT + 2.221%, 2.955%, 9/01/2038(a)		270,984
	2,705,529	FHLMC, 1-year CMT + 2.264%, 2.983%, 2/01/2036(a)		2,854,575
	4,384,778	FHLMC, 1-year CMT + 2.252%, 3.054%, 3/01/2037(a)		4,621,115
	878,901	FHLMC, 1-year CMT + 2.196%, 3.056%, 9/01/2038(a)		927,154
	1,079,995	FHLMC, 1-year CMT + 2.245%, 3.089%, 3/01/2036(a)		1,140,599
	432,881	FHLMC, 1-year CMT + 2.250%, 3.105%, 2/01/2035(a)		456,435
	649,203	FHLMC, 6-month LIBOR + 1.731%, 3.106%, 6/01/2037(a)		668,829
	101,963	FHLMC, 12-month LIBOR + 1.724%, 3.158%, 12/01/2037(a)		105,720
	1,064,973	FHLMC, 1-year CMT + 2.249%, 3.218%, 9/01/2038(a)		1,122,313
	1,801,538	FHLMC, 1-year CMT + 2.220%, 3.319%, 7/01/2033(a)		1,899,821
	501,257	FHLMC, 12-month LIBOR + 1.640%, 3.386%, 11/01/2038(a)		523,048
	1,843,306	FHLMC, 12-month LIBOR + 1.766%, 3.448%, 9/01/2035(a)		1,942,271
	467,091	FHLMC, 12-month LIBOR + 1.900%, 3.534%, 12/01/2034(a)		493,883
	518,531	FHLMC, 12-month LIBOR + 1.909%, 3.543%, 4/01/2037(a)		548,077
	653,723	FHLMC, 12-month LIBOR + 1.856%, 3.564%, 11/01/2038(a)		690,175

See accompanying notes to financial statements.

| 56

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Hybrid ARMs — continued
$	1,672,402	FHLMC, 12-month LIBOR + 1.821%, 3.570%, 4/01/2037(a)	$	1,753,922
	801,117	FHLMC, 12-month LIBOR + 1.879%, 3.628%, 3/01/2038(a)		841,146
	2,999,451	FHLMC, 12-month LIBOR + 1.897%, 3.646%, 9/01/2041(a)		3,138,918
	521,266	FHLMC, 12-month LIBOR + 2.180%, 3.888%, 3/01/2037(a)		556,261
	1,060,986	FNMA, 1-year CMT + 2.185%, 2.853%, 1/01/2036(a)		1,117,656
	1,373,622	FNMA, 6-month LIBOR + 1.543%, 2.933%, 7/01/2035(a)		1,420,088
	3,688,861	FNMA, 1-year CMT + 2.220%, 2.950%, 4/01/2034(a)		3,891,983
	153,569	FNMA, 6-month LIBOR + 1.504%, 2.952%, 2/01/2037(a)		158,478
	474,986	FNMA, 1-year CMT + 2.185%, 2.972%, 12/01/2034(a)		496,089
	323,845	FNMA, 1-year CMT + 2.214%, 3.011%, 4/01/2033(a)		339,498
	583,879	FNMA, 1-year CMT + 2.127%, 3.012%, 9/01/2034(a)		614,650
	1,154,507	FNMA, 1-year CMT + 2.287%, 3.039%, 10/01/2033(a)		1,212,250
	1,167,318	FNMA, 1-year CMT + 2.231%, 3.090%, 4/01/2034(a)		1,232,353
	2,237,520	FNMA, 1-year CMT + 2.174%, 3.114%, 11/01/2033(a)		2,358,642
	808,831	FNMA, 1-year CMT + 2.509%, 3.114%, 5/01/2035(a)		861,879
	5,037,535	FNMA, 1-year CMT + 2.194%, 3.125%, 10/01/2034(a)		5,310,260
	3,458,665	FNMA, 1-year CMT + 2.180%, 3.128%, 12/01/2040(a)		3,642,517
	524,494	FNMA, 12-month LIBOR + 1.660%, 3.154%, 10/01/2033(a)		551,966
	410,248	FNMA, 12-month LIBOR + 1.746%, 3.178%, 11/01/2035(a)		432,090
	1,236,991	FNMA, 1-year CMT + 2.200%, 3.191%, 6/01/2036(a)		1,304,694
	640,385	FNMA, 1-year CMT + 2.145%, 3.246%, 9/01/2036(a)		673,747
	2,641,620	FNMA, 12-month LIBOR + 1.585%, 3.258%, 7/01/2035(a)		2,773,171
	2,710,311	FNMA, 12-month LIBOR + 1.560%, 3.259%, 4/01/2037(a)		2,840,146
	421,196	FNMA, 1-year CMT + 2.500%, 3.265%, 8/01/2036(a)		449,620
	2,901,635	FNMA, 1-year CMT + 2.274%, 3.273%, 6/01/2037(a)		3,063,547
	3,629,971	FNMA, 12-month LIBOR + 1.800%, 3.286%, 10/01/2041(a)		3,789,010
	1,147,199	FNMA, 1-year CMT + 2.287%, 3.287%, 6/01/2033(a)		1,213,942
	3,909,514	FNMA, 12-month LIBOR + 1.540%, 3.298%, 9/01/2037(a)		4,079,460
	1,334,537	FNMA, 1-year CMT + 2.223%, 3.348%, 8/01/2035(a)		1,405,656
	2,980,055	FNMA, 12-month LIBOR + 1.614%, 3.364%, 7/01/2038(a)		3,108,431
	295,088	FNMA, 12-month LIBOR + 1.620%, 3.371%, 8/01/2035(a)		308,741
	580,466	FNMA, 12-month LIBOR + 1.677%, 3.373%, 11/01/2036(a)		610,703
	1,172,986	FNMA, 12-month LIBOR + 1.659%, 3.374%, 4/01/2037(a)		1,224,749
	792,524	FNMA, 12-month LIBOR + 1.632%, 3.405%, 8/01/2034(a)		832,995
	391,807	FNMA, 12-month LIBOR + 1.657%, 3.407%, 8/01/2038(a)		407,641
	1,315,017	FNMA, 12-month LIBOR + 1.800%, 3.425%, 12/01/2041(a)		1,377,659
	146,722	FNMA, 12-month LIBOR + 1.841%, 3.432%, 1/01/2037(a)		154,641
	2,644,711	FNMA, 6-month LIBOR + 2.092%, 3.461%, 7/01/2037(a)		2,794,530
	2,059,762	FNMA, 12-month LIBOR + 1.736%, 3.484%, 9/01/2037(a)		2,162,083
	849,578	FNMA, 12-month LIBOR + 1.829%, 3.505%, 2/01/2037(a)		900,809
	213,937	FNMA, 1-year CMT + 2.439%, 3.536%, 8/01/2033(a)		225,317
	2,306,458	FNMA, 12-month LIBOR + 1.784%, 3.546%, 3/01/2037(a)		2,418,022
	1,359,840	FNMA, 12-month LIBOR + 1.820%, 3.546%, 2/01/2047(a)		1,446,158
	282,832	FNMA, 12-month LIBOR + 1.800%, 3.550%, 3/01/2034(a)		298,824
	515,799	FNMA, 12-month LIBOR + 1.802%, 3.552%, 7/01/2041(a)		540,520
	911,513	FNMA, 12-month LIBOR + 2.473%, 4.338%, 6/01/2035(a)		979,515

				91,753,041

See accompanying notes to financial statements.

57 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — 16.7%
$	90,430	FHLMC, 3.000%, 10/01/2026	$	93,007
	644,634	FHLMC, 4.000%, with various maturities from 2024 to 2042(e)		679,401
	409,121	FHLMC, 4.500%, with various maturities from 2025 to 2034(e)		433,225
	181,179	FHLMC, 5.500%, 10/01/2023		191,935
	195,218	FHLMC, COFI + 1.250%, 5.769%, 6/01/2020(a)		199,725
	347,558	FHLMC, COFI + 1.250%, 5.903%, 8/01/2020(a)		357,874
	147,642	FHLMC, COFI + 1.250%, 5.923%, 10/01/2020(a)		151,742
	242,460	FHLMC, COFI + 1.250%, 5.953%, 11/01/2020(a)		250,171
	11,663	FHLMC, 6.000%, 11/01/2019		11,945
	309,295	FHLMC, 6.500%, 12/01/2034		348,965
	356	FHLMC, 7.500%, 6/01/2026		395
	8,460	FHLMC, 11.500%, 4/01/2020		8,565
	168,888	FNMA, 3.000%, 3/01/2042		170,306
	1,802,271	FNMA, 5.000%, with various maturities from 2037 to 2038(e)		1,985,949
	985,666	FNMA, 5.500%, with various maturities from 2018 to 2033(e)		1,076,744
	1,166,532	FNMA, 6.000%, with various maturities from 2017 to 2022(e)		1,236,447
	208,159	FNMA, 6.500%, with various maturities from 2032 to 2037(e)		231,430
	7,056	FNMA, 7.000%, 12/01/2022		7,068
	78,597	FNMA, 7.500%, with various maturities from 2030 to 2032(e)		86,126
	3,888,902	GNMA, 1-month LIBOR + 1.719%, 2.965%, 2/20/2061(a)		4,055,947
	2,915,674	GNMA, 1-month LIBOR + 1.890%, 3.122%, 2/20/2063(a)		3,054,076
	3,956,361	GNMA, 1-month LIBOR + 2.165%, 3.385%, 3/20/2063(a)		4,161,564
	958,706	GNMA, 1-month LIBOR + 2.269%, 3.486%, 5/20/2065(a)		1,026,964
	1,111,008	GNMA, 1-month LIBOR + 2.274%, 3.489%, 6/20/2065(a)		1,193,862
	2,188,834	GNMA, 1-month LIBOR + 2.364%, 3.597%, 2/20/2063(a)		2,309,714
	1,880,983	GNMA, 4.430%, 3/20/2063(g)		1,959,614
	1,663,588	GNMA, 4.441%, 2/20/2063(g)		1,731,073
	3,272,430	GNMA, 4.445%, 6/20/2063(g)		3,431,676
	3,701,347	GNMA, 4.477%, 2/20/2062(g)		3,806,172
	4,306,144	GNMA, 4.492%, 10/20/2065(g)		4,688,944
	3,554,976	GNMA, 4.519%, 12/20/2061(g)		3,647,130
	13,207,030	GNMA, 4.520%, 12/20/2061(g)		13,515,165
	6,436,674	GNMA, 4.540%, 12/20/2062(g)		6,685,089
	1,625,733	GNMA, 4.559%, 3/20/2062(g)		1,676,225
	3,479,634	GNMA, 4.580%, 6/20/2062(g)		3,588,915
	10,450,883	GNMA, 4.585%, 11/20/2062(g)		10,835,675
	1,330,677	GNMA, 4.586%, 4/20/2063(g)		1,388,309
	612,901	GNMA, 4.588%, 7/20/2063(g)		656,744
	854,450	GNMA, 4.592%, 8/20/2061(g)		873,377
	2,093,971	GNMA, 4.604%, 2/20/2066(g)		2,270,849
	1,873,960	GNMA, 4.632%, 3/20/2064(g)		2,012,573
	1,371,026	GNMA, 4.635%, 3/20/2062(g)		1,409,277
	417,480	GNMA, 4.654%, 1/20/2064(g)		449,958
	5,587,103	GNMA, 4.671%, 2/20/2062(g)		5,740,066
	7,122,486	GNMA, 4.683%, with various maturities from 2061 to 2063(e)(g)		7,366,104
	1,562,550	GNMA, 4.684%, 5/20/2064(g)		1,698,292
	2,524,957	GNMA, 4.685%, 2/20/2062(g)		2,589,577

See accompanying notes to financial statements.

| 58

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Mortgage Related — continued
$	865,138	GNMA, 4.699%, 6/20/2061(g)	$	877,781
	5,050,086	GNMA, 4.700%, with various maturities in 2061(e)(g)		5,138,809
	957,647	GNMA, 4.716%, 3/20/2061(g)		971,494
	973,625	GNMA, 4.737%, 8/20/2062(g)		1,001,375
	375,511	GNMA, 5.018%, 4/20/2061(g)		388,552
	16,783	GNMA, 6.000%, 12/15/2031		19,247
	65,764	GNMA, 6.500%, 5/15/2031		75,355
	68,685	GNMA, 7.000%, 10/15/2028		76,080
	3,872,523	Government National Mortgage Association, Series 2015-H04, Class FL, 1-month LIBOR + 0.470%, 1.701%, 2/20/2065(a)		3,861,734
	5,895,032	Government National Mortgage Association, Series 2015-H12, Class FL, 1-month LIBOR + 0.230%, 1.461%, 5/20/2065(a)		5,844,949

				123,599,327

		Non-Agency Commercial Mortgage-Backed Securities — 4.5%
	3,445,000	Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2016-ASHF, Class A, 1-month LIBOR + 1.900%, 3.127%, 12/15/2033, 144A(a)		3,463,120
	478,172	Barclays Commercial Mortgage Securities, Series 2015-RRI, Class A, 1-month LIBOR + 1.250%, 2.477%, 5/15/2032, 144A(a)		478,473
	1,310,000	Commercial Mortgage Pass Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A		1,311,828
	2,520,717	Commercial Mortgage Pass Through Certificates, Series 2014-FL5, Class A, 1-month LIBOR + 1.370%, 2.604%, 10/15/2031, 144A(a)		2,529,094
	1,488,000	Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5, 3.961%, 3/10/2047		1,576,902
	4,282,000	Commercial Mortgage Pass Through Certificates, Series 2016-DC2, Class ASB, 3.550%, 2/10/2049		4,444,863
	1,399,000	DBUBS Mortgage Trust, Series 2011-LC2A, Class A4, 4.537%, 7/10/2044, 144A		1,489,869
	1,177,707	GP Portfolio Trust, Series 2014-GPP, Class A, 1-month LIBOR + 1.200%, 2.427%, 2/15/2027, 144A(a)		1,180,319
	2,600,000	Hudsons Bay Simon JV Trust, Series 2015-HB7, Class A7, 3.914%, 8/05/2034, 144A		2,633,376
	5,535,000	JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1-month LIBOR + 0.900%, 2.134%, 10/15/2029, 144A(a)		5,536,727
	202,755	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1-month LIBOR + 0.980%, 2.207%, 7/15/2031, 144A(a)		203,059
	3,633,627	JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class A, 1-month LIBOR + 1.700%, 2.927%, 7/15/2036, 144A(a)		3,641,569
	1,040,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C8, Class A4, 3.134%, 12/15/2048		1,069,135
	3,700,000	Starwood Retail Property Trust, Inc., 1-month LIBOR + 1.220%, 2.454%, 11/15/2027, 144A(a)		3,692,613

				33,250,947

		Sovereigns — 0.3%
	1,955,000	U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019		1,966,104

See accompanying notes to financial statements.

59 |

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)


Principal Amount		Description	Value (†)
		Treasuries — 23.1%
$	7,100,000	U.S. Treasury Note, 0.875%, 7/31/2019	$	7,025,949
	20,395,000	U.S. Treasury Note, 1.125%, 6/30/2021		19,923,366
	25,890,000	U.S. Treasury Note, 1.125%, 8/31/2021		25,234,659
	4,145,000	U.S. Treasury Note, 1.375%, 1/31/2021		4,101,121
	8,460,000	U.S. Treasury Note, 1.750%, 6/30/2022		8,398,202
	9,730,000	U.S. Treasury Note, 1.750%, 9/30/2022		9,640,302
	7,895,000	U.S. Treasury Note, 1.875%, 4/30/2022		7,887,907
	1,395,000	U.S. Treasury Note, 1.875%, 7/31/2022		1,391,949
	17,015,000	U.S. Treasury Note, 2.000%, 12/31/2021		17,120,679
	16,230,000	U.S. Treasury Note, 2.125%, 9/30/2024		16,186,889
	14,520,000	U.S. Treasury Note, 2.000%, 11/15/2026		14,149,627
	13,945,000	U.S. Treasury Note, 2.125%, 9/30/2021		14,113,865
	26,120,000	U.S. Treasury Note, 2.250%, 1/31/2024		26,349,570

				171,524,085

		Total Bonds and Notes (Identified Cost $694,606,720)		686,177,882

	Short-Term Investments — 13.0%
	7,310,000	Federal Home Loan Bank Discount Notes, 0.850%-0.990%, 10/02/2017(f)		7,310,000
	7,435,000	Federal Home Loan Bank Discount Notes, 0.950%, 10/05/2017(f)		7,434,383
	6,755,000	Federal Home Loan Bank Discount Notes, 0.950%, 10/06/2017(f)		6,754,257
	16,250,000	Federal Home Loan Bank Discount Notes, 0.985%, 10/31/2017(f)		16,237,032
	9,805,000	Federal Home Loan Bank Discount Notes, 1.070%, 11/02/2017(f)		9,796,558
	33,360,000	Federal National Mortgage Association Discount Notes, 0.900%-0.950%, 10/02/2017(f)		33,360,000
	4,131,975	Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/29/2017 at 0.340% to be repurchased at $4,132,092 on 10/02/2017 collateralized by $4,005,000 U.S. Treasury Inflation Note, 0.125% due 4/15/2020 valued at $4,214,930 including accrued interest (Note 2 of Notes to Financial Statements)		4,131,975
	1,390,000	U.S. Treasury Bills, 1.025%, 12/07/2017(f)		1,387,490
	9,795,000	U.S. Treasury Bills, 1.036%, 02/01/2018(f)		9,759,648

		Total Short-Term Investments (Identified Cost $96,169,819)		96,171,343


		Total Investments — 105.5% (Identified Cost $790,776,539)		782,349,225
		Other assets less liabilities — (5.5)%		(40,581,627	)

		Net Assets — 100.0%	$	741,767,598


	(†)	See Note 2 of Notes to Financial Statements.
	(a)	Variable rate security. Rate as of September 30, 2017 is disclosed.
	(b)	Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements.
	(c)	Fair valued by the Fund’s adviser. At September 30, 2017, the value of these securities amounted to $274,554 or less than 0.1% of net assets. See Note 2 of Notes to Financial Statements.

See accompanying notes to financial statements.

| 60

Portfolio of Investments – as of September 30, 2017

Loomis Sayles Limited Term Government and Agency Fund – (continued)



	(d)			Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the outstanding par amount of the pool held as of the end of the period.
	(e)			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.
	(f)			Interest rate represents discount rate at time of purchase; not a coupon rate.
	(g)			Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.

	144A			All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2017, the value of Rule 144A holdings amounted to $44,704,539 or 6.0% of net assets.
	ABS			Asset-Backed Securities
	ARMs			Adjustable Rate Mortgages
	CMT			Constant Maturity Treasuries
	COFI			Cost Of Funds Index
	FHLMC			Federal Home Loan Mortgage Corp.
	FNMA			Federal National Mortgage Association
	GNMA			Government National Mortgage Association
	LIBOR			London Interbank Offered Rate
	MTA			Monthly Treasury Average Index
	REMIC			Real Estate Mortgage Investment Conduit

Industry Summary at September 30, 2017


Treasuries	23.1	%
Agency Commercial Mortgage-Backed Securities	16.9
Mortgage Related	16.7
Collateralized Mortgage Obligations	16.1
Hybrid ARMs	12.4
Non-Agency Commercial Mortgage-Backed Securities	4.5
ABS Car Loan	2.0
Other Investments, less than 2% each	0.8
Short-Term Investments	13.0

Total Investments	105.5
Other assets less liabilities	(5.5	)

Net Assets	100.0	%

See accompanying notes to financial statements.

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| 62

Statements of Assets and Liabilities

September 30, 2017


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
ASSETS
Investments at cost	$	175,670,510		$	180,394,572		$	790,776,539
Net unrealized appreciation (depreciation)		941,505			(84,520	)		(8,427,314	)

Investments at value		176,612,015			180,310,052			782,349,225
Cash		62,338			4,057,303			—
Due from brokers (Note 2)		—			60,000			—
Foreign currency at value (identified cost $40,801, $0 and $0, respectively)		41,276			—			—
Receivable for Fund shares sold		813,835			365,354			1,027,897
Receivable for securities sold		228,039			5,471,875			42,397,492
Dividends and interest receivable		2,385,968			652,050			2,583,787
Tax reclaims receivable		1,280			305			—
Prepaid expenses (Note 8)		232			247			731

TOTAL ASSETS		180,144,983			190,917,186			828,359,132

LIABILITIES
Payable for securities purchased		573,104			10,959,923			84,188,709
Payable for Fund shares redeemed		65,462			27,312			1,456,159
Payable for variation margin on futures contracts (Note 2)		—			13,125			—
Distributions payable		—			—			229,846
Management fees payable (Note 6)		67,126			11,066			209,625
Deferred Trustees’ fees (Note 6)		149,738			102,583			297,934
Administrative fees payable (Note 6)		6,532			6,698			27,431
Payable to distributor (Note 6d)		2,420			1,262			4,522
Other accounts payable and accrued expenses		72,688			74,950			177,308

TOTAL LIABILITIES		937,070			11,196,919			86,591,534

NET ASSETS	$	179,207,913		$	179,720,267		$	741,767,598

NET ASSETS CONSIST OF:
Paid-in capital	$	179,763,967		$	181,077,241		$	771,874,059
Undistributed (Distributions in excess of) net investment income		(357,359	)		(24,507	)		367,737
Accumulated net realized loss on investments, forward foreign currency contracts and foreign currency transactions		(1,139,590	)		(1,144,672	)		(22,046,884	)
Net unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translations		940,895			(187,795	)		(8,427,314	)

NET ASSETS	$	179,207,913		$	179,720,267		$	741,767,598

See accompanying notes to financial statements.

63 |

Statements of Assets and Liabilities (continued)

September 30, 2017


	High Income Fund			Intermediate Duration Bond Fund		Limited Term Government and Agency Fund
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
Class A shares:
Net assets	$	34,039,331		$	21,827,511	$	336,226,724

Shares of beneficial interest		7,783,979			2,120,486		29,694,359

Net asset value and redemption price per share	$	4.37		$	10.29	$	11.32

Offering price per share (100/[100-maximum sales charge] of net asset value) (Note 1)	$	4.56		$	10.75	$	11.58

Class C shares: (redemption price per share is equal to net asset value less any applicable contingent deferred sales charge) (Note 1)
Net assets	$	11,227,332		$	3,225,055	$	43,319,090

Shares of beneficial interest		2,560,461			313,176		3,822,512

Net asset value and offering price per share	$	4.38		$	10.30	$	11.33

Class N shares:
Net assets	$	1,092		$	—	$	1,899,604

Shares of beneficial interest		250			—		167,284

Net asset value, offering and redemption price per share	$	4.36	(a)	$	—	$	11.36

Class Y shares:
Net assets	$	133,940,158		$	154,667,701	$	360,322,180

Shares of beneficial interest		30,708,845			15,030,498		31,720,255

Net asset value, offering and redemption price per share	$	4.36		$	10.29	$	11.36

(a)	Net asset value calculations have been determined utilizing fractional share and penny amounts.

See accompanying notes to financial statements.

| 64

Statements of Operations

For the Year Ended September 30, 2017


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
INVESTMENT INCOME
Interest	$	10,124,492		$	4,137,730		$	11,940,183
Dividends		519,832			—			—
Less net foreign taxes withheld		(7,820	)		(139	)		—

		10,636,504			4,137,591			11,940,183

Expenses
Management fees (Note 6)		1,042,422			443,227			2,966,461
Service and distribution fees (Note 6)		204,814			82,291			1,520,083
Administrative fees (Note 6)		77,527			79,109			362,331
Trustees’ fees and expenses (Note 6)		36,722			31,504			68,823
Transfer agent fees and expenses (Notes 6 and 7)		214,608			81,778			731,628
Audit and tax services fees		54,578			62,586			56,782
Custodian fees and expenses		24,746			22,464			45,088
Legal fees		3,832			3,893			18,715
Registration fees		64,371			72,653			111,097
Shareholder reporting expenses		34,566			26,480			83,156
Miscellaneous expenses (Note 8)		16,483			14,278			39,212

Total expenses		1,774,669			920,263			6,003,376
Less waiver and/or expense reimbursement (Note 6)		(115,021	)		(128,732	)		(17,792	)

Net expenses		1,659,648			791,531			5,985,584

Net investment income		8,976,856			3,346,060			5,954,599

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FORWARD FOREIGN CURRENCY CONTRACTS, FUTURES CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) on:
Investments		825,959			(364,816	)		(1,193,894	)
Forward foreign currency contracts (Note 2d)		3,351			—			—
Foreign currency transactions (Note 2c)		9,540			—			—
Net change in unrealized appreciation (depreciation) on:
Investments		3,998,872			(1,410,095	)		(5,444,007	)
Forward foreign currency contracts (Note 2d)		(233	)		—			—
Futures contracts		—			(103,275	)		—
Foreign currency translations (Note 2c)		1,068			—			—

Net realized and unrealized gain (loss) on investments, forward foreign currency contracts, futures contracts and foreign currency transactions		4,838,557			(1,878,186	)		(6,637,901	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	13,815,413		$	1,467,874		$	(683,302	)

See accompanying notes to financial statements.

65 |

Statements of Changes in Net Assets


	High Income Fund						Intermediate Duration Bond Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	8,976,856		$	8,583,675		$	3,346,060		$	2,750,862
Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency transactions		838,850			(5,345,683	)		(364,816	)		1,570,969
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations		3,999,707			13,406,022			(1,513,370	)		1,160,767

Net increase in net assets resulting from operations		13,815,413			16,644,014			1,467,874			5,482,598

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(1,577,362	)		(1,391,187	)		(390,277	)		(390,657	)
Class B(a)		—			(14	)		—			—
Class C		(453,429	)		(384,341	)		(36,839	)		(1	)
Class N		(41	)		—			—			—
Class Y		(6,175,066	)		(4,855,484	)		(3,322,106	)		(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		(8,205,898	)		(7,015,712	)		(5,012,106	)		(3,295,835	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(2,678,063	)		(670,213	)		21,450,975			52,609,062

Net increase in net assets		2,931,452			8,958,089			17,906,743			54,795,825
NET ASSETS
Beginning of the year		176,276,461			167,318,372			161,813,524			107,017,699

End of the year	$	179,207,913		$	176,276,461		$	179,720,267		$	161,813,524

DISTRIBUTIONS IN EXCESS OF NET INVESTMENT INCOME	$	(357,359	)	$	(462,119	)	$	(24,507	)	$	(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.

| 66

Statements of Changes in Net Assets (continued)


	Limited Term Government and Agency Fund
	Year Ended September 30, 2017			Year Ended September 30, 2016
FROM OPERATIONS:
Net investment income	$	5,954,599		$	9,196,702
Net realized gain (loss) on investments		(1,193,894	)		2,246,153
Net change in unrealized appreciation (depreciation) on investments		(5,444,007	)		(2,140,764	)

Net increase (decrease) in net assets resulting from operations		(683,302	)		9,302,091

FROM DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income
Class A		(6,178,474	)		(5,792,542	)
Class B(a)		—			(5,359	)
Class C		(492,969	)		(543,862	)
Class N		(19,353	)		—
Class Y		(6,976,388	)		(7,311,896	)

Total distributions		(13,667,184	)		(13,653,659	)

NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11)		(171,478,152	)		88,093,679

Net increase (decrease) in net assets		(185,828,638	)		83,742,111
NET ASSETS
Beginning of the year		927,596,236			843,854,125

End of the year	$	741,767,598		$	927,596,236

UNDISTRIBUTED NET INVESTMENT INCOME	$	367,737		$	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.

67 |

Financial Highlights

For a share outstanding throughout each period.


	High Income Fund—Class A
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	4.23		$	3.99		$	4.49		$	4.59		$	4.60

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.22			0.20			0.19			0.21			0.24
Net realized and unrealized gain (loss)		0.12			0.21			(0.39	)		0.17			0.03

Total from Investment Operations		0.34			0.41			(0.20	)		0.38			0.27

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.16	)		(0.19	)		(0.22	)		(0.27	)
Net realized capital gains		—			(0.01	)		(0.11	)		(0.26	)		(0.01	)

Total Distributions		(0.20	)		(0.17	)		(0.30	)		(0.48	)		(0.28	)

Net asset value, end of the period	$	4.37		$	4.23		$	3.99		$	4.49		$	4.59

Total return(b)		8.17	%(c)		10.66	%(c)		(4.78	)%(c)		8.42	%		6.27	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	34,039		$	34,820		$	37,870		$	42,630		$	45,791
Net expenses		1.09	%(d)(e)		1.10	%(d)		1.11	%(d)(f)		1.14	%		1.15	%(g)
Gross expenses		1.15	%		1.14	%		1.13	%		1.14	%		1.15	%(g)
Net investment income		5.03	%		5.16	%		4.41	%		4.57	%		5.11	%
Portfolio turnover rate		46	%		38	%		69	%		59	%		47	%

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

(e)	Effective July 1, 2017, the expense limit decreased to 1.05%.

(f)	Effective July 1, 2015, the expense limit decreased to 1.10%.

(g)	Includes fee/expense recovery of 0.02%.

See accompanying notes to financial statements.

| 68

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class C
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	4.24		$	4.00		$	4.50		$	4.61		$	4.61

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.18			0.18			0.16			0.18			0.21
Net realized and unrealized gain (loss)		0.12			0.20			(0.39	)		0.16			0.04

Total from Investment Operations		0.30			0.38			(0.23	)		0.34			0.25

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)		(0.13	)		(0.16	)		(0.19	)		(0.24	)
Net realized capital gains		—			(0.01	)		(0.11	)		(0.26	)		(0.01	)

Total Distributions		(0.16	)		(0.14	)		(0.27	)		(0.45	)		(0.25	)

Net asset value, end of the period	$	4.38		$	4.24		$	4.00		$	4.50		$	4.61

Total return(b)		7.33	%(c)		9.81	%(c)		(5.48	)%(c)		7.60	%		5.46	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	11,227		$	12,288		$	12,609		$	14,555		$	15,233
Net expenses		1.84	%(d)(e)		1.85	%(d)		1.86	%(d)(f)		1.89	%		1.90	%(g)
Gross expenses		1.90	%		1.89	%		1.88	%		1.89	%		1.90	%(g)
Net investment income		4.29	%		4.43	%		3.68	%		3.84	%		4.36	%
Portfolio turnover rate		46	%		38	%		69	%		59	%		47	%

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

(b)	A contingent deferred sales charge for Class C shares is not reflected in total return calculations.

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

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

(e)	Effective July 1, 2017, the expense limit decreased to 1.80%.

(f)	Effective July 1, 2015, the expense limit decreased to 1.85%.

(g)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

69 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class N
	Period Ended September 30, 2017*
Net asset value, beginning of the period	$	4.16

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.19
Net realized and unrealized gain (loss)		0.18

Total from Investment Operations		0.37

LESS DISTRIBUTIONS FROM:
Net investment income		(0.17	)

Net asset value, end of the period	$	4.36

Total return(b)(c)		8.99	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1
Net expenses(d)(e)(f)		0.75	%
Gross expenses(e)		31.73	%
Net investment income(e)		5.19	%
Portfolio turnover rate(g)		46	%

*	From commencement of Class operations on November 30, 2016 through September 30, 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.

(f)	Effective July 1, 2017, the expense limit decreased to 0.75%.

(g)	Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

See accompanying notes to financial statements.

| 70

Financial Highlights (continued)

For a share outstanding throughout each period.


	High Income Fund—Class Y
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	4.22		$	3.98		$	4.48		$	4.59		$	4.59

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.23			0.21			0.20			0.22			0.25
Net realized and unrealized gain (loss)		0.12			0.21			(0.39	)		0.16			0.04

Total from Investment Operations		0.35			0.42			(0.19	)		0.38			0.29

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.17	)		(0.20	)		(0.23	)		(0.28	)
Net realized capital gains		—			(0.01	)		(0.11	)		(0.26	)		(0.01	)

Total Distributions		(0.21	)		(0.18	)		(0.31	)		(0.49	)		(0.29	)

Net asset value, end of the period	$	4.36		$	4.22		$	3.98		$	4.48		$	4.59

Total return		8.47	%(b)		10.98	%(b)		(4.54	)%(b)		8.72	%		6.56	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	133,940		$	129,169		$	116,837		$	125,185		$	108,170
Net expenses		0.84	%(c)(d)		0.85	%(c)		0.86	%(c)(e)		0.89	%		0.90	%(f)
Gross expenses		0.90	%		0.89	%		0.88	%		0.89	%		0.90	%(f)
Net investment income		5.28	%		5.43	%		4.67	%		4.83	%		5.37	%
Portfolio turnover rate		46	%		38	%		69	%		59	%		47	%

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

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

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

(d)	Effective July 1, 2017, the expense limit decreased to 0.80%.

(e)	Effective July 1, 2015, the expense limit decreased to 0.85%.

(f)	Includes fee/expense recovery of 0.01%.

See accompanying notes to financial statements.

71 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class A*
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.52		$	10.39		$	10.39		$	10.34		$	10.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.17			0.20			0.20			0.22			0.18
Net realized and unrealized gain (loss)		(0.12	)		0.17			0.03			0.11			(0.23	)

Total from Investment Operations		0.05			0.37			0.23			0.33			(0.05	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.20	)		(0.21	)		(0.22	)		(0.25	)		(0.24	)
Net realized capital gains		(0.08	)		(0.03	)		(0.01	)		(0.03	)		(0.17	)

Total Distributions		(0.28	)		(0.24	)		(0.23	)		(0.28	)		(0.41	)

Net asset value, end of the period	$	10.29		$	10.52		$	10.39		$	10.39		$	10.34

Total return(b)(c)		0.44	%		3.64	%		2.17	%		3.24	%		(0.46	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	21,828		$	19,327		$	18,425		$	5,931		$	5,601
Net expenses(d)		0.65	%		0.65	%		0.65	%		0.65	%		0.65	%
Gross expenses		0.72	%		0.72	%		0.71	%		0.85	%		0.79	%
Net investment income		1.69	%		1.89	%		1.93	%		2.07	%		1.71	%
Portfolio turnover rate		216	%		151	%		151	%		134	%		124	%

*	Effective August 31, 2016, Retail Class shares were redesignated as Class A shares. See Note 1 of Notes to Financial Statements.

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

(b)	A sales charge for Class A shares is not reflected in total return calculations.

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

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

See accompanying notes to financial statements.

| 72

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class C
	Year Ended September 30, 2017			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)		0.10			0.01
Net realized and unrealized gain (loss)		(0.13	)		0.00	(b)

Total from Investment Operations		(0.03	)		0.01

LESS DISTRIBUTIONS FROM:
Net investment income		(0.12	)		(0.01	)
Net realized capital gains		(0.08	)		—

Total Distributions		(0.20	)		(0.01	)

Net asset value, end of the period	$	10.30		$	10.53

Total return(c)(d)		(0.29	)%		0.08	%(e)
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	3,225		$	3,088
Net expenses(f)		1.40	%		1.40	%(g)
Gross expenses		1.48	%		1.56	%(g)
Net investment income		0.95	%		0.86	%(g)
Portfolio turnover rate		216	%		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.

73 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Intermediate Duration Bond Fund—Class Y*
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	10.52		$	10.39		$	10.39		$	10.33		$	10.80

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.20			0.22			0.22			0.24			0.21
Net realized and unrealized gain (loss)		(0.13	)		0.18			0.04			0.12			(0.24	)

Total from Investment Operations		0.07			0.40			0.26			0.36			(0.03	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.22	)		(0.24	)		(0.25	)		(0.27	)		(0.27	)
Net realized capital gains		(0.08	)		(0.03	)		(0.01	)		(0.03	)		(0.17	)

Total Distributions		(0.30	)		(0.27	)		(0.26	)		(0.30	)		(0.44	)

Net asset value, end of the period	$	10.29		$	10.52		$	10.39		$	10.39		$	10.33

Total return(b)		0.69	%		3.90	%		2.42	%		3.60	%		(0.30	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	154,668		$	139,398		$	88,592		$	66,759		$	66,424
Net expenses(c)		0.40	%		0.40	%		0.40	%		0.40	%		0.40	%
Gross expenses		0.47	%		0.47	%		0.47	%		0.57	%		0.48	%
Net investment income		1.93	%		2.11	%		2.15	%		2.31	%		1.97	%
Portfolio turnover rate		216	%		151	%		151	%		134	%		124	%

*	Effective August 31, 2016, Institutional Class shares were redesignated as Class Y shares. See Note 1 of Notes to Financial Statements.

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

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

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

See accompanying notes to financial statements.

| 74

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class A
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	11.51		$	11.57		$	11.61		$	11.68		$	12.04

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.08			0.11			0.14			0.16			0.13
Net realized and unrealized gain (loss)		(0.09	)		0.00	(b)		0.01	(c)		0.01			(0.23	)

Total from Investment Operations		(0.01	)		0.11			0.15			0.17			(0.10	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.18	)		(0.17	)		(0.19	)		(0.24	)		(0.26	)
Net realized capital gains		—			—			—			—			(0.00	)(b)
Paid-in capital		—			—			—			—			(0.00	)(b)

Total Distributions		(0.18	)		(0.17	)		(0.19	)		(0.24	)		(0.26	)

Net asset value, end of the period	$	11.32		$	11.51		$	11.57		$	11.61		$	11.68

Total return(d)		(0.04	)%		0.93	%		1.26	%		1.44	%		(0.81	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	336,227		$	442,671		$	346,317		$	314,360		$	355,212
Net expenses		0.80	%		0.77	%		0.77	%		0.80	%(e)		0.87	%(f)
Gross expenses		0.80	%		0.77	%		0.77	%		0.80	%(e)		0.87	%(f)
Net investment income		0.67	%		0.96	%		1.21	%		1.35	%		1.11	%
Portfolio turnover rate		126	%		109	%(g)		48	%		24	%		39	%

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

(f)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.84%.

(g)	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.

75 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund— Class C
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	11.52		$	11.58		$	11.62		$	11.69		$	12.05

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss)(a)		(0.01	)		0.02			0.05			0.07			0.04
Net realized and unrealized gain (loss)		(0.08	)		0.00	(b)		0.01	(c)		0.01			(0.23	)

Total from Investment Operations		(0.09	)		0.02			0.06			0.08			(0.19	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.10	)		(0.08	)		(0.10	)		(0.15	)		(0.17	)
Net realized capital gains		—			—			—			—			(0.00	)(b)
Paid-in capital		—			—			—			—			(0.00	)(b)

Total Distributions		(0.10	)		(0.08	)		(0.10	)		(0.15	)		(0.17	)

Net asset value, end of the period	$	11.33		$	11.52		$	11.58		$	11.62		$	11.69

Total return(d)		(0.79	)%		0.18	%		0.51	%		0.69	%		(1.55	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	43,319		$	73,027		$	63,167		$	56,936		$	71,963
Net expenses		1.55	%		1.52	%		1.53	%		1.55	%(e)		1.62	%(f)
Gross expenses		1.55	%		1.52	%		1.53	%		1.55	%(e)		1.62	%(f)
Net investment income (loss)		(0.09	)%		0.21	%		0.47	%		0.61	%		0.36	%
Portfolio turnover rate		126	%		109	%(g)		48	%		24	%		39	%

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

(f)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 1.59%.

(g)	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.

| 76

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class N
	Period Ended September 30, 2017*
Net asset value, beginning of the period	$	11.39

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.05
Net realized and unrealized gain (loss)(b)		0.08

Total from Investment Operations		0.13

LESS DISTRIBUTIONS FROM:
Net investment income		(0.16	)

Net asset value, end of the period	$	11.36

Total return(c)(d)		1.12	%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	1,900
Net expenses(e)(f)		0.47	%
Gross expenses(f)		0.50	%
Net investment income(f)		0.64	%
Portfolio turnover rate(g)		126	%

*	From commencement of Class operations on February 1, 2017 through September 30, 2017.

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

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

(c)	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)	Represents the Fund’s portfolio turnover rate for the year ended September 30, 2017.

See accompanying notes to financial statements.

77 |

Financial Highlights (continued)

For a share outstanding throughout each period.


	Limited Term Government and Agency Fund—Class Y
	Year Ended September 30, 2017			Year Ended September 30, 2016			Year Ended September 30, 2015			Year Ended September 30, 2014			Year Ended September 30, 2013
Net asset value, beginning of the period	$	11.55		$	11.61		$	11.65		$	11.72		$	12.08

INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income(a)		0.11			0.14			0.17			0.18			0.16
Net realized and unrealized gain (loss)		(0.09	)		0.00	(b)		0.01	(c)		0.02			(0.23	)

Total from Investment Operations		0.02			0.14			0.18			0.20			(0.07	)

LESS DISTRIBUTIONS FROM:
Net investment income		(0.21	)		(0.20	)		(0.22	)		(0.27	)		(0.29	)
Net realized capital gains		—			—			—			—			(0.00	)(b)
Paid-in capital		—			—			—			—			(0.00	)(b)

Total Distributions		(0.21	)		(0.20	)		(0.22	)		(0.27	)		(0.29	)

Net asset value, end of the period	$	11.36		$	11.55		$	11.61		$	11.65		$	11.72

Total return		0.22	%		1.19	%		1.51	%		1.70	%		(0.56	)%
RATIOS TO AVERAGE NET ASSETS:
Net assets, end of the period (000’s)	$	360,322		$	411,898		$	431,727		$	330,224		$	252,127
Net expenses		0.55	%		0.52	%		0.52	%		0.55	%(d)		0.62	%(e)
Gross expenses		0.55	%		0.52	%		0.52	%		0.55	%(d)		0.62	%(e)
Net investment income		0.92	%		1.20	%		1.45	%		1.58	%		1.35	%
Portfolio turnover rate		126	%		109	%(f)		48	%		24	%		39	%

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

(e)	Includes corporate tax expenses of 0.03%. Without this expense the ratio of net expenses would have been 0.59%.

(f)	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.

| 78

Notes to Financial Statements

September 30, 2017

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. Class T shares of the Funds are not currently available for purchase. 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 offered with an initial minimum 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.

79 |

Notes to Financial Statements (continued)

September 30, 2017

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

| 80

Notes to Financial Statements (continued)

September 30, 2017

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.

As of September 30, 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	$	3,391,903		1.9	%	$	2,031,952		1.1	%
Limited Term Government and Agency Fund		—		—			274,554		Less than 0.1	%

81 |

Notes to Financial Statements (continued)

September 30, 2017

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

| 82

Notes to Financial Statements (continued)

September 30, 2017

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 year ended September 30, 2017, the amount of income available to be distributed by High Income Fund has been reduced by $876,336, 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.

83 |

Notes to Financial Statements (continued)

September 30, 2017

which may limit a Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

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

| 84

Notes to Financial Statements (continued)

September 30, 2017

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 year ended September 30, 2017.

85 |

Notes to Financial Statements (continued)

September 30, 2017

There were no when-issued or delayed delivery securities held by the Funds as of September 30, 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 September 30, 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 twelve months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.

i. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on ex-dividend date. The timing and characterization of certain income and capital gain distributions are determined in accordance with federal tax regulations, which may differ from accounting principles generally accepted in the United States of America. Permanent differences are primarily due to differing treatments for book and tax purposes of items such as foreign currency gains and losses, 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

| 86

Notes to Financial Statements (continued)

September 30, 2017

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, futures contracts mark-to-market, 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 years ended September 30, 2017 and 2016 was as follows:


	2017 Distributions Paid From:
Fund	Ordinary Income		Long-Term Capital Gains		Total
High Income Fund	$	8,205,898	$	—	$	8,205,898
Intermediate Duration Bond Fund		4,972,573		39,533		5,012,106
Limited Term Government and Agency Fund		13,667,184		—		13,667,184


	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.

87 |

Notes to Financial Statements (continued)

September 30, 2017

As of September 30, 2017, the components of distributable earnings on a tax basis were as follows:


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Undistributed ordinary income	$	—		$	78,076		$	895,518
Capital loss carryforward:
Short-term:
No expiration date		—			—			(1,659,130	)
Long-term:
No expiration date		(1,006,154	)		—			(20,182,527	)

Total capital loss carryforward		(1,006,154	)		—			(21,841,657	)

Late-year ordinary and post-October* capital loss deferrals		(2,258	)		(1,131,587	)		—

Unrealized appreciation (depreciation)		703,961			(200,880	)		(8,632,541	)

Total accumulated losses	$	(304,451	)	$	(1,254,391	)	$	(29,578,680	)

Capital loss carryforward utilized in the current year	$	1,559,466		$	—		$	—

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. High Income Fund and Intermediate Duration Bond Fund are deferring foreign currency losses and capital losses, respectfully.

As of September 30, 2017, unrealized appreciation (depreciation) on a tax basis was as follows:


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Unrealized appreciation (depreciation)
Investments	$	1,668,247		$	(200,880	)	$	(8,632,541	)
Foreign currency translations		(964,286	)		—			—

Total unrealized appreciation (depreciation)	$	703,961		$	(200,880	)	$	(8,632,541	)

| 88

Notes to Financial Statements (continued)

September 30, 2017

As of September 30, 2017, the cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:


	High Income Fund			Intermediate Duration Bond Fund			Limited Term Government and Agency Fund
Federal tax cost	$	175,907,444		$	180,510,932		$	790,981,766

Gross tax appreciation	$	9,974,653		$	746,282		$	2,717,960
Gross tax depreciation		(9,270,082	)		(947,162	)		(11,350,501	)

Net tax appreciation (depreciation)	$	704,571		$	(200,880	)	$	(8,632,541	)

Differences between these amounts and those reported in the components of distributable earnings are primarily attributable to unrealized foreign exchange gains or losses.

j. Repurchase Agreements. Each Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which each Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. It is each Fund’s policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty, including possible delays or restrictions upon a Fund’s ability to dispose of the underlying securities. As of September 30, 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.

k. Due from Brokers. Transactions and positions in certain forward foreign currency contracts are maintained and cleared by registered U.S. broker/dealers pursuant to customer agreements between the Funds and the various broker/dealers. The due from broker balance in the Statement of Assets and Liabilities for Intermediate Duration Bond Fund represents cash pledged as initial margin for futures contracts. In certain circumstances the Fund’s use of cash held at brokers is restricted by regulation or broker mandated limits.

l. Securities Lending. The Funds have entered into an agreement with State Street Bank and Trust Company (“State Street Bank”), as agent of the Funds, to lend securities to certain designated borrowers. The loans are collateralized with cash or securities in an amount equal to at least 105% or 102% of the market value (including

89 |

Notes to Financial Statements (continued)

September 30, 2017

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

For the year ended September 30, 2017, none of the Funds had loaned securities under this agreement.

m. Indemnifications. Under the Trusts’ organizational documents, their officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

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

•

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

•

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

•

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

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

| 90

Notes to Financial Statements (continued)

September 30, 2017

The following is a summary of the inputs used to value the Funds’ investments as of September 30, 2017, at value:

High Income Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Non-Convertible Bonds
Home Construction	$	—	$	3,676,711	$	12	(c)	$	3,676,723
Non-Agency Commercial Mortgage-Backed Securities		—		1,513,686		939,675	(b)		2,453,361
All Other Non-Convertible Bonds(a)		—		140,072,079		—			140,072,079

Total Non-Convertible Bonds		—		145,262,476		939,687			146,202,163

Convertible Bonds(a)		—		15,728,355		—			15,728,355

Total Bonds and Notes		—		160,990,831		939,687			161,930,518

91 |

Notes to Financial Statements (continued)

September 30, 2017

High Income Fund (continued)

Asset Valuation Inputs (continued)


Description	Level 1		Level 2		Level 3			Total
Senior Loans	$	—	$	1,320,443	$	—		$	1,320,443
Preferred Stocks
Convertible Preferred Stocks
Food & Beverage		—		958,086		—			958,086
Midstream		—		693,227		—			693,227
All Other Convertible Preferred Stocks(a)		204,125		—		—			204,125

Total Convertible Preferred Stocks		204,125		1,651,313		—			1,855,438

Non-Convertible Preferred Stocks(a)		527,723		—		—			527,723

Total Preferred Stocks		731,848		1,651,313		—			2,383,161

Other Investments(a)		—		—		1,853,562	(d)		1,853,562
Common Stocks
Media		—		—		23,855	(d)		23,855
Oil, Gas & Consumable Fuels		2,350,649		—		154,523	(d)		2,505,172
All Other Common Stocks(a)		353,056		—		—			353,056

Total Common Stocks		2,703,705		—		178,378			2,882,083

Warrants		1,940		—		—	(e)		1,940
Short-Term Investments		—		6,240,308		—			6,240,308

Total	$	3,437,493	$	170,202,895	$	2,971,627		$	176,612,015

(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 3 inputs.

A preferred stock valued at $324,791 was transferred from Level 1 to Level 2 during the period ended September 30, 2017. At September 30, 2016, this security was valued at the last sale price in accordance with the Fund’s valuation policies. At September 30, 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.

| 92

Notes to Financial Statements (continued)

September 30, 2017

Intermediate Duration Bond Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3		Total
Bonds and Notes(a)	$	—	$	177,917,265	$	—	$	177,917,265
Short-Term Investments		—		2,392,787		—		2,392,787
				��
Total	$	—	$	180,310,052	$	—	$	180,310,052

Liability Valuation Inputs


Description	Level 1			Level 2		Level 3		Total
Futures Contracts (unrealized depreciation)		$ (103,275	)	$	—	$	—		$ (103,275	)

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

Limited Term Government and Agency Fund

Asset Valuation Inputs


Description	Level 1		Level 2		Level 3			Total
Bonds and Notes
Collateralized Mortgage Obligations	$	—	$	119,518,153	$	274,554	(b)	$	119,792,707
All Other Non-Convertible Bonds(a)		—		566,385,175		—			566,385,175

Total Bonds and Notes		—		685,903,328		274,554			686,177,882

Short-Term Investments		—		96,171,343		—			96,171,343

Total	$	—	$	782,074,671	$	274,554		$	782,349,225

(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.

93 |

Notes to Financial Statements (continued)

September 30, 2017

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 September 30, 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	$	—	$	—		$	—		$	—
Government Owned - No Guarantee		594,150		—		—			—			—
Home Construction		23		24,356		(1,039,996	)		1,015,651			—
Non-Agency Commercial Mortgage-Backed Securities		908,874		—		—			30,801			—
Senior Loans
Wirelines		150,561		57		550			8,156			—
Other Investments
Aircraft ABS		985,586		—		—			26,476			1,841,500
Common Stocks
Media		8,177		—		—			15,678			—
Oil, Gas & Consumable Fuels		—		—		(69	)		(1,036,840	)		1,191,432
Warrants		5,383		—		—			—			—

Total	$	2,751,458	$	24,413	$	(1,039,515	)	$	59,922		$	3,032,932

| 94

Notes to Financial Statements (continued)

September 30, 2017

High Income Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2017			Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Home Equity	$	—		$	—	$	(98,704	)	$	—		$	—
Government Owned - No Guarantee		—			—		(594,150	)		—			—
Home Construction		(22	)		—		—			12			(21,186	)
Non-Agency Commercial Mortgage-Backed Securities		—			—		—			939,675			30,801
Senior Loans
Wirelines		(159,324	)		—		—			—			—
Other Investments
Aircraft ABS		(1,000,000	)		—		—			1,853,562			12,062
Common Stocks
Media		—			—		—			23,855			15,678
Oil, Gas & Consumable Fuels		—			—		—			154,523			(1,036,840	)
Warrants		—			—		(5,383	)		—	(a)		—

Total	$	(1,159,346	)	$	—	$	(698,237	)	$	2,971,627		$	(999,485	)

(a)	Security fair valued at zero using Level 3 inputs.

A debt security valued at $98,704 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $594,150 was transferred from Level 3 to Level 2 during the period ended September 30, 2017. At September 30, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent

95 |

Notes to Financial Statements (continued)

September 30, 2017

pricing service did not provide a reliable price for the security. At September 30, 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.

Warrants valued at $5,383 were transferred from Level 3 to Level 1 during the period ended September 30, 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 September 30, 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	$	—	$	—	$	—	$	—
ABS Home Equity		23,756		—		—		—		—

Total	$	463,498	$	—	$	—	$	—	$	—


Investments in Securities	Sales		Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
Non-Convertible Bonds
ABS Car Loan	$	—	$	—	$	(439,742	)	$	—	$	—
ABS Home Equity		—		—		(23,756	)		—		—

Total	$	—	$	—	$	(463,498	)	$	—	$	—

| 96

Notes to Financial Statements (continued)

September 30, 2017

A debt security valued at $439,742 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $23,756 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

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		—		(2,045,169	)		1,626,193		—
Collateralized Mortgage Obligations		1,488,611		—		(53,757	)		61,699		—
Non-Agency Commercial Mortgage-Backed Securities		3,037,018		—		(3,950	)		6,932		—

Total	$	16,706,651	$	—	$	(2,102,876	)	$	1,694,824	$	—

97 |

Notes to Financial Statements (continued)

September 30, 2017

Limited Term Government and Agency Fund (continued)

Asset Valuation Inputs (continued)


Investments in Securities	Sales			Transfers into Level 3		Transfers out of Level 3			Balance as of September 30, 2017		Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2017
Bonds and Notes
ABS Student Loan	$	—		$	—	$	(400,000	)	$	—	$	—
Agency Commercial Mortgage-Backed Securities		(11,362,046	)		—		—			—		—
Collateralized Mortgage Obligations		(945,337	)		—		(276,662	)		274,554		2,994
Non-Agency Commercial Mortgage-Backed Securities		(3,040,000	)		—		—			—		—

Total	$	(15,347,383	)	$	—	$	(676,662	)	$	274,554	$	2,994

A debt security valued at $400,000 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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 $276,662 was transferred from Level 3 to Level 2 during the period ended September 30, 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 September 30, 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.

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 and Intermediate Duration Bond Fund used during the period include forward foreign currency contracts and futures contracts, respectfully.

| 98

Notes to Financial Statements (continued)

September 30, 2017

High Income Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Fund’s holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the year ended September 30, 2017, High Income Fund engaged in forward foreign currency transactions for hedging purposes.

Intermediate Duration Bond Fund is subject to the risk that changes in interest rates will affect the value of the Fund’s investments in fixed-income securities. A Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage its duration without having to buy or sell portfolio securities. During the year ended September 30, 2017, Intermediate Duration Bond Fund used futures contracts for hedging purposes and to manage duration.

The following is a summary of derivative instruments for Intermediate Duration Bond Fund as of September 30, 2017, as reflected within the Statements of Assets and Liabilities:


Liabilities	Unrealized depreciation on futures contracts
Exchange-traded/cleared liability derivatives
Interest rate contracts	$	(103,275	)

Transactions in derivative instruments for High Income Fund during the year ended September 30, 2017, as reflected within the Statements of Operations, were as follows:


Net Realized Gain (Loss) on:	Forward foreign currency contracts
Foreign exchange contracts	$	3,351

Net Change in Unrealized Appreciation (Depreciation) on:	Forward foreign currency contracts
Foreign exchange contracts	$	(233	)

Transactions in derivative instruments for Intermediate Duration Bond Fund during the year ended September 30, 2017, as reflected within the Statements of Operations, were as follows:


Net Change in Unrealized Appreciation (Depreciation) on:	Futures contracts
Interest rate contracts	$	(103,275	)

99 |

Notes to Financial Statements (continued)

September 30, 2017

The volume of forward foreign currency and futures contract activity, as a percentage of net assets, based on gross month-end notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the year ended September 30, 2017:


High Income Fund	Forwards
Average Notional Amount Outstanding		0.08	%
Highest Notional Amount Outstanding		0.21	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of September 30, 2017		0.00	%


Intermediate Duration Bond Fund	Futures
Average Notional Amount Outstanding		0.25	%
Highest Notional Amount Outstanding		5.23	%
Lowest Notional Amount Outstanding		0.00	%
Notional Amount Outstanding as of September 30, 2017		5.23	%

Notional amounts outstanding at the end of the prior period are included in the average notional amount outstanding.

| 100

Notes to Financial Statements (continued)

September 30, 2017

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 risk is managed based on policies and procedures established by the 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. The 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 the 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 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 Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2017:

Fund

Maximum Amount

of Loss - Gross

Maximum Amount

of Loss - Net

Intermediate Duration Bond Fund

60,000

101 |

Notes to Financial Statements (continued)

September 30, 2017

5. Purchases and Sales of Securities. For the year ended September 30, 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	$	10,401,073	$	10,403,665	$	64,713,920	$	64,377,698
Intermediate Duration Bond Fund		162,854,260		173,805,354		239,880,334		204,713,816
Limited Term Government and Agency Fund		962,312,642		1,084,022,479		20,244,440		109,944,981

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	%

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, except for High Income Fund which is in effect until January 31, 2019, 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.

| 102

Notes to Financial Statements (continued)

September 30, 2017

For the year ended September 30, 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		1.05	%		1.80	%		0.75	%		0.80	%
Intermediate Duration Bond Fund		0.65	%		1.40	%		—			0.40	%
Limited Term Government and Agency Fund		0.80	%		1.55	%		0.50	%		0.55	%

Prior to July 1, 2017, the expense limits as a percentage of average daily net assets under the expense limitation agreements for High Income Fund 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	%

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 year ended September 30, 2017, the management fees and waivers of management fees for each Fund were as follows:


Fund	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
High Income Fund	$	1,042,422	$	25,903	$	1,016,519		0.60	%		0.59	%
Intermediate Duration Bond Fund		443,227		128,732		314,495		0.25	%		0.18	%
Limited Term Government and Agency Fund		2,966,461		—		2,966,461		0.37	%		0.37	%

For the year ended September 30, 2017, class-specific expenses have been reimbursed as follows:


	Reimbursement¹
Fund	Class A		Class C		Class N		Class Y		Total
High Income Fund	$	17,605	$	5,947	$	—	$	65,295	$	88,847
Limited Term Government and Agency Fund		8,822		1,276		—		7,399		17,497

¹	Waiver/expense reimbursements are subject to possible recovery until September 30, 2018.

103 |

Notes to Financial Statements (continued)

September 30, 2017

No expenses were recovered for any of the Funds during the year ended September 30, 2017 under the terms of the expense limitation agreements.

b. Service and Distribution Fees. Natixis Distribution, L.P. (“Natixis Distribution), which is a wholly-owned subsidiary of Natixis, has entered into a distribution agreement with the Trusts. Pursuant to this agreement, Natixis 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 C shares (the “Class C Plans”).

Under the Class A Plans, each Fund pays Natixis 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 Natixis Distribution in providing personal services to investors in Class A shares and/or the maintenance of shareholder accounts.

Under the Class C Plans, each Fund pays Natixis 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 C shares, as compensation for services provided by Natixis Distribution in providing personal services to investors in Class C shares and/or the maintenance of shareholder accounts.

Also under the Class C Plans, each Fund pays Natixis Distribution a monthly distribution fee at the annual rate of 0.75% of the average daily net assets attributable to the Fund’s Class C shares, as compensation for services provided by Natixis Distribution in connection with the marketing or sale of Class C shares.

For the year ended September 30, 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	$	86,056	$	29,690	$	89,068
Intermediate Duration Bond Fund		51,023		7,817		23,451
Limited Term Government and Agency Fund		952,802		141,820		425,461

c. Administrative Fees. Natixis Advisors, L.P. (“Natixis Advisors”) provides certain administrative services for the Funds and contracts with State Street Bank to serve as

| 104

Notes to Financial Statements (continued)

September 30, 2017

sub-administrator. Natixis Advisors is a wholly-owned subsidiary of Natixis. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trust and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0575% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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, Loomis Sayles Funds Trusts and Natixis ETF Trust of $10 million, which is reevaluated on an annual basis.

For the year ended September 30, 2017, the administrative fees for each Fund were as follows:


Fund	Administrative Fees
High Income Fund	$	77,527
Intermediate Duration Bond Fund		79,109
Limited Term Government and Agency Fund		362,331

For the year ended September 30, 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	$	186,259
Intermediate Duration Bond Fund		73,438
Limited Term Government and Agency Fund		405,446

105 |

Notes to Financial Statements (continued)

September 30, 2017


Fund	Reimbursements of Sub-Transfer Agent Fees
High Income Fund	$	2,420
Intermediate Duration Bond Fund		1,262
Limited Term Government and Agency Fund		4,522

Sub-transfer agent fees 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.

e. Commissions. Commissions (including CDSCs) on Fund shares retained by Natixis Distribution during the year ended September 30, 2017 were as follows:


Fund	Commissions
High Income Fund	$	5,340
Intermediate Duration Bond Fund		21
Limited Term Government and Agency Fund		17,560

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 Natixis Advisors, Natixis Distribution, Natixis 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, Loomis Sayles Funds Trusts and Natixis ETF Trust based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.

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Notes to Financial Statements (continued)

September 30, 2017

A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. Deferred amounts remain in the Funds until distributed in accordance with the provisions of the Plan. The value of a participating Trustee’s deferral account is based on theoretical investments of deferred amounts, on the normal payment dates, in certain funds of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trust, 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.

g. Affiliated Ownership. As of September 30, 2017, the percentage of each Fund’s net assets owned by affiliates is as follows:


High Income Fund		Percentage of Net Assets
Natixis Advisors		Less than 0.01%

Intermediate Duration Bond Fund		Percentage of Net Assets
Loomis Sayles Retirement Plan		0.65%

Limited Term Government and Agency Fund		Percentage of Net Assets
Loomis Sayles Retirement Plan		0.52%
Natixis Sustainable Future 2015 Fund		0.07%
Natixis Sustainable Future 2020 Fund		0.06%
Natixis Sustainable Future 2025 Fund		0.04%
Natixis Sustainable Future 2030 Fund		0.02%
Natixis Sustainable Future 2035 Fund		0.01%
Natixis Sustainable Future 2040 Fund		0.01%
Natixis Sustainable Future 2045 Fund		0.01%
Natixis Sustainable Future 2050 Fund		Less than 0.01%
Natixis Sustainable Future 2055 Fund		Less than 0.01%
Natixis Sustainable Future 2060 Fund		Less than 0.01%

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

h. Reimbursement of Transfer Agent Fees and Expenses. Natixis 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.

107 |

Notes to Financial Statements (continued)

September 30, 2017

For the year ended September 30, 2017, Natixis Advisors reimbursed the Funds for transfer agency expenses as follows:


Fund	Reimbursement of Transfer Agency Expenses
	Class N
High Income Fund	$	271
Limited Term Government and Agency Fund		295

7. Class-Specific Transfer Agent Fees and Expenses. 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.

Intermediate Duration Bond Fund allocates 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.

For the period from November 30, 2016, commencement of Class N operations, through September 30, 2017, High Income Fund 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	$	35,584	$	12,187	$	271	$	131,560

For the period from February 1, 2017, commencement of Class N operations, through September 30, 2017, Limited Term Government and Agency Fund 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
Limited Term Government and Agency Fund	$	220,344	$	31,475	$	295	$	222,566

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 0.15% 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.

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Notes to Financial Statements (continued)

September 30, 2017

The Funds paid an arrangement fee, an upfront fee, and other fees in connection with the new line of credit agreement, which are being amortized over a period of 364 days and are reflected as miscellaneous expenses on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.

Prior to April 13, 2017, the commitment fee was 0.10% per annum based on the average daily unused portion of the line of credit.

For the year ended September 30, 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 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 September 30, 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 Ownership
High Income Fund		2		28.83	%
Intermediate Duration Bond Fund		3		21.25	%
Limited Term Government and Agency Fund		1		13.19	%

109 |

Notes to Financial Statements (continued)

September 30, 2017

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:


	Year Ended September 30, 2017					Year Ended September 30, 2016
High Income Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	2,869,491		$	12,272,049		5,509,748		$	22,242,447
Issued in connection with the reinvestment of distributions	306,554			1,311,455		299,177			1,169,586
Redeemed	(3,623,241	)		(15,504,179	)	(7,071,447	)		(28,018,252	)

Net change	(447,196	)	$	(1,920,675	)	(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	471,847		$	2,010,717		799,861		$	3,141,922
Issued in connection with the reinvestment of distributions	88,277			378,228		88,851			345,998
Redeemed	(897,288	)		(3,849,291	)	(1,144,474	)		(4,485,915	)

Net change	(337,164	)	$	(1,460,346	)	(255,762	)	$	(997,995	)

Class N(b)
Issued from the sale of shares	240		$	1,001		—		$	—
Issued in connection with the reinvestment of distributions	10			41		—			—

Net change	250		$	1,042		—		$	—

Class Y
Issued from the sale of shares	9,715,068		$	41,499,158		14,901,804		$	58,204,609
Issued in connection with the reinvestment of distributions	1,184,729			5,054,088		1,041,928			4,056,961
Redeemed	(10,799,917	)		(45,851,330	)	(14,689,863	)		(57,325,101	)

Net change	99,880		$	701,916		1,253,869		$	4,936,469

Increase (decrease) from capital share transactions	(684,230	)	$	(2,678,063	)	(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 September 30, 2017.

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Notes to Financial Statements (continued)

September 30, 2017

11. Capital Shares (continued).


	Year Ended September 30, 2017					Year Ended September 30, 2016
Intermediate Duration Bond Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	495,534		$	5,098,171		525,035		$	5,443,679
Issued in connection with the reinvestment of distributions	51,612			528,641		43,720			453,187
Redeemed	(263,005	)		(2,708,601	)	(505,357	)		(5,247,036	)

Net change	284,141		$	2,918,211		63,398		$	649,830

Class C(a)
Issued from the sale of shares	14,097		$	144,076		293,283		$	3,088,274
Issued in connection with the reinvestment of distributions	5,796			59,316		—	(b)		1

Net change	19,893		$	203,392		293,283		$	3,088,275

Class Y
Issued from the sale of shares	6,045,802		$	62,224,245		7,746,460		$	80,334,377
Issued in connection with the reinvestment of distributions	342,222			3,505,355		231,356			2,401,500
Redeemed	(4,606,062	)		(47,400,228	)	(1,681,603	)		(17,455,864	)
Redeemed in-kind (Note 12)	—			—		(1,574,765	)		(16,409,056	)

Net change	1,781,962		$	18,329,372		4,721,448		$	48,870,957

Increase (decrease) from capital share transactions	2,085,996		$	21,450,975		5,078,129		$	52,609,062

(a)	From commencement of Class operations on August 31, 2016 through September 30, 2016.

(b)	Amount rounds to less than one share.

111 |

Notes to Financial Statements (continued)

September 30, 2017

11. Capital Shares (continued).


	Year Ended September 30, 2017					Year Ended September 30, 2016
Limited Term Government and Agency Fund	Shares			Amount		Shares			Amount
Class A
Issued from the sale of shares	3,991,528		$	45,399,327		23,688,131		$	272,639,541
Issued in connection with the reinvestment of distributions	454,875			5,170,894		418,361			4,816,572
Redeemed	(13,213,781	)		(150,164,121	)	(15,575,978	)		(179,339,659	)

Net change	(8,767,378	)	$	(99,593,900	)	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	757,506		$	8,626,416		4,330,687		$	49,825,855
Issued in connection with the reinvestment of distributions	29,711			337,959		29,632			341,361
Redeemed	(3,304,176	)		(37,593,668	)	(3,475,708	)		(40,028,796	)

Net change	(2,516,959	)	$	(28,629,293	)	884,611		$	10,138,420

Class N(b)
Issued from the sale of shares	166,111		$	1,892,253		—		$	—
Issued in connection with the reinvestment of distributions	1,700			19,353		—			—
Redeemed	(527	)		(5,984	)	—			—

Net change	167,284		$	1,905,622		—		$	—

Class Y
Issued from the sale of shares	13,725,909		$	156,563,024		22,122,240		$	255,439,801
Issued in connection with the reinvestment of distributions	431,654			4,921,367		391,770			4,524,155
Redeemed	(18,111,061	)		(206,644,972	)	(24,037,266	)		(277,502,192	)

Net change	(3,953,498	)	$	(45,160,581	)	(1,523,256	)	$	(17,538,236	)

Increase (decrease) from capital share transactions	(15,070,551	)	$	(171,478,152	)	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 September 30, 2017.

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Notes to Financial Statements (continued)

September 30, 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. For the year ended September 30, 2016, Intermediate Duration Bond Fund participated in a redemption in-kind transaction. For the year ended September 30, 2017, none of the Funds participated in redemption in-kind transactions.

113 |

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Loomis Sayles Funds I and Loomis Sayles Funds II and Shareholders of Loomis Sayles Intermediate Duration Bond Fund, Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund:

In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the Loomis Sayles Intermediate Duration Fixed Income Fund, a series of Loomis Sayles Funds I, and Loomis Sayles High Income Fund and Loomis Sayles Limited Term Government and Agency Fund, each a series of Loomis Sayles Funds II, (collectively, the “Funds”) as of September 30, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

November 21, 2017

| 114

2017 U.S. Tax Distribution Information to Shareholders (Unaudited)


Fund	Qualifying Percentage
High Income		4.20	%


Fund	Amount
Intermediate Duration Bond	$	39,533


Fund
High Income

115 |

Trustee and Officer Information

The tables below provide certain information regarding the trustees and officers of Loomis Sayles Funds I and Loomis Sayles Funds II (the “Trusts”). Unless otherwise indicated, the address of all persons below is 888 Boylston Street, Suite 800, Boston, MA 02199-8197. The Funds’ Statements of Additional Information include additional information about the trustees of the Trusts and are available by calling Natixis Funds at 800-225-5478.


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

INDEPENDENT TRUSTEES

Kenneth A. Drucker (1945)	Chairperson of the Board of Trustees since January 2017 Trustee since 2008 Ex Officio member of Audit Committee, Contract Review Committee and Governance Committee	Retired	53 None	Significant experience on the Board and on the boards of other business organizations (including at investment companies); executive experience (including as treasurer of an aerospace, automotive, and metal manufacturing corporation)

Edmond J. English (1953)	Trustee since 2013 Audit Committee Member	Executive Chairman; formerly, Chief Executive Officer of Bob’s Discount Furniture (retail)	53 Director, Burlington Stores, Inc. (retail)	Experience on the Board and significant experience on the boards of other business organizations (including retail companies and a bank); executive experience (including at a retail company)

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Trustee and Officer Information


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

INDEPENDENT TRUSTEES continued

Richard A. Goglia (1951)	Trustee since 2015 Audit Committee Member	Retired; formerly Vice President and Treasurer of Raytheon Company (defense)	53 None	Experience on the Board and executive experience (including his role as vice president and treasurer of a defense company and experience at a financial services company)

Wendell J. Knox (1948)	Trustee since 2009 Contract Review Committee Member and Governance Committee Member	Director of Abt Associates Inc. (research and consulting)	53 Director, Eastern Bank (bank); Director, The Hanover Insurance Group (property and casualty insurance)	Significant experience on the Board and on the boards of other business organizations (including at a bank and at a property and casualty insurance firm); executive experience (including roles as president and chief executive officer of a research and consulting company)

117 |

Trustee and Officer Information


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

INDEPENDENT TRUSTEES continued

Martin T. Meehan (1956)	Trustee since 2012 Contract Review Committee Member	President, University of Massachusetts; formerly, Chancellor and faculty member, University of Massachusetts Lowell	53 None	Significant experience on the Board and on the boards of other business organizations; experience as President of the University of Massachusetts; government experience (including as a member of the U.S. House of Representatives); academic experience

Maureen B. Mitchell³ (1951)	Trustee since 2017 Contract Review Committee Member	Retired; formerly President, Global Sales and Marketing, GE Asset Management, Inc. (financial services)	53 None	Experience on the Board; financial services industry and executive experience (including role as president of global sales and marketing at a financial services company)

| 118

Trustee and Officer Information


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

INDEPENDENT TRUSTEES continued

Sandra O. Moose (1942)	Trustee since 2003 Audit Committee Member and Governance Committee Member	President, Strategic Advisory Services (management consulting)	53 Formerly, Director, AES Corporation (international power company); formerly, Director, Verizon Communications (telecommunications company)	Significant experience on the Board and on the boards of other business organizations (including at a telecommunications company, an international power company and a specialty chemicals corporation); executive experience (including at a management consulting company)

James P. Palermo (1955)	Trustee since 2016 Contract Review Committee Member	Founding Partner, Breton Capital Management, LLC (private equity); Partner, STEP Partners, LLC (private equity); formerly, Chief Executive Officer of Global Client Management of The Bank of New York Mellon Corporation	53 None	Experience on the Board; financial services industry and executive experience (including roles as chief executive officer of client management and asset servicing for a banking and financial services company)

119 |

Trustee and Officer Information


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

INDEPENDENT TRUSTEES continued

Erik R. Sirri (1958)	Trustee since 2009 Chairperson of the Audit Committee	Professor of Finance at Babson College	53 None	Significant experience on the Board; experience as Director of the Division of Trading and Markets at the Securities and Exchange Commission; academic experience; training as an economist

Peter J. Smail (1952)	Trustee since 2009 Chairperson of the Contract Review Committee and Governance Committee Member	Retired	53 None	Significant experience on the Board; mutual fund industry and executive experience (including roles as president and chief executive officer for an investment adviser)

Cynthia L. Walker (1956)	Trustee since 2005 Chairperson of the Governance Committee and Audit Committee Member	Deputy Dean for Finance and Administration, Yale University School of Medicine	53 None	Significant experience on the Board; executive experience in a variety of academic organizations (including roles as dean for finance and administration)

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Trustee and Officer Information


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

INTERESTED TRUSTEES

Kevin P. Charleston⁴ (1965) One Financial Center Boston, MA 02111	Trustee since 2015 President and Chief Executive Officer of Loomis Sayles Funds I since 2015	President, Chief Executive Officer and Chairman of the Board of Directors; formerly, Chief Financial Officer, Loomis, Sayles & Company, L.P.	53 None	Experience on the Board; continuing service as President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

David L. Giunta⁵ (1965)	Trustee since 2011 President of Loomis Sayles Funds II and Executive Vice President of Loomis Sayles Funds I since 2008; Chief Executive Officer of Loomis Sayles Funds II since 2015	President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation	53 None	Significant experience on the Board; experience as President and Chief Executive Officer, Natixis Advisors, L.P., Natixis Distribution L.P., Natixis Distribution Corporation and Chairman of the Board of Natixis Distribution Corporation

¹	Each trustee serves until retirement, resignation or removal from the Board. The current retirement age is 75. The position of Chairperson of the Board is appointed for a three-year term.

³	Ms. Mitchell was appointed as a Trustee effective July 1, 2017.

⁴	Mr. Charleston is deemed an “interested person” of the Trusts because he holds the following positions with an affiliated person of the Trusts: President, Chief Executive Officer and Chairman of the Board of Directors of Loomis, Sayles & Company, L.P.

⁵

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

121 |

Trustee and Officer Information


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

OFFICERS OF THE TRUSTS

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

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

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

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

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

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NATIXIS FUNDS

Supplement dated June 30, 2017 to the Natixis Funds Summary Prospectuses, dated February 28, 2017, March 31, 2017, and May 1, 2017, as may be revised or supplemented from time to time, for the following funds:

LOOMIS SAYLES HIGH INCOME FUND

Effective July 1, 2017, Loomis, Sayles & Company, L.P. has given a binding contractual undertaking to the Fund to limit the amount of the Fund’s total annual fund operating expenses (exclusive of brokerage expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses) to 1.05%, 1.80%, 0.75%, 1.05% and 0.80% of the Fund’s average daily net assets for Class A, Class C, Class N, Class T and Class Y shares, respectively.

This undertaking is in effect through January 31, 2019.

Accordingly, the Annual Fund Operating Expenses table and the Example table within the section “Fund Fees & Expenses” are amended and restated as follows with respect to the Fund:

Annual Fund Operating Expenses

(expenses that you pay each year as a percentage of the value of your investment)


	Class A			Class C			Class N			Class T			Class Y
Management fees		0.60	%		0.60	%		0.60	%		0.60	%		0.60	%
Distribution and/or service (12b-1) fees		0.25	%		1.00	%		0.00	%		0.25	%		0.00	%
Other expenses		0.29	%		0.29	%		0.17	%¹		0.29	%¹		0.29	%
Total annual fund operating expenses		1.14	%		1.89	%		0.77	%		1.14	%		0.89	%
Fee waiver and/or expense reimbursement^2,3		0.09	%		0.09	%		0.02	%		0.09	%		0.09	%
Total annual fund operating expenses after fee waiver and/or expense reimbursement		1.05	%		1.80	%		0.75	%		1.05	%		0.80	%

1	Other expenses are estimated for the current fiscal year.

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expenses, interest expense, taxes, acquired fund fees and expenses, organizational and extraordinary expenses, such as litigation and indemnification expenses. This undertaking is in effect through January 31, 2019 and may be terminated before then only with the consent of the Fund’s Board of Trustees. The Adviser will be permitted to recover, on a class by class basis, management fees waived and/or expenses reimbursed to the extent that expenses in later periods fall below the applicable expense limitations for Class A, C, N, T and Y shares. The Fund will not be obligated to repay any such waived/reimbursed fees and expenses more than one year after the end of the fiscal year in which the fees or expenses were waived/reimbursed.

3	NGAM Advisors has given a binding contractual undertaking to the Fund to reimburse any and all transfer agency expenses for Class N shares. This undertaking is in effect through January 31, 2018 and may be terminated before then only with the consent of the Fund’s Board of Trustees.

Example

This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods (except where indicated). The example also assumes that your investment has a 5% return each year and that the Fund’s operating expenses remain the same, except that the example is based on Total Annual Fund Operating Expenses After Fee Waiver and/or Expense Reimbursement assuming that such waiver and/or reimbursement will only be in place through the dates noted above and on the Total Annual Fund Operating Expenses for the remaining periods. Although your actual costs may be high or lower, based on these assumptions your costs would be:


If shares are redeemed:
	1 year		3 years		5 years		10 years
Class A	$	528	$	758	$	1,012	$	1,740
Class C	$	283	$	580	$	1,008	$	2,200
Class N	$	77	$	243	$	425	$	951
Class T	$	354	$	589	$	848	$	1,589
Class Y	$	82	$	269	$	479	$	1,083

If shares are not redeemed:
	1 year		3 years		5 years		10 years
Class C	$	183	$	580	$	1,008	$	2,200

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AEW Real Estate Fund		Loomis Sayles Limited Term Government and Agency Fund
ASG Dynamic Allocation Fund		Loomis Sayles Multi-Asset Income Fund
ASG Global Alternatives Fund		Loomis Sayles Senior Floating Rate and Fixed Income Fund
ASG Managed Futures Strategy Fund		Loomis Sayles Strategic Alpha Fund
ASG Tactical U.S. Market Fund		Loomis Sayles Strategic Income Fund
Gateway Equity Call Premium Fund		Loomis Sayles Value Fund
Gateway Fund		Mirova Global Green Bond Fund
Loomis Sayles Core Plus Bond Fund		Mirova Global Sustainable Equity Fund
Loomis Sayles Dividend Income Fund		McDonnell Intermediate Municipal Bond Fund
Loomis Sayles Global Equity and Income Fund		Natixis Oakmark Fund
Loomis Sayles Global Growth Fund		Natixis Oakmark International Fund
Loomis Sayles Growth Fund		Natixis U.S. Equity Opportunities Fund
Loomis Sayles High Income Fund		Vaughan Nelson Select Fund
Loomis Sayles Intermediate Duration Bond Fund		Vaughan Nelson Small Cap Value Fund
Loomis Sayles Investment Grade Bond Fund		Vaughan Nelson Value Opportunity Fund

Effective July 1, 2017, the information under sub-sections “Class A and C Shares” and “Class A Shares,” as applicable, in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

The following chart shows the investment minimums for various types of accounts:


Type of Account	Minimum Initial Purchase		Minimum Subsequent Purchase
Any account other than those listed below	$	2,500	$	50
For shareholders participating in Natixis Funds’ Investment Builder Program	$	1,000	$	50
For Traditional IRA, Roth IRA, Rollover IRA, SEP-IRA and Keogh plans using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	1,000	$	50
Coverdell Education Savings Accounts using the Natixis Funds’ prototype document (direct accounts, not held through intermediary)	$	500	$	50

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There is no initial or subsequent investment minimum for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

Effective July 1, 2017, the information under sub-section “Class Y Shares” in the section “Purchase and Sale of Fund Shares” in each Fund’s Summary is hereby amended and restated as follows:

Class Y shares of the Fund are generally subject to a minimum initial investment of $100,000 and a minimum subsequent investment of $50, except there is no minimum initial or subsequent investment for:

•

Certain Retirement Plans. Please consult your retirement plan administrator to determine if your retirement plan is subject to additional or different conditions or fees.

•

Certain Individual Retirement Accounts if the amounts invested represent rollover distributions from investments by any of the retirement plans invested in the Fund.

•

Clients of a Registered Investment Adviser where the Registered Investment Adviser receives an advisory, management or consulting fee.

•

Fund Trustees, former Fund trustees, employees of affiliates of the Natixis Funds and other individuals who are affiliated with any Natixis Fund (this also applies to any spouse, parents, children, siblings, grandparents, grandchildren and in-laws of those mentioned) and Natixis affiliate employee benefit plans.

At the discretion of NGAM Advisors, clients of NGAM Advisors and its affiliates may purchase Class Y shares of the Fund below the stated minimums.

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Item 2. Code of Ethics.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer and persons performing similar functions. There have been no amendments or waivers of the Registrant’s code of ethics during the period.

Item 3. Audit Committee Financial Expert.

The Board of Trustees of the Registrant has established an audit committee Mr. Edmond J. English, Mr. Richard A. Goglia, Ms. Sandra O. Moose, Mr. Erik R. Sirri and Ms. Cynthia L. Walker are members of the audit committee and have been designated as “audit committee financial experts” by the Board of Trustees. Each of these individuals is also an Independent Trustee of the Registrant.

Item 4. Principal Accountant Fees and Services.

Fees billed by the Principal Accountant for services rendered to the Registrant.

The table below sets forth fees billed by the principal accountant, PricewaterhouseCoopers LLP, for the past two fiscal years for professional services rendered in connection with a) the audit of the Registrant’s annual financial statements and services provided in connection with regulatory filings; b) audit-related services (including services that are reasonably related to the performance of the audit of the Registrant’s financial statements and but not reported under “Audit Fees”); c) tax compliance, tax advice and tax planning and d) all other fees billed for professional services rendered by the principal accountant to the Registrant, other than the services reported as a part of (a) through (c) of this Item.


	Audit fees				Audit-related fees¹				Tax fees²				All other fees
	10/1/15- 9/30/16		10/1/16- 9/30/17		10/1/15- 9/30/16		10/1/16- 9/30/17		10/1/15- 9/30/16		10/1/16- 9/30/17		10/1/15- 9/30/16		10/1/16- 9/30/17
Loomis Sayles Funds I	$	435,208	$	481,241	$	13,478	$	4,582	$	80,676	$	88,700	$	—	$	—

Audit-related fees consist of:

2016 & 2017 – performance of agreed-upon procedures related to the Registrant’s deferred compensation plan.

2017 – Prospectus Consent

Tax fees consist of:

2016 & 2017 – review of Registrant’s tax returns and tax consulting services.

Aggregate fees billed to the Registrant for non-audit services during 2016 and 2017 were $94,154 and $93,282, respectively.

Fees billed by the Principal Accountant for services rendered to the Adviser and Control Affiliates.

The following table sets forth the fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and entities controlling, controlled by or under common control with Loomis, Sayles & Company, L.P. (“Control Affiliates”) that provide ongoing services to the Registrant, for engagements that related directly to the operations and financial reporting of the Registrant for the last two fiscal years.

Audit-related fees

Tax fees

All other fees

10/1/15-
9/30/16

10/1/16-
9/30/17

10/1/15-
9/30/16

10/1/16-
9/30/17

10/1/15-
9/30/16

10/1/16-
9/30/17

Control Affiliates

—

The following table sets forth the aggregate fees billed by the Registrant’s principal accountant for non-audit services rendered to Loomis, Sayles & Company, L.P. and Control Affiliates that provide ongoing services to the Registrant, for the last two fiscal years, including the fees disclosed in the table above.


	Aggregate Non-Audit Fees
	10/1/15-9/30/16		10/1/16-9/30/17
Control Affiliates	$	119,120	$	77,290

None of the services described above were approved pursuant to (c)(7)(i)(C) of Regulation S-X.

Audit Committee Pre Approval Policies.

Annually, the Registrant’s Audit Committee reviews the audit, audit-related, tax and other non-audit services together with the projected fees, for services proposed to be rendered to the Trust and/or other entities for which pre-approval is required during the upcoming year. Any subsequent revisions to already pre-approved services or fees (including fee increases) and requests for pre-approval of new services would be presented for consideration quarterly as needed.

If, in the opinion of management, a proposed engagement by the Registrant’s independent accountants needs to commence before the next regularly scheduled Audit Committee meeting, any member of the Audit Committee who is an Independent Trustee of the Registrant is authorized to pre-approve the engagement, but only for engagements to provide audit, audit related and tax services. This approval is subject to review of the full Audit Committee at its next quarterly meeting. All other engagements require the approval of all the members of the Audit Committee.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the Report to Shareholders filed as Item 1 herewith.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Securities Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

Item 11. Controls and Procedures.

The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSR was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal quarter of the period covered by the report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.


(a) (1)		Code of Ethics required by Item 2 hereof, filed herewith as Exhibit (a)(1).

(a) (2)		Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith as Exhibits (a)(2)(1) and (a)(2)(2), respectively.

(a) (3)		Not applicable.

(b)		Certification of Principal Executive Officer and Principal Financial Officer pursuant to Section 906 of Sarbanes-Oxley Act of 2002 are filed herewith as Exhibit (b).

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Loomis Sayles Funds I

By:		/s/ Kevin Charleston
Name:		Kevin Charleston
Title:		President and Chief Executive Officer
Date:		November 21, 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:		November 21, 2017


By:		/s/ Michael C. Kardok
Name:		Michael C. Kardok
Title:		Treasurer
Date:		November 21, 2017

Interest rate represents annualized yield at time of purchase; not a coupon rate.

Variable rate security. The interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate as of September 30, 2017 is disclosed.