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)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant’s telephone number, including area code: (617) 449-2139
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
Item 1. Reports to Stockholders.
(a) The Registrant’s semiannual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 is as follows:
Loomis Sayles Bond Fund
Loomis Sayles Investment Grade Fixed Income Fund
Semiannual Report
June 30, 2023
TABLE OF CONTENTS | ||||
Portfolio Review | 1 | |||
Portfolio of Investments | 9 | |||
Financial Statements | 40 | |||
Notes to Financial Statements | 48 |
Managers | Symbols | |||
Matthew J. Eagan, CFA® | Institutional Class | LSBDX | ||
Brian P. Kennedy | Retail Class | LSBRX | ||
Elaine M. Stokes | Admin Class | LBFAX | ||
Class N | LSBNX |
Investment Objective
The Fund’s investment objective is high total investment return through a combination of current income and capital appreciation.
Average Annual Total Returns — June 30, 20232
Expense Ratios3 | ||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||
Institutional Class | 2.61 | % | 2.63 | % | 0.62 | % | 2.07 | % | 0.69 | % | 0.67 | % | ||||||||||||
Retail Class | 2.50 | 2.39 | 0.37 | 1.81 | 0.94 | % | 0.92 | % | ||||||||||||||||
Admin Class | 2.38 | 2.23 | 0.14 | 1.57 | 1.15 | % | 1.15 | % | ||||||||||||||||
Class N | 2.64 | 2.69 | 0.69 | 2.13 | 0.61 | % | 0.61 | % | ||||||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Bloomberg U.S. Government/Credit Bond Index1 | 2.21 | % | -0.70 | % | 1.03 | % | 1.66 | % |
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.
1 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, U.S. dollar-denominated, fixed rate 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 corporate securities. 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. |
2 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 | 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 limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, 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 limitations. |
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LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
Managers | Symbols | |||
Matthew J. Eagan, CFA® | Institutional Class | LSIGX | ||
Brian P. Kennedy | ||||
Elaine M. Stokes |
Investment Objective
The Fund’s investment objective is above-average total investment return through a combination of current income and capital appreciation.
Average Annual Total Returns — June 30, 20232
Expense Ratios3 | ||||||||||||||||||||||||
6 Months | 1 Year | 5 Years | 10 Years | Gross | Net | |||||||||||||||||||
Institutional Class | 2.85 | % | 1.18 | % | 1.33 | % | 2.22 | % | 0.52 | % | 0.52 | % | ||||||||||||
Comparative Performance | ||||||||||||||||||||||||
Bloomberg U.S. Government/Credit Bond Index1 | 2.21 | % | -0.70 | % | 1.03 | % | 1.66 | % |
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.
1 | Bloomberg U.S. Government/Credit Bond Index is the non-securitized component of the U.S. Aggregate Index. The U.S. Government/Credit Bond Index includes investment grade, U.S. dollar-denominated, fixed-rate 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 corporate securities. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the Bloomberg U.S. Aggregate Index. |
2 | Fund performance has been increased by fee waivers and/or expense reimbursements, if any, without which performance would have been lower. |
3 | 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 limitations set to expire on 4/30/24. When a Fund’s expenses are below the limitation, 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 limitations. |
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ADDITIONAL INFORMATION
All investing involves risk, including the risk of loss. There is no assurance that any investment will meet its performance objectives or that losses will be avoided.
Additional Index Information
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 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 from the Fund’s website and the SEC’s website.
Quarterly Portfolio Schedules
The Loomis Sayles Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at www.sec.gov. First and third quarter schedules of portfolio holdings are also available at loomissayles.com. A hard copy may be requested from the Fund at no charge by calling 800-633-3330.
CFA® and Chartered Financial Analyst® are registered trademarks owned by the CFA Institute.
UNDERSTANDING YOUR FUND’S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service fees (12b-1 fees), and other fund expenses. Certain exemptions may apply. These costs are described in more detail in the Fund’s prospectus. The following examples are intended to help you understand the ongoing costs of investing in the Fund and help you compare these with the ongoing costs of investing in other mutual funds.
The first line in the table for each class of Fund shares shows the actual amount of Fund expenses you would have paid on a $1,000 investment in the Fund from January 1, 2023 through June 30, 2023. To estimate the expenses you paid over the period, simply divide your account value by $1,000 (for example $8,600 account value divided by $1,000 = 8.6) and multiply the result by the number in the Expenses Paid During Period column as shown below for your class.
The second line in the table for each class of Fund shares provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid on your investment for the period. You may use this information to compare the ongoing costs of investing in the Fund 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.
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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 Bond Fund
Institutional Class | Beginning Account Value 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* 1/1/2023 – 6/30/2023 | |||||||||
Actual | $1,000.00 | $1,026.10 | $3.37 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.47 | $3.36 | |||||||||
Retail Class | ||||||||||||
Actual | $1,000.00 | $1,025.00 | $4.62 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,020.23 | $4.61 | |||||||||
Admin Class | ||||||||||||
Actual | $1,000.00 | $1,023.80 | $5.47 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,019.39 | $5.46 | |||||||||
Class N | ||||||||||||
Actual | $1,000.00 | $1,026.40 | $3.12 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,021.72 | $3.11 | |||||||||
* Expenses are equal to the Fund’s annualized expense ratio (after waiver/reimbursement): 0.67%, 0.92%, 1.09% and 0.62% 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 (181), 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 1/1/2023 | Ending Account Value 6/30/2023 | Expenses Paid During Period* 1/1/2023 – 6/30/2023 | |||||||||
Actual | $1,000.00 | $1,028.50 | $2.77 | |||||||||
Hypothetical (5% return before expenses) | $1,000.00 | $1,022.07 | $2.76 | |||||||||
* Expenses are equal to the Fund’s annualized expense ratio of 0.55%, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), 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 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. This meeting typically includes all the Independent Trustees, including the Trustees who do not serve on the Contract Review Committee. 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 at its June Board meeting.
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’ advisory fees 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 limitations 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, including how profitability is determined for the Funds, 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) 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, (ii) arrangements in respect of the distribution of the Funds’ shares and the related costs, (iii) the allocation of the Funds’ brokerage, if any, including, to the extent applicable, allocations to brokers affiliated with the Adviser and the use of “soft” commission dollars to pay for research and other similar services, (iv) the Adviser’s policies and procedures relating to, among other things, compliance, trading and best execution, proxy voting, liquidity and valuation, (v) information about amounts invested by the Funds’ portfolio managers in the Funds or in similar accounts that they manage and (vi) 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 and the Independent Trustees meet separately with independent legal counsel outside the presence of Adviser personnel.
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. The information received by the Trustees generally includes, where available, among other things, an internal performance rating for each Fund based on agreed-upon criteria, graphs showing each Fund’s performance and expense differentials against each Fund’s peer group/category of funds, total return information for various periods, performance rankings provided by a third-party data provider for various periods comparing a Fund against similarly categorized funds, and performance ratings provided by a different third-party rating organization. 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 or Committee presentations and reviews. In addition, the Trustees are periodically provided with detailed statistical information about each Fund’s portfolio. The Trustees also receive periodic updates between meetings, both at the Board and at the Committee level.
The Board most recently approved the continuation of the Agreements for a one-year period at its meeting held in June 2023. 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 also considered their experience with other funds advised or sub-advised by the Adviser, as well as the affiliation between the Adviser and Natixis Investment Managers, LLC, whose affiliates provide investment advisory services to other funds in the Natixis family of funds.
The Trustees considered not only the advisory services provided by the Adviser to the Funds, but also the benefits to the Funds from the monitoring and oversight services provided by Natixis Advisors, LLC (“Natixis Advisors”). They also considered the administrative and shareholder services provided by Natixis Advisors and its affiliates to the Funds. They also took into consideration increases in the services provided resulting from new regulatory requirements, such as recent rules relating to the fair valuation of investments and the use of derivatives, as well as from monitoring proposed rules, such as those relating to privacy and cybersecurity, environmental, social and governance-specific disclosures, and vendor oversight.
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.
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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. The Board noted that while it found the data provided by the independent third-party data provider useful, it recognized its limitations, including, in particular, that notable differences may exist between the Funds and the performance comparisons (for example, with respect to investment strategies) and that the results of the performance comparisons may vary depending on (i) the end dates for the performance periods that were selected and (ii) the selection of the performance comparisons. The Trustees also received information about how comparative peer groups are constructed. In addition, the Trustees reviewed data prepared by an independent third-party rating organization that analyzed the performance of the Funds using a variety of performance metrics, including metrics that measured the performance of the Funds on a risk adjusted basis.
The Board noted that through December 31, 2022, each Fund’s one-, three- and five-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 | Five-Year | ||||||||||
Loomis Sayles Bond Fund | 81% | 89% | 92% | |||||||||
Loomis Sayles Investment Grade Fixed Income Fund | 15% | 20% | 44% |
In the case of the Fund that had performance that lagged that of a relevant category median as determined by the independent third-party data provider for the relevant periods, the Board concluded that other factors relevant to performance supported renewal of the Fund’s Agreement. 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 had outperformed its relevant benchmark for the one-year period ended December 31, 2022. The Board also considered information about each Fund’s more recent performance, including how performance over various periods had been impacted by various factors such as market and economic events. The Trustees also considered anticipated personnel changes to the Fund’s portfolio management team.
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 and/or other relevant factors 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 and administrative services as well as the total expense levels of the Funds. This information included comparisons (provided both by management and 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, the greater regulatory costs associated with the management of such assets, and the entrepreneurial, regulatory and other risks associated with sponsoring and managing mutual funds. 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 Fund grows in size. The Trustees considered that over the past several years, management had demonstrated its intention to have competitive fee levels by making recommendations regarding reductions in advisory fee rates, implementation of advisory fee breakpoints and the institution of advisory fee waivers and expense limitations for various funds in the fund family. They noted that both of the Funds have expense limitations in place, and they considered the amounts waived or reimbursed by the Adviser for Loomis Sayles Bond Fund under its expense limitation agreement. The Trustees also considered that Loomis Sayles Investment Grade Fixed Income Fund’s current expenses are at the level of its expense limitation. They further noted that management had proposed to reduce the expense limitations for both of the Funds on all share classes, effective as of July 1, 2023. The Board also considered that the fee and expense information reflected information as of a certain date and that historical asset levels may differ from current asset levels, particularly in a period of market volatility.
The Trustees also noted that management had proposed to reduce the advisory fee schedule for the Loomis Sayles Bond Fund. The Trustees further noted that the Loomis Sayles Investment Grade Fixed Income Fund had a total advisory fee rate that was at the median of its peer group of funds.
The Trustees noted that the Loomis Sayles Bond Fund had an advisory fee rate that was above the median of its peer group of funds. In this regard, the Trustees considered the factors that management believed justified such a relatively higher advisory fee rate, including: (1) that the
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advisory fee was only five basis points higher than the median of the peer group of funds; and (2) that management had proposed to reduce the Fund’s advisory fee schedule, which is expected to reduce the Fund’s effective advisory fee rate by one basis point, and the proposed reduction in the Fund’s expense limitations would further reduce the Fund’s effective advisory fee rate.
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’s and its affiliates’ relationships with the Funds, and information about how expenses are determined and allocated for purposes of profitability calculations. 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 Funds, the expense levels of the Funds, whether the Adviser had implemented breakpoints and/or expense limitations with respect to such Funds and the overall profit margin of Natixis Investment Managers, LLC compared to that of certain other investment managers for which such data was available. The Board also noted the competitive nature of the global asset management industry.
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 limitations. The Trustees also considered management’s explanation of the factors that are taken into account with respect to the implementation of breakpoints in investment advisory fees or expense limitations, which reduced the total expenses borne by shareholders of certain Funds. With respect to economies of scale, the Trustees noted that the Loomis Sayles Bond Fund had breakpoints in its advisory fee and that each of the Funds was subject to an expense limitation. The Trustees also considered management’s proposal to reduce the expense limitations for Loomis Sayles Bond Fund and Loomis Sayles Investment Grade Fixed Income 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 that the Funds have benefitted from the substantial reinvestment the Adviser has made into its business.
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 various factors and recent market and economic events, such as recent market volatility, geopolitical instability, aggressive domestic and foreign central bank policies, and lingering effects of the Covid-19 crisis, as applicable, on the performance, asset levels and expense ratios of each Fund. |
• | Whether each Fund has operated in accordance with its investment objective and the Fund’s record of compliance with its investment restrictions, and the compliance programs of the Funds and the Adviser. They also considered the compliance-related resources the Adviser and its affiliates were providing to the Funds. |
• | So-called “fallout benefits” to the Adviser, such as the engagement of affiliates of the Adviser to provide distribution and administrative 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 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, reflecting the reduction in the advisory fee schedule for Loomis Sayles Bond Fund described above should be continued through June 30, 2024.
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LIQUIDITY RISK MANAGEMENT PROGRAM
Annual Report for the Period Commencing on January 1, 2022 and ending December 31, 2022 (including updates through June 30, 2023)
Effective December 1, 2018, the Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Rule”). The Rule requires registered open-end funds, including mutual funds and exchange-traded funds to establish liquidity risk management programs in order to effectively manage fund liquidity and mitigate the risk that a fund could not meet redemption requests without significantly diluting the interests of remaining investors.
The Rule requires the Funds to assess, manage and review their liquidity risk considering applicable factors during normal and foreseeable stressed conditions. In fulfilling this requirement, each Fund assesses and reviews (where applicable and amongst other matters) its investment strategy, portfolio holdings, possible investment concentrations, use of derivatives, short-term and long-term cash flow projections, use of cash and cash equivalents, as well as borrowing arrangements and other funding sources. Each Program has established a Program Administrator (“Administrator”) which is the adviser of the Fund.
In accordance with the Program, each of the Fund’s portfolio investments is classified into one of four liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.
Each Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. If a Fund does not hold a majority of highly liquid investments in its portfolio, then the Fund is required to establish a highly liquid investment minimum (“HLIM”). Loomis Sayles Bond Fund and Loomis Sayles Investment Grade Fixed Income Fund have established an HLIM.
During the period from January 1, 2022 to December 31, 2022, there were no material changes to the Programs and no material events that impacted the operation of the Funds’ Programs. During the period, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.
During the period January 1, 2023 through June 30, 2023, the Funds held sufficient liquid assets to meet redemptions on a timely basis and did not have any HLIM or illiquid security violations.
Annual Program Assessment and Conclusion
In the opinion of the Program Administrators, the Program of each Fund approved by the Funds’ Board is operating effectively. The Program Administrators have also monitored, assessed and managed each Fund’s liquidity risk regularly throughout the period.
Pursuant to the Rule’s requirements, the Board has received and reviewed a written report prepared by each Fund’s Program Administrator that addressed the operation of the Programs, assessed their adequacy and effectiveness and described any material changes made to the Programs.
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Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – 82.0% of Net Assets | ||||||||
Non-Convertible Bonds – 75.1% | ||||||||
ABS Car Loan – 4.3% |
| |||||||
$ | 12,980,000 | American Credit Acceptance Receivables Trust, Series 2021-4, Class D, 1.820%, 2/14/2028, 144A | $ | 12,227,069 | ||||
3,685,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A | 3,450,681 | ||||||
1,470,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 1,494,546 | ||||||
13,000,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A, Class D, 3.040%, 3/20/2025, 144A | 12,533,326 | ||||||
6,300,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class C, 3.150%, 3/20/2026, 144A | 5,832,458 | ||||||
3,880,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class C, 4.250%, 2/20/2027, 144A | 3,608,195 | ||||||
1,745,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class C, 2.130%, 8/20/2027, 144A | 1,495,844 | ||||||
3,470,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class C, 2.350%, 2/20/2028, 144A | 2,960,965 | ||||||
1,255,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, | 1,133,295 | ||||||
2,849,637 | Carvana Auto Receivables Trust, Series 2021-N3, Class C, 1.020%, 6/12/2028 | 2,673,626 | ||||||
1,790,657 | Carvana Auto Receivables Trust, Series 2021-N4, Class C, 1.720%, 9/11/2028 | 1,718,090 | ||||||
6,410,000 | Carvana Auto Receivables Trust, Series 2021-N4, Class D, 2.300%, 9/11/2028 | 6,024,095 | ||||||
6,400,000 | Carvana Auto Receivables Trust, Series 2021-P3, Class C, 1.930%, 10/12/2027 | 5,465,896 | ||||||
3,032,000 | Carvana Auto Receivables Trust, Series 2021-P4, Class C, 2.330%, 2/10/2028 | 2,573,770 | ||||||
4,020,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030, 144A | 3,708,658 | ||||||
8,080,000 | Credit Acceptance Auto Loan Trust, Series 2021-4, Class C, 1.940%, 2/18/2031, 144A | 7,332,825 | ||||||
2,524,497 | DT Auto Owner Trust, Series 2020-3A, Class C, 1.470%, 6/15/2026, 144A | 2,469,239 | ||||||
7,980,000 | DT Auto Owner Trust, Series 2021-4A, Class D, 1.990%, 9/15/2027, 144A | 7,278,877 | ||||||
11,340,000 | Exeter Automobile Receivables Trust, Series 2021-2A, Class D, 1.400%, 4/15/2027 | 10,510,591 | ||||||
ABS Car Loan – continued |
| |||||||
15,295,000 | Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027 | 14,022,034 | ||||||
2,010,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 2,008,884 | ||||||
3,820,000 | Exeter Automobile Receivables Trust, Series 2023-2A, Class D, 6.320%, 8/15/2029 | 3,761,883 | ||||||
2,820,000 | First Investors Auto Owner Trust, Series 2022-2A, Class D, 8.710%, 10/16/2028, 144A | 2,873,103 | ||||||
5,245,000 | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.590%, 6/15/2027, 144A | 4,682,191 | ||||||
6,565,000 | Flagship Credit Auto Trust, Series 2021-3, Class D, 1.650%, 9/15/2027, 144A | 5,793,176 | ||||||
5,260,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A | 4,849,893 | ||||||
10,265,000 | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class D, 1.480%, 7/15/2027, 144A | 9,376,303 | ||||||
16,820,000 | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D, 2.480%, 10/15/2027, 144A | 15,471,552 | ||||||
2,915,000 | GLS Auto Receivables Issuer Trust, Series 2023-2A, Class D, 6.310%, 3/15/2029, 144A | 2,872,782 | ||||||
11,029,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A | 10,194,879 | ||||||
8,512,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A | 8,386,388 | ||||||
4,380,000 | Hertz Vehicle Financing III LLC, Series 2023-2A, Class D, 9.400%, 9/25/2029, 144A | 4,416,476 | ||||||
6,205,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A | 5,871,121 | ||||||
1,318,877 | JPMorgan Chase Bank N.A, Series 2021-3, Class D, 1.009%, 2/26/2029, 144A | 1,234,735 | ||||||
8,375,000 | Prestige Auto Receivables Trust, Series 2022-1A, Class D, 8.080%, 8/15/2028, 144A | 8,443,666 | ||||||
1,568,512 | Santander Bank N.A., Series 2021-1A, Class B, 1.833%, 12/15/2031, 144A | 1,516,783 | ||||||
10,510,000 | Westlake Automobile Receivables Trust, Series 2021-3A, Class D, 2.120%, 1/15/2027, 144A | 9,723,274 | ||||||
|
| |||||||
209,991,169 | ||||||||
|
| |||||||
ABS Home Equity – 4.4% |
| |||||||
8,833,970 | 510 Asset-Backed Trust, Series 2021-NPL1, Class A1, 2.240%, 6/25/2061, 144A(a) | 8,148,860 |
See accompanying notes to financial statements.
9 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ | 13,235,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | $ | 12,066,332 | ||||
2,715,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053, 144A | 2,216,861 | ||||||
4,647,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054, 144A | 3,650,666 | ||||||
2,280,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 1,844,930 | ||||||
15,970,483 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 14,722,951 | ||||||
3,716,673 | Credit Suisse Mortgage Trust, Series 2021-RPL6, Class M2, 3.125%, 10/25/2060, 144A | 2,819,664 | ||||||
7,995,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038, 144A | 6,829,592 | ||||||
5,272,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 4,515,185 | ||||||
3,120,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 2,664,971 | ||||||
6,560,000 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(a) | 6,527,246 | ||||||
1,270,384 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 1,036,226 | ||||||
12,585,320 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 10,859,622 | ||||||
6,297,482 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 5,427,234 | ||||||
7,418,407 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061, 144A(a) | 6,860,762 | ||||||
2,470,977 | Legacy Mortgage Asset Trust, Series 2021-GS4, Class A1, 1.650%, 11/25/2060, 144A(a) | 2,243,594 | ||||||
1,720,000 | Mill City Mortgage Loan Trust, Series 2019-GS1, Class M2, 3.250%, 7/25/2059, 144A(a) | 1,407,774 | ||||||
1,635,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038, 144A | 1,411,791 | ||||||
1,145,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038, 144A | 987,750 | ||||||
3,535,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 3,017,795 | ||||||
925,000 | Progress Residential Trust, Series 2021-SFR5, Class E2, 2.359%, 7/17/2038, 144A | 788,297 | ||||||
ABS Home Equity – continued |
| |||||||
4,495,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 3,874,186 | ||||||
2,300,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 1,974,521 | ||||||
5,280,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | 4,231,932 | ||||||
1,445,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 1,145,294 | ||||||
1,705,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 1,390,701 | ||||||
1,175,000 | Progress Residential Trust, Series 2021-SFR9, Class E2, 3.010%, 11/17/2040, 144A | 957,329 | ||||||
6,415,140 | PRPM LLC, Series 2021-10, Class A1, 2.487%, 10/25/2026, 144A(a) | 5,974,215 | ||||||
10,862,350 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a) | 10,004,847 | ||||||
9,825,851 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 9,051,918 | ||||||
6,784,122 | PRPM LLC, Series 2021-8, Class A1, 1.743%, 9/25/2026, 144A(a) | 6,235,654 | ||||||
7,175,525 | PRPM LLC, Series 2021-9, Class A1, 2.363%, 10/25/2026, 144A(a) | 6,667,681 | ||||||
9,416,511 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a) | 9,263,963 | ||||||
12,050,000 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 11,713,974 | ||||||
143,804 | Towd Point Mortgage Trust, Series 2015-4, Class M2, 3.750%, 4/25/2055, 144A(a) | 139,898 | ||||||
3,660,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056, 144A(a) | 3,495,168 | ||||||
430,000 | Towd Point Mortgage Trust, Series 2017-3, Class A2, 3.000%, 7/25/2057, 144A(a) | 401,287 | ||||||
1,195,000 | Towd Point Mortgage Trust, Series 2019-4, Class M1, 3.500%, 10/25/2059, 144A(a) | 1,003,714 | ||||||
905,000 | Towd Point Mortgage Trust, Series 2020-1, Class A2B, 3.250%, 1/25/2060, 144A(a) | 758,381 | ||||||
495,000 | Towd Point Mortgage Trust, Series 2020-2, Class A2B, 3.000%, 4/25/2060, 144A(a) | 393,330 | ||||||
2,015,000 | Tricon Residential Trust, Series 2021-SFR1, Class E1, 2.794%, 7/17/2038, 144A | 1,773,966 |
See accompanying notes to financial statements.
| 10
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ | 5,360,000 | Tricon Residential Trust, Series 2021-SFR1, Class E2, 2.894%, 7/17/2038, 144A | $ | 4,706,707 | ||||
190,237 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a) | 182,261 | ||||||
8,677,548 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(a) | 7,858,031 | ||||||
14,010,480 | VCAT LLC, Series 2021-NPL6, Class A1, 1.917%, 9/25/2051, 144A(a) | 12,694,645 | ||||||
7,610,963 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a) | 6,993,668 | ||||||
|
| |||||||
212,935,374 | ||||||||
|
| |||||||
ABS Other – 2.8% |
| |||||||
1,290,000 | Affirm Asset Securitization Trust, Series 2021-B, Class C, 1.400%, 8/17/2026, 144A | 1,207,600 | ||||||
6,556,430 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 5,648,430 | ||||||
2,410,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A | 1,964,674 | ||||||
13,505,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A | 12,064,844 | ||||||
10,697,100 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A | 9,043,393 | ||||||
628,338 | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class C, 2.090%, 8/27/2035, 144A | 556,763 | ||||||
1,065,548 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 1,044,825 | ||||||
3,495,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028, 144A | 3,245,905 | ||||||
3,565,000 | FREED ABS Trust, Series 2022-1FP, Class D, 3.350%, 3/19/2029, 144A | 3,211,618 | ||||||
60,219 | HIN Timeshare Trust, Series 2020-A, Class C, 3.420%, 10/09/2039, 144A | 55,071 | ||||||
3,980,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 3,840,349 | ||||||
3,645,000 | HPEFS Equipment Trust, Series 2022-1A, Class D, 2.400%, 11/20/2029, 144A | 3,390,394 | ||||||
9,700,921 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A | 8,353,755 | ||||||
16,902,336 | MAPS Trust, Series 2021-1A, Class A, 2.521%, 6/15/2046, 144A | 14,529,569 | ||||||
1,733,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | 1,631,656 | ||||||
ABS Other – continued |
| |||||||
3,210,000 | Marlette Funding Trust, Series 2021-3A, Class C, 1.810%, 12/15/2031, 144A | 2,920,966 | ||||||
9,900,624 | MVW LLC, Series 2021-2A, Class C, 2.230%, 5/20/2039, 144A | 8,741,028 | ||||||
14,758,676 | Navigator Aircraft ABS Ltd., Series 2021-1, Class A, 2.771%, 11/15/2046, 144A(a) | 12,817,025 | ||||||
3,250,000 | Nelnet Student Loan Trust, Series 2021-A, Class B2, 2.850%, 4/20/2062, 144A | 2,662,461 | ||||||
902,716 | OneMain Financial Issuance Trust, Series 2018-2A, Class A, 3.570%, 3/14/2033, 144A | 889,376 | ||||||
1,835,000 | OneMain Financial Issuance Trust, Series 2020-2A, Class A, 1.750%, 9/14/2035, 144A | 1,637,315 | ||||||
5,485,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | 4,353,613 | ||||||
800,000 | Republic Finance Issuance Trust, Series 2021-A, Class C, 3.530%, 12/22/2031, 144A | 681,590 | ||||||
725,000 | SCF Equipment Leasing LLC, Series 2021-1A, Class D, 1.930%, 9/20/2030, 144A | 641,395 | ||||||
4,060,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A | 3,971,194 | ||||||
833,096 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A | 700,338 | ||||||
14,446,250 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 12,389,393 | ||||||
1,440,000 | SoFi Consumer Loan Program Trust, Series 2021-1, Class D, 2.040%, 9/25/2030, 144A | 1,321,394 | ||||||
2,632,529 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A | 2,092,966 | ||||||
12,090,742 | Willis Engine Structured Trust VI, Series 2021-A, Class A, 3.104%, 5/15/2046, 144A | 9,582,070 | ||||||
|
| |||||||
135,190,970 | ||||||||
|
| |||||||
ABS Student Loan – 0.5% |
| |||||||
2,167,892 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 1,930,006 | ||||||
2,157,000 | College Avenue Student Loans LLC, Series 2021-C, Class D, 4.110%, 7/26/2055, 144A | 1,808,131 | ||||||
704,894 | ELFI Graduate Loan Program LLC, Series 2021-A, Class B, 2.090%, 12/26/2046, 144A(a) | 596,889 | ||||||
2,565,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 1,710,633 | ||||||
5,895,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | 3,782,943 |
See accompanying notes to financial statements.
11 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Student Loan – continued |
| |||||||
$ | 2,120,000 | Nelnet Student Loan Trust, Series 2021-DA, Class C, 3.500%, 4/20/2062, 144A | $ | 1,722,852 | ||||
863,000 | Nelnet Student Loan Trust, Series 2021-DA, Class D, 4.380%, 4/20/2062, 144A | 687,982 | ||||||
5,735,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051, 144A | 4,694,074 | ||||||
7,070,000 | SMB Private Education Loan Trust, Series 2021-E, Class B, 2.490%, 2/15/2051, 144A | 5,687,214 | ||||||
630,000 | SoFi Professional Loan Program LLC, Series 2017-A, Class C, 4.430%, 3/26/2040, 144A(a) | 580,507 | ||||||
|
| |||||||
23,201,231 | ||||||||
|
| |||||||
ABS Whole Business – 0.6% |
| |||||||
9,470,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A | 9,317,012 | ||||||
1,665,125 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 1,519,831 | ||||||
7,193,200 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 6,000,071 | ||||||
3,405,500 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 2,713,479 | ||||||
1,138,700 | Planet Fitness Master Issuer LLC, Series 2019-1A, Class A2, 3.858%, 12/05/2049, 144A | 953,208 | ||||||
202,438 | Planet Fitness Master Issuer LLC, Series 2022-1A, Class A2I, 3.251%, 12/05/2051, 144A | 178,649 | ||||||
11,025,000 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 9,116,969 | ||||||
|
| |||||||
29,799,219 | ||||||||
|
| |||||||
Airlines – 1.8% |
| |||||||
19,996,234 | Air Canada Pass-Through Trust, Series 2020-2A, Class A, 5.250%, 10/01/2030, 144A | 19,470,533 | ||||||
2,679,940 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 2,465,277 | ||||||
2,425,370 | American Airlines Pass-Through Trust, Series 2017-2, Class B, 3.700%, 4/15/2027 | 2,278,660 | ||||||
33,596,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | 33,679,880 | ||||||
3,884,912 | United Airlines Pass-Through Trust, Series 2014-1, Class A, 4.000%, 10/11/2027 | 3,653,141 | ||||||
23,166,757 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 22,999,030 | ||||||
Airlines – continued |
| |||||||
3,294,850 | United Airlines Pass-Through Trust, Series 2020-1, Class B, 4.875%, 7/15/2027 | 3,159,728 | ||||||
|
| |||||||
87,706,249 | ||||||||
|
| |||||||
Automotive – 1.1% |
| |||||||
1,580,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,640,846 | ||||||
4,310,000 | General Motors Financial Co., Inc., 3.100%, 1/12/2032 | 3,485,934 | ||||||
30,275,000 | General Motors Financial Co., Inc., 3.600%, 6/21/2030 | 26,156,907 | ||||||
1,345,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 1,333,249 | ||||||
10,060,000 | General Motors Financial Co., Inc., 6.400%, 1/09/2033 | 10,225,391 | ||||||
815,000 | General Motors Financial Co., Inc., Series A, (fixed rate to 9/30/2027, variable rate thereafter), 5.750%(b) | 663,206 | ||||||
1,305,000 | General Motors Financial Co., Inc., Series C, (fixed rate to 9/30/2030, variable rate thereafter), 5.700%(b) | 1,145,586 | ||||||
3,305,000 | ZF North America Capital, Inc., 6.875%, 4/14/2028, 144A | 3,352,526 | ||||||
3,490,000 | ZF North America Capital, Inc., 7.125%, 4/14/2030, 144A | 3,553,937 | ||||||
|
| |||||||
51,557,582 | ||||||||
|
| |||||||
Banking – 4.7% |
| |||||||
20,700,000 | Ally Financial, Inc., Series B, (fixed rate to 5/15/2026, variable rate thereafter), 4.700%(b) | 14,593,500 | ||||||
15,605,000 | Ally Financial, Inc., Series C, (fixed rate to 5/15/2028, variable rate thereafter), 4.700%(b) | 10,065,225 | ||||||
17,805,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(b) | 12,096,717 | ||||||
47,298,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 37,427,414 | ||||||
14,253,000 | BNP Paribas SA, (fixed rate to 8/12/2030, variable rate thereafter), 2.588%, 8/12/2035, 144A | 10,911,527 | ||||||
4,195,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 3,076,487 | ||||||
25,209,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 19,062,952 | ||||||
2,275,000 | Deutsche Bank AG, (fixed rate to 12/01/2027, variable rate thereafter), 4.875%, 12/01/2032 | 1,920,983 | ||||||
3,380,000 | Intesa Sanpaolo SpA, (fixed rate to 6/01/2031, variable rate thereafter), 4.198%, 6/01/2032, 144A | 2,517,593 | ||||||
17,675,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 17,445,966 |
See accompanying notes to financial statements.
| 12
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Banking – continued |
| |||||||
$ | 22,550,000 | NatWest Group PLC, (fixed rate to 8/28/2030, variable rate thereafter), 3.032%, 11/28/2035 | $ | 17,239,926 | ||||
4,370,000 | Synchrony Bank, 5.400%, 8/22/2025 | 4,178,070 | ||||||
8,885,000 | Synchrony Bank, 5.625%, 8/23/2027 | 8,345,947 | ||||||
605,000 | UBS Group AG, (fixed rate to 1/12/2028, variable rate thereafter), 3.869%, 1/12/2029, 144A | 546,918 | ||||||
5,470,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 6,556,550 | ||||||
510,000 | UBS Group AG, (fixed rate to 5/14/2031, variable rate thereafter), 3.091%, 5/14/2032, 144A | 412,552 | ||||||
8,165,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 7,487,049 | ||||||
13,985,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 13,896,666 | ||||||
11,645,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 11,687,854 | ||||||
8,545,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A | 8,745,209 | ||||||
22,400,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 19,009,749 | ||||||
|
| |||||||
227,224,854 | ||||||||
|
| |||||||
Brokerage – 0.1% |
| |||||||
5,731,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 5,845,122 | ||||||
|
| |||||||
Building Materials – 1.2% |
| |||||||
45,994,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 38,722,551 | ||||||
305,000 | Cemex SAB de CV, (fixed rate to 3/14/2028, variable rate thereafter), 9.125%, 144A(b) | 308,888 | ||||||
15,360,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(b) | 13,669,545 | ||||||
4,057,000 | Masco Corp., 6.500%, 8/15/2032 | 4,182,299 | ||||||
1,082,000 | Masco Corp., 7.750%, 8/01/2029 | 1,182,497 | ||||||
|
| |||||||
58,065,780 | ||||||||
|
| |||||||
Cable Satellite – 4.4% |
| |||||||
36,985,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 4.250%, 1/15/2034, 144A | 27,952,072 | ||||||
11,015,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 8,338,363 | ||||||
Cable Satellite – continued |
| |||||||
35,342,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 28,438,304 | ||||||
24,940,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 15,759,058 | ||||||
1,438,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 869,743 | ||||||
46,770,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 28,774,509 | ||||||
6,805,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 5,973,126 | ||||||
5,935,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.125%, 7/01/2049 | 4,669,203 | ||||||
7,740,000 | CSC Holdings LLC, 3.375%, 2/15/2031, 144A | 5,239,132 | ||||||
950,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A | 664,550 | ||||||
815,000 | CSC Holdings LLC, 4.500%, 11/15/2031, 144A | 568,231 | ||||||
45,882,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 20,414,604 | ||||||
1,875,000 | CSC Holdings LLC, 5.000%, 11/15/2031, 144A | 873,202 | ||||||
19,355,000 | CSC Holdings LLC, 5.375%, 2/01/2028, 144A | 15,552,530 | ||||||
1,390,000 | CSC Holdings LLC, 5.750%, 1/15/2030, 144A | 656,316 | ||||||
9,430,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 4,378,784 | ||||||
26,600,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 21,337,788 | ||||||
10,570,000 | DISH DBS Corp., 5.750%, 12/01/2028, 144A | 7,861,792 | ||||||
14,719,000 | DISH DBS Corp., 7.750%, 7/01/2026 | 9,022,232 | ||||||
6,190,000 | Time Warner Cable LLC, 4.500%, 9/15/2042 | 4,630,072 | ||||||
535,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 471,950 | ||||||
|
| |||||||
212,445,561 | ||||||||
|
| |||||||
Chemicals – 0.2% |
| |||||||
1,995,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 1,713,836 | ||||||
10,170,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 8,218,009 |
See accompanying notes to financial statements.
13 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Chemicals – continued | ||||||||
$ | 1,360,000 | INEOS Quattro Finance 2 PLC, 3.375%, 1/15/2026, 144A | $ | 1,241,069 | ||||
|
| |||||||
11,172,914 | ||||||||
|
| |||||||
Construction Machinery – 0.1% |
| |||||||
2,300,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 2,223,786 | ||||||
3,425,000 | Ashtead Capital, Inc., 5.550%, 5/30/2033, 144A | 3,338,637 | ||||||
|
| |||||||
5,562,423 | ||||||||
|
| |||||||
Consumer Cyclical Services – 2.3% |
| |||||||
2,700,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 2,275,171 | ||||||
10,311,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 8,974,179 | ||||||
14,700,000 | TriNet Group, Inc., 3.500%, 3/01/2029, 144A | 12,781,522 | ||||||
33,255,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 30,607,839 | ||||||
20,723,000 | Uber Technologies, Inc., 6.250%, 1/15/2028, 144A | 20,620,628 | ||||||
33,623,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 34,391,387 | ||||||
|
| |||||||
109,650,726 | ||||||||
|
| |||||||
Consumer Products – 0.5% |
| |||||||
12,778,000 | Avon Products, Inc., 8.450%, 3/15/2043 | 13,800,240 | ||||||
9,385,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A | 8,118,708 | ||||||
|
| |||||||
21,918,948 | ||||||||
|
| |||||||
Electric – 0.7% |
| |||||||
26,613,701 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 24,326,779 | ||||||
8,663,000 | Enel Generacion Chile SA, 7.875%, 2/01/2027 | 9,116,626 | ||||||
|
| |||||||
33,443,405 | ||||||||
|
| |||||||
Finance Companies – 5.2% |
| |||||||
12,526,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 10,830,640 | ||||||
12,050,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 9,858,090 | ||||||
3,100,000 | AGFC Capital Trust I, 3 mo. USD LIBOR + 1.750%, 7.010%, 1/15/2067, 144A(c) | 1,587,014 | ||||||
6,606,000 | Air Lease Corp., 4.625%, 10/01/2028 | 6,208,882 | ||||||
17,166,000 | Air Lease Corp., Series B, (fixed rate to 6/15/2026, variable rate thereafter), 4.650%(b) | 14,326,057 | ||||||
5,325,000 | Aircastle Ltd., Series A (fixed rate to 6/15/2026, variable rate thereafter), 5.250%, 144A(b) | 3,716,318 | ||||||
12,465,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 10,308,137 | ||||||
Finance Companies – continued |
| |||||||
17,495,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 13,411,037 | ||||||
3,260,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 2,903,579 | ||||||
6,740,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A | 6,720,050 | ||||||
9,790,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 8,528,456 | ||||||
22,260,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 18,794,564 | ||||||
3,430,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 2,792,263 | ||||||
12,680,000 | GATX Corp., 5.450%, 9/15/2033 | 12,475,800 | ||||||
775,000 | OneMain Finance Corp., 3.500%, 1/15/2027 | 664,904 | ||||||
910,000 | OneMain Finance Corp., 4.000%, 9/15/2030 | 700,700 | ||||||
1,940,000 | OneMain Finance Corp., 5.375%, 11/15/2029 | 1,649,286 | ||||||
10,145,000 | OneMain Finance Corp., 7.125%, 3/15/2026 | 9,967,383 | ||||||
12,435,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 10,132,184 | ||||||
14,750,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 13,645,294 | ||||||
13,420,000 | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025, 144A | 12,152,865 | ||||||
30,029,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 26,575,665 | ||||||
19,614,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 16,484,939 | ||||||
28,741,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 23,304,855 | ||||||
15,738,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 12,310,893 | ||||||
|
| |||||||
250,049,855 | ||||||||
|
| |||||||
Financial Other – 1.2% |
| |||||||
9,560,000 | Agile Group Holdings Ltd., 6.050%, 10/13/2025 | 2,267,536 | ||||||
3,680,000 | Central China Real Estate Ltd., 7.250%, 7/16/2024(d) | 332,157 | ||||||
1,455,000 | Central China Real Estate Ltd., 7.250%, 8/13/2024(d) | 123,240 | ||||||
2,700,000 | Central China Real Estate Ltd., 7.250%, 4/28/2025(d) | 217,350 | ||||||
3,675,000 | Central China Real Estate Ltd., 7.500%, 7/14/2025(d) | 286,429 | ||||||
945,000 | Central China Real Estate Ltd., 7.650%, 8/27/2025(d) | 66,112 | ||||||
730,000 | Central China Real Estate Ltd., 7.750%, 5/24/2024(d) | 58,247 | ||||||
2,815,000 | CIFI Holdings Group Co. Ltd., 6.000%, 7/16/2025(e) | 310,973 | ||||||
990,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(e) | 111,197 |
See accompanying notes to financial statements.
| 14
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Financial Other – continued |
| |||||||
$ | 7,770,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | $ | 2,127,193 | ||||
36,625,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.375%, 2/01/2029 | 28,776,262 | ||||||
19,485,000 | Kaisa Group Holdings Ltd., 9.375%, 6/30/2024(d) | 1,326,149 | ||||||
1,845,000 | Kaisa Group Holdings Ltd., 9.950%, 7/23/2025(d) | 124,445 | ||||||
2,400,000 | Kaisa Group Holdings Ltd., 10.500%, 1/15/2025(d) | 155,832 | ||||||
24,005,000 | Kaisa Group Holdings Ltd., 11.250%, 4/16/2025(d) | 1,562,485 | ||||||
1,305,000 | Kaisa Group Holdings Ltd., 11.650%, 6/01/2026(d) | 80,762 | ||||||
1,735,000 | Kaisa Group Holdings Ltd., 11.700%, 11/11/2025(d) | 118,084 | ||||||
5,965,000 | Logan Group Co. Ltd., 4.250%, 7/12/2025(d) | 564,447 | ||||||
5,148,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(d) | 487,137 | ||||||
2,635,000 | Nationstar Mortgage Holdings, Inc., 5.125%, 12/15/2030, 144A | 2,137,512 | ||||||
11,480,000 | Nationstar Mortgage Holdings, Inc., 5.500%, 8/15/2028, 144A | 10,055,849 | ||||||
6,195,000 | Shimao Group Holdings Ltd., 3.450%, 1/11/2031(d) | 609,526 | ||||||
400,000 | Shimao Group Holdings Ltd., 4.600%, 7/13/2030(d) | 39,236 | ||||||
1,515,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(d) | 114,746 | ||||||
4,675,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(d) | 466,705 | ||||||
1,465,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(d) | 106,390 | ||||||
575,000 | Sunac China Holdings Ltd., 5.950%, 4/26/2024(d) | 92,339 | ||||||
6,810,000 | Sunac China Holdings Ltd., 6.500%, 1/10/2025(d) | 1,098,930 | ||||||
3,575,000 | Sunac China Holdings Ltd., 6.500%, 1/26/2026(d) | 522,725 | ||||||
460,000 | Sunac China Holdings Ltd., 6.650%, 8/03/2024(d) | 74,888 | ||||||
5,930,000 | Sunac China Holdings Ltd., 7.000%, 7/09/2025(d) | 964,574 | ||||||
1,120,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(d) | 74,276 | ||||||
7,485,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(d) | 496,386 | ||||||
440,000 | Times China Holdings Ltd., 6.750%, 7/08/2025(d) | 29,037 | ||||||
3,175,000 | Yuzhou Group Holdings Co. Ltd., 6.350%, 1/13/2027(d) | 132,345 | ||||||
6,250,000 | Yuzhou Group Holdings Co. Ltd., 7.700%, 2/20/2025(d) | 260,521 | ||||||
1,585,000 | Yuzhou Group Holdings Co. Ltd., 7.850%, 8/12/2026(d) | 66,068 | ||||||
4,025,000 | Yuzhou Group Holdings Co. Ltd., 8.300%, 5/27/2025(d) | 167,776 | ||||||
|
| |||||||
56,605,866 | ||||||||
|
| |||||||
Food & Beverage – 0.4% |
| |||||||
5,695,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 4,829,416 | ||||||
17,905,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032 | 14,155,693 | ||||||
995,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031 | 853,262 | ||||||
|
| |||||||
19,838,371 | ||||||||
|
| |||||||
Gaming – 0.8% |
| |||||||
19,755,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 15,974,084 | ||||||
5,810,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 4,691,072 | ||||||
415,000 | Scientific Games International, Inc., 7.250%, 11/15/2029, 144A | 415,519 | ||||||
10,488,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 9,811,328 | ||||||
8,621,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 8,144,431 | ||||||
|
| |||||||
39,036,434 | ||||||||
|
| |||||||
Government Owned –No Guarantee – 1.0% |
| |||||||
27,210,000 | Antares Holdings LP, 8.500%, 5/18/2025, 144A | 26,598,247 | ||||||
28,145,000 | Petroleos Mexicanos, 5.950%, 1/28/2031 | 20,561,347 | ||||||
2,735,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 8/05/2029 | 560,237 | ||||||
5,250,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 1,070,947 | ||||||
|
| |||||||
48,790,778 | ||||||||
|
| |||||||
Health Insurance – 0.8% |
| |||||||
245,000 | Centene Corp., 2.450%, 7/15/2028 | 209,415 | ||||||
23,625,000 | Centene Corp., 2.500%, 3/01/2031 | 18,840,229 | ||||||
8,940,000 | Centene Corp., 2.625%, 8/01/2031 | 7,124,107 | ||||||
6,921,000 | Centene Corp., 3.000%, 10/15/2030 | 5,767,249 | ||||||
6,470,000 | Molina Healthcare, Inc., 3.875%, 5/15/2032, 144A | 5,424,120 | ||||||
|
| |||||||
37,365,120 | ||||||||
|
| |||||||
Healthcare – 0.6% |
| |||||||
28,490,000 | HCA, Inc., 5.500%, 6/01/2033 | 28,441,609 | ||||||
|
| |||||||
Home Construction – 0.3% |
| |||||||
12,840,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 12,981,970 | ||||||
|
| |||||||
Independent Energy – 3.6% |
| |||||||
17,555,000 | Aker BP ASA, 4.000%, 1/15/2031, 144A | 15,611,794 | ||||||
14,715,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 11,305,596 | ||||||
54,380,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 51,696,751 | ||||||
12,510,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 10,930,613 | ||||||
2,690,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 2,473,213 | ||||||
11,721,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 10,081,144 |
See accompanying notes to financial statements.
15 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Independent Energy – continued |
| |||||||
$ | 11,753,000 | EQT Corp., 3.900%, 10/01/2027 | $ | 10,865,879 | ||||
2,329,000 | EQT Corp., 5.000%, 1/15/2029 | 2,192,730 | ||||||
2,215,000 | EQT Corp., 5.700%, 4/01/2028 | 2,186,133 | ||||||
10,210,000 | EQT Corp., 7.000%, 2/01/2030 | 10,690,176 | ||||||
2,040,000 | Matador Resources Co., 6.875%, 4/15/2028, 144A | 2,019,178 | ||||||
15,296,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 15,328,939 | ||||||
828,000 | Ovintiv, Inc., 6.500%, 2/01/2038 | 811,766 | ||||||
4,156,000 | Ovintiv, Inc., 6.625%, 8/15/2037 | 4,102,154 | ||||||
553,000 | Ovintiv, Inc., 7.200%, 11/01/2031 | 580,285 | ||||||
1,815,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 1,946,410 | ||||||
2,285,000 | Ovintiv, Inc., 8.125%, 9/15/2030 | 2,507,702 | ||||||
27,050,000 | Sanchez Energy Corp., 6.125%, 1/15/2023(d) | 405,750 | ||||||
12,420,000 | Sanchez Energy Corp., 7.750%, 6/15/2021(d) | 186,300 | ||||||
2,150,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 1,894,873 | ||||||
4,695,000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 4,825,194 | ||||||
10,345,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 10,945,113 | ||||||
|
| |||||||
173,587,693 | ||||||||
|
| |||||||
Industrial Other – 0.1% |
| |||||||
5,995,000 | TopBuild Corp., 4.125%, 2/15/2032, 144A | 5,107,222 | ||||||
|
| |||||||
Leisure – 1.1% |
| |||||||
13,160,000 | Carnival Corp., 5.750%, 3/01/2027, 144A | 12,114,964 | ||||||
3,415,000 | Carnival Corp., 6.000%, 5/01/2029, 144A | 3,049,029 | ||||||
10,030,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 9,383,704 | ||||||
7,630,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 7,418,878 | ||||||
3,695,000 | NCL Finance Ltd., 6.125%, 3/15/2028, 144A | 3,325,571 | ||||||
18,780,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 17,513,096 | ||||||
|
| |||||||
52,805,242 | ||||||||
|
| |||||||
Life Insurance – 3.5% |
| |||||||
5,935,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 5,492,277 | ||||||
6,099,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 4,667,537 | ||||||
20,335,000 | Brighthouse Financial, Inc., 5.625%, 5/15/2030 | 19,601,154 | ||||||
2,030,000 | MetLife, Inc., 9.250%, 4/08/2068, 144A | 2,353,427 | ||||||
10,175,000 | MetLife, Inc., 10.750%, 8/01/2069 | 13,132,866 | ||||||
57,985,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 60,148,433 | ||||||
38,476,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 50,264,277 | ||||||
12,950,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 13,684,265 | ||||||
|
| |||||||
169,344,236 | ||||||||
|
| |||||||
Lodging – 0.9% |
| |||||||
11,490,000 | Hilton Domestic Operating Co., Inc., 3.625%, 2/15/2032, 144A | 9,579,634 | ||||||
2,475,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 4.875%, 7/01/2031, 144A | 2,076,367 | ||||||
8,090,000 | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, 5.000%, 6/01/2029, 144A | 7,179,472 | ||||||
6,155,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 5,312,165 | ||||||
10,440,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 8,882,622 | ||||||
10,574,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | 8,948,247 | ||||||
|
| |||||||
41,978,507 | ||||||||
|
| |||||||
Media Entertainment – 1.7% |
| |||||||
5,896,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 4,444,916 | ||||||
8,005,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 6,121,419 | ||||||
22,040,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 21,689,425 | ||||||
2,757,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 2,767,212 | ||||||
13,137,000 | Netflix, Inc., 5.875%, 11/15/2028 | 13,567,920 | ||||||
17,879,000 | Netflix, Inc., 6.375%, 5/15/2029 | 18,915,982 | ||||||
16,368,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 14,516,377 | ||||||
|
| |||||||
82,023,251 | ||||||||
|
| |||||||
Metals & Mining – 1.9% |
| |||||||
19,906,000 | ArcelorMittal SA, 6.750%, 3/01/2041 | 20,258,196 | ||||||
470,000 | ArcelorMittal SA, 7.000%, 10/15/2039 | 490,611 | ||||||
7,370,000 | First Quantum Minerals Ltd., 6.875%, 3/01/2026, 144A | 7,255,051 | ||||||
31,810,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 31,030,655 | ||||||
7,157,000 | First Quantum Minerals Ltd., 7.500%, 4/01/2025, 144A | 7,148,095 | ||||||
18,565,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 15,201,208 | ||||||
6,680,000 | Glencore Funding LLC, 5.700%, 5/08/2033, 144A | 6,627,730 | ||||||
2,865,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 2,130,693 | ||||||
|
| |||||||
90,142,239 | ||||||||
|
| |||||||
Midstream – 1.1% |
| |||||||
3,435,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 2,825,802 | ||||||
2,290,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 2,016,321 | ||||||
1,955,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 1,794,214 | ||||||
9,050,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 9,292,965 |
See accompanying notes to financial statements.
| 16
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Midstream – continued |
| |||||||
$ | 13,095,000 | Energy Transfer LP, 5.750%, 2/15/2033 | $ | 13,180,720 | ||||
3,745,000 | Hess Midstream Operations LP, 4.250%, 2/15/2030, 144A | 3,267,512 | ||||||
205,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 218,535 | ||||||
5,300,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 4,596,478 | ||||||
1,365,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 1,261,451 | ||||||
1,380,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 1,328,071 | ||||||
2,635,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 2,365,830 | ||||||
6,105,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 5,095,999 | ||||||
1,130,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 954,597 | ||||||
840,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 702,460 | ||||||
3,495,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 2,862,650 | ||||||
1,090,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 1,098,600 | ||||||
|
| |||||||
52,862,205 | ||||||||
|
| |||||||
Mortgage Related – 0.0% |
| |||||||
3,735 | Federal Home Loan Mortgage Corp., 5.000%, 12/01/2031 | 3,688 | ||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 1.6% |
| |||||||
505,000 | BBSG Mortgage Trust, Series 2016-MRP, Class A, 3.275%, 6/05/2036, 144A | 405,182 | ||||||
11,095,000 | BPR Trust, Series 2021-NRD, Class F, 1 mo. USD SOFR + 6.870%, 11.972%, 12/15/2038, 144A(c) | 9,836,037 | ||||||
7,790,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.379%, 8/15/2024, 144A(c) | 7,721,226 | ||||||
1,775,179 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 1,610,975 | ||||||
164,858 | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2, 3.400%, 10/05/2030, 144A | 136,420 | ||||||
2,174,128 | Commercial Mortgage Trust, Series 2012-LC4, Class B, 4.934%, 12/10/2044(a) | 2,042,573 | ||||||
6,710,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 5,403,564 | ||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
630,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class C, 4.336%, 9/15/2037, 144A | 483,569 | ||||||
2,530,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class D, 4.373%, 9/15/2037, 144A | 1,828,407 | ||||||
4,163,348 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD LIBOR + 1.700%, 6.894%, 7/15/2038, 144A(c) | 4,051,010 | ||||||
2,992,406 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 7.444%, 7/15/2038, 144A(c) | 2,907,911 | ||||||
2,141,177 | GS Mortgage Securities Corp. Trust, Series 2013-G1, Class B, 3.845%, 4/10/2031, 144A(a) | 1,981,221 | ||||||
3,760,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.668%, 3/05/2033, 144A(a) | 3,268,741 | ||||||
435,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D, 3.910%, 12/15/2047, 144A(a) | 385,982 | ||||||
1,895,901 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD LIBOR + 1.450%, 6.644%, 11/15/2038, 144A(c) | 1,829,310 | ||||||
6,031,056 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.994%, 11/15/2038, 144A(c) | 5,811,661 | ||||||
2,488,059 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000%, 7.194%, 11/15/2038, 144A(c) | 2,371,026 | ||||||
1,705,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class B, 4.484%, 8/15/2046(a)(f) | 1,177,347 | ||||||
1,360,532 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 1,061,215 | ||||||
551,773 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 514,507 | ||||||
9,076,751 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a) | 7,086,710 | ||||||
4,970,000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class B, 3.671%, 11/15/2059(a) | 4,134,704 | ||||||
1,805,882 | WFRBS Commercial Mortgage Trust, Series 2012-C10, Class B, 3.744%, 12/15/2045 | 1,488,950 | ||||||
7,750,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.584%, 8/15/2046(a) | 6,437,975 |
See accompanying notes to financial statements.
17 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ | 2,915,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | $ | 2,134,755 | ||||
|
| |||||||
76,110,978 | ||||||||
|
| |||||||
Other REITs – 0.1% |
| |||||||
4,125,000 | EPR Properties, 3.600%, 11/15/2031 | 3,216,924 | ||||||
|
| |||||||
Paper – 0.0% |
| |||||||
1,250,000 | WestRock MWV LLC, 7.950%, 2/15/2031 | 1,415,736 | ||||||
|
| |||||||
Pharmaceuticals – 1.9% |
| |||||||
11,605,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 6,907,296 | ||||||
5,560,000 | Bausch Health Cos., Inc., 5.000%, 1/30/2028, 144A | 2,363,000 | ||||||
580,000 | Bausch Health Cos., Inc., 5.000%, 2/15/2029, 144A | 239,154 | ||||||
4,435,000 | Bausch Health Cos., Inc., 5.250%, 1/30/2030, 144A | 1,840,525 | ||||||
3,015,000 | Bausch Health Cos., Inc., 5.250%, 2/15/2031, 144A | 1,259,908 | ||||||
640,000 | Bausch Health Cos., Inc., 6.250%, 2/15/2029, 144A | 272,000 | ||||||
1,045,000 | Bausch Health Cos., Inc., 7.000%, 1/15/2028, 144A | 451,838 | ||||||
9,370,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 8,326,829 | ||||||
7,475,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.375%, 9/15/2029, (EUR) | 8,299,302 | ||||||
6,270,000 | Teva Pharmaceutical Finance Netherlands II BV, 7.875%, 9/15/2031, (EUR) | 7,067,415 | ||||||
5,031,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/2026 | 4,508,006 | ||||||
25,967,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 17,068,841 | ||||||
15,545,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 14,380,251 | ||||||
10,545,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 9,565,378 | ||||||
5,520,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 5,688,537 | ||||||
3,965,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | 4,155,641 | ||||||
|
| |||||||
92,393,921 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.3% |
| |||||||
13,985,000 | MBIA Insurance Corp., 3 mo. USD LIBOR + 11.260%, 16.520%, 1/15/2033, 144A(e) | 419,550 | ||||||
Property & Casualty Insurance – continued |
| |||||||
80,000 | MBIA Insurance Corp., 3 mo. USD LIBOR + 11.260%, 16.805%, 1/15/2033(e) | 2,400 | ||||||
17,110,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 13,136,756 | ||||||
|
| |||||||
13,558,706 | ||||||||
|
| |||||||
Retailers – 0.7% |
| |||||||
4,680,000 | Dillard’s, Inc., 7.000%, 12/01/2028 | 4,690,390 | ||||||
7,182,000 | Dillard’s, Inc., 7.750%, 7/15/2026 | 7,312,353 | ||||||
2,250,000 | Dillard’s, Inc., 7.750%, 5/15/2027 | 2,320,673 | ||||||
15,105,000 | Lithia Motors, Inc., 3.875%, 6/01/2029, 144A | 13,164,461 | ||||||
9,245,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 8,747,711 | ||||||
|
| |||||||
36,235,588 | ||||||||
|
| |||||||
Technology – 5.4% |
| |||||||
15,580,000 | Avnet, Inc., 5.500%, 6/01/2032 | 14,793,145 | ||||||
8,675,000 | Block, Inc., 3.500%, 6/01/2031 | 7,184,826 | ||||||
5,785,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 4,437,356 | ||||||
13,741,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 12,642,396 | ||||||
2,854,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 2,445,404 | ||||||
14,575,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 12,298,677 | ||||||
14,400,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 10,023,353 | ||||||
16,765,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 13,217,538 | ||||||
19,780,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 18,362,290 | ||||||
945,000 | Gartner, Inc., 3.625%, 6/15/2029, 144A | 831,906 | ||||||
4,710,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 3,992,090 | ||||||
6,145,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 4,999,038 | ||||||
3,460,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 3,370,917 | ||||||
7,515,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 7,322,893 | ||||||
13,265,000 | Iron Mountain, Inc., 4.875%, 9/15/2029, 144A | 11,873,983 | ||||||
10,470,000 | Leidos, Inc., 5.750%, 3/15/2033 | 10,401,357 | ||||||
8,630,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 7,234,259 | ||||||
15,190,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 15,114,094 | ||||||
39,785,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 39,424,272 | ||||||
19,330,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 20,093,369 | ||||||
4,150,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 4,224,825 | ||||||
18,900,000 | Oracle Corp., 3.950%, 3/25/2051 | 14,290,709 | ||||||
845,000 | Seagate HDD Cayman, 4.091%, 6/01/2029 | 743,363 | ||||||
615,825 | Seagate HDD Cayman, 9.625%, 12/01/2032, 144A | 679,525 |
See accompanying notes to financial statements.
| 18
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Technology – continued |
| |||||||
$ | 9,186,000 | VMware, Inc., 2.200%, 8/15/2031 | $ | 7,218,359 | ||||
6,775,000 | Western Digital Corp., 2.850%, 2/01/2029 | 5,413,012 | ||||||
10,601,000 | Western Digital Corp., 4.750%, 2/15/2026 | 10,097,639 | ||||||
|
| |||||||
262,730,595 | ||||||||
|
| |||||||
Transportation Services – 0.2% |
| |||||||
10,900,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033, 144A | 10,650,956 | ||||||
735,000 | Rand Parent LLC, 8.500%, 2/15/2030, 144A | 665,491 | ||||||
|
| |||||||
11,316,447 | ||||||||
|
| |||||||
Treasuries – 9.8% |
| |||||||
187,857,000,000 | Indonesia Treasury Bonds, Series FR95, 6.375%, 8/15/2028, (IDR) | 12,770,141 | ||||||
265,995,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | 11,560,545 | ||||||
222,380,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042(g) | 198,439,403 | ||||||
76,545,000 | U.S. Treasury Notes, 0.500%, 11/30/2023 | 75,038,020 | ||||||
73,585,000 | U.S. Treasury Notes, 0.875%, 1/31/2024 | 71,685,013 | ||||||
103,730,000 | U.S. Treasury Notes, 1.500%, 2/29/2024 | 101,063,816 | ||||||
|
| |||||||
470,556,938 | ||||||||
|
| |||||||
Wireless – 1.1% |
| |||||||
16,770,000 | Crown Castle, Inc., 5.100%, 5/01/2033 | 16,479,617 | ||||||
9,835,000 | IHS Holding Ltd., 5.625%, 11/29/2026, 144A | 8,560,384 | ||||||
8,000,000 | SoftBank Group Corp., 4.625%, 7/06/2028 | 6,913,600 | ||||||
3,695,000 | SoftBank Group Corp., 5.250%, 7/06/2031 | 3,169,778 | ||||||
15,080,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 18,225,793 | ||||||
|
| |||||||
53,349,172 | ||||||||
|
| |||||||
Wirelines – 0.1% |
| |||||||
3,825,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 3,133,670 | ||||||
|
| |||||||
Total Non-Convertible Bonds | ||||||||
(Identified Cost $4,188,470,640) | 3,620,694,488 | |||||||
|
| |||||||
Convertible Bonds – 5.2% | ||||||||
Airlines – 0.4% |
| |||||||
17,869,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 20,486,808 | ||||||
|
| |||||||
Cable Satellite – 1.9% |
| |||||||
184,765,000 | DISH Network Corp., 3.375%, 8/15/2026 | 93,768,237 | ||||||
|
| |||||||
Consumer Cyclical Services – 0.4% |
| |||||||
18,940,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-5.582%, 12/15/2025(h) | 17,362,487 | ||||||
|
| |||||||
Electric – 0.2% |
| |||||||
12,340,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A | 11,784,700 | ||||||
|
| |||||||
Gaming – 0.1% |
| |||||||
3,339,000 | Penn Entertainment, Inc., 2.750%, 5/15/2026 | 4,137,021 | ||||||
|
| |||||||
Healthcare – 0.6% |
| |||||||
36,387,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 28,927,665 | ||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
9,795,000 | NCL Corp. Ltd., 1.125%, 2/15/2027 | 9,008,266 | ||||||
|
| |||||||
Media Entertainment – 0.3% |
| |||||||
8,590,000 | Snap, Inc., Zero Coupon, 6.697%-7.641%, 5/01/2027(h) | 6,356,600 | ||||||
7,780,000 | Spotify USA, Inc., Zero Coupon, 5.189%-5.873%, 3/15/2026(h) | 6,609,110 | ||||||
|
| |||||||
12,965,710 | ||||||||
|
| |||||||
Pharmaceuticals – 1.0% |
| |||||||
13,963,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 13,715,409 | ||||||
27,688,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 27,834,881 | ||||||
6,370,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 5,754,658 | ||||||
|
| |||||||
47,304,948 | ||||||||
|
| |||||||
Technology – 0.1% |
| |||||||
7,845,000 | Unity Software, Inc., Zero Coupon, 7.084%-8.213%, 11/15/2026(h) | 6,264,233 | ||||||
|
| |||||||
Total Convertible Bonds | ||||||||
(Identified Cost $372,212,280) | 252,010,075 | |||||||
|
| |||||||
Municipals – 1.7% | ||||||||
Virginia – 1.7% |
| |||||||
87,500,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $86,859,865) | 82,813,579 | ||||||
|
| |||||||
Total Bonds and Notes | ||||||||
(Identified Cost $4,647,542,785) | 3,955,518,142 | |||||||
|
| |||||||
Senior Loans – 0.3% | ||||||||
Consumer Cyclical Services – 0.1% |
| |||||||
6,432,675 | Uber Technologies, Inc., 2023 Term Loan B, 3 mo. USD SOFR + 2.750%, 8.018%, 3/03/2030(i)(j) | 6,427,529 | ||||||
|
| |||||||
Leisure – 0.1% |
| |||||||
2,019,747 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028(c)(k) | 1,999,550 |
See accompanying notes to financial statements.
19 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Senior Loans – continued | ||||||||
Leisure – continued |
| |||||||
$ | 2,626,462 | Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(c)(k) | $ | 2,620,709 | ||||
|
| |||||||
4,620,259 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
3,600,000 | HUB International Ltd., 2023 Term Loan B, 6/20/2030(l) | 3,606,516 | ||||||
|
| |||||||
Total Senior Loans | ||||||||
(Identified Cost $14,568,263) | 14,654,304 | |||||||
|
| |||||||
Collateralized Loan Obligations – 4.6% | ||||||||
9,977,000 | 522 Funding CLO Ltd., Series 2018-3A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 10/20/2031, 144A(c) | 9,447,640 | ||||||
7,140,000 | AGL CLO 12 Ltd., Series 2021-12A, Class B, 3 mo. USD LIBOR + 1.600%, 6.850%, 7/20/2034, 144A(c) | 6,934,482 | ||||||
7,240,000 | AGL CLO 12 Ltd., Series 2021-12A, Class D, 3 mo. USD LIBOR + 2.850%, 8.100%, 7/20/2034, 144A(c) | 6,712,030 | ||||||
1,805,000 | AGL CLO 7 Ltd., Series 2020-7A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.360%, 7/15/2034, 144A(c) | 1,683,199 | ||||||
10,050,000 | AIG CLO LLC, Series 2021-1A, Class D, 3 mo. USD LIBOR + 2.950%, 8.223%, 4/22/2034, 144A(c) | 9,304,029 | ||||||
5,605,000 | AIG CLO LLC, Series 2021-2A, Class D, 3 mo. USD LIBOR + 3.050%, 8.300%, 7/20/2034, 144A(c) | 5,194,417 | ||||||
7,810,000 | AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, 3 mo. USD SOFR + 1.170%, 6.156%, 1/17/2032, 144A(c) | 7,728,986 | ||||||
3,955,000 | ARES Loan Funding I Ltd., Series 2021-ALFA, Class D, 3 mo. USD LIBOR + 3.000%, 8.260%, 10/15/2034, 144A(c) | 3,690,636 | ||||||
5,225,000 | Bain Capital Credit CLO Ltd., Series 2017-2A, Class DR2, 3 mo. USD LIBOR + 3.100%, 8.355%, 7/25/2034, 144A(c) | 4,913,486 | ||||||
1,340,000 | Ballyrock CLO Ltd., Series 2019-2A, Class A2R, 3 mo. USD LIBOR + 1.400%, 6.779%, 11/20/2030, 144A(c) | 1,305,524 | ||||||
10,720,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class CR, 3 mo. USD LIBOR + 2.000%, 7.260%, 1/17/2032, 144A(c) | 10,251,665 | ||||||
Collateralized Loan Obligations – continued | ||||||||
2,245,000 | Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.260%, 1/17/2032, 144A(c) | 2,125,312 | ||||||
5,790,000 | Carlyle U.S. CLO Ltd., Series 2016-4A, Class A2R, 3 mo. USD LIBOR + 1.450%, 6.700%, 10/20/2027, 144A(c) | 5,732,540 | ||||||
5,225,000 | CarVal CLO III Ltd., Series 2019-2A, Class DR, 3 mo. USD LIBOR + 2.950%, 8.200%, 7/20/2032, 144A(c) | 5,011,940 | ||||||
6,075,000 | Crown City CLO I, Series 2020-1A, Class CR, 3 mo. USD LIBOR + 3.420%, 8.670%, 7/20/2034, 144A(c) | 5,487,908 | ||||||
4,085,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD LIBOR + 2.850%, 8.100%, 1/20/2034, 144A(c) | 3,933,861 | ||||||
8,760,000 | LCM 30 Ltd., Series 30A, Class BR, 3 mo. USD LIBOR + 1.500%, 6.750%, 4/20/2031, 144A(c) | 8,436,791 | ||||||
1,470,000 | LCM 30 Ltd., Series 30A, Class CR, 3 mo. USD LIBOR + 2.000%, 7.250%, 4/20/2031, 144A(c) | 1,390,258 | ||||||
4,215,000 | LCM 30 Ltd., Series 30A, Class DR, 3 mo. USD LIBOR + 3.000%, 8.250%, 4/20/2031, 144A(c) | 3,858,541 | ||||||
15,835,000 | Madison Park Funding XXIII Ltd., Series 2017-23A, Class DR, 3 mo. USD LIBOR + 3.200%, 8.492%, 7/27/2031, 144A(c) | 15,153,667 | ||||||
1,260,000 | Madison Park Funding XXXI Ltd., Series 2018-31A, Class D, 3 mo. USD LIBOR + 3.000%, 8.273%, 1/23/2031, 144A(c) | 1,218,469 | ||||||
9,225,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650%, 6.910%, 7/15/2034, 144A(c) | 8,989,956 | ||||||
11,920,000 | OCP CLO Ltd., Series 2019-17A, Class DR, 3 mo. USD LIBOR + 3.100%, 8.350%, 7/20/2032, 144A(c) | 11,016,818 | ||||||
10,585,000 | Octagon Investment Partners 42 Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 3.150%, 8.410%, 7/15/2034, 144A(c) | 9,897,494 | ||||||
4,920,000 | Octagon Investment Partners 46 Ltd., Series 2020-2A, Class DR, 3 mo. USD LIBOR + 3.300%, 8.560%, 7/15/2036, 144A(c) | 4,214,693 | ||||||
12,430,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class BR, 3 mo. USD LIBOR + 1.650%, 6.900%, 7/02/2035, 144A(c) | 12,111,556 | ||||||
9,720,000 | OHA Credit Funding 3 Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 2.900%, 8.150%, 7/02/2035, 144A(c) | 9,308,201 |
See accompanying notes to financial statements.
| 20
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ | 12,640,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3 mo. USD LIBOR + 1.500%, 6.760%, 10/17/2031, 144A(c) | $ | 12,316,593 | ||||
5,120,000 | Palmer Square CLO Ltd., Series 2013-2A, Class CR3, 3 mo. USD LIBOR + 2.700%, 7.960%, 10/17/2031, 144A(c) | 4,830,234 | ||||||
2,970,000 | Palmer Square CLO Ltd., Series 2015-1A, Class A2R4, 3 mo. USD LIBOR + 1.700%, 7.079%, 5/21/2034, 144A(c) | 2,897,265 | ||||||
11,585,000 | Rockford Tower CLO Ltd., Series 2018-1A, Class A, 3 mo. USD LIBOR + 1.100%, 6.479%, 5/20/2031, 144A(c) | 11,454,576 | ||||||
6,075,000 | Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, 3 mo. USD LIBOR + 1.160%, 6.420%, 4/17/2034, 144A(c) | 5,960,517 | ||||||
700,000 | THL Credit Wind River CLO Ltd., Series 2018-3A, Class D, 3 mo. USD LIBOR + 2.950%, 8.200%, 1/20/2031, 144A(c) | 638,171 | ||||||
5,300,000 | Verde CLO Ltd., Series 2019-1A, Class AR, 3 mo. USD LIBOR + 1.100%, 6.360%, 4/15/2032, 144A(c) | 5,225,837 | ||||||
2,135,000 | Vibrant CLO XIV Ltd., Series 2021-14A, Class C, 3 mo. USD LIBOR + 3.750%, 9.000%, 10/20/2034, 144A(c) | 2,002,219 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | ||||||||
(Identified Cost $230,571,861) | 220,379,511 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 1.8% | ||||||||
Aerospace & Defense – 0.0% |
| |||||||
3,464 | Lockheed Martin Corp. | 1,594,756 | ||||||
|
| |||||||
Air Freight & Logistics – 0.1% |
| |||||||
11,012 | United Parcel Service, Inc., Class B | 1,973,901 | ||||||
|
| |||||||
Banks – 0.0% |
| |||||||
5,473 | JPMorgan Chase & Co. | 795,993 | ||||||
|
| |||||||
Beverages – 0.0% |
| |||||||
26,587 | Coca-Cola Co. | 1,601,069 | ||||||
|
| |||||||
Biotechnology – 0.1% |
| |||||||
14,280 | AbbVie, Inc. | 1,923,944 | ||||||
|
| |||||||
Capital Markets – 0.1% |
| |||||||
1,218 | BlackRock, Inc. | 841,808 | ||||||
13,719 | Morgan Stanley | 1,171,603 | ||||||
|
| |||||||
2,013,411 | ||||||||
|
| |||||||
Common Stocks – continued | ||||||||
Chemicals – 0.0% |
| |||||||
2,044 | Linde PLC | 778,928 | ||||||
|
| |||||||
Communications Equipment – 0.0% |
| |||||||
10,887 | Cisco Systems, Inc. | 563,293 | ||||||
|
| |||||||
Consumer Staples Distribution & Retail – 0.1% |
| |||||||
1,443 | Costco Wholesale Corp. | 776,882 | ||||||
8,175 | Walmart, Inc. | 1,284,947 | ||||||
|
| |||||||
2,061,829 | ||||||||
|
| |||||||
Containers & Packaging – 0.0% |
| |||||||
4,131 | Packaging Corp. of America | 545,953 | ||||||
|
| |||||||
Diversified REITs – 0.1% |
| |||||||
170,568 | NexPoint Diversified Real Estate Trust | 2,135,511 | ||||||
|
| |||||||
Electric Utilities – 0.0% |
| |||||||
10,131 | Duke Energy Corp. | 909,156 | ||||||
3,531 | NextEra Energy, Inc. | 262,000 | ||||||
|
| |||||||
1,171,156 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% |
| |||||||
7,856 | Emerson Electric Co. | 710,104 | ||||||
|
| |||||||
Financial Services – 0.0% |
| |||||||
1,982 | Mastercard, Inc., Class A | 779,521 | ||||||
|
| |||||||
Ground Transportation – 0.0% |
| |||||||
5,332 | Union Pacific Corp. | 1,091,034 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 0.0% |
| |||||||
11,968 | Abbott Laboratories | 1,304,751 | ||||||
|
| |||||||
Health Care Providers & Services – 0.1% |
| |||||||
3,279 | Elevance Health, Inc. | 1,456,827 | ||||||
3,053 | UnitedHealth Group, Inc. | 1,467,394 | ||||||
|
| |||||||
2,924,221 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.0% |
| |||||||
16,509 | Starbucks Corp. | 1,635,382 | ||||||
|
| |||||||
Household Products – 0.0% |
| |||||||
11,194 | Procter & Gamble Co. | 1,698,578 | ||||||
|
| |||||||
IT Services – 0.0% |
| |||||||
3,810 | Accenture PLC, Class A | 1,175,690 | ||||||
|
| |||||||
Life Sciences Tools & Services – 0.0% |
| |||||||
1,999 | Thermo Fisher Scientific, Inc. | 1,042,978 | ||||||
|
| |||||||
Machinery – 0.1% |
| |||||||
3,104 | Cummins, Inc. | 760,977 | ||||||
3,510 | Deere & Co. | 1,422,217 | ||||||
|
| |||||||
2,183,194 | ||||||||
|
|
See accompanying notes to financial statements.
21 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Shares | Description | Value (†) | ||||||
Common Stocks – continued | ||||||||
Media – 0.2% |
| |||||||
2,006,877 | Altice USA, Inc., Class A(e) | $ | 6,060,768 | |||||
46,060 | Comcast Corp., Class A | 1,913,793 | ||||||
705,779 | iHeartMedia, Inc., Class A(e) | 2,569,036 | ||||||
|
| |||||||
10,543,597 | ||||||||
|
| |||||||
Metals & Mining – 0.0% |
| |||||||
31,299 | Newmont Corp. | 1,335,215 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.6% |
| |||||||
93,585 | Battalion Oil Corp.(e) | 534,370 | ||||||
130,858 | Canadian Natural Resources Ltd. | 7,362,071 | ||||||
4,137 | Devon Energy Corp. | 199,983 | ||||||
69,872 | Diamondback Energy, Inc. | 9,178,386 | ||||||
42,286 | EOG Resources, Inc. | 4,839,210 | ||||||
18,931 | Pioneer Natural Resources Co. | 3,922,125 | ||||||
32,678 | Williams Cos., Inc. | 1,066,283 | ||||||
|
| |||||||
27,102,428 | ||||||||
|
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
21,215 | Bristol-Myers Squibb Co. | 1,356,699 | ||||||
9,122 | Johnson & Johnson | 1,509,874 | ||||||
1,939 | Merck & Co., Inc. | 223,741 | ||||||
|
| |||||||
3,090,314 | ||||||||
|
| |||||||
Professional Services – 0.0% |
| |||||||
7,905 | Clarivate PLC(e) | 75,335 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.1% |
| |||||||
2,700 | Broadcom, Inc. | 2,342,061 | ||||||
19,735 | Microchip Technology, Inc. | 1,768,059 | ||||||
14,421 | QUALCOMM, Inc. | 1,716,676 | ||||||
|
| |||||||
5,826,796 | ||||||||
|
| |||||||
Software – 0.1% |
| |||||||
7,003 | Microsoft Corp. | 2,384,802 | ||||||
|
| |||||||
Specialized REITs – 0.0% |
| |||||||
6,992 | American Tower Corp. | 1,356,028 | ||||||
|
| |||||||
Specialty Retail – 0.0% |
| |||||||
4,491 | Home Depot, Inc. | 1,395,084 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.0% |
| |||||||
9,180 | Apple, Inc. | 1,780,644 | ||||||
17,622 | IQOR U.S., Inc.(e) | 11,754 | ||||||
|
| |||||||
1,792,398 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.0% |
| |||||||
13,857 | Fastenal Co. | 817,424 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(Identified Cost $148,665,889) | 87,424,618 | |||||||
|
| |||||||
Preferred Stocks – 1.2% | ||||||||
Convertible Preferred Stocks – 1.0% | ||||||||
Banking – 0.8% |
| |||||||
20,983 | Bank of America Corp., Series L, 7.250% | 24,588,299 | ||||||
11,335 | Wells Fargo & Co., Series L, Class A, 7.500% | 13,057,920 | ||||||
|
| |||||||
37,646,219 | ||||||||
|
| |||||||
Midstream – 0.1% |
| |||||||
71,177 | El Paso Energy Capital Trust I, 4.750% | 3,306,172 | ||||||
|
| |||||||
Technology – 0.1% |
| |||||||
170,945 | Clarivate PLC, Series A, 5.250% | 7,017,292 | ||||||
|
| |||||||
Total Convertible Preferred Stocks |
| |||||||
(Identified Cost $64,602,494) | 47,969,683 | |||||||
Non-Convertible Preferred Stocks – 0.2% | ||||||||
Home Construction – 0.0% |
| |||||||
52,867 | Hovnanian Enterprises, Inc., 7.625% | 945,526 | ||||||
|
| |||||||
Office REITs – 0.0% |
| |||||||
2,318 | Highwoods Properties, Inc., Series A, 8.625%(f) | 2,218,755 | ||||||
|
| |||||||
Other REITs – 0.2% |
| |||||||
169,007 | Prologis, Inc., Series Q, 8.540% | 9,557,346 | ||||||
|
| |||||||
Total Non-Convertible Preferred Stocks | ||||||||
(Identified Cost $10,716,140) | 12,721,627 | |||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Identified Cost $75,318,634) | 60,691,310 | |||||||
|
| |||||||
| Principal Amount (‡) | |||||||
Short-Term Investments – 13.0% | ||||||||
$ | 299,674,778 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $299,732,216 on 7/03/2023 collateralized by $353,525,600 U.S. Treasury Note, 0.500% due 5/31/2027 valued at $305,668,341 including accrued interest (Note 2 of Notes to Financial Statements) | 299,674,778 | |||||
6,240,000 | U.S. Treasury Bills, 5.115%, 12/14/2023(m) | 6,091,518 |
See accompanying notes to financial statements.
| 22
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Principal Amount (‡) | Description | Value (†) | ||||||
Short-Term Investments – continued | ||||||||
$ | 6,240,000 | U.S. Treasury Bills, 5.140%, 10/17/2023(m) | $ | 6,144,275 | ||||
100,445,000 | U.S. Treasury Bills, 5.166%, 11/24/2023(m) | 98,363,043 | ||||||
25,015,000 | U.S. Treasury Bills, 5.170%, 12/21/2023(m) | 24,392,377 | ||||||
197,735,000 | U.S. Treasury Bills, 5.230%, 12/28/2023(m) | 192,615,572 | ||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Identified Cost $627,267,152) | 627,281,563 | |||||||
|
| |||||||
Total Investments – 102.9% | ||||||||
(Identified Cost $5,743,934,584) | 4,965,949,448 | |||||||
Other assets less liabilities—(2.9)% | (141,158,719 | ) | ||||||
|
| |||||||
Net Assets – 100.0% | $ | 4,824,790,729 | ||||||
|
| |||||||
(†) | See Note 2 of Notes to Financial Statements. |
| ||||||
(‡) | Principal Amount stated in U.S. dollars unless otherwise noted. |
| ||||||
(a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2023 is disclosed. |
| ||||||
(b) | Perpetual bond with no specified maturity date. |
| ||||||
(c) | Variable rate security. Rate as of June 30, 2023 is disclosed. |
| ||||||
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
| ||||||
(e) | Non-income producing security. | |||||||
(f) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||||||
(g) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. | |||||||
(h) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund's investment in this security is comprised of various lots with differing annualized yields. | |||||||
(i) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2023. | |||||||
(j) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.00%, to which the spread is added. | |||||||
(k) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added. | |||||||
(l) | Position is unsettled. Contract rate was not determined at June 30, 2023 and does not take effect until settlement date. Maturity date is not finalized until settlement date. | |||||||
(m) | 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 June 30, 2023, the value of Rule 144A holdings amounted to $2,065,487,314 or 42.8% of net assets. | |||||||
ABS | Asset-Backed Securities | |||||||
LIBOR | London Interbank Offered Rate | |||||||
REITs | Real Estate Investment Trusts | |||||||
SOFR | Secured Overnight Financing Rate | |||||||
EUR | Euro | |||||||
IDR | Indonesian Rupiah | |||||||
ZAR | South African Rand |
At June 30, 2023, 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. | 9/20/2023 | EUR | $ | 12,884,000 | $ | 13,954,274 | $ | 14,112,782 | $ | (158,508 | ) | |||||||||||||
|
|
At June 30, 2023, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
CBOT 2 Year U.S. Treasury Notes Futures | 9/29/2023 | 2,290 | $ | 470,560,845 | $ | 465,657,188 | $ | (4,903,657 | ) | |||||||||||
CBOT 5 Year U.S. Treasury Notes Futures | 9/29/2023 | 483 | 52,400,534 | 51,726,281 | (674,253 | ) | ||||||||||||||
CBOT 10 Year U.S. Treasury Notes Futures | 9/20/2023 | 3,701 | 420,360,202 | 415,495,078 | (4,865,124 | ) | ||||||||||||||
CBOT U.S. Long Bond Futures | 9/20/2023 | 2,107 | 266,357,114 | 267,391,469 | 1,034,355 | |||||||||||||||
CME Ultra Long Term U.S. Treasury Bond Futures | 9/20/2023 | 2,578 | 345,340,007 | 351,171,938 | 5,831,931 | |||||||||||||||
|
| |||||||||||||||||||
Total | $ | (3,576,748 | ) | |||||||||||||||||
|
|
At June 30, 2023, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Notes Futures | 9/20/2023 | 2,975 | $ | 353,918,581 | $ | 352,351,563 | $ | 1,567,018 | ||||||||||||
|
|
See accompanying notes to financial statements.
23 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Bond Fund – continued
Industry Summary at June 30, 2023 (Unaudited)
Treasuries | 9.8 | % | ||
Cable Satellite | 6.3 | |||
Technology | 5.6 | |||
Banking | 5.5 | |||
Finance Companies | 5.2 | |||
ABS Home Equity | 4.4 | |||
ABS Car Loan | 4.3 | |||
Independent Energy | 3.6 | |||
Life Insurance | 3.5 | |||
Pharmaceuticals | 3.0 | |||
ABS Other | 2.8 | |||
Consumer Cyclical Services | 2.8 | |||
Airlines | 2.2 | |||
Media Entertainment | 2.0 | |||
Other Investments, less than 2% each | 24.3 | |||
Short-Term Investments | 13.0 | |||
Collateralized Loan Obligations | 4.6 | |||
|
| |||
Total Investments | 102.9 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) | (2.9 | ) | ||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
| 24
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – 85.3% of Net Assets | ||||||||
Non-Convertible Bonds – 83.5% | ||||||||
ABS Car Loan – 6.8% |
| |||||||
$ | 100,000 | American Credit Acceptance Receivables Trust, Series 2020-3, Class D, 2.400%, 6/15/2026, 144A | $ | 98,347 | ||||
100,000 | American Credit Acceptance Receivables Trust, Series 2022-1, Class D, 2.460%, 3/13/2028, 144A | 93,641 | ||||||
60,000 | American Credit Acceptance Receivables Trust, Series 2022-4, Class C, 7.860%, 2/15/2029, 144A | 61,002 | ||||||
330,000 | American Credit Acceptance Receivables Trust, Series 2023-2, Class C, 5.960%, 8/13/2029, 144A | 326,000 | ||||||
235,000 | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class D, 1.210%, 12/18/2026 | 214,092 | ||||||
100,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A, 3.350%, 9/22/2025, 144A | 97,028 | ||||||
600,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A, 2.020%, 2/20/2027, 144A | 543,494 | ||||||
190,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2023-4A, Class C, 7.240%, 6/20/2029, 144A | 186,591 | ||||||
100,000 | CarMax Auto Owner Trust, Series 2021-3, Class D, 1.500%, 1/18/2028 | 88,986 | ||||||
100,000 | CarMax Auto Owner Trust, Series 2022-1, Class D, 2.470%, 7/17/2028 | 90,302 | ||||||
40,000 | Carmax Auto Owner Trust, Series 2023-2, Class D, 6.550%, 10/15/2029 | 39,471 | ||||||
370,000 | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class C, 2.730%, 11/15/2029, 144A | 365,034 | ||||||
250,000 | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class C, 2.280%, 2/15/2030, 144A | 240,604 | ||||||
260,000 | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C, 1.640%, 6/17/2030, 144A | 241,355 | ||||||
250,000 | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class C, 1.630%, 9/16/2030, 144A | 230,638 | ||||||
340,000 | Drive Auto Receivables Trust, Series 2021-1, Class D, 1.450%, 1/16/2029 | 319,812 | ||||||
115,000 | DT Auto Owner Trust, Series 2021-2A, Class D, 1.500%, 2/16/2027, 144A | 107,324 | ||||||
690,000 | DT Auto Owner Trust, Series 2021-3A, Class D, 1.310%, 5/17/2027, 144A | 621,981 | ||||||
265,000 | DT Auto Owner Trust, Series 2023-2A, Class D, 6.620%, 2/15/2029, 144A | 262,459 | ||||||
159,408 | Exeter Automobile Receivables Trust, Series 2019-4A, Class D, 2.580%, 9/15/2025, 144A | 156,904 | ||||||
ABS Car Loan – continued |
| |||||||
150,000 | Exeter Automobile Receivables Trust, Series 2021-1A, Class D, 1.080%, 11/16/2026 | 141,976 | ||||||
495,000 | Exeter Automobile Receivables Trust, Series 2021-3A, Class D, 1.550%, 6/15/2027 | 453,802 | ||||||
105,000 | Exeter Automobile Receivables Trust, Series 2022-2A, Class D, 4.560%, 7/17/2028 | 99,947 | ||||||
75,000 | Exeter Automobile Receivables Trust, Series 2022-6A, Class C, 6.320%, 5/15/2028 | 74,958 | ||||||
70,000 | Exeter Automobile Receivables Trust, Series 2023-3A, Class D, 6.680%, 4/16/2029 | 69,855 | ||||||
73,272 | First Investors Auto Owner Trust, Series 2019-1A, Class D, 3.550%, 4/15/2025, 144A | 73,168 | ||||||
285,000 | First Investors Auto Owner Trust, Series 2021-1A, Class D, 1.620%, 3/15/2027, 144A | 264,905 | ||||||
165,000 | Flagship Credit Auto Trust, Series 2021-1, Class D, 1.270%, 3/15/2027, 144A | 150,021 | ||||||
175,000 | Flagship Credit Auto Trust, Series 2021-2, Class D, 1.590%, 6/15/2027, 144A | 156,222 | ||||||
210,000 | Flagship Credit Auto Trust, Series 2021-3, Class D, 1.650%, 9/15/2027, 144A | 185,311 | ||||||
275,000 | Flagship Credit Auto Trust, Series 2023-2, Class D, 6.620%, 5/15/2029, 144A | 270,251 | ||||||
541,803 | Ford Credit Auto Owner Trust, Series 2021-A, Class A3, 0.300%, 8/15/2025 | 528,278 | ||||||
270,000 | Foursight Capital Automobile Receivables Trust, Series 2021-1, Class D, 1.320%, 3/15/2027, 144A | 254,874 | ||||||
170,000 | Foursight Capital Automobile Receivables Trust, Series 2021-2, Class D, 1.920%, 9/15/2027, 144A | 156,746 | ||||||
43,413 | GLS Auto Receivables Issuer Trust, Series 2019-2A, Class C, 3.540%, 2/18/2025, 144A | 43,278 | ||||||
183,390 | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3, 0.350%, 10/16/2025 | 178,816 | ||||||
558,517 | GM Financial Consumer Automobile Receivables Trust, Series 2021-2, Class A3, 0.510%, 4/16/2026 | 539,801 | ||||||
548,000 | Hertz Vehicle Financing III LLC, Series 2022-1A, Class D, 4.850%, 6/25/2026, 144A | 506,555 | ||||||
305,000 | Hertz Vehicle Financing III LLC, Series 2022-3A, Class D, 6.310%, 3/25/2025, 144A | 300,499 | ||||||
250,000 | Hertz Vehicle Financing LLC, Series 2022-4A, Class D, 6.560%, 9/25/2026, 144A | 236,548 |
See accompanying notes to financial statements.
25 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Car Loan – continued |
| |||||||
$ | 1,300,000 | Honda Auto Receivables Owner Trust, Series 2020-1, Class A4, 1.630%, 10/21/2026 | $ | 1,297,041 | ||||
270,895 | Honda Auto Receivables Owner Trust, Series 2021-1, Class A3, 0.270%, 4/21/2025 | 264,537 | ||||||
203,870 | Honda Auto Receivables Owner Trust, Series 2021-2, Class A3, 0.330%, 8/15/2025 | 198,129 | ||||||
56,940 | JPMorgan Chase Bank N.A, Series 2021-1, Class D, 1.174%, 9/25/2028, 144A | 55,187 | ||||||
140,000 | Prestige Auto Receivables Trust, Series 2023-2A, Class D, 6.330%, 4/16/2029, 144A | 137,715 | ||||||
67,015 | Santander Drive Auto Receivables Trust, Series 2019-2, Class D, 3.220%, 7/15/2025 | 66,835 | ||||||
60,533 | Santander Drive Auto Receivables Trust, Series 2020-1, Class C, 4.110%, 12/15/2025 | 60,257 | ||||||
173,461 | Santander Drive Auto Receivables Trust, Series 2020-2, Class D, 2.220%, 9/15/2026 | 170,454 | ||||||
315,000 | Santander Drive Auto Receivables Trust, Series 2021-1, Class D, 1.130%, 11/16/2026 | 301,266 | ||||||
485,000 | Santander Drive Auto Receivables Trust, Series 2021-3, Class D, 1.330%, 9/15/2027 | 452,803 | ||||||
125,000 | Westlake Automobile Receivables Trust, Series 2020-3A, Class D, 1.650%, 2/17/2026, 144A | 120,081 | ||||||
275,000 | Westlake Automobile Receivables Trust, Series 2021-2A, Class D, 1.230%, 12/15/2026, 144A | 254,749 | ||||||
796,070 | World Omni Auto Receivables Trust, Series 2021-B, Class A3, 0.420%, 6/15/2026 | 765,943 | ||||||
|
| |||||||
13,215,873 | ||||||||
|
| |||||||
ABS Credit Card – 0.1% |
| |||||||
100,000 | Mission Lane Credit Card Master Trust, Series 2023-A, Class A, 7.230%, 7/17/2028, 144A | 98,832 | ||||||
|
| |||||||
ABS Home Equity – 4.9% |
| |||||||
300,000 | BINOM Securitization Trust, Series 2022-RPL1, Class M1, 3.000%, 2/25/2061, 144A(a) | 219,805 | ||||||
280,000 | CAFL Issuer LLC, Series 2021-RTL1, Class A1, 2.239%, 3/28/2029, 144A(a) | 255,276 | ||||||
284,416 | CIM Trust, Series 2021-NR2, Class A1, 2.568%, 7/25/2059, 144A(a) | 271,093 | ||||||
542,754 | COLT Mortgage Loan Trust, Series 2021-6, Class A1, 1.907%, 12/25/2066, 144A(a) | 456,802 | ||||||
100,000 | CoreVest American Finance Ltd., Series 2021-1, Class C, 2.800%, 4/15/2053, 144A | 81,652 | ||||||
ABS Home Equity – continued |
| |||||||
160,000 | CoreVest American Finance Ltd., Series 2021-2, Class C, 2.478%, 7/15/2054, 144A | 125,695 | ||||||
100,000 | CoreVest American Finance Ltd., Series 2021-3, Class D, 3.469%, 10/15/2054, 144A | 80,918 | ||||||
196,371 | Credit Suisse Mortgage Trust, Series 2021-RPL1, Class A1, 1.668%, 9/27/2060, 144A(a) | 180,375 | ||||||
100,000 | Credit Suisse Mortgage Trust, Series 2021-RPL3, Class M2, 3.750%, 1/25/2060, 144A | 75,275 | ||||||
508,494 | Credit Suisse Mortgage Trust, Series 2021-RPL4, Class A1, 1.796%, 12/27/2060, 144A(a) | 468,773 | ||||||
220,629 | Federal Home Loan Mortgage Corp., REMIC, Series 2022-DNA3, Class M1A, 30 day USD SOFR Average + 2.000%, 7.067%, 4/25/2042, 144A(b) | 221,249 | ||||||
129,178 | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2023-DNA2, Class M1A, 30 day USD SOFR Average + 2.100%, 7.167%, 4/25/2043, 144A(b) | 129,537 | ||||||
260,000 | FirstKey Homes Trust, Series 2021-SFR1, Class E1, 2.389%, 8/17/2038, 144A | 222,101 | ||||||
205,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E1, 2.258%, 9/17/2038, 144A | 175,571 | ||||||
105,000 | FirstKey Homes Trust, Series 2021-SFR2, Class E2, 2.358%, 9/17/2038, 144A | 89,687 | ||||||
360,000 | FirstKey Homes Trust, Series 2022- SFR2, Class D, 4.500%, 7/17/2039, 144A | 328,422 | ||||||
141,003 | GCAT Trust, Series 2019-RPL1, Class A1, 2.650%, 10/25/2068, 144A(a) | 131,582 | ||||||
260,000 | GITSIT Mortgage Loan Trust, Series 2023-NPL1, Class A1, 8.353%, 5/25/2053, 144A(a) | 258,702 | ||||||
86,421 | Home Partners of America Trust, Series 2021-1, Class E, 2.577%, 9/17/2041, 144A | 70,492 | ||||||
400,223 | Home Partners of America Trust, Series 2021-2, Class E1, 2.852%, 12/17/2026, 144A | 345,344 | ||||||
207,344 | Home Partners of America Trust, Series 2021-2, Class E2, 2.952%, 12/17/2026, 144A | 178,691 | ||||||
83,310 | Legacy Mortgage Asset Trust, Series 2019-GS7, Class A1, 6.250%, 11/25/2059, 144A(a) | 82,620 | ||||||
485,000 | Legacy Mortgage Asset Trust, Series 2020-RPL1, Class A2, 3.250%, 9/25/2059, 144A(a) | 415,041 | ||||||
219,805 | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A1, 1.750%, 4/25/2061, 144A(a) | 203,282 | ||||||
3,916 | Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 5A, 5.317%, 7/25/2035(a)(c) | 3,294 |
See accompanying notes to financial statements.
| 26
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Home Equity – continued |
| |||||||
$ | 138,798 | OBX Trust, Series 2021-NQM3, Class A1, 1.054%, 7/25/2061, 144A(a) | $ | 104,314 | ||||
235,000 | Progress Residential Trust, Series 2021-SFR2, Class E1, 2.547%, 4/19/2038, 144A | 205,709 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E1, 2.538%, 5/17/2026, 144A | 86,675 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR3, Class E2, 2.688%, 5/17/2026, 144A | 87,055 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E1, 2.409%, 5/17/2038, 144A | 86,348 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR4, Class E2, 2.559%, 5/17/2038, 144A | 86,266 | ||||||
120,000 | Progress Residential Trust, Series 2021-SFR5, Class E1, 2.209%, 7/17/2038, 144A | 102,443 | ||||||
150,000 | Progress Residential Trust, Series 2021-SFR6, Class E1, 2.425%, 7/17/2038, 144A | 129,283 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR6, Class E2, 2.525%, 7/17/2038, 144A | 85,849 | ||||||
165,000 | Progress Residential Trust, Series 2021-SFR7, Class E1, 2.591%, 8/17/2040, 144A | 132,248 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR7, Class E2, 2.640%, 8/17/2040, 144A | 79,259 | ||||||
100,000 | Progress Residential Trust, Series 2021-SFR9, Class E1, 2.811%, 11/17/2040, 144A | 81,566 | ||||||
313,649 | PRPM LLC, Series 2021-1, Class A1, 2.115%, 1/25/2026, 144A(a) | 292,273 | ||||||
114,827 | PRPM LLC, Series 2021-2, Class A1, 2.115%, 3/25/2026, 144A(a) | 108,308 | ||||||
93,814 | PRPM LLC, Series 2021-4, Class A1, 1.867%, 4/25/2026, 144A(a) | 86,408 | ||||||
336,422 | PRPM LLC, Series 2021-5, Class A1, 1.793%, 6/25/2026, 144A(a) | 309,924 | ||||||
501,132 | PRPM LLC, Series 2022-5, Class A1, 6.900%, 9/27/2027, 144A(a) | 493,014 | ||||||
390,000 | Toorak Mortgage Corp. Ltd., Series 2021-1, Class A1, 2.240%, 6/25/2024, 144A(a) | 379,124 | ||||||
120,000 | Towd Point Mortgage Trust, Series 2016-3, Class M2, 4.000%, 4/25/2056, 144A(a) | 114,596 | ||||||
240,175 | Towd Point Mortgage Trust, Series 2019-4, Class A1, 2.900%, 10/25/2059, 144A(a) | 220,627 | ||||||
77,385 | VCAT LLC, Series 2021-NPL1, Class A1, 2.289%, 12/26/2050, 144A(a) | 74,140 | ||||||
281,471 | VCAT LLC, Series 2021-NPL5, Class A1, 1.868%, 8/25/2051, 144A(a) | 254,889 | ||||||
94,232 | VOLT XCII LLC, Series 2021-NPL1, Class A1, 1.893%, 2/27/2051, 144A(a) | 85,101 | ||||||
ABS Home Equity – continued |
| |||||||
244,610 | VOLT XCIII LLC, Series 2021-NPL2, Class A1, 1.893%, 2/27/2051, 144A(a) | 221,120 | ||||||
219,210 | VOLT XCIV LLC, Series 2021-NPL3, Class A1, 2.240%, 2/27/2051, 144A(a) | 201,431 | ||||||
145,961 | VOLT XCVI LLC, Series 2021-NPL5, Class A1, 2.116%, 3/27/2051, 144A(a) | 136,627 | ||||||
300,002 | VOLT XCVII LLC, Series 2021-NPL6, Class A1, 2.240%, 4/25/2051, 144A(a) | 273,238 | ||||||
|
| |||||||
9,589,114 | ||||||||
|
| |||||||
ABS Other – 2.8% |
| |||||||
100,000 | Affirm Asset Securitization Trust, Series 2021-B, Class C, 1.400%, 8/17/2026, 144A | 93,612 | ||||||
215,723 | Apollo Aviation Securitization Equity Trust, Series 2021-1A, Class A, 2.950%, 11/16/2041, 144A | 185,847 | ||||||
100,000 | Aqua Finance Trust, Series 2021-A, Class B, 2.400%, 7/17/2046, 144A | 81,522 | ||||||
430,000 | BHG Securitization Trust, Series 2022-A, Class B, 2.700%, 2/20/2035, 144A | 384,145 | ||||||
107,958 | Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/2036, 144A | 98,998 | ||||||
431,000 | CLI Funding VIII LLC, Series 2023-1A, Class A, 6.310%, 6/18/2048, 144A | 428,046 | ||||||
349,675 | DB Master Finance LLC, Series 2021-1A, Class A2II, 2.493%, 11/20/2051, 144A | 295,617 | ||||||
155,000 | Dell Equipment Finance Trust, Series 2020-2, Class D, 1.920%, 3/23/2026, 144A | 154,610 | ||||||
65,371 | FREED ABS Trust, Series 2021-2, Class C, 1.940%, 6/19/2028, 144A | 64,100 | ||||||
215,000 | FREED ABS Trust, Series 2021-3FP, Class D, 2.370%, 11/20/2028, 144A | 199,677 | ||||||
147,638 | Hardee’s Funding LLC, Series 2018-1A, Class A2II, 4.959%, 6/20/2048, 144A | 137,586 | ||||||
115,000 | HPEFS Equipment Trust, Series 2021-1A, Class D, 1.030%, 3/20/2031, 144A | 110,965 | ||||||
307,498 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1, Class A, 2.636%, 10/15/2046, 144A | 264,796 | ||||||
100,000 | Marlette Funding Trust, Series 2021-2A, Class C, 1.500%, 9/15/2031, 144A | 94,152 | ||||||
105,000 | Marlette Funding Trust, Series 2021-3A, Class C, 1.810%, 12/15/2031, 144A | 95,546 | ||||||
125,000 | Marlette Funding Trust, Series 2023-2A, Class B, 6.540%, 6/15/2033, 144A | 124,204 | ||||||
66,500 | Merlin Aviation Holdings DAC, Series 2016-1, Class A, 4.500%, 12/15/2032, 144A(a) | 59,543 | ||||||
45,522 | MVW LLC, Series 2021-1WA, Class C, 1.940%, 1/22/2041, 144A | 40,659 | ||||||
145,000 | OneMain Financial Issuance Trust, Series 2018-2A, Class B, 3.890%, 3/14/2033, 144A | 139,418 |
See accompanying notes to financial statements.
27 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
ABS Other – continued |
| |||||||
$ | 240,000 | OneMain Financial Issuance Trust, Series 2021-1A, Class D, 2.470%, 6/16/2036, 144A | $ | 190,495 | ||||
310,000 | OneMain Financial Issuance Trust, Series 2022-S1, Class D, 5.200%, 5/14/2035, 144A | 281,004 | ||||||
100,000 | SCF Equipment Leasing LLC, Series 2022-1A, Class D, 3.790%, 11/20/2031, 144A | 88,464 | ||||||
115,000 | SCF Equipment Leasing LLC, Series 2022-2A, Class C, 6.500%, 8/20/2032, 144A | 112,485 | ||||||
54,809 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A | 46,075 | ||||||
43,007 | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C, 3.120%, 5/20/2036, 144A | 41,296 | ||||||
28,504 | Sierra Timeshare Receivables Funding LLC, Series 2019-3A, Class C, 3.000%, 8/20/2036, 144A | 26,586 | ||||||
29,744 | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C, 1.790%, 11/20/2037, 144A | 27,265 | ||||||
476,875 | SLAM Ltd., Series 2021-1A, Class A, 2.434%, 6/15/2046, 144A | 408,978 | ||||||
345,032 | Sunnova Helios X Issuer LLC, Series 2022-C, Class A, 5.300%, 11/22/2049, 144A | 330,073 | ||||||
215,533 | Textainer Marine Containers VII Ltd., Series 2021-1A, Class A, 1.680%, 2/20/2046, 144A | 181,686 | ||||||
347,200 | Textainer Marine Containers VII Ltd., Series 2021-2A, Class A, 2.230%, 4/20/2046, 144A | 297,660 | ||||||
235,081 | TIF Funding II LLC, Series 2021-1A, Class A, 1.650%, 2/20/2046, 144A | 194,321 | ||||||
148,911 | WAVE Trust, Series 2017-1A, Class A, 3.844%, 11/15/2042, 144A | 118,390 | ||||||
|
| |||||||
5,397,821 | ||||||||
|
| |||||||
ABS Student Loan – 0.7% |
| |||||||
78,547 | College Ave Student Loans LLC, Series 2021-A, Class C, 2.920%, 7/25/2051, 144A | 69,928 | ||||||
32,034 | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A, 1.310%, 1/15/2069, 144A | 28,942 | ||||||
172,485 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A, 0.840%, 5/15/2069, 144A | 149,616 | ||||||
135,000 | Navient Private Education Refi Loan Trust, Series 2021-A, Class B, 2.240%, 5/15/2069, 144A | 97,407 | ||||||
100,000 | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B, 2.030%, 12/16/2069, 144A | 66,691 | ||||||
195,000 | Navient Private Education Refi Loan Trust, Series 2021-FA, Class B, 2.120%, 2/18/2070, 144A | 125,136 | ||||||
ABS Other – continued |
| |||||||
112,553 | SMB Private Education Loan Trust, Series 2018-C, Class A2A, 3.630%, 11/15/2035, 144A | 107,155 | ||||||
404,212 | SMB Private Education Loan Trust, Series 2020-A, Class A2A, 2.230%, 9/15/2037, 144A | 370,490 | ||||||
147,000 | SMB Private Education Loan Trust, Series 2021-A, Class A2A2, 1 mo. USD LIBOR + 0.730%, 5.923%, 1/15/2053, 144A(b) | 143,379 | ||||||
210,000 | SMB Private Education Loan Trust, Series 2021-B, Class B, 2.650%, 7/17/2051, 144A | 171,884 | ||||||
100,000 | SoFi Professional Loan Program LLC, Series 2017-A, Class C, 4.430%, 3/26/2040, 144A(a) | 92,144 | ||||||
|
| |||||||
1,422,772 | ||||||||
|
| |||||||
ABS Whole Business – 1.1% |
| |||||||
355,000 | Applebee’s Funding LLC/IHOP Funding LLC, Series 2023-1A, Class A2, 7.824%, 3/05/2053, 144A | 349,265 | ||||||
236,875 | DB Master Finance LLC, Series 2017-1A, Class A2II, 4.030%, 11/20/2047, 144A | 216,483 | ||||||
57,750 | DB Master Finance LLC, Series 2019-1A, Class A23, 4.352%, 5/20/2049, 144A | 52,711 | ||||||
161,395 | Domino’s Pizza Master Issuer LLC, Series 2018-1A, Class A2II, 4.328%, 7/25/2048, 144A | 150,732 | ||||||
96,750 | Domino’s Pizza Master Issuer LLC, Series 2019-1A, Class A2, 3.668%, 10/25/2049, 144A | 84,538 | ||||||
597,800 | Domino’s Pizza Master Issuer LLC, Series 2021-1A, Class A2I, 2.662%, 4/25/2051, 144A | 498,643 | ||||||
98,000 | Hardee’s Funding LLC, Series 2021-1A, Class A2, 2.865%, 6/20/2051, 144A | 78,086 | ||||||
190,500 | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II, 4.666%, 9/05/2048, 144A | 181,702 | ||||||
453,100 | Taco Bell Funding LLC, Series 2021-1A, Class A2II, 2.294%, 8/25/2051, 144A | 371,995 | ||||||
259,700 | Wendy’s Funding LLC, Series 2021-1A, Class A2I, 2.370%, 6/15/2051, 144A | 214,755 | ||||||
|
| |||||||
2,198,910 | ||||||||
|
| |||||||
Aerospace & Defense – 0.5% |
| |||||||
55,000 | Boeing Co., 5.150%, 5/01/2030 | 54,469 | ||||||
50,000 | Textron, Inc., 2.450%, 3/15/2031 | 41,235 | ||||||
1,125,000 | Textron, Inc., 3.000%, 6/01/2030 | 980,625 | ||||||
|
| |||||||
1,076,329 | ||||||||
|
| |||||||
Airlines – 1.2% |
| |||||||
1,021,755 | Air Canada Pass-Through Trust, Series 2020-2A, Class A, 5.250%, 10/01/2030, 144A | 994,894 | ||||||
35,972 | American Airlines Pass-Through Trust, Series 2016-3, Class B, 3.750%, 4/15/2027 | 33,091 |
See accompanying notes to financial statements.
| 28
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Airlines – continued |
| |||||||
$ | 364,000 | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.500%, 6/20/2027, 144A | $ | 364,909 | ||||
151,324 | U.S. Airways Pass-Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025 | 151,033 | ||||||
361,755 | U.S. Airways Pass-Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 | 339,035 | ||||||
185,127 | United Airlines Pass-Through Trust, Series 2016-2, Class B, 3.650%, 4/07/2027 | 171,994 | ||||||
366,529 | United Airlines Pass-Through Trust, Series 2020-1, Class A, 5.875%, 4/15/2029 | 363,875 | ||||||
|
| |||||||
2,418,831 | ||||||||
|
| |||||||
Apartment REITs – 0.0% |
| |||||||
85,000 | American Homes 4 Rent LP, 2.375%, 7/15/2031 | 67,492 | ||||||
|
| |||||||
Automotive – 0.6% |
| |||||||
50,000 | Aptiv PLC/Aptiv Corp., 3.250%, 3/01/2032 | 42,808 | ||||||
14,000 | General Motors Co., 5.200%, 4/01/2045 | 11,942 | ||||||
45,000 | General Motors Co., 5.600%, 10/15/2032 | 43,537 | ||||||
250,000 | General Motors Co., 6.250%, 10/02/2043 | 244,475 | ||||||
80,000 | General Motors Financial Co., Inc., 5.850%, 4/06/2030 | 79,301 | ||||||
825,000 | General Motors Financial Co., Inc., 6.000%, 1/09/2028 | 831,612 | ||||||
|
| |||||||
1,253,675 | ||||||||
|
| |||||||
Banking – 11.0% |
| |||||||
200,000 | Ally Financial, Inc., 2.200%, 11/02/2028 | 159,623 | ||||||
95,000 | Ally Financial, Inc., 5.750%, 11/20/2025 | 91,491 | ||||||
45,000 | American Express Co., (fixed rate to 8/03/2032, variable rate thereafter), 4.420%, 8/03/2033 | 42,462 | ||||||
420,000 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, 5.375%, 4/17/2025, 144A | 415,512 | ||||||
1,244,000 | Bank of America Corp., (fixed rate to 12/20/2027, variable rate thereafter), 3.419%, 12/20/2028 | 1,140,777 | ||||||
335,000 | Bank of America Corp., (fixed rate to 4/29/2030, variable rate thereafter), 2.592%, 4/29/2031 | 281,245 | ||||||
391,000 | Bank of America Corp., (fixed rate to 9/21/2031, variable rate thereafter), 2.482%, 9/21/2036 | 299,128 | ||||||
370,000 | Bank of America Corp., MTN, (fixed rate to 10/24/2030, variable rate thereafter), 1.922%, 10/24/2031 | 292,882 | ||||||
Banking – continued |
| |||||||
45,000 | Bank of America Corp., MTN, (fixed rate to 7/22/2032, variable rate thereafter), 5.015%, 7/22/2033 | 44,021 | ||||||
235,000 | Bank of America Corp., MTN, (fixed rate to 7/23/2030, variable rate thereafter), 1.898%, 7/23/2031 | 187,142 | ||||||
536,000 | Bank of America Corp., Series L, 4.183%, 11/25/2027 | 509,186 | ||||||
950,000 | Barclays PLC, (fixed rate to 11/24/2026, variable rate thereafter), 2.279%, 11/24/2027 | 835,679 | ||||||
555,000 | Barclays PLC, (fixed rate to 3/15/2028, variable rate thereafter), 4.375%(d) | 377,067 | ||||||
200,000 | Barclays PLC, (fixed rate to 5/09/2033, variable rate thereafter), 6.224%, 5/09/2034 | 199,207 | ||||||
1,245,000 | Barclays PLC, (fixed rate to 9/23/2030, variable rate thereafter), 3.564%, 9/23/2035 | 985,182 | ||||||
1,145,000 | BNP Paribas SA, 2.824%, 1/26/2041, 144A | 752,540 | ||||||
415,000 | BNP Paribas SA, (fixed rate to 1/20/2027, variable rate thereafter), 2.591%, 1/20/2028, 144A | 370,890 | ||||||
1,040,000 | BNP Paribas SA, (fixed rate to 3/01/2028, variable rate thereafter), 4.375%, 3/01/2033, 144A | 941,082 | ||||||
1,060,000 | Citigroup, Inc., (fixed rate to 3/31/2030, variable rate thereafter), 4.412%, 3/31/2031 | 996,677 | ||||||
80,000 | Citigroup, Inc., (fixed rate to 6/03/2030, variable rate thereafter), 2.572%, 6/03/2031 | 66,745 | ||||||
640,000 | Credit Agricole SA, 2.811%, 1/11/2041, 144A | 421,797 | ||||||
250,000 | Credit Agricole SA, (fixed rate to 1/10/2028, variable rate thereafter), 4.000%, 1/10/2033 | 222,578 | ||||||
265,000 | Deutsche Bank AG, (fixed rate to 10/07/2031, variable rate thereafter), 3.742%, 1/07/2033 | 194,343 | ||||||
400,000 | Deutsche Bank AG, (fixed rate to 10/14/2030, variable rate thereafter), 3.729%, 1/14/2032 | 302,479 | ||||||
50,000 | Goldman Sachs Group, Inc., (fixed rate to 2/24/2032, variable rate thereafter), 3.102%, 2/24/2033 | 42,238 | ||||||
2,125,000 | Goldman Sachs Group, Inc., (fixed rate to 8/23/2027, variable rate thereafter), 4.482%, 8/23/2028 | 2,054,484 | ||||||
470,000 | HSBC Holdings PLC, (fixed rate to 3/09/2028, variable rate thereafter), 6.161%, 3/09/2029 | 474,000 | ||||||
220,000 | JPMorgan Chase & Co., (fixed rate to 10/15/2029, variable rate thereafter), 2.739%, 10/15/2030 | 189,513 | ||||||
740,000 | JPMorgan Chase & Co., (fixed rate to 11/19/2030, variable rate thereafter), 1.764%, 11/19/2031 | 585,649 | ||||||
45,000 | JPMorgan Chase & Co., (fixed rate to 7/25/2032, variable rate thereafter), 4.912%, 7/25/2033 | 43,973 |
See accompanying notes to financial statements.
29 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Banking – continued |
| |||||||
$ | 88,000 | Morgan Stanley, 3.950%, 4/23/2027 | $ | 83,321 | ||||
115,000 | Morgan Stanley, (fixed rate to 1/19/2033, variable rate thereafter), 5.948%, 1/19/2038 | 113,510 | ||||||
40,000 | Morgan Stanley, (fixed rate to 10/18/2032, variable rate thereafter), 6.342%, 10/18/2033 | 42,552 | ||||||
533,000 | Morgan Stanley, GMTN, 4.350%, 9/08/2026 | 514,740 | ||||||
867,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 | 885,468 | ||||||
1,205,000 | Morgan Stanley, MTN, (fixed rate to 2/13/2031, variable rate thereafter), 1.794%, 2/13/2032 | 934,715 | ||||||
655,000 | NatWest Group PLC, (fixed rate to 6/14/2026, variable rate thereafter), 1.642%, 6/14/2027 | 576,426 | ||||||
200,000 | NatWest Group PLC, (fixed rate to 9/30/2027, variable rate thereafter), 5.516%, 9/30/2028 | 196,048 | ||||||
1,685,000 | Societe Generale SA, (fixed rate to 7/08/2030, variable rate thereafter), 3.653%, 7/08/2035, 144A | 1,351,697 | ||||||
470,000 | Sumitomo Mitsui Financial Group, Inc., 5.464%, 1/13/2026 | 468,431 | ||||||
255,000 | Synchrony Bank, 5.400%, 8/22/2025 | 243,800 | ||||||
330,000 | Synchrony Bank, 5.625%, 8/23/2027 | 309,979 | ||||||
250,000 | UBS Group AG, (fixed rate to 11/15/2032, variable rate thereafter), 9.016%, 11/15/2033, 144A | 299,660 | ||||||
250,000 | UBS Group AG, (fixed rate to 6/05/2025, variable rate thereafter), 2.193%, 6/05/2026, 144A | 229,242 | ||||||
405,000 | UBS Group AG, (fixed rate to 7/15/2025, variable rate thereafter), 6.373%, 7/15/2026, 144A | 402,442 | ||||||
395,000 | UBS Group AG, (fixed rate to 8/11/2027, variable rate thereafter), 6.442%, 8/11/2028, 144A | 396,454 | ||||||
500,000 | UBS Group AG, (fixed rate to 8/12/2032, variable rate thereafter), 6.537%, 8/12/2033, 144A | 511,715 | ||||||
540,000 | UniCredit SpA, (fixed rate to 6/30/2030, variable rate thereafter), 5.459%, 6/30/2035, 144A | 458,271 | ||||||
|
| |||||||
21,538,063 | ||||||||
|
| |||||||
Brokerage – 0.4% |
| |||||||
733,000 | Jefferies Financial Group, Inc., 6.250%, 1/15/2036 | 747,596 | ||||||
|
| |||||||
Building Materials – 1.2% |
| |||||||
1,045,000 | Cemex SAB de CV, 3.875%, 7/11/2031, 144A | 879,790 | ||||||
310,000 | Cemex SAB de CV, (fixed rate to 6/08/2026, variable rate thereafter), 5.125%, 144A(d) | 275,883 | ||||||
211,000 | Masco Corp., 6.500%, 8/15/2032 | 217,516 | ||||||
104,000 | Masco Corp., 7.750%, 8/01/2029 | 113,660 | ||||||
Building Materials – continued |
| |||||||
778,000 | Owens Corning, 7.000%, 12/01/2036 | 850,998 | ||||||
|
| |||||||
2,337,847 | ||||||||
|
| |||||||
Cable Satellite – 2.2% |
| |||||||
325,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.300%, 2/01/2032 | 246,025 | ||||||
1,285,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 2.800%, 4/01/2031 | 1,033,989 | ||||||
890,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.700%, 4/01/2051 | 562,372 | ||||||
30,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.850%, 4/01/2061 | 18,145 | ||||||
1,580,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 3.950%, 6/30/2062 | 972,070 | ||||||
220,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.400%, 4/01/2033 | 193,106 | ||||||
165,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 5.125%, 7/01/2049 | 129,809 | ||||||
200,000 | CSC Holdings LLC, 3.375%, 2/15/2031, 144A | 135,378 | ||||||
200,000 | CSC Holdings LLC, 4.125%, 12/01/2030, 144A | 139,905 | ||||||
800,000 | CSC Holdings LLC, 4.625%, 12/01/2030, 144A | 355,950 | ||||||
125,000 | DISH DBS Corp., 5.125%, 6/01/2029 | 58,043 | ||||||
170,000 | DISH DBS Corp., 5.250%, 12/01/2026, 144A | 136,369 | ||||||
265,000 | DISH DBS Corp., 5.750%, 12/01/2028, 144A | 197,103 | ||||||
145,000 | Time Warner Cable LLC, 5.500%, 9/01/2041 | 120,631 | ||||||
|
| |||||||
4,298,895 | ||||||||
|
| |||||||
Chemicals – 0.5% |
| |||||||
200,000 | Braskem Netherlands Finance BV, 4.500%, 1/31/2030, 144A | 171,813 | ||||||
400,000 | Braskem Netherlands Finance BV, 5.875%, 1/31/2050, 144A | 323,226 | ||||||
80,000 | Celanese U.S. Holdings LLC, 6.330%, 7/15/2029 | 79,450 | ||||||
60,000 | Celanese U.S. Holdings LLC, 6.379%, 7/15/2032 | 60,520 | ||||||
325,000 | Orbia Advance Corp. SAB de CV, 2.875%, 5/11/2031, 144A | 256,870 | ||||||
|
| |||||||
891,879 | ||||||||
|
| |||||||
Collateralized Mortgage Obligations – 0.1% |
| |||||||
125,505 | Federal Home Loan Mortgage Corp., REMIC, Series 2912, Class EH, 5.500%, 1/15/2035 | 126,525 | ||||||
|
| |||||||
Construction Machinery – 0.6% |
| |||||||
200,000 | Ashtead Capital, Inc., 5.500%, 8/11/2032, 144A | 193,373 |
See accompanying notes to financial statements.
| 30
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Construction Machinery – continued |
| |||||||
$ | 970,000 | Caterpillar Financial Services Corp., MTN, 0.450%, 5/17/2024 | $ | 928,484 | ||||
|
| |||||||
1,121,857 | ||||||||
|
| |||||||
Consumer Cyclical Services – 1.0% |
| |||||||
330,000 | Expedia Group, Inc., 2.950%, 3/15/2031 | 278,076 | ||||||
1,245,000 | Expedia Group, Inc., 3.250%, 2/15/2030 | 1,083,586 | ||||||
210,000 | Uber Technologies, Inc., 4.500%, 8/15/2029, 144A | 193,284 | ||||||
375,000 | Uber Technologies, Inc., 7.500%, 9/15/2027, 144A | 383,570 | ||||||
|
| |||||||
1,938,516 | ||||||||
|
| |||||||
Consumer Products – 0.1% |
| |||||||
300,000 | Natura Cosmeticos SA, 4.125%, 5/03/2028, 144A | 259,522 | ||||||
|
| |||||||
Electric – 0.2% |
| |||||||
140,000 | Pacific Gas & Electric Co., 3.250%, 6/01/2031 | 113,843 | ||||||
200,000 | Pacific Gas & Electric Co., 4.300%, 3/15/2045 | 142,696 | ||||||
45,000 | Pacific Gas & Electric Co., 4.550%, 7/01/2030 | 40,726 | ||||||
100,000 | Pacific Gas & Electric Co., 5.450%, 6/15/2027 | 97,251 | ||||||
|
| |||||||
394,516 | ||||||||
|
| |||||||
Finance Companies – 4.1% |
| |||||||
465,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.000%, 10/29/2028 | 402,064 | ||||||
400,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.300%, 1/30/2032 | 327,240 | ||||||
200,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 5.750%, 6/06/2028 | 198,346 | ||||||
225,000 | Air Lease Corp., 3.125%, 12/01/2030 | 187,431 | ||||||
191,000 | Air Lease Corp., 4.625%, 10/01/2028 | 179,518 | ||||||
125,000 | Air Lease Corp., MTN, 3.000%, 2/01/2030 | 104,528 | ||||||
395,000 | Ares Capital Corp., 2.875%, 6/15/2028 | 326,652 | ||||||
565,000 | Ares Capital Corp., 3.200%, 11/15/2031 | 433,109 | ||||||
350,000 | Aviation Capital Group LLC, 1.950%, 1/30/2026, 144A | 311,734 | ||||||
170,000 | Aviation Capital Group LLC, 6.250%, 4/15/2028, 144A | 169,497 | ||||||
310,000 | Barings BDC, Inc., 3.300%, 11/23/2026 | 270,053 | ||||||
1,110,000 | Blackstone Secured Lending Fund, 2.125%, 2/15/2027 | 937,195 | ||||||
115,000 | FS KKR Capital Corp., 3.125%, 10/12/2028 | 93,618 | ||||||
495,000 | GATX Corp., 5.450%, 9/15/2033 | 487,028 | ||||||
155,000 | Oaktree Specialty Lending Corp., 2.700%, 1/15/2027 | 133,723 | ||||||
Finance Companies – continued |
| |||||||
565,000 | Owl Rock Capital Corp., 2.875%, 6/11/2028 | 460,369 | ||||||
490,000 | Owl Rock Capital Corp., 4.250%, 1/15/2026 | 453,301 | ||||||
110,000 | Owl Rock Technology Finance Corp., 2.500%, 1/15/2027 | 91,056 | ||||||
375,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.875%, 10/15/2026, 144A | 331,875 | ||||||
330,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.625%, 3/01/2029, 144A | 277,354 | ||||||
995,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 3.875%, 3/01/2031, 144A | 806,803 | ||||||
865,000 | Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033, 144A | 676,638 | ||||||
300,000 | SMBC Aviation Capital Finance DAC, 5.450%, 5/03/2028, 144A | 295,919 | ||||||
|
| |||||||
7,955,051 | ||||||||
|
| |||||||
Financial Other – 0.1% |
| |||||||
200,000 | CIFI Holdings Group Co. Ltd., 6.450%, 11/07/2024(e) | 22,464 | ||||||
200,000 | Country Garden Holdings Co. Ltd., 3.300%, 1/12/2031 | 54,754 | ||||||
200,000 | Logan Group Co. Ltd., 4.850%, 12/14/2026(f) | 18,925 | ||||||
200,000 | Shimao Group Holdings Ltd., 4.750%, 7/03/2022(f) | 15,148 | ||||||
200,000 | Shimao Group Holdings Ltd., 5.200%, 1/16/2027(f) | 15,148 | ||||||
200,000 | Shimao Group Holdings Ltd., 5.600%, 7/15/2026(f) | 19,966 | ||||||
200,000 | Shimao Group Holdings Ltd., 6.125%, 2/21/2024(f) | 14,524 | ||||||
200,000 | Times China Holdings Ltd., 5.750%, 1/14/2027(f) | 13,263 | ||||||
200,000 | Times China Holdings Ltd., 6.200%, 3/22/2026(f) | 13,264 | ||||||
|
| |||||||
187,456 | ||||||||
|
| |||||||
Food & Beverage – 0.3% |
| |||||||
185,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.000%, 2/02/2029, 144A | 156,882 | ||||||
225,000 | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.750%, 12/01/2031, 144A | 184,509 | ||||||
300,000 | Pilgrim’s Pride Corp., 3.500%, 3/01/2032 | 237,180 | ||||||
5,000 | Pilgrim’s Pride Corp., 4.250%, 4/15/2031 | 4,287 | ||||||
|
| |||||||
582,858 | ||||||||
|
| |||||||
Gaming – 0.9% |
| |||||||
425,000 | Genm Capital Labuan Ltd., 3.882%, 4/19/2031, 144A | 343,659 | ||||||
190,000 | GLP Capital LP/GLP Financing II, Inc., 3.250%, 1/15/2032 | 153,408 | ||||||
45,000 | VICI Properties LP, 5.125%, 5/15/2032 | 42,104 |
See accompanying notes to financial statements.
31 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Gaming – continued |
| |||||||
$ | 80,000 | VICI Properties LP/VICI Note Co., Inc., 3.875%, 2/15/2029, 144A | $ | 70,205 | ||||
365,000 | VICI Properties LP/VICI Note Co., Inc., 4.250%, 12/01/2026, 144A | 341,451 | ||||||
295,000 | VICI Properties LP/VICI Note Co., Inc., 4.500%, 9/01/2026, 144A | 278,692 | ||||||
265,000 | VICI Properties LP/VICI Note Co., Inc., 4.625%, 6/15/2025, 144A | 256,055 | ||||||
215,000 | VICI Properties LP/VICI Note Co., Inc., 5.625%, 5/01/2024, 144A | 213,675 | ||||||
|
| |||||||
1,699,249 | ||||||||
|
| |||||||
Government Owned – No Guarantee – 0.8% |
| |||||||
955,000 | Antares Holdings LP, 3.750%, 7/15/2027, 144A | 798,983 | ||||||
780,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A | 805,221 | ||||||
200,000 | Sino-Ocean Land Treasure IV Ltd., 4.750%, 1/14/2030 | 40,798 | ||||||
|
| |||||||
1,645,002 | ||||||||
|
| |||||||
Health Insurance – 0.5% |
| |||||||
20,000 | Centene Corp., 2.450%, 7/15/2028 | 17,095 | ||||||
865,000 | Centene Corp., 2.500%, 3/01/2031 | 689,812 | ||||||
155,000 | Centene Corp., 2.625%, 8/01/2031 | 123,516 | ||||||
110,000 | Centene Corp., 3.000%, 10/15/2030 | 91,663 | ||||||
45,000 | Elevance Health, Inc., 4.100%, 5/15/2032 | 41,932 | ||||||
|
| |||||||
964,018 | ||||||||
|
| |||||||
Healthcare – 0.9% |
| |||||||
200,000 | Alcon Finance Corp., 5.375%, 12/06/2032, 144A | 202,664 | ||||||
55,000 | CVS Health Corp., 1.750%, 8/21/2030 | 43,886 | ||||||
105,000 | CVS Health Corp., 5.250%, 1/30/2031 | 104,670 | ||||||
55,000 | HCA, Inc., 2.375%, 7/15/2031 | 43,986 | ||||||
195,000 | HCA, Inc., 3.500%, 9/01/2030 | 170,927 | ||||||
1,192,000 | HCA, Inc., 4.500%, 2/15/2027 | 1,149,885 | ||||||
75,000 | HCA, Inc., 5.500%, 6/01/2033 | 74,873 | ||||||
|
| |||||||
1,790,891 | ||||||||
|
| |||||||
Home Construction – 0.9% |
| |||||||
195,000 | MDC Holdings, Inc., 3.966%, 8/06/2061 | 116,355 | ||||||
510,000 | MDC Holdings, Inc., 6.000%, 1/15/2043 | 459,990 | ||||||
260,000 | Meritage Homes Corp., 3.875%, 4/15/2029, 144A | 229,410 | ||||||
981,000 | PulteGroup, Inc., 6.000%, 2/15/2035 | 991,847 | ||||||
|
| |||||||
1,797,602 | ||||||||
|
| |||||||
Hybrid ARMs – 0.0% |
| |||||||
6,742 | Federal National Mortgage Association, 1 yr. USD LIBOR + 1.810%, 4.119%, 9/01/2036(b) | 6,860 | ||||||
1,631 | Federal National Mortgage Association, 6 mo. USD LIBOR + 1.460%, 5.738%, 2/01/2037(b) | 1,652 | ||||||
|
| |||||||
8,512 | ||||||||
|
| |||||||
Independent Energy – 3.1% |
| |||||||
1,160,000 | Aker BP ASA, 3.750%, 1/15/2030, 144A | 1,030,987 | ||||||
985,000 | Continental Resources, Inc., 2.875%, 4/01/2032, 144A | 756,780 | ||||||
1,135,000 | Continental Resources, Inc., 5.750%, 1/15/2031, 144A | 1,078,996 | ||||||
190,000 | Diamondback Energy, Inc., 3.125%, 3/24/2031 | 162,750 | ||||||
40,000 | Diamondback Energy, Inc., 6.250%, 3/15/2033 | 41,379 | ||||||
280,000 | Energean Israel Finance Ltd., 5.375%, 3/30/2028, 144A | 252,700 | ||||||
370,000 | Energean Israel Finance Ltd., 5.875%, 3/30/2031, 144A | 323,287 | ||||||
100,000 | EQT Corp., 3.125%, 5/15/2026, 144A | 91,941 | ||||||
385,000 | EQT Corp., 3.625%, 5/15/2031, 144A | 331,136 | ||||||
430,000 | EQT Corp., 3.900%, 10/01/2027 | 397,543 | ||||||
165,000 | EQT Corp., 5.000%, 1/15/2029 | 155,346 | ||||||
85,000 | EQT Corp., 5.700%, 4/01/2028 | 83,892 | ||||||
53,000 | EQT Corp., 6.125%, 2/01/2025 | 52,702 | ||||||
100,000 | EQT Corp., 7.000%, 2/01/2030 | 104,703 | ||||||
40,000 | Marathon Oil Corp., 6.800%, 3/15/2032 | 41,380 | ||||||
440,000 | Ovintiv, Inc., 6.500%, 8/15/2034 | 440,947 | ||||||
40,000 | Ovintiv, Inc., 7.375%, 11/01/2031 | 42,896 | ||||||
65,000 | Southwestern Energy Co., 4.750%, 2/01/2032 | 57,287 | ||||||
220,000 | Var Energi ASA, 7.500%, 1/15/2028, 144A | 226,101 | ||||||
385,000 | Var Energi ASA, 8.000%, 11/15/2032, 144A | 407,334 | ||||||
|
| |||||||
6,080,087 | ||||||||
|
| |||||||
Leisure – 0.2% |
| |||||||
80,000 | NCL Corp. Ltd., 5.875%, 3/15/2026, 144A | 74,845 | ||||||
250,000 | NCL Corp. Ltd., 5.875%, 2/15/2027, 144A | 243,083 | ||||||
110,000 | Royal Caribbean Cruises Ltd., 5.500%, 4/01/2028, 144A | 102,579 | ||||||
|
| |||||||
420,507 | ||||||||
|
| |||||||
Life Insurance – 2.6% |
| |||||||
490,000 | Athene Global Funding, 1.608%, 6/29/2026, 144A | 419,059 | ||||||
975,000 | Athene Global Funding, 1.716%, 1/07/2025, 144A | 902,270 | ||||||
159,000 | Brighthouse Financial, Inc., 4.700%, 6/22/2047 | 121,682 | ||||||
1,488,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 1,943,893 | ||||||
1,560,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 1,648,452 | ||||||
|
| |||||||
5,035,356 | ||||||||
|
| |||||||
Lodging – 0.2% |
| |||||||
165,000 | Marriott International, Inc., Series HH, 2.850%, 4/15/2031 | 138,732 | ||||||
40,000 | Marriott Ownership Resorts, Inc., 4.500%, 6/15/2029, 144A | 34,522 | ||||||
65,000 | Travel & Leisure Co., 4.500%, 12/01/2029, 144A | 55,304 |
See accompanying notes to financial statements.
| 32
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Lodging – continued |
| |||||||
$ | 55,000 | Travel & Leisure Co., 4.625%, 3/01/2030, 144A | $ | 46,544 | ||||
10,000 | Travel & Leisure Co., 6.000%, 4/01/2027 | 9,707 | ||||||
10,000 | Travel & Leisure Co., 6.625%, 7/31/2026, 144A | 9,924 | ||||||
|
| |||||||
294,733 | ||||||||
|
| |||||||
Media Entertainment – 2.1% |
| |||||||
55,000 | Electronic Arts, Inc., 1.850%, 2/15/2031 | 44,549 | ||||||
55,000 | iHeartCommunications, Inc., 4.750%, 1/15/2028, 144A | 41,464 | ||||||
25,000 | iHeartCommunications, Inc., 5.250%, 8/15/2027, 144A | 19,117 | ||||||
985,000 | Meta Platforms, Inc., 4.950%, 5/15/2033 | 984,238 | ||||||
935,000 | Netflix, Inc., 4.875%, 6/15/2030, 144A | 920,128 | ||||||
60,000 | Netflix, Inc., 5.375%, 11/15/2029, 144A | 60,222 | ||||||
425,000 | Netflix, Inc., 5.875%, 11/15/2028 | 438,941 | ||||||
�� | 645,000 | Netflix, Inc., 6.375%, 5/15/2029 | 682,410 | |||||
415,000 | Warnermedia Holdings, Inc., 3.755%, 3/15/2027 | 387,098 | ||||||
155,000 | Warnermedia Holdings, Inc., 4.054%, 3/15/2029 | 141,689 | ||||||
480,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/2032 | 425,700 | ||||||
|
| |||||||
4,145,556 | ||||||||
|
| |||||||
Metals & Mining – 1.9% |
| |||||||
735,000 | Anglo American Capital PLC, 2.875%, 3/17/2031, 144A | 606,859 | ||||||
465,000 | Anglo American Capital PLC, 5.500%, 5/02/2033, 144A | 454,302 | ||||||
640,000 | ArcelorMittal SA, 6.800%, 11/29/2032 | 657,061 | ||||||
200,000 | First Quantum Minerals Ltd., 6.875%, 10/15/2027, 144A | 195,100 | ||||||
1,300,000 | Glencore Funding LLC, 2.500%, 9/01/2030, 144A | 1,064,453 | ||||||
645,000 | Glencore Funding LLC, 2.850%, 4/27/2031, 144A | 532,407 | ||||||
65,000 | Glencore Funding LLC, 5.700%, 5/08/2033, 144A | 64,491 | ||||||
50,000 | Steel Dynamics, Inc., 3.250%, 1/15/2031 | 43,336 | ||||||
85,000 | Volcan Cia Minera SAA, 4.375%, 2/11/2026, 144A | 63,214 | ||||||
|
| |||||||
3,681,223 | ||||||||
|
| |||||||
Midstream – 2.1% |
| |||||||
135,000 | Cheniere Energy Partners LP, 3.250%, 1/31/2032 | 111,058 | ||||||
655,000 | Cheniere Energy Partners LP, 4.000%, 3/01/2031 | 576,721 | ||||||
75,000 | Cheniere Energy Partners LP, 4.500%, 10/01/2029 | 68,832 | ||||||
240,000 | DCP Midstream Operating LP, 3.250%, 2/15/2032 | 203,133 | ||||||
Midstream – continued |
| |||||||
50,000 | DCP Midstream Operating LP, 5.125%, 5/15/2029 | 48,912 | ||||||
125,000 | DCP Midstream Operating LP, 6.450%, 11/03/2036, 144A | 128,356 | ||||||
625,000 | Enbridge, Inc., 5.700%, 3/08/2033 | 633,582 | ||||||
588,000 | Energy Transfer LP, 5.000%, 5/15/2044 | 494,955 | ||||||
370,000 | Energy Transfer LP, 5.750%, 2/15/2033 | 372,422 | ||||||
145,000 | EnLink Midstream LLC, 6.500%, 9/01/2030, 144A | 144,839 | ||||||
40,000 | Enterprise Products Operating LLC, 5.350%, 1/31/2033 | 40,677 | ||||||
45,000 | MPLX LP, 5.000%, 3/01/2033 | 43,105 | ||||||
43,000 | ONEOK Partners LP, 6.200%, 9/15/2043 | 41,561 | ||||||
55,000 | Plains All American Pipeline LP/PAA Finance Corp., 3.800%, 9/15/2030 | 48,801 | ||||||
5,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.300%, 1/31/2043 | 3,736 | ||||||
25,000 | Targa Resources Corp., 5.200%, 7/01/2027 | 24,544 | ||||||
250,000 | Targa Resources Corp., 6.125%, 3/15/2033 | 255,447 | ||||||
50,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.000%, 1/15/2032 | 43,363 | ||||||
70,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.875%, 2/01/2031 | 64,690 | ||||||
80,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.500%, 3/01/2030 | 76,990 | ||||||
115,000 | Venture Global Calcasieu Pass LLC, 3.875%, 11/01/2033, 144A | 94,172 | ||||||
75,000 | Venture Global Calcasieu Pass LLC, 6.250%, 1/15/2030, 144A | 74,395 | ||||||
85,000 | Western Midstream Operating LP, 4.300%, 2/01/2030 | 76,317 | ||||||
195,000 | Western Midstream Operating LP, 5.300%, 3/01/2048 | 162,771 | ||||||
35,000 | Western Midstream Operating LP, 5.450%, 4/01/2044 | 29,567 | ||||||
25,000 | Western Midstream Operating LP, 5.500%, 8/15/2048 | 20,907 | ||||||
120,000 | Western Midstream Operating LP, 5.500%, 2/01/2050 | 98,288 | ||||||
40,000 | Western Midstream Operating LP, 6.150%, 4/01/2033 | 40,316 | ||||||
45,000 | Williams Cos., Inc., 4.650%, 8/15/2032 | 42,615 | ||||||
|
| |||||||
4,065,072 | ||||||||
|
| |||||||
Non-Agency Commercial Mortgage-Backed Securities – 2.2% |
| |||||||
95,000 | BPR Trust, Series 2021-NRD, Class B, 1 mo. USD SOFR + 2.124%, 7.226%, 12/15/2038, 144A(b) | 88,346 | ||||||
105,000 | BPR Trust, Series 2021-NRD, Class C, 1 mo. USD SOFR + 2.424%, 7.526%, 12/15/2038, 144A(b) | 97,238 |
See accompanying notes to financial statements.
33 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
$ | 65,000 | BPR Trust, Series 2021-NRD, Class D, 1 mo. USD SOFR + 3.723%, 8.825%, 12/15/2038, 144A(b) | $ | 59,837 | ||||
290,000 | BPR Trust, Series 2022-STAR, Class A, 1 mo. USD SOFR + 3.232%, 8.379%, 8/15/2024, 144A(b) | 287,440 | ||||||
109,831 | Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class AM, 3.416%, 10/15/2045, 144A | 99,672 | ||||||
100,000 | Credit Suisse Mortgage Trust, Series 2014-USA, Class B, 4.185%, 9/15/2037, 144A | 80,530 | ||||||
120,467 | Extended Stay America Trust, Series 2021-ESH, Class B, 1 mo. USD LIBOR + 1.380%, 6.574%, 7/15/2038, 144A(b) | 117,519 | ||||||
134,923 | Extended Stay America Trust, Series 2021-ESH, Class C, 1 mo. USD LIBOR + 1.700%, 6.894%, 7/15/2038, 144A(b) | 131,283 | ||||||
96,374 | Extended Stay America Trust, Series 2021-ESH, Class D, 1 mo. USD LIBOR + 2.250%, 7.444%, 7/15/2038, 144A(b) | 93,652 | ||||||
105,000 | GS Mortgage Securities Corp. Trust, Series 2012-BWTR, Class A, 2.954%, 11/05/2034, 144A | 75,114 | ||||||
115,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A, 3.668%, 3/05/2033, 144A(a) | 96,859 | ||||||
125,000 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class B, 3.668%, 3/05/2033, 144A(a) | 108,668 | ||||||
125,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class AS, 4.383%, 1/10/2047 | 116,272 | ||||||
185,000 | GS Mortgage Securities Trust, Series 2014-GC18, Class B, 4.885%, 1/10/2047(a) | 151,990 | ||||||
105,000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class A5, 3.598%, 11/15/2048 | 97,919 | ||||||
417,595 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class C, 3.910%, 12/15/2047, 144A(a) | 390,451 | ||||||
223,925 | Med Trust, Series 2021-MDLN, Class B, 1 mo. USD LIBOR + 1.450%, 6.644%, 11/15/2038, 144A(b) | 216,060 | ||||||
199,045 | Med Trust, Series 2021-MDLN, Class C, 1 mo. USD LIBOR + 1.800%, 6.994%, 11/15/2038, 144A(b) | 191,804 | ||||||
99,522 | Med Trust, Series 2021-MDLN, Class D, 1 mo. USD LIBOR + 2.000%, 7.194%, 11/15/2038, 144A(b) | 94,841 | ||||||
55,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class C, 5.102%, 10/15/2046(a) | 52,183 | ||||||
495,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class C, 4.229%, 9/15/2049(a) | 400,235 | ||||||
Non-Agency Commercial Mortgage-Backed Securities – continued |
| |||||||
96,151 | MSBAM Commercial Mortgage Securities Trust, Series 2012-CKSV, Class A2, 3.277%, 10/15/2030, 144A | 74,998 | ||||||
35,946 | UBS-Barclays Commercial Mortgage Trust, Series 2012-TFT, Class A, 2.892%, 6/05/2030, 144A | 33,518 | ||||||
110,000 | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class B, 4.435%, 7/15/2046(a) | 85,883 | ||||||
155,000 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class AS, 4.020%, 8/15/2050 | 149,178 | ||||||
41,437 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 6.050%, 3/15/2044, 144A(a) | 9,271 | ||||||
145,000 | WFRBS Commercial Mortgage Trust, Series 2013-C15, Class B, 4.584%, 8/15/2046(a) | 120,452 | ||||||
175,000 | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class B, 4.378%, 5/15/2047 | 128,158 | ||||||
655,000 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class B, 4.204%, 11/15/2047(a) | 586,918 | ||||||
|
| |||||||
4,236,289 | ||||||||
|
| |||||||
Office REITs – 0.0% |
| |||||||
85,000 | Corporate Office Properties LP, 2.750%, 4/15/2031 | 64,587 | ||||||
|
| |||||||
Paper – 0.4% |
| |||||||
552,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | 597,712 | ||||||
137,000 | WestRock MWV LLC, 7.550%, 3/01/2047 | 158,103 | ||||||
104,000 | WestRock MWV LLC, 8.200%, 1/15/2030 | 119,250 | ||||||
|
| |||||||
875,065 | ||||||||
|
| |||||||
Pharmaceuticals – 1.1% |
| |||||||
40,000 | Amgen, Inc., 5.250%, 3/02/2033 | 40,051 | ||||||
405,000 | Astrazeneca Finance LLC, 4.875%, 3/03/2028 | 404,767 | ||||||
100,000 | Bausch Health Cos., Inc., 4.875%, 6/01/2028, 144A | 59,520 | ||||||
415,000 | Pfizer Investment Enterprises Pte. Ltd., 4.750%, 5/19/2033 | 413,437 | ||||||
150,000 | Teva Pharmaceutical Finance Co. LLC, 6.150%, 2/01/2036 | 133,300 | ||||||
425,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/01/2046 | 279,365 | ||||||
240,000 | Teva Pharmaceutical Finance Netherlands III BV, 4.750%, 5/09/2027 | 222,017 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 5.125%, 5/09/2029 | 181,420 | ||||||
200,000 | Teva Pharmaceutical Finance Netherlands III BV, 7.875%, 9/15/2029 | 206,106 |
See accompanying notes to financial statements.
| 34
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Pharmaceuticals – continued |
| |||||||
$ | 200,000 | Teva Pharmaceutical Finance Netherlands III BV, 8.125%, 9/15/2031 | $ | 209,616 | ||||
|
| |||||||
2,149,599 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.2% |
| |||||||
555,000 | Stewart Information Services Corp., 3.600%, 11/15/2031 | 426,119 | ||||||
|
| |||||||
Restaurants – 0.0% |
| |||||||
50,000 | Starbucks Corp., 3.000%, 2/14/2032 | 43,403 | ||||||
|
| |||||||
Retail REITs – 0.0% |
| |||||||
70,000 | Brixmor Operating Partnership LP, 2.250%, 4/01/2028 | 58,801 | ||||||
|
| |||||||
Retailers – 1.7% |
| |||||||
2,680,000 | Amazon.com, Inc., 0.450%, 5/12/2024 | 2,569,393 | ||||||
50,000 | AutoNation, Inc., 3.850%, 3/01/2032 | 42,419 | ||||||
650,000 | AutoZone, Inc., 4.000%, 4/15/2030 | 603,560 | ||||||
50,000 | Dollar Tree, Inc., 2.650%, 12/01/2031 | 40,891 | ||||||
125,000 | Tapestry, Inc., 3.050%, 3/15/2032 | 99,819 | ||||||
|
| |||||||
3,356,082 | ||||||||
|
| |||||||
Technology – 6.5% |
| |||||||
50,000 | Arrow Electronics, Inc., 2.950%, 2/15/2032 | 41,263 | ||||||
335,000 | Arrow Electronics, Inc., 6.125%, 3/01/2026 | 334,207 | ||||||
280,000 | Broadcom, Inc., 3.137%, 11/15/2035, 144A | 214,773 | ||||||
240,000 | Broadcom, Inc., 3.187%, 11/15/2036, 144A | 181,381 | ||||||
380,000 | Broadcom, Inc., 4.150%, 11/15/2030 | 349,619 | ||||||
85,000 | Broadcom, Inc., 4.300%, 11/15/2032 | 77,969 | ||||||
105,000 | CDW LLC/CDW Finance Corp., 2.670%, 12/01/2026 | 94,277 | ||||||
125,000 | CDW LLC/CDW Finance Corp., 3.250%, 2/15/2029 | 107,104 | ||||||
940,000 | CDW LLC/CDW Finance Corp., 3.569%, 12/01/2031 | 793,191 | ||||||
60,000 | CDW LLC/CDW Finance Corp., 4.250%, 4/01/2028 | 55,028 | ||||||
155,000 | CommScope Technologies LLC, 5.000%, 3/15/2027, 144A | 107,890 | ||||||
250,000 | CommScope, Inc., 4.750%, 9/01/2029, 144A | 197,100 | ||||||
45,000 | Dell International LLC/EMC Corp., 5.750%, 2/01/2033 | 45,431 | ||||||
715,000 | Entegris Escrow Corp., 4.750%, 4/15/2029, 144A | 663,753 | ||||||
430,000 | Equinix, Inc., 2.000%, 5/15/2028 | 366,084 | ||||||
1,175,000 | Equinix, Inc., 2.150%, 7/15/2030 | 949,577 | ||||||
170,000 | Flex Ltd., 6.000%, 1/15/2028 | 172,648 | ||||||
185,000 | Global Payments, Inc., 2.900%, 5/15/2030 | 156,802 | ||||||
235,000 | Global Payments, Inc., 2.900%, 11/15/2031 | 191,176 | ||||||
Technology – continued |
| |||||||
130,000 | Global Payments, Inc., 5.300%, 8/15/2029 | 126,653 | ||||||
280,000 | Global Payments, Inc., 5.400%, 8/15/2032 | 272,842 | ||||||
130,000 | Jabil, Inc., 1.700%, 4/15/2026 | 116,316 | ||||||
375,000 | Jabil, Inc., 3.600%, 1/15/2030 | 335,448 | ||||||
330,000 | Jabil, Inc., 3.950%, 1/12/2028 | 308,029 | ||||||
375,000 | Leidos, Inc., 5.750%, 3/15/2033 | 372,541 | ||||||
295,000 | Marvell Technology, Inc., 2.450%, 4/15/2028 | 257,559 | ||||||
250,000 | Marvell Technology, Inc., 2.950%, 4/15/2031 | 209,567 | ||||||
55,000 | Micron Technology, Inc., 2.703%, 4/15/2032 | 43,388 | ||||||
120,000 | Micron Technology, Inc., 4.663%, 2/15/2030 | 113,154 | ||||||
155,000 | Micron Technology, Inc., 5.327%, 2/06/2029 | 152,605 | ||||||
425,000 | Micron Technology, Inc., 5.875%, 2/09/2033 | 422,876 | ||||||
1,050,000 | Micron Technology, Inc., 5.875%, 9/15/2033 | 1,040,480 | ||||||
580,000 | Micron Technology, Inc., 6.750%, 11/01/2029 | 602,905 | ||||||
40,000 | Motorola Solutions, Inc., 5.600%, 6/01/2032 | 39,635 | ||||||
55,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 2.650%, 2/15/2032 | 44,523 | ||||||
75,000 | NXP BV/NXP Funding LLC/NXP USA, Inc., 4.400%, 6/01/2027 | 72,502 | ||||||
165,000 | Open Text Corp., 6.900%, 12/01/2027, 144A | 167,975 | ||||||
50,000 | Oracle Corp., 2.950%, 4/01/2030 | 43,643 | ||||||
600,000 | Oracle Corp., 3.950%, 3/25/2051 | 453,673 | ||||||
275,000 | Oracle Corp., 6.150%, 11/09/2029 | 286,431 | ||||||
30,000 | Sensata Technologies, Inc., 3.750%, 2/15/2031, 144A | 25,665 | ||||||
200,000 | SK Hynix, Inc., 6.375%, 1/17/2028, 144A | 200,837 | ||||||
545,000 | TD SYNNEX Corp., 1.750%, 8/09/2026 | 475,001 | ||||||
450,000 | Trimble, Inc., 6.100%, 3/15/2033 | 455,954 | ||||||
310,000 | Verisk Analytics, Inc., 5.750%, 4/01/2033 | 324,537 | ||||||
315,000 | VMware, Inc., 2.200%, 8/15/2031 | 247,527 | ||||||
140,000 | Western Digital Corp., 2.850%, 2/01/2029 | 111,856 | ||||||
310,000 | Western Digital Corp., 4.750%, 2/15/2026 | 295,280 | ||||||
|
| |||||||
12,718,675 | ||||||||
|
| |||||||
Transportation Services – 0.4% |
| |||||||
140,000 | ERAC USA Finance LLC, 4.900%, 5/01/2033, 144A | 136,801 | ||||||
562,000 | ERAC USA Finance LLC, 6.700%, 6/01/2034, 144A | 619,700 | ||||||
|
| |||||||
756,501 | ||||||||
|
|
See accompanying notes to financial statements.
35 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Bonds and Notes – continued | ||||||||
Treasuries – 12.0% |
| |||||||
$ | 10,315,000 | Republic of South Africa Government Bonds, Series 2035, 8.875%, 2/28/2035, (ZAR) | $ | 448,306 | ||||
2,485,000 | U.S. Treasury Bonds, 2.250%, 2/15/2052 | 1,795,801 | ||||||
7,125,000 | U.S. Treasury Bonds, 3.250%, 5/15/2042 | 6,357,949 | ||||||
15,220,000 | U.S. Treasury Notes, 1.500%, 2/29/2024 | 14,828,798 | ||||||
|
| |||||||
23,430,854 | ||||||||
|
| |||||||
Wireless – 2.3% |
| |||||||
370,000 | American Tower Corp., 5.500%, 3/15/2028 | 367,426 | ||||||
1,415,000 | Crown Castle, Inc., 2.250%, 1/15/2031 | 1,153,282 | ||||||
50,000 | Crown Castle, Inc., 2.500%, 7/15/2031 | 41,076 | ||||||
110,000 | Crown Castle, Inc., 5.100%, 5/01/2033 | 108,095 | ||||||
585,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 707,035 | ||||||
100,000 | T-Mobile USA, Inc., 2.400%, 3/15/2029 | 85,951 | ||||||
230,000 | T-Mobile USA, Inc., 2.700%, 3/15/2032 | 189,987 | ||||||
620,000 | T-Mobile USA, Inc., 3.375%, 4/15/2029 | 559,890 | ||||||
305,000 | T-Mobile USA, Inc., 3.500%, 4/15/2031 | 269,131 | ||||||
1,120,000 | T-Mobile USA, Inc., 3.875%, 4/15/2030 | 1,031,821 | ||||||
|
| |||||||
4,513,694 | ||||||||
|
| |||||||
Wirelines – 0.0% |
| |||||||
55,000 | AT&T, Inc., 2.250%, 2/01/2032 | 43,686 | ||||||
55,000 | Verizon Communications, Inc., 2.355%, 3/15/2032 | 44,236 | ||||||
|
| |||||||
87,922 | ||||||||
|
| |||||||
Total Non-Convertible Bonds | ||||||||
(Identified Cost $181,116,332) | 163,465,629 | |||||||
|
| |||||||
Convertible Bonds – 1.4% | ||||||||
Airlines – 0.1% |
| |||||||
210,000 | Southwest Airlines Co., 1.250%, 5/01/2025 | 240,765 | ||||||
|
| |||||||
Cable Satellite – 0.3% |
| |||||||
965,000 | DISH Network Corp., 3.375%, 8/15/2026 | 489,738 | ||||||
180,000 | DISH Network Corp., Zero Coupon, 6.944%-9.514%, 12/15/2025(g) | 95,632 | ||||||
|
| |||||||
585,370 | ||||||||
|
| |||||||
Consumer Cyclical Services – 0.1% |
| |||||||
45,000 | Peloton Interactive, Inc.,Zero Coupon, 0.519%-0.798%, 2/15/2026(g) | 34,126 | ||||||
Consumer Cyclical Services – continued |
| |||||||
245,000 | Uber Technologies, Inc., Zero Coupon, 0.000%-1.922%, 12/15/2025(g) | 224,594 | ||||||
|
| |||||||
258,720 | ||||||||
|
| |||||||
Electric – 0.2% |
| |||||||
465,000 | PPL Capital Funding, Inc., 2.875%, 3/15/2028, 144A | 444,075 | ||||||
|
| |||||||
Healthcare – 0.3% |
| |||||||
600,000 | Teladoc Health, Inc., 1.250%, 6/01/2027 | 477,000 | ||||||
|
| |||||||
Pharmaceuticals – 0.4% |
| |||||||
150,000 | BioMarin Pharmaceutical, Inc., 0.599%, 8/01/2024 | 147,340 | ||||||
465,000 | BioMarin Pharmaceutical, Inc., 1.250%, 5/15/2027 | 467,467 | ||||||
130,000 | Livongo Health, Inc., 0.875%, 6/01/2025 | 117,442 | ||||||
|
| |||||||
732,249 | ||||||||
Total Convertible Bonds | ||||||||
(Identified Cost $3,575,314) | 2,738,179 | |||||||
|
| |||||||
Municipals – 0.4% | ||||||||
Virginia – 0.4% |
| |||||||
805,000 | Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 (Identified Cost $797,027) | 761,885 | ||||||
|
| |||||||
Total Bonds and Notes | ||||||||
(Identified Cost $185,488,674) | 166,965,693 | |||||||
|
| |||||||
Senior Loans – 0.1% | ||||||||
Leisure – 0.1% |
| |||||||
74,760 | Carnival Corp., 2021 Incremental Term Loan B, 1 mo. USD SOFR + 3.250%, 8.467%, 10/18/2028(b)(h) | 74,012 | ||||||
94,513 | Carnival Corp., USD Term Loan B, 1 mo. USD SOFR + 3.000%, 8.217%, 6/30/2025(b)(h) | 94,306 | ||||||
|
| |||||||
168,318 | ||||||||
|
| |||||||
Total Senior Loans | ||||||||
(Identified Cost $167,104) | 168,318 | |||||||
|
| |||||||
Collateralized Loan Obligations – 3.8% | ||||||||
395,000 | 522 Funding CLO Ltd., Series 2021-7A, Class D, 3 mo. USD LIBOR + 2.900%, 8.173%, 4/23/2034, 144A(b) | 353,692 | ||||||
250,000 | AGL CLO 5 Ltd., Series 2020-5A, Class BR, 3 mo. USD LIBOR + 1.700%, 6.950%, 7/20/2034, 144A(b) | 242,791 | ||||||
600,000 | Alinea CLO Ltd., Series 2018-1A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 7/20/2031, 144A(b) | 590,132 |
See accompanying notes to financial statements.
| 36
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Collateralized Loan Obligations – continued | ||||||||
$ | 250,000 | Battalion CLO VIII Ltd., Series 2015-8A, Class A2R2, 3 mo. USD LIBOR + 1.550%, 6.812%, 7/18/2030, 144A(b) | $ | 243,256 | ||||
250,000 | Canyon CLO Ltd., Series 2021-4A, Class B, 3 mo. USD LIBOR + 1.700%, 6.960%, 10/15/2034, 144A(b) | 248,783 | ||||||
270,000 | Carlyle U.S. CLO Ltd., Series 2021-9A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 10/20/2034, 144A(b) | 262,226 | ||||||
250,000 | CIFC Funding Ltd., Series 2021-6A, Class B, 3 mo. USD LIBOR + 1.650%, 6.910%, 10/15/2034, 144A(b) | 243,502 | ||||||
455,000 | Dryden 53 CLO Ltd., Series 2017-53A, Class B, 3 mo. USD LIBOR + 1.400%, 6.660%, 1/15/2031, 144A(b) | 444,232 | ||||||
275,000 | Elmwood CLO VIII Ltd., Series 2021-1A, Class D2, 3 mo. USD LIBOR + 2.850%, 8.100%, 1/20/2034, 144A(b) | 264,825 | ||||||
250,000 | Galaxy XXV CLO Ltd., Series 2018-25A, Class B, 3 mo. USD LIBOR + 1.650%, 6.905%, 10/25/2031, 144A(b) | 242,992 | ||||||
250,000 | Galaxy XXVI CLO Ltd., Series 2018-26A, Class B, 3 mo. USD LIBOR + 1.700%, 7.079%, 11/22/2031, 144A(b) | 243,505 | ||||||
255,000 | Invesco CLO Ltd., Series 2021-1A, Class D, 3 mo. USD LIBOR + 3.050% 8.310%, 4/15/2034, 144A(b) | 237,957 | ||||||
307,284 | Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, 3 mo. USD LIBOR + 0.970%, 6.225%, 4/25/2029, 144A(b) | 304,863 | ||||||
250,000 | Magnetite XIV-R Ltd., Series 2015-14RA, Class B, 3 mo. USD LIBOR + 1.600%, 6.862%, 10/18/2031, 144A(b) | 244,860 | ||||||
250,000 | Magnetite XV Ltd., Series 2015-15A, Class AR, 3 mo. USD SOFR + 1.272%, 6.339%, 7/25/2031, 144A(b) | 247,814 | ||||||
530,000 | Morgan Stanley Eaton Vance CLO Ltd., Series 2022-16A, Class B, 3 mo. USD SOFR + 1.950%, 6.936%, 4/15/2035, 144A(b) | 514,636 | ||||||
250,000 | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class BRR, 3 mo. USD LIBOR + 1.650%, 6.910%, 7/15/2034, 144A(b) | 243,630 | ||||||
300,000 | Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A2, 3 mo. USD LIBOR + 1.470%, 6.730%, 4/16/2031, 144A(b) | 290,815 | ||||||
297,725 | Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, 3 mo. USD LIBOR + 0.970%, 6.235%, 7/19/2030, 144A(b) | 295,797 | ||||||
250,000 | OHA Credit Partners XVI, Series 2021-16A, Class A, 3 mo. USD LIBOR + 1.150%, 6.412%, 10/18/2034, 144A(b) | 245,026 | ||||||
Collateralized Loan Obligations – continued | ||||||||
250,000 | Palmer Square CLO Ltd., Series 2013-2A, Class A2R3, 3 mo. USD LIBOR + 1.500%, 6.760%, 10/17/2031, 144A(b) | 243,604 | ||||||
117,078 | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, 3 mo. USD LIBOR + 0.800%, 6.050%, 7/20/2029, 144A(b) | 116,226 | ||||||
250,000 | Rad CLO 15 Ltd., Series 2021-15A, Class B, 3 mo. USD LIBOR + 1.650%, 6.900%, 1/20/2034, 144A(b) | 243,310 | ||||||
360,000 | Recette CLO Ltd., Series 2015-1A, Class BRR, 3 mo. USD LIBOR + 1.400%, 6.650%, 4/20/2034, 144A(b) | 343,125 | ||||||
310,000 | Sixth Street CLO XVIII Ltd., Series 2021-18A, Class D, 3 mo. USD LIBOR + 2.900%, 8.150%, 4/20/2034, 144A(b) | 288,517 | ||||||
255,000 | Voya CLO Ltd., Series 2018-3A, Class B, 3 mo. USD LIBOR + 1.650%, 6.910%, 10/15/2031, 144A(b) | 246,285 | ||||||
|
| |||||||
Total Collateralized Loan Obligations | ||||||||
(Identified Cost $7,697,504) | 7,486,401 | |||||||
|
| |||||||
Shares | ||||||||
Common Stocks – 0.2% | ||||||||
Oil, Gas & Consumable Fuels – 0.2% |
| |||||||
2,357 | Canadian Natural Resources Ltd. | 132,605 | ||||||
1,320 | Diamondback Energy, Inc. | 173,395 | ||||||
762 | EOG Resources, Inc. | 87,203 | ||||||
216 | Pioneer Natural Resources Co. | 44,751 | ||||||
|
| |||||||
437,954 | ||||||||
|
| |||||||
Total Common Stocks | ||||||||
(Identified Cost $477,545) | 437,954 | |||||||
|
| |||||||
Preferred Stocks – 1.2% | ||||||||
Convertible Preferred Stocks – 1.2% | ||||||||
Banking – 0.9% |
| |||||||
1,095 | Bank of America Corp., Series L, 7.250% | 1,283,143 | ||||||
317 | Wells Fargo & Co., Series L, Class A, 7.500% | 365,184 | ||||||
|
| |||||||
1,648,327 | ||||||||
|
| |||||||
Midstream – 0.3% |
| |||||||
12,375 | El Paso Energy Capital Trust I, 4.750% | 574,819 | ||||||
|
| |||||||
Total Convertible Preferred Stocks | ||||||||
(Identified Cost $2,140,469) | 2,223,146 | |||||||
|
| |||||||
Total Preferred Stocks | ||||||||
(Identified Cost $2,140,469) | 2,223,146 | |||||||
|
|
See accompanying notes to financial statements.
37 |
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Principal Amount | Description | Value (†) | ||||||
Short-Term Investments – 8.5% | ||||||||
$ | 4,071,090 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2023 at 2.300% to be repurchased at $4,071,871 on 7/03/2023 collateralized by $4,374,900 U.S. Treasury Note, 2.750% due 4/30/2027 valued at $4,152,514 including accrued interest (Note 2 of Notes to Financial Statements) (Identified Cost $4,071,090) | $ | 4,071,090 | ||||
5,715,000 | U.S. Treasury Bills, 4.692%-4.695%, 7/13/2023(i) | 5,707,053 | ||||||
1,005,000 | U.S. Treasury Bills, 5.170%, 12/21/2023(j) | 979,986 | ||||||
1,975,000 | U.S. Treasury Bills, 5.190%, 11/24/2023(j) | 1,934,063 | ||||||
4,020,000 | U.S. Treasury Bills, 5.200%, 12/07/2023(j) | 3,928,689 | ||||||
|
| |||||||
Total Short-Term Investments | ||||||||
(Identified Cost $16,618,275) | 16,620,881 | |||||||
|
| |||||||
Total Investments – 99.1% | ||||||||
(Identified Cost $212,589,570) | 193,902,393 | |||||||
Other assets less liabilities—0.9% | 1,763,119 | |||||||
|
| |||||||
Net Assets – 100.0% | $ | 195,665,512 | ||||||
|
| |||||||
(a) | Variable rate security. The interest rate adjusts periodically based on; (i) changes in current interest rates and/or prepayments on underlying pools of assets, if applicable, (ii) reference to a base lending rate plus or minus a margin, and/or (iii) reference to a base lending rate adjusted by a multiplier and/or subject to certain floors or caps. Rate as of June 30, 2023 is disclosed. | |||||||
(b) | Variable rate security. Rate as of June 30, 2023 is disclosed. | |||||||
(c) | Level 3 security. Value has been determined using significant unobservable inputs. See Note 3 of Notes to Financial Statements. | |||||||
(d) | Perpetual bond with no specified maturity date. | |||||||
(e) | Non-income producing security. | |||||||
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||||
(g) | Interest rate represents annualized yield at time of purchase; not a coupon rate. The Fund’s investment in this security is comprised of various lots with differing annualized yields. | |||||||
(h) | Stated interest rate has been determined in accordance with the provisions of the loan agreement and is subject to a minimum benchmark floor rate of 0.75%, to which the spread is added. | |||||||
(i) | The Fund’s investment in U.S. Government/Agency securities 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. | |||||||
(j) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||||||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, the value of Rule 144A holdings amounted to $71,363,262 or 36.5% of net assets. | |||||||
ABS | Asset-Backed Securities | |||||||
ARMs | Adjustable Rate Mortgages | |||||||
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 | |||||||
SOFR | Secured Overnight Financing Rate | |||||||
ZAR | South African Rand |
At June 30, 2023, open long futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
CBOT 10 Year U.S. Treasury Notes Futures | 9/20/2023 | 255 | $ | 28,962,943 | $ | 28,627,735 | $ | (335,208 | ) | |||||||||||
CBOT 2 Year U.S. Treasury Notes Futures | 9/29/2023 | 92 | 18,904,708 | 18,707,625 | (197,083 | ) | ||||||||||||||
CBOT 5 Year U.S. Treasury Notes Futures | 9/29/2023 | 43 | 4,665,131 | 4,605,031 | (60,100 | ) | ||||||||||||||
CBOT U.S. Long Bond Futures | 9/20/2023 | 179 | 22,616,373 | 22,716,219 | 99,846 | |||||||||||||||
CME Ultra Long Term U.S. Treasury Bond Futures | 9/20/2023 | 59 | 7,903,437 | 8,036,906 | 133,469 | |||||||||||||||
|
| |||||||||||||||||||
Total |
| $ | (359,076 | ) | ||||||||||||||||
|
|
At June 30, 2023, open short futures contracts were as follows:
Financial Futures | Expiration Date | Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra 10 Year U.S. Treasury Notes Futures | 9/20/2023 | 219$ | 26,050,542 | $ | 25,937,812 | $ | 112,730 | |||||||||||||
|
|
See accompanying notes to financial statements.
| 38
Portfolio of Investments – as of June 30, 2023 (Unaudited)
Loomis Sayles Investment Grade Fixed Income Fund – continued
Industry Summary at June 30, 2023 (Unaudited)
Treasuries | 12.0 | % | ||
Banking | 11.9 | |||
ABS Car Loan | 6.8 | |||
Technology | 6.5 | |||
ABS Home Equity | 4.9 | |||
Finance Companies | 4.1 | |||
Independent Energy | 3.1 | |||
ABS Other | 2.8 | |||
Life Insurance | 2.6 | |||
Cable Satellite | 2.5 | |||
Midstream | 2.4 | |||
Wireless | 2.3 | |||
Non-Agency Commercial Mortgage-Backed Securities | 2.2 | |||
Media Entertainment | 2.1 | |||
Other Investments, less than 2% each | 20.6 | |||
Short-Term Investments | 8.5 | |||
Collateralized Loan Obligations | 3.8 | |||
|
| |||
Total Investments | 99.1 | |||
Other assets less liabilities (including futures contracts) | 0.9 | |||
|
| |||
Net Assets | 100.0 | % | ||
|
|
See accompanying notes to financial statements.
39 |
Statements of Assets and Liabilities
June 30, 2023 (Unaudited)
Bond Fund | Investment Grade Fixed Income Fund | |||||||
ASSETS |
| |||||||
Investments at cost | $ | 5,743,934,584 | $ | 212,589,570 | ||||
Net unrealized depreciation | (777,985,136 | ) | (18,687,177 | ) | ||||
|
|
|
| |||||
Investments at value | 4,965,949,448 | 193,902,393 | ||||||
Cash | 2,347,900 | 10,934 | ||||||
Due from brokers (Note 2) | 360,000 | — | ||||||
Foreign currency at value (identified cost $1,544 and $0, respectively) | 1,535 | — | ||||||
Receivable for Fund shares sold | 4,641,703 | — | ||||||
Receivable for securities sold | 7,189,162 | 198,990 | ||||||
Dividends and interest receivable | 47,279,935 | 1,719,877 | ||||||
Receivable for variation margin on futures contracts (Note 2) | 4,368,499 | 175,984 | ||||||
Prepaid expenses (Note 8) | 2,156 | 351 | ||||||
|
|
|
| |||||
TOTAL ASSETS | 5,032,140,338 | 196,008,529 | ||||||
|
|
|
| |||||
LIABILITIES |
| |||||||
Payable for securities purchased | 197,340,696 | 19,283 | ||||||
Payable for Fund shares redeemed | 4,616,372 | — | ||||||
Unrealized depreciation on forward foreign currency contracts (Note 2) | 158,508 | — | ||||||
Foreign taxes payable (Note 2) | 16,743 | — | ||||||
Management fees payable (Note 6) | 2,075,259 | 65,671 | ||||||
Deferred Trustees’ fees (Note 6) | 2,421,959 | 198,046 | ||||||
Administrative fees payable (Note 6) | 185,424 | 7,435 | ||||||
Payable to distributor (Note 6d) | 45,770 | — | ||||||
Other accounts payable and accrued expenses | 488,878 | 52,582 | ||||||
|
|
|
| |||||
TOTAL LIABILITIES | 207,349,609 | 343,017 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 4,824,790,729 | $ | 195,665,512 | ||||
|
|
|
| |||||
NET ASSETS CONSIST OF: |
| |||||||
Paid-in capital | $ | 6,140,569,709 | $ | 222,456,552 | ||||
Accumulated loss | (1,315,778,980 | ) | (26,791,040 | ) | ||||
|
|
|
| |||||
NET ASSETS | $ | 4,824,790,729 | $ | 195,665,512 | ||||
|
|
|
| |||||
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE: |
| |||||||
Institutional Class: |
| |||||||
Net assets | $ | 3,560,961,272 | $ | 195,665,512 | ||||
|
|
|
| |||||
Shares of beneficial interest | 312,621,057 | 19,294,499 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.39 | $ | 10.14 | ||||
|
|
|
| |||||
Retail Class: |
| |||||||
Net assets | $ | 803,876,637 | $ | — | ||||
|
|
|
| |||||
Shares of beneficial interest | 71,004,285 | — | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.32 | $ | — | ||||
|
|
|
| |||||
Admin Class shares: |
| |||||||
Net assets | $ | 30,906,077 | $ | — | ||||
|
|
|
| |||||
Shares of beneficial interest | 2,740,128 | — | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.28 | $ | — | ||||
|
|
|
| |||||
Class N shares: |
| |||||||
Net assets | $ | 429,046,743 | $ | — | ||||
|
|
|
| |||||
Shares of beneficial interest | 37,722,054 | — | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 11.37 | $ | — | ||||
|
|
|
|
See accompanying notes to financial statements.
| 40
Statements of Operations
For the Six Months Ended June 30, 2023 (Unaudited)
Bond Fund | Investment Grade Fixed Income Fund | |||||||
INVESTMENT INCOME |
| |||||||
Interest | $ | 123,410,146 | $ | 3,859,813 | ||||
Dividends | 3,975,448 | 81,087 | ||||||
Less net foreign taxes withheld | (48,795 | ) | (209 | ) | ||||
|
|
|
| |||||
127,336,799 | 3,940,691 | |||||||
|
|
|
| |||||
Expenses |
| |||||||
Management fees (Note 6) | 14,047,974 | 381,062 | ||||||
Service and distribution fees (Note 6) | 1,112,746 | — | ||||||
Administrative fees (Note 6) | 1,164,018 | 44,143 | ||||||
Trustees’ fees and expenses (Note 6) | 200,554 | 20,524 | ||||||
Transfer agent fees and expenses (Notes 6 and 7) | 1,879,638 | 2,202 | ||||||
Audit and tax services fees | 33,547 | 29,869 | ||||||
Custodian fees and expenses | 59,839 | 7,145 | ||||||
Legal fees (Note 8) | 106,462 | 4,003 | ||||||
Registration fees | 61,814 | 6,128 | ||||||
Shareholder reporting expenses | 178,939 | 5,042 | ||||||
Miscellaneous expenses | 87,512 | 20,838 | ||||||
|
|
|
| |||||
Total expenses | 18,933,043 | 520,956 | ||||||
Less waiver and/or expense reimbursement (Note 6) | (1,098,868 | ) | — | |||||
|
|
|
| |||||
Net expenses | 17,834,175 | 520,956 | ||||||
|
|
|
| |||||
Net investment income | 109,502,624 | 3,419,735 | ||||||
|
|
|
| |||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS | ||||||||
Net realized loss on: |
| |||||||
Investments | (74,411,754 | ) | (3,044,340 | ) | ||||
Futures contracts | (14,439,169 | ) | (991,836 | ) | ||||
Forward foreign currency contracts (Note 2d) | (47,220 | ) | — | |||||
Foreign currency transactions (Note 2c) | (83,161 | ) | (136 | ) | ||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||
Investments | 106,380,436 | 5,928,565 | ||||||
Futures contracts | 4,446,047 | (32,794 | ) | |||||
Forward foreign currency contracts (Note 2d) | (158,508 | ) | — | |||||
Foreign currency translations (Note 2c) | (7,914 | ) | (279 | ) | ||||
|
|
|
| |||||
Net realized and unrealized gain on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | 21,678,757 | 1,859,180 | ||||||
|
|
|
| |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 131,181,381 | $ | 5,278,915 | ||||
|
|
|
|
See accompanying notes to financial statements.
41 |
Statements of Changes in Net Assets
Bond Fund | Investment Grade Fixed Income Fund | |||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | |||||||||||||
FROM OPERATIONS: |
| |||||||||||||||
Net investment income | $ | 109,502,624 | $ | 209,190,346 | $ | 3,419,735 | $ | 5,974,235 | ||||||||
Net realized loss on investments, futures contracts, forward foreign currency contracts and foreign currency transactions | (88,981,304 | ) | (19,390,917 | ) | (4,036,312 | ) | (3,052,456 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and foreign currency translations | 110,660,061 | (1,098,662,865 | ) | 5,895,492 | (32,276,734 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 131,181,381 | (908,863,436 | ) | 5,278,915 | (29,354,955 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Institutional Class | (82,540,852 | ) | (211,847,206 | ) | (3,505,372 | ) | (8,575,864 | ) | ||||||||
Retail Class | (17,647,175 | ) | (44,765,024 | ) | — | — | ||||||||||
Admin Class | (613,967 | ) | (1,526,364 | ) | — | — | ||||||||||
Class N | (9,866,234 | ) | (22,836,367 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (110,668,228 | ) | (280,974,961 | ) | (3,505,372 | ) | (8,575,864 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE (DECREASE) IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS (NOTE 11) | (286,910,136 | ) | (1,308,389,706 | ) | 403,384 | (12,070,679 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (266,396,983 | ) | (2,498,228,103 | ) | 2,176,927 | (50,001,498 | ) | |||||||||
NET ASSETS |
| |||||||||||||||
Beginning of the period | 5,091,187,712 | 7,589,415,815 | 193,488,585 | 243,490,083 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of the period | $ | 4,824,790,729 | $ | 5,091,187,712 | $ | 195,665,512 | $ | 193,488,585 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
| 42
Financial Highlights
For a share outstanding throughout each period.
Bond Fund – Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 11.35 | $ | 13.62 | $ | 13.58 | $ | 13.10 | $ | 13.66 | $ | 13.57 | $ | 14.28 | ||||||||||||||
|
| |||||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT | ||||||||||||||||||||||||||||
Net investment income(a) | 0.25 | 0.42 | 0.34 | 0.10 | 0.48 | 0.55 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (2.11 | ) | 0.09 | 0.59 | (0.57 | ) | 0.08 | (0.37 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total from Investment Operations | 0.30 | (1.69 | ) | 0.43 | 0.69 | (0.09 | ) | 0.63 | 0.12 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.58 | ) | (0.39 | ) | (0.14 | ) | (0.45 | ) | (0.50 | ) | (0.54 | ) | ||||||||||||||
Net realized capital gains | — | — | — | (0.07 | ) | (0.02 | ) | (0.04 | ) | (0.29 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Distributions | (0.26 | ) | (0.58 | ) | (0.39 | ) | (0.21 | ) | (0.47 | ) | (0.54 | ) | (0.83 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of the period | $ | 11.39 | $ | 11.35 | $ | 13.62 | $ | 13.58 | $ | 13.10 | $ | 13.66 | $ | 13.57 | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total return | 2.61 | %(b)(c) | (12.49 | )%(b) | 3.23 | %(b) | 5.35 | %(c) | (0.73 | )% | 4.88 | % | 0.97 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 3,560,961 | $ | 3,759,888 | $ | 5,776,109 | $ | 6,630,032 | $ | 6,668,481 | $ | 8,071,961 | $ | 9,025,850 | ||||||||||||||
Net expenses | 0.67 | %(d)(e) | 0.67 | %(d) | 0.67 | %(d) | 0.67 | %(e) | 0.67 | % | 0.67 | % | 0.66 | % | ||||||||||||||
Gross expenses | 0.72 | %(e) | 0.69 | % | 0.68 | % | 0.67 | %(e) | 0.67 | % | 0.67 | % | 0.66 | % | ||||||||||||||
Net investment income | 4.40 | %(e) | 3.44 | % | 2.47 | % | 3.02 | %(e) | 3.65 | % | 4.12 | % | 3.59 | % | ||||||||||||||
Portfolio turnover rate | 10 | % | 23 | % | 87 | %(f) | 26 | %(g) | 25 | % | 17 | % | 7 | % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(g) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
See accompanying notes to financial statements.
43 |
Financial Highlights – continued
For a share outstanding throughout each period.
Bond Fund – Retail Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 11.28 | $ | 13.55 | $ | 13.51 | $ | 13.03 | $ | 13.59 | $ | 13.49 | $ | 14.21 | ||||||||||||||
|
| |||||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||||||||||
Net investment income(a) | 0.24 | 0.39 | 0.30 | 0.09 | 0.45 | 0.52 | 0.46 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (2.11 | ) | 0.10 | 0.59 | (0.57 | ) | 0.08 | (0.38 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total from Investment Operations | 0.28 | (1.72 | ) | 0.40 | 0.68 | (0.12 | ) | 0.60 | 0.08 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.55 | ) | (0.36 | ) | (0.13 | ) | (0.42 | ) | (0.46 | ) | (0.51 | ) | ||||||||||||||
Net realized capital gains | — | — | — | (0.07 | ) | (0.02 | ) | (0.04 | ) | (0.29 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Distributions | (0.24 | ) | (0.55 | ) | (0.36 | ) | (0.20 | ) | (0.44 | ) | (0.50 | ) | (0.80 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of the period | $ | 11.32 | $ | 11.28 | $ | 13.55 | $ | 13.51 | $ | 13.03 | $ | 13.59 | $ | 13.49 | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total return | 2.50 | %(b)(c) | (12.78 | )%(b) | 2.98 | %(b) | 5.31 | %(c) | (0.99 | )% | 4.72 | %(b) | 0.64 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 803,877 | $ | 861,223 | $ | 1,248,925 | $ | 1,469,489 | $ | 1,474,316 | $ | 2,019,828 | $ | 2,520,105 | ||||||||||||||
Net expenses | 0.92 | %(d)(e) | 0.92 | %(d) | 0.92 | %(d) | 0.92 | %(e) | 0.92 | % | 0.91 | %(f) | 0.91 | % | ||||||||||||||
Gross expenses | 0.97 | %(e) | 0.94 | % | 0.93 | % | 0.92 | %(e) | 0.92 | % | 0.92 | % | 0.91 | % | ||||||||||||||
Net investment income | 4.15 | %(e) | 3.20 | % | 2.22 | % | 2.77 | %(e) | 3.41 | % | 3.88 | % | 3.33 | % | ||||||||||||||
Portfolio turnover rate | 10 | % | 23 | % | 87 | %(g) | 26 | %(h) | 25 | % | 17 | % | 7 | % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(g) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(h) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
See accompanying notes to financial statements.
| 44
Financial Highlights – continued
For a share outstanding throughout each period.
Bond Fund – Admin Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 11.24 | $ | 13.49 | $ | 13.45 | $ | 12.97 | $ | 13.53 | $ | 13.44 | $ | 14.16 | ||||||||||||||
|
| |||||||||||||||||||||||||||
INCOME (LOSS) FROM | ||||||||||||||||||||||||||||
Net investment income(a) | 0.23 | 0.36 | 0.27 | 0.08 | 0.42 | 0.48 | 0.42 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (2.09 | ) | 0.09 | 0.60 | (0.58 | ) | 0.08 | (0.38 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total from Investment Operations | 0.27 | (1.73 | ) | 0.36 | 0.68 | (0.16 | ) | 0.56 | 0.04 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.52 | ) | (0.32 | ) | (0.13 | ) | (0.38 | ) | (0.43 | ) | (0.47 | ) | ||||||||||||||
Net realized capital gains | — | — | — | (0.07 | ) | (0.02 | ) | (0.04 | ) | (0.29 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Distributions | (0.23 | ) | (0.52 | ) | (0.32 | ) | (0.20 | ) | (0.40 | ) | (0.47 | ) | (0.76 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of the period | $ | 11.28 | $ | 11.24 | $ | 13.49 | $ | 13.45 | $ | 12.97 | $ | 13.53 | $ | 13.44 | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total return | 2.38 | %(b)(c) | (12.91 | )%(b) | 2.74 | %(b) | 5.26 | %(c) | (1.24 | )% | 4.40 | %(b) | 0.38 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 30,906 | $ | 30,678 | $ | 44,562 | $ | 50,062 | $ | 51,040 | $ | 84,028 | $ | 121,683 | ||||||||||||||
Net expenses | 1.09 | %(d)(e)(f) | 1.13 | %(d)(g) | 1.15 | %(d)(h) | 1.17 | %(e) | 1.17 | % | 1.16 | %(i) | 1.16 | % | ||||||||||||||
Gross expenses | 1.14 | %(e)(f) | 1.15 | %(g) | 1.16 | %(h) | 1.17 | %(e) | 1.17 | % | 1.17 | % | 1.16 | % | ||||||||||||||
Net investment income | 3.98 | %(e) | 2.99 | % | 1.99 | % | 2.52 | %(e) | 3.19 | % | 3.63 | % | 3.08 | % | ||||||||||||||
Portfolio turnover rate | 10 | % | 23 | % | 87 | %(j) | 26 | %(k) | 25 | % | 17 | % | 7 | % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | Includes refund of prior year service fee of 0.08%. See Note 6b of Notes to Financial Statements. |
(g) | Includes refund of prior year service fee of 0.04%. |
(h) | Includes refund of prior year service fee of 0.02%. |
(i) | The administrator agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(j) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(k) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
See accompanying notes to financial statements.
45 |
Financial Highlights – continued
For a share outstanding throughout each period.
Bond Fund – Class N | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 11.33 | $ | 13.60 | $ | 13.57 | $ | 13.08 | $ | 13.64 | $ | 13.55 | $ | 14.27 | ||||||||||||||
|
| |||||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT | ||||||||||||||||||||||||||||
Net investment income(a) | 0.25 | 0.43 | 0.35 | 0.10 | 0.48 | 0.56 | 0.50 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (2.11 | ) | 0.08 | 0.61 | (0.56 | ) | 0.08 | (0.38 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total from Investment Operations | 0.30 | (1.68 | ) | 0.43 | 0.71 | (0.08 | ) | 0.64 | 0.12 | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.59 | ) | (0.40 | ) | (0.15 | ) | (0.46 | ) | (0.51 | ) | (0.55 | ) | ||||||||||||||
Net realized capital gains | — | — | — | (0.07 | ) | (0.02 | ) | (0.04 | ) | (0.29 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Distributions | (0.26 | ) | (0.59 | ) | (0.40 | ) | (0.22 | ) | (0.48 | ) | (0.55 | ) | (0.84 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of the period | $ | 11.37 | $ | 11.33 | $ | 13.60 | $ | 13.57 | $ | 13.08 | $ | 13.64 | $ | 13.55 | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total return | 2.64 | %(b)(c) | (12.46 | )% | 3.22 | % | 5.45 | %(c) | (0.66 | )% | 4.97 | % | 0.97 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 429,047 | $ | 439,399 | $ | 519,821 | $ | 903,844 | $ | 853,559 | $ | 469,234 | $ | 443,609 | ||||||||||||||
Net expenses | 0.62 | %(d)(e) | 0.61 | % | 0.61 | % | 0.60 | %(e) | 0.60 | % | 0.59 | % | 0.59 | %�� | ||||||||||||||
Gross expenses | 0.64 | %(e) | 0.61 | % | 0.61 | % | 0.60 | %(e) | 0.60 | % | 0.59 | % | 0.59 | % | ||||||||||||||
Net investment income | 4.45 | %(e) | 3.54 | % | 2.56 | % | 3.08 | %(e) | 3.65 | % | 4.20 | % | 3.68 | % | ||||||||||||||
Portfolio turnover rate | 10 | % | 23 | % | 87 | %(f) | 26 | %(g) | 25 | % | 17 | % | 7 | % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(c) | Periods less than one year are not annualized. |
(d) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(e) | Computed on an annualized basis for periods less than one year. |
(f) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(g) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
See accompanying notes to financial statements.
| 46
Financial Highlights – continued
For a share outstanding throughout each period.
Investment Grade Fixed Income Fund – Institutional Class | ||||||||||||||||||||||||||||
Six Months Ended June 30, 2023 (Unaudited) | Year Ended December 31, 2022 | Year Ended December 31, 2021 | Period Ended December 31, 2020* | Year Ended September 30, 2020 | Year Ended September 30, 2019 | Year Ended September 30, 2018 | ||||||||||||||||||||||
Net asset value, beginning of the period | $ | 10.04 | $ | 11.86 | $ | 12.47 | $ | 12.48 | $ | 12.30 | $ | 12.20 | $ | 12.43 | ||||||||||||||
|
| |||||||||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT | ||||||||||||||||||||||||||||
Net investment income(a) | 0.18 | 0.29 | 0.29 | 0.08 | 0.36 | 0.39 | 0.37 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.11 | (1.70 | ) | (0.19 | ) | 0.46 | 0.18 | 0.14 | (0.22 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total from Investment Operations | 0.29 | (1.41 | ) | 0.10 | 0.54 | 0.54 | 0.53 | 0.15 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
LESS DISTRIBUTIONS FROM: |
| |||||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.31 | ) | (0.30 | ) | (0.12 | ) | (0.32 | ) | (0.24 | ) | (0.30 | ) | ||||||||||||||
Net realized capital gains | — | (0.10 | ) | (0.41 | ) | (0.43 | ) | (0.04 | ) | (0.19 | ) | (0.08 | ) | |||||||||||||||
|
| |||||||||||||||||||||||||||
Total Distributions | (0.19 | ) | (0.41 | ) | (0.71 | ) | (0.55 | ) | (0.36 | ) | (0.43 | ) | (0.38 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Net asset value, end of the period | $ | 10.14 | $ | 10.04 | $ | 11.86 | $ | 12.47 | $ | 12.48 | $ | 12.30 | $ | 12.20 | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total return | 2.85 | %(b) | (11.98 | )% | 0.80 | % | 4.38 | %(b)(c) | 4.53 | % | 4.46 | % | 1.27 | % | ||||||||||||||
RATIOS TO AVERAGE NET ASSETS: |
| |||||||||||||||||||||||||||
Net assets, end of the period (000’s) | $ | 195,666 | $ | 193,489 | $ | 243,490 | $ | 252,690 | $ | 229,129 | $ | 289,056 | $ | 272,725 | ||||||||||||||
Net expenses | 0.55 | %(d) | 0.52 | % | 0.52 | % | 0.55 | %(d)(e) | 0.52 | % | 0.50 | % | 0.49 | % | ||||||||||||||
Gross expenses | 0.55 | %(d) | 0.52 | % | 0.52 | % | 0.67 | %(d) | 0.52 | % | 0.50 | % | 0.49 | % | ||||||||||||||
Net investment income | 3.59 | %(d) | 2.72 | % | 2.33 | % | 2.53 | %(d) | 2.93 | % | 3.26 | % | 3.03 | % | ||||||||||||||
Portfolio turnover rate | 15 | % | 35 | % | 85 | %(f) | 30 | %(g) | 29 | % | 11 | % | 1 | % |
* | For the three month period ended December 31, 2020 due to change in fiscal year. |
(a) | Per share net investment income has been calculated using the average shares outstanding during the period. |
(b) | Periods less than one year are not annualized. |
(c) | Had certain expenses not been waived/reimbursed during the period, total returns would have been lower. |
(d) | Computed on an annualized basis for periods less than one year. |
(e) | The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund’s expenses during the period. Without this waiver/reimbursement, expenses would have been higher. |
(f) | The variation in the Fund’s turnover rate from the year ended September 30, 2020 to the year ended December 31, 2021 was primarily due to a repositioning of the portfolio. |
(g) | The variation in the Fund’s turnover rate, if annualized, from the year ended September 30, 2020 to the period ended December 31, 2020 was primarily due to the disposition and realignment of certain foreign currency-denominated positions. |
See accompanying notes to financial statements.
47 |
June 30, 2023 (Unaudited)
1. Organization. Loomis Sayles Funds I (the “Trust”) is organized as a Massachusetts business trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Declaration of Trust permits the Board of Trustees to authorize the issuance of an unlimited number of shares of the Trust in multiple series. The financial statements for certain funds of the Trust are presented in separate reports. The following funds (individually, a “Fund” and collectively, the “Funds”) are included in this report:
Loomis Sayles Bond Fund (“Bond Fund”)
Loomis Sayles Investment Grade Fixed Income Fund (“Investment Grade Fixed Income Fund”)
Each Fund is a diversified investment company.
Each Fund offers Institutional Class shares. In addition, Bond Fund also offers 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 contingent deferred sales charge (“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 for Bond Fund and $3,000,000 for 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 and Natixis ETF Trust II (“Natixis ETF Trusts”). Expenses of a Fund are borne pro rata by the holders of each class of shares, except that each class bears expenses unique to that class (such as the Rule 12b-1 fees applicable to Retail Class and Admin Class) and transfer agent fees 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.
2. Significant Accounting Policies. The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. The Funds’ financial statements follow the accounting and reporting guidelines provided for investment companies and are prepared in accordance with accounting principles generally accepted in the United States of America which require the use of management estimates that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Management has evaluated the events and transactions subsequent to period-end through the date the financial statements were issued and has determined that there were no material events that would require disclosure in the Funds’ financial statements.
a. Valuation. Registered investment companies are required to value portfolio investments using an unadjusted, readily available market quotation. Each Fund obtains readily available market quotations from independent pricing services. Fund investments for which readily available market quotations are not available are priced at fair value pursuant to the Funds’ Valuation Procedures. The Board of Trustees has approved a valuation designee who is subject to the Board’s oversight.
Unadjusted readily available market quotations that are utilized for exchange traded equity securities (including shares of closed-end investment companies and exchange-traded funds) include the last sale price quoted on the exchange where the security is traded most extensively. Futures contracts are valued at the closing settlement price on the exchange on which the valuation designee believes that, over time, they are traded most extensively. Shares of open-end investment companies are valued at net asset value (“NAV”) per share.
Exchange traded equity securities for which there is no reported sale during the day are fair valued at the closing bid quotation as reported by an independent pricing service. Unlisted equity securities (except unlisted preferred equity securities) are fair 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 fair valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are fair valued based on evaluated bids furnished to the Funds by an independent pricing service or bid prices obtained from broker-dealers. Senior loans and collateralized loan obligations (“CLOs”) are fair valued at bid prices supplied by an independent pricing service, if available. Broker-dealer bid prices may be used to fair value debt, unlisted equities, senior loans and CLOs where an independent pricing service is unable to price an investment or where an independent pricing service does not provide a reliable price for the investment. Forward foreign currency contracts are fair valued utilizing interpolated rates determined based on information provided by an independent pricing service.
The Funds may also fair value investments 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. This may include situations relating to a single issuer (such as a declaration of
| 48
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
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 a Fund’s investments, the valuation designee may, among other things, use modeling tools or other processes that may take into account factors such as issuer specific information, or other related market activity and/or information that occurred after the close of the foreign market but before the time the Fund’s NAV is calculated. Fair valuation by the Fund(s) valuation designee may require subjective determinations about the value of the investment, 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 investments. In addition, the use of fair value pricing may not always result in adjustments to the prices of investments held by a Fund.
b. Investment Transactions and Related Investment Income. Investment transactions are accounted for on a trade date plus one day basis for daily NAV calculation. However, for financial reporting purposes, investment transactions are reported on trade date. Dividend income (including income reinvested) and foreign withholding tax, if applicable, are recorded on the 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. Loan consent fees, upfront origination fees and/or amendment fees are recorded when received and included in interest income on the Statements of Operations. Interest income is increased by the accretion of discount and decreased by the amortization of premium, if applicable. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. 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. 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, if any, 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 in the Funds’ books and records and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in the value of assets and liabilities, other than investment securities, as of the end of the fiscal period, resulting from changes in exchange rates. Net realized foreign exchange gains or losses and the net change in unrealized foreign exchange gains or losses are disclosed in the Statements of Operations. For federal income tax purposes, net realized foreign exchange gains or losses are characterized as ordinary income, and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The values of investment securities are presented at the foreign exchange rates prevailing at the end of the period for financial reporting purposes. Net realized and unrealized gains or losses on investments reported in the Statements of Operations reflect gains or losses resulting from changes in exchange rates and fluctuations which arise due to changes in market prices of investment securities. For federal income tax purposes, a portion of the net realized gain or loss on investments arising from changes in exchange rates, which is reflected in the Statements of Operations, may be characterized as ordinary income and may, if the Funds have net losses, reduce the amount of income available to be distributed by the Funds.
The Funds may use foreign currency exchange contracts to facilitate transactions in foreign-denominated investments. Losses may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
d. Forward Foreign Currency Contracts. A Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized appreciation (depreciation) 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 Fund’s or counterparty’s net obligations under the contracts. Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
e. Futures Contracts. A Fund 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.
49 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
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. Daily fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as a receivable (payable) 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 outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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. When-Issued and Delayed Delivery Transactions. A 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 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.
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.
There were no when-issued or delayed delivery securities held by the Funds as of June 30, 2023.
g. 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 June 30, 2023 and has concluded that no provisions for income tax are required. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. Management is not aware of any events that are reasonably possible to occur in the next six months that would result in the amounts of any unrecognized tax benefits significantly increasing or decreasing for the Funds. However, management’s conclusions regarding tax positions taken may be subject to review and adjustment at a later date based on factors including, but not limited to, new tax laws and accounting regulations and interpretations thereof.
A Fund may be subject to foreign withholding taxes on investment income and taxes on capital gains on investments that are accrued and paid based upon the Fund’s understanding of the tax rules and regulations that exist in the countries in which the Fund invests. Foreign withholding taxes on dividend and interest income are reflected on the Statements of Operations as a reduction of investment income, net of amounts that have been or are expected to be reclaimed and paid. 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 are expected to be filed and paid are reflected on the Statements of Assets and Liabilities as tax reclaims receivable. Capital gains taxes paid are included in net realized gain (loss) on investments in the Statements of Operations. Accrued but unpaid capital gains taxes are reflected as foreign taxes payable on the Statements of Assets and Liabilities, if applicable, and reduce unrealized gains on investments. In the event that realized gains on investments are subsequently offset by realized losses, taxes paid on realized gains may be returned to a Fund. Such amounts, if applicable, are reflected as foreign tax rebates receivable on the Statements of Assets and Liabilities and are recorded as a realized gain when received.
h. Dividends and Distributions to Shareholders. Dividends and distributions are recorded on the 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
| 50
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
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 defaulted and/or non-income producing securities, premium amortization, distribution re-designations, trust preferred securities, return of capital distributions received, capital gain distributions received, and paydown gains and losses. Permanent book and tax basis differences relating to shareholder distributions, net investment income and net realized gains 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, wash sales, defaulted and/or non-income producing securities, return of capital distributions received, trust preferred securities, corporate actions, capital gain distributions received, premium amortization, foreign currency gains and losses and futures contract 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 net realized short-term capital gains are reported as distributed from ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The tax character of distributions paid to shareholders during the year ended December 31, 2022 was as follows:
2022 Distributions | ||||||||||||
Fund | Ordinary Income | Long-Term Capital Gains | Total | |||||||||
Bond Fund | $ | 280,974,961 | $ | — | $ | 280,974,961 | ||||||
Investment Grade Fixed Income Fund | 6,401,061 | 2,174,803 | 8,575,864 |
Distributions paid to shareholders from net investment income and net realized capital gains, based on accounting principles generally accepted in the United States of America, are consolidated and reported on the Statements of Changes in Net Assets as Distributions to Shareholders. Distributions paid to shareholders from net investment income and net realized capital gains expressed in per-share amounts, based on accounting principles generally accepted in the United States of America, are separately stated and reported within the Financial Highlights.
As of December 31, 2022, capital loss carryforwards were as follows:
Bond Fund | Investment Grade Fixed Income Fund | |||||||
Capital loss carryforward: |
| |||||||
Short-term: |
| |||||||
No expiration date | $ | (37,067,279 | ) | $ | (1,473,853 | ) | ||
Long-term: | ||||||||
No expiration date | (369,287,237 | ) | (1,733,808 | ) | ||||
|
| |||||||
Total capital loss carryforward | $ | (406,354,516 | ) | $ | (3,207,661 | ) | ||
|
|
|
|
As of June 30, 2023, the tax cost of investments (including derivatives, if applicable) and unrealized appreciation (depreciation) on a federal tax basis were as follows:
Bond Fund | Investment Grade Fixed Income Fund | |||||||
Federal tax cost | $ | 5,755,442,371 | $ | 213,128,254 | ||||
|
| |||||||
Gross tax appreciation | $ | 51,949,601 | $ | 2,233,283 | ||||
Gross tax depreciation | (843,610,762 | ) | (21,705,490 | ) | ||||
|
| |||||||
Net tax depreciation | $ | (791,661,161 | ) | $ | (19,472,207 | ) | ||
|
|
The difference between these amounts and those reported in the preceding table, if any, are primarily attributable to foreign currency mark-to-market.
Amounts in the table above exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Adjustments may include, but are not limited to, wash sales and derivatives mark-to-market.
i. Senior Loans. A Fund’s investment in senior loans may be to corporate, governmental or other borrowers. Senior loans, which include both secured and unsecured loans made by banks and other financial institutions to corporate customers, typically hold the most senior position in a borrower’s capital structure, may be secured by the borrower’s assets and have interest rates that reset frequently. Senior Loans can include term loans, revolving credit facility loans and second lien loans. A senior loan is often administered by a bank or other financial institution
51 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
that acts as agent for all holders. The agent administers the terms of the senior loan, as specified in the loan agreement. Large loans may be shared or syndicated among several lenders. A Fund may enter into the primary syndicate for a loan or it may also purchase all or a portion of loans from other lenders (sometimes referred to as loan assignments), in either case becoming a direct lender. The settlement period for senior loans is uncertain as there is no standardized settlement schedule applicable to such investments. Senior loans outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
j. Collateralized Loan Obligations. A Fund may invest in CLOs. A CLO is a type of asset-backed security designed to redirect the cash flows from a pool of leveraged loans to investors based on their risk preferences. Cash flows from a CLO are split into two or more portions, called tranches, varying in risk and yield. The risk of an investment in a CLO depends largely on the type of the collateralized securities and the class of the instrument in which the Fund invests. CLOs outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.
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 June 30, 2023, 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 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 Statements of Assets and Liabilities for Bond Fund represents cash pledged as collateral for forward foreign currency contracts. In certain circumstances the Funds’ use of cash held at brokers is restricted by regulation or broker mandated limits.
m. Indemnifications. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
n. New Accounting Pronouncement. In March 2020, the Financial Accounting Standards Board (“FASB”) issued ASU 2020-04, Reference Rate Reform (Topic 848) (“ASU 2020-04”) in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of the London Interbank Offered Rate (“LIBOR”), which was expected to occur no later than June 30, 2023. In January 2021, FASB issued Accounting Standard Update 2021-01 (“ASU 2021-01”), which is an update of ASU 2020-04. Regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation than LIBOR. ASU 2020-04 provides temporary guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. ASU 2020-04 amendments offer optional expedients for contract modifications that would allow an entity to account for such modifications by prospectively adjusting the effective interest rate, instead of evaluating each contract, in accordance with existing accounting standards, as to whether reference rate modifications constitute the establishment of new contracts or the continuation of existing contracts. ASU 2021-01 clarifies that certain provisions in Topic 848, if elected by an entity, apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. In December 2022, FASB issued a further update to Topic 848 under ASU 2022-06, which defers the sunset date of Topic 848 to December 31, 2024, after which entities will no longer be permitted to apply the optional expedients provided in Topic 848. As of June 30, 2023, LIBOR has ceased to be published on a representative basis, and will be replaced by an alternative reference rate at the next reset date subsequent to June 30, 2023 for all investments for which LIBOR is the current reference rate. Management has elected to apply the optional expedients when appropriate and account for such modifications by prospectively adjusting the effective interest rate.
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 |
| 52
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
• | Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect each Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Funds’ pricing policies have been approved by the Board of Trustees. Investments for which market quotations are readily available are categorized in Level 1. Other investments for which an independent pricing service is utilized are categorized in Level 2. Broker-dealer bid prices for which the Funds have knowledge of the inputs used by the broker-dealer are categorized in Level 2. All other investments, including broker-dealer bid prices for which the Funds do not have knowledge of the inputs used by the broker-dealer, as well as investments fair valued by the valuation designee, are categorized in Level 3. All Level 2 and 3 securities are defined as being fair valued.
Under certain conditions and based upon specific facts and circumstances, the Fund’s valuation designee may determine that a fair valuation should be made for portfolio investment(s). These valuation designee fair valuations will be based upon a significant amount of Level 3 inputs.
The following is a summary of the inputs used to value the Funds’ investments as of June 30, 2023, at value:
Bond Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | $ | — | $ | 74,933,631 | $ | 1,177,347 | $ | 76,110,978 | ||||||||
All Other Non-Convertible Bonds(a) | — | 3,544,583,510 | — | 3,544,583,510 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 3,619,517,141 | 1,177,347 | 3,620,694,488 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 252,010,075 | — | 252,010,075 | ||||||||||||
Municipals(a) | — | 82,813,579 | — | 82,813,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 3,954,340,795 | 1,177,347 | 3,955,518,142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 14,654,304 | — | 14,654,304 | ||||||||||||
Collateralized Loan Obligations | — | 220,379,511 | — | 220,379,511 | ||||||||||||
Common Stocks | ||||||||||||||||
Technology Hardware, Storage & Peripherals | 1,780,644 | 11,754 | — | 1,792,398 | ||||||||||||
All Other Common Stocks(a) | 85,632,220 | — | — | 85,632,220 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 87,412,864 | 11,754 | — | 87,424,618 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Convertible Preferred Stocks(a) | 47,969,683 | — | — | 47,969,683 | ||||||||||||
Non-Convertible Preferred Stocks | ||||||||||||||||
Office REITs | — | — | 2,218,755 | 2,218,755 | ||||||||||||
Other REITs | — | 9,557,346 | — | 9,557,346 | ||||||||||||
All Other Non-Convertible Preferred Stocks(a) | 945,526 | — | — | 945,526 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Preferred Stocks | 945,526 | 9,557,346 | 2,218,755 | 12,721,627 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 48,915,209 | 9,557,346 | 2,218,755 | 60,691,310 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 627,281,563 | — | 627,281,563 | ||||||||||||
Total Investments | 136,328,073 | 4,826,225,273 | 3,396,102 | 4,965,949,448 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts (unrealized appreciation) | 8,433,304 | — | — | 8,433,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 144,761,377 | $ | 4,826,225,273 | $ | 3,396,102 | $ | 4,974,382,752 | ||||||||
|
| |||||||||||||||
Liability Valuation Inputs
|
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | — | $ | (158,508 | ) | $ | — | $ | (158,508 | ) | ||||||
Futures Contracts (unrealized depreciation) | (10,443,034 | ) | — | — | (10,443,034 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (10,443,034 | ) | $ | (158,508 | ) | $ | — | $ | (10,601,542 | ) | |||||
|
|
|
|
|
|
|
|
(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
53 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
Investment Grade Fixed Income Fund
Asset Valuation Inputs
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes | ||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||
ABS Home Equity | $ | — | $ | 9,585,820 | $ | 3,294 | $ | 9,589,114 | ||||||||
All Other Non-Convertible Bonds(a) | — | 153,876,515 | — | 153,876,515 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Non-Convertible Bonds | — | 163,462,335 | 3,294 | 163,465,629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Convertible Bonds(a) | — | 2,738,179 | — | 2,738,179 | ||||||||||||
Municipals(a) | — | 761,885 | — | 761,885 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Bonds and Notes | — | 166,962,399 | 3,294 | 166,965,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Senior Loans(a) | — | 168,318 | — | 168,318 | ||||||||||||
Collateralized Loan Obligations | — | 7,486,401 | — | 7,486,401 | ||||||||||||
Common Stocks(a) | 437,954 | — | — | 437,954 | ||||||||||||
Preferred Stocks(a) | 2,223,146 | — | — | 2,223,146 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | — | 16,620,881 | — | 16,620,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | 2,661,100 | 191,237,999 | 3,294 | 193,902,393 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Futures Contracts (unrealized appreciation) | 346,045 | — | — | 346,045 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,007,145 | $ | 191,237,999 | $ | 3,294 | $ | 194,248,438 | ||||||||
|
| |||||||||||||||
Liability Valuation Inputs
|
| |||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (592,391 | ) | $ | — | $ | — | $ | (592,391 | ) | ||||||
|
|
|
|
|
|
|
|
(a) Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2022 and/or June 30, 2023:
Bond Fund
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2022 | 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 June 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | $ | — | $ | — | $ | — | $ | (80,973 | ) | $ | — | $ | — | $ | 1,258,320 | $ | — | $ | 1,177,347 | $ | (80,973 | ) | ||||||||||||||||||
Property & Casualty Insurance | 1,406,500 | — | — | — | — | — | — | (1,406,500 | ) | — | — | |||||||||||||||||||||||||||||
Preferred Stocks | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Preferred Stocks |
| |||||||||||||||||||||||||||||||||||||||
Office REITs | 2,398,869 | — | — | (180,114 | ) | — | — | — | — | 2,218,755 | (180,114 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 3,805,369 | $ | — | $ | — | $ | (261,087 | ) | $ | — | $ | — | $ | 1,258,320 | $ | (1,406,500 | ) | $ | 3,396,102 | $ | (261,087 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $1,258,320 was transferred from Level 2 to Level 3 during the period ended June 30, 2023. At December 31, 2022, this security was fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies. At June 30, 2023, this security was fair valued as determined by the Fund’s valuation designee as an independent pricing service was unable to price the security.
| 54
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
Debt securities valued at $1,406,500 were transferred from Level 3 to Level 2 during the period ended June 30, 2023. At December 31, 2022, these securities were fair valued as determined by the Fund’s valuation designee as an independent pricing service did not provide a reliable price for the securities. At June 30, 2023, these securities were fair valued based on evaluated bids furnished to the Fund by an independent pricing service in accordance with the Fund’s valuation policies.
Investment Grade Fixed Income Fund
Asset Valuation Inputs
Investments in Securities | Balance as of December 31, 2022 | 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 June 30, 2023 | Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2023 | ||||||||||||||||||||||||||||||
Bonds and Notes | ||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds | ||||||||||||||||||||||||||||||||||||||||
ABS Home Equity | $ | 3,824 | $ | — | $ | 12 | $ | 32 | $ | — | $ | (574 | ) | $ | — | $ | — | $ | 3,294 | $ | (41 | ) | ||||||||||||||||||
|
|
4. Derivatives. Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. Derivative instruments that the Funds used during the period include forward foreign currency contracts and futures contracts.
The Funds are subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Funds may enter into forward foreign currency exchange contracts for hedging purposes to protect the value of the Funds’ holdings of foreign securities. The Funds may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Funds. During the six months ended June 30, 2023, Bond Fund engaged in forward foreign currency contracts for hedging purposes.
The Funds are subject to the risk that changes in interest rates will affect the value of the Funds’ investments in fixed-income securities. The Funds will be subject to increased interest rate risk to the extent that they invest in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Funds may use futures contracts to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. The Funds may also use futures contracts to gain investment exposure. During the six months ended June 30, 2023, the Funds used futures contracts to manage duration.
The following is a summary of derivative instruments for Bond Fund as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized appreciation on futures contracts1 | |||
Exchange-traded asset derivatives |
| |||
Interest rate contracts | $ | 8,433,304 |
Liabilities | Unrealized depreciation on forward foreign currency contracts | Unrealized depreciation on futures contracts1 | ||||||
Over-the-counter liability derivatives | ||||||||
Foreign exchange contracts | $ | (158,508 | ) | $ | — | |||
Exchange-traded liability derivatives | ||||||||
Interest rate contracts | — | (10,443,034 | ) | |||||
|
|
|
| |||||
Total liability derivatives | $ | (158,508 | ) | $ | (10,443,034 | ) | ||
|
|
|
|
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.
55 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
Transactions in derivative instruments for Bond Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations were as follows:
Net Realized Loss on: | Forward foreign currencycontracts | Futures contracts | ||||||
Interest rate contracts | $ | — | $ | (14,439,169 | ) | |||
Foreign exchange contracts | (47,220 | ) | — | |||||
|
| |||||||
Total | $ | (47,220 | ) | $ | (14,439,169 | ) | ||
|
| |||||||
Net Change in Unrealized | Forward foreign currencycontracts | Futures contracts | ||||||
Interest rate contracts | $ | — | $ | 4,446,047 | ||||
Foreign exchange contracts | (158,508 | ) | — | |||||
|
| |||||||
Total | $ | (158,508 | ) | $ | 4,446,047 | |||
|
|
The following is a summary of derivative instruments for Investment Grade Fixed Income Fund as of June 30, 2023, as reflected within the Statements of Assets and Liabilities:
Assets | Unrealized appreciation on futures contracts1 | |||
Exchange-traded asset derivatives |
| |||
Interest rate contracts | $ | 346,045 | ||
Liabilities | Unrealized depreciation on futures contracts1 | |||
Exchange-traded liability derivatives | ||||
Interest rate contracts | $ | (592,391 | ) |
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 Investment Grade Fixed Income Fund during the six months ended June 30, 2023, as reflected within the Statements of Operations were as follows:
Net Realized Loss on: | Futures contracts | |||
Interest rate contracts | $ | (991,836 | ) | |
Net Change in Unrealized | Futures contracts | |||
Interest rate contracts | $ | (32,794 | ) |
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 the Funds, based on gross month-end or daily (as applicable) notional amounts outstanding during the period, including long and short positions at absolute value, was as follows for the six months ended June 30, 2023:
Bond Fund | Forwards | Futures | ||||||
Average Notional Amount Outstanding | 0.16% | 25.47% | ||||||
Highest Notional Amount Outstanding | 0.29% | 39.46% | ||||||
Lowest Notional Amount Outstanding | 0.00% | 13.28% | ||||||
Notional Amount Outstanding as of June 30, 2023 | 0.29% | 39.46% |
| 56
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
Investment Grade Fixed Income Fund | Futures | |||
Average Notional Amount Outstanding | 40.32% | |||
Highest Notional Amount Outstanding | 55.52% | |||
Lowest Notional Amount Outstanding | 32.54% | |||
Notional Amount Outstanding as of June 30, 2023 | 55.52% |
Notional amounts outstanding at the end of the prior period, if applicable, 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 forwards 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 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 June 30, 2023, 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:
Bond Fund
Counterparty | Gross Amounts of Liabilities | Offset Amount | Net Liability Balance | Collateral (Received)/ Pledged | Net Amount | |||||||||||||||
Bank of America N.A. | $ | (158,508 | ) | $ | — | $ | (158,508 | ) | $ | 158,508 | $ | — |
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 and Trust Company (“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. With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearing house, 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 typically are required to segregate customer margin for exchange-traded derivatives 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 customers, 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.
5. Purchases and Sales of Securities. For the six months ended June 30, 2023, 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 | ||||||||||||
Bond Fund | $ | — | $ | 362,691,426 | $ | 484,781,278 | $ | 875,346,109 | ||||||||
Investment Grade Fixed Income Fund | 135,141 | 12,785,447 | 25,866,446 | 29,052,081 |
57 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
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. Loomis Sayles is a limited partnership whose sole general partner, Loomis, Sayles & Company, Inc., is indirectly owned by Natixis Investment Managers, LLC, which is part of Natixis Investment Managers, an international asset management group based in Paris, France.
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:
Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | First $3 Billion | Next $12 Billion | Next $10 Billion | Over $25 Billion | ||||||||||||
Bond Fund | 0.60% | 0.50% | 0.49% | 0.48% | ||||||||||||
Investment Grade Fixed Income Fund | 0.40% | 0.40% | 0.40% | 0.40% |
Effective July 1, 2023, Bond 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 | ||||||||||||||||
Fund | First $3 Billion | Next $12 Billion | Next $10 Billion | Over $25 Billion | ||||||||||||
Bond Fund | 0.59% | 0.49% | 0.49% | 0.48% |
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 April 30, 2024, 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, are net of waivers and/or expense reimbursements, if any, pursuant to these undertakings. Waivers/reimbursements that exceed management fees payable are reflected on the Statements of Assets and Liabilities as receivable from investment adviser.
For the six months ended June 30, 2023, 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 | ||||||||||||
Bond Fund | 0.67% | 0.92% | 1.17% | 0.62% | ||||||||||||
Investment Grade Fixed Income Fund | 0.55% | — | — | — |
Effective July 1, 2023, the expense limits as a percentage of average daily net assets under the expense limitation agreements are as follows:
Expense Limit as a Percentage of Average Daily Net Assets | ||||||||||||||||
Fund | Institutional Class | Retail Class | Admin Class | Class N | ||||||||||||
Bond Fund | 0.66% | 0.91% | 1.16% | 0.61% | ||||||||||||
Investment Grade Fixed Income Fund | 0.53% | — | — | — |
This new undertaking is in effect until April 30, 2025, may be terminated before then only with the consent of the Fund’s Board of Trustees, and will be reevaluated on an annual basis.
Loomis Sayles shall be permitted to recover expenses borne under the expense limitation agreements (whether through waiver of 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 both (1) a class’ expense limitation ratio in place at the time such amounts were waived/reimbursed and (2) a class’ current applicable expense limitation ratio, 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.
| 58
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
For the six months ended June 30, 2023, the 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 | ||||||||||||||||
Gross | Net | |||||||||||||||||||
Bond Fund | $ | 14,047,974 | $ | 1,098,868 | $ | 12,949,106 | 0.56% | 0.52% | ||||||||||||
Investment Grade Fixed Income Fund | 381,062 | — | 381,062 | 0.40% | 0.40% |
1 Management fee waivers are subject to possible recovery until December 31, 2024.
No expenses were recovered for either Fund during the six months ended June 30, 2023 under the terms of the expense limitation agreements.
b. Service and Distribution Fees. Natixis Distribution, LLC (“Natixis Distribution”), which is a wholly-owned subsidiary of Natixis Investment Managers, LLC, 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, Bond Fund 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, Bond 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, Bond 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 Bond 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 six months ended June 30, 2023, the service and distribution fees for Bond Fund were as follows:
Service Fees | Distribution Fees | |||||||||||
Fund | Admin Class | Retail Class | Admin Class | |||||||||
Bond Fund | $ | 26,390 | $ | 1,048,030 | $ | 38,326 |
For the six months ended June 30, 2023, Natixis Distribution refunded Bond Fund $11,936 of prior year Admin Class service fees paid to Natixis Distribution in excess of amounts subsequently paid to securities dealers or financial intermediaries. Service and distribution fees on the Statements of Operations have been reduced by these amounts.
c. Administrative Fees. Natixis Advisors, LLC (“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 Investment Managers, LLC. Pursuant to an agreement among Natixis Funds Trusts, Loomis Sayles Funds Trusts, Natixis ETF Trusts and Natixis Advisors, each Fund pays Natixis Advisors monthly its pro rata portion of fees equal to an annual rate of 0.0540% of the first $15 billion of the average daily net assets of the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, 0.0500% of the next $15 billion, 0.0400% of the next $30 billion, 0.0275% of the next $30 billion and 0.0225% 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 Trusts of $10 million, which is reevaluated on an annual basis.
For the six months ended June 30, 2023, the administrative fees for each Fund were as follows:
Fund | Administrative Fees | |||
Bond Fund | $ | 1,164,018 | ||
Investment Grade Fixed Income Fund | 44,143 |
59 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
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 six months ended June 30, 2023, the sub-transfer agent fees (which are reflected in transfer agent fees and expenses in the Statements of Operations) for Bond Fund were $1,747,681.
As of June 30, 2023, Bond Fund owes Natixis Distribution $45,770 in reimbursements for sub-transfer agent fees (which are reflected in the Statements of Assets and Liabilities as payable to distributor).
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 Trust does not pay any compensation directly to its officers or Trustees who are directors, officers or employees of Natixis Advisors, Natixis Distribution, Natixis Investment Managers, LLC or their affiliates. The Chairperson of the Board of Trustees receives a retainer fee at the annual rate of $369,000. The Chairperson does not receive any meeting attendance fees for Board of Trustees meetings or committee meetings that he attends. Each Independent Trustee (other than the Chairperson) receives, in the aggregate, a retainer fee at the annual rate of $210,000. 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, the chairperson of the Audit Committee and the chairperson of the Governance Committee each receive an additional retainer fee at the annual rate of $20,000. 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. Each Governance Committee member is compensated $2,500 for each Committee meeting that he or she attends either in person or telephonically. These fees are allocated among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts based on a formula that takes into account, among other factors, the relative net assets of each fund. Trustees are reimbursed for travel expenses in connection with attendance at meetings.
A deferred compensation plan (the “Plan”) is available to the Trustees on a voluntary basis. 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 Trusts as designated by the participating Trustees. Changes in the value of participants’ deferral accounts are allocated pro rata among the funds in the Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts and are normally reflected as Trustees’ fees and expenses in the Statements of Operations. Deferred amounts remain in the funds until distributed in accordance with the provisions of the Plan. 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.
Certain officers and employees of Natixis Advisors and Loomis Sayles are also officers and/or Trustees of the Trust.
f. Affiliated Ownership. As of June 30, 2023, Loomis Sayles Employees’ Profit Sharing Retirement Plan held shares of Bond Fund representing 0.53% of the Fund’s net assets.
7. Class-Specific Transfer Agent Fees and Expenses. Transfer agent fees and expenses for Bond Fund 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 six months ended June 30, 2023, 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 | Admin Class | Class N | ||||||||||||
Bond Fund | $ | 1,520,124 | $ | 342,853 | $ | 12,542 | $ | 4,119 |
| 60
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
8. Line of Credit. Each Fund, together with certain other funds of Natixis Funds Trusts, Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a syndicated, revolving, committed, unsecured line of credit with State Street Bank as administrative agent. The aggregate revolving commitment amount is $575,000,000. Any one Fund may borrow up to $402,500,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate do not exceed the $575,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest is charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, is accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit. The Funds paid certain legal fees in connection with the line of credit agreement, which are being amortized over a period of 364 days and are reflected in legal fees on the Statements of Operations. The unamortized balance is reflected as prepaid expenses on the Statements of Assets and Liabilities.
Prior to April 6, 2023, each Fund, together with certain other funds of Natixis Funds Trusts and Loomis Sayles Funds Trusts and Natixis ETF Trusts, entered into a $500,000,000 committed unsecured line of credit provided by State Street Bank. Any one Fund was able to borrow up to $350,000,000 under the line of credit agreement (as long as all borrowings by all Funds in the aggregate did not exceed the $500,000,000 limit at any time), subject to each Fund’s investment restrictions and its contractual obligations under the line of credit. Interest was charged to the Funds based upon the terms set forth in the agreement. In addition, a commitment fee of 0.15% per annum, payable at the end of each calendar quarter, was accrued and apportioned among the participating funds based on their average daily unused portion of the line of credit.
For the six months ended June 30, 2023, neither Fund had borrowings under this agreement.
9. Risk. Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. These and any related events could significantly impact a Fund’s performance and the value of an investment in the Fund, even if the Fund does not have direct exposure to Russian issuers or issuers in other countries affected by the invasion.
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 June 30, 2023, 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 | ||||
Bond Fund | 1 | 5.19% | ||||
Investment Grade Fixed Income Fund | 6 | 80.86% |
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 Fund does 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:
Bond Fund | ||||||||||||||||
Six Months EndedJune 30, 2023 | Year EndedDecember 31, 2022 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Institutional Class |
| |||||||||||||||
Issued from the sale of shares | 22,313,969 | $ | 258,141,041 | 60,178,494 | $ | 731,035,905 | ||||||||||
Issued in connection with the reinvestment of distributions | 6,592,442 | 75,602,927 | 16,400,210 | 195,503,283 | ||||||||||||
Redeemed | (47,531,057 | ) | (547,577,364 | ) | (169,323,595 | ) | (2,042,242,993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (18,624,646 | ) | $ | (213,833,396 | ) | (92,744,891 | ) | $ | (1,115,703,805 | ) | ||||||
|
|
|
|
|
|
|
|
61 |
Notes to Financial Statements – continued
June 30, 2023 (Unaudited)
11. Capital Shares – continued
Bond Fund | ||||||||||||||||
Six Months EndedJune 30, 2023 | Year EndedDecember 31, 2022 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Retail Class | ||||||||||||||||
Issued from the sale of shares | 2,384,737 | $ | 27,378,086 | 4,320,525 | $ | 52,713,946 | ||||||||||
Issued in connection with the reinvestment of distributions | 1,489,756 | 16,983,103 | 3,642,478 | 43,087,038 | ||||||||||||
Redeemed | (9,197,043 | ) | (105,474,056 | ) | (23,840,273 | ) | (288,995,987 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (5,322,550 | ) | $ | (61,112,867 | ) | (15,877,270 | ) | $ | (193,195,003 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Admin Class | ||||||||||||||||
Issued from the sale of shares | 392,744 | $ | 4,484,287 | 787,529 | $ | 9,363,411 | ||||||||||
Issued in connection with the reinvestment of distributions | 53,443 | 606,639 | 128,111 | 1,508,431 | ||||||||||||
Redeemed | (435,895 | ) | (4,988,256 | ) | (1,489,367 | ) | (17,743,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 10,292 | $ | 102,670 | (573,727 | ) | $ | (6,871,358 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class N | ||||||||||||||||
Issued from the sale of shares | 3,392,430 | $ | 39,017,134 | 8,276,717 | $ | 101,606,037 | ||||||||||
Issued in connection with the reinvestment of distributions | 814,879 | 9,330,607 | 1,841,516 | 21,847,127 | ||||||||||||
Redeemed | (5,253,285 | ) | (60,414,284 | ) | (9,561,799 | ) | (116,072,704 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | (1,045,976 | ) | $ | (12,066,543 | ) | 556,434 | $ | 7,380,460 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease from capital share transactions | (24,982,880 | ) | $ | (286,910,136 | ) | (108,639,454 | ) | $ | (1,308,389,706 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Investment Grade Fixed Income Fund | ||||||||||||||||
Six Months Ended June 30, 2023 | Year Ended December 31, 2022 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Institutional Class | ||||||||||||||||
Issued from the sale of shares | 984,837 | $ | 10,012,895 | 582,596 | $ | 6,328,414 | ||||||||||
Issued in connection with the reinvestment of distributions | 338,921 | 3,461,491 | 799,752 | 8,493,158 | ||||||||||||
Redeemed | (1,292,658 | ) | (13,071,002 | ) | (2,641,549 | ) | (26,892,251 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change | 31,100 | $ | 403,384 | (1,259,201 | ) | $ | (12,070,679 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) from capital share transactions | 31,100 | $ | 403,384 | (1,259,201 | ) | $ | (12,070,679 | ) | ||||||||
|
|
|
|
|
|
|
|
| 62
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the 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 period covered by the report that have materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
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: | August 22, 2023 |
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: | August 22, 2023 | |
By: | /s/ Matthew J. Block | |
Name: | Matthew J. Block | |
Title: | Treasurer and Principal Financial and Accounting Officer | |
Date: | August 22, 2023 |