UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08282
Loomis Sayles Funds I
- --------------------------------------------------------------------------------
(Exact name of Registrant as specified in charter)
399 Boylston Street, Boston, Massachusetts 02116
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
IXIS Asset Management Distributors, L.P.
399 Boylston Street
Boston, Massachusetts 02116
- --------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 449-2810
Date of fiscal year end: September 30
Date of reporting period: March 31, 2006
Item 1. Reports to Stockholders.
The Registrant's semi-annual report transmitted to shareholders pursuant to
Rule 30e-1 under the Investment Company Act of 1940 is as follows:
[LOGO] LS LOOMIS SAYLES FUNDS
Loomis Sayles Aggressive Growth Fund
Loomis Sayles Small Cap Growth Fund
Loomis Sayles Small Cap Value Fund
Loomis Sayles Tax-Managed Equity Fund
Loomis Sayles Value Fund
TABLE OF CONTENTS
Fund and Manager Review 1
Portfolio of Investments 14
Statements of Assets and Liabilities 33
Statements of Operations 35
Statements of Changes in Net Assets 37
Financial Highlights 41
Notes to Financial Statements 47
SEMIANNUAL REPORT
MARCH 31, 2006 (Unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
[PHOTO]
Phil Fine
Manager since February 1999
Manager since February 1999
FUND FACTS
SYMBOL | Institutional: LSAIX;
Retail: LAGRX
OBJECTIVE | Long-term capital growth from investments in common stocks or
their equivalent
STRATEGY | Invests primarily in common stocks or other equity securities
(which may include securities offered in the secondary markets or in initial
public offering) of companies with market capitalizations that fall within the
capitalization range of the Russell Midcap Growth Index, although the Fund may
invest in companies of any size
FUND INCEPTION DATE | 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 1/2/97;
Retail: 1/2/97
EXPENSE RATIO | Institutional: 1.00%;
Retail: 1.25%
TOTAL NET ASSETS | $53.1 million
PORTFOLIO REVIEW
The Fund generated a strong return for the six-month period ended March 31,
2006, significantly outpacing its Benchmark, the Russell Midcap Growth Index.
Our stock selections in the financial services sector, which was overweighted
relative to the Benchmark, accounted for the majority of the Fund's
outperformance. In mid-October we began taking profits in some of the Fund's
energy holdings, moving from a significant overweight to a close-to-neutral
position. We used those profits to increase our holdings in the financial
services sector. This swap helped performance, because the energy sector was
weak during the period, while many of the Fund's financials stocks were strong.
Although our financial services holdings are a diverse group, our primary
exposure is to the capital markets sector (Moody's Corporation, Chicago
Mercantile Exchange, IntercontinentalExchange) and to commercial real estate
services companies (CB Richard Ellis Group). We believe the capital markets
names we selected may show increasing profitability as electronic trading
becomes more prevalent and the industry consolidates. We also think the real
estate services companies we selected should benefit from a worldwide cyclical
upturn in commercial leasing and from a secular increase in real estate
investing. Given the relatively flat yield curve, we avoided investing in banks.
Performance in the Fund's technology sector was broad-based, but driven
primarily by company-specific fundamentals, with no broad theme or industry
exposure leading the sector's outperformance. In particular, the Fund held
strong performers in the semiconductor industry (Broadcom), Internet services
(Akamai Technology) and communications equipment (F5 Networks).
The Fund's healthcare sector also displayed broad strength during the period,
with solid performance from biotech, health services and medical device
companies. However, the two common themes were cost containment and therapeutic
innovation.
Our strategy is to invest in companies that we believe will show superior
earnings growth, either because of company-specific events (e.g., a new product
cycle) or because of increased operating leverage as the economic cycle
unfolds. In addition, we have attempted to focus on a select number of
high-confidence companies, industries, and sectors that we believe are
undergoing a major transformation. Our biggest sector overweight remains
financial services; in particular, we continue to focus on the demutualization
of the stock and derivatives exchanges, which we think is an excellent example
of transformational change.
Two sectors--energy and materials and processing--had an overall negative
impact on Fund performance during the period. In the energy sector, stock
selection added value, but our trading around the core positions generated
mixed results. For example, in the fourth calendar quarter of 2005 we reduced
the Fund's emphasis on energy, moved to a neutral weighting, and locked in
attractive gains. In January 2006 we moved back to an overweighted position
just in time to participate in the sector's correction. Materials stocks also
weakened during the period, following their strong performance in the third
calendar quarter of 2005. Again, we did not time our buys and sells
particularly well.
The consumer discretionary segment remains the Fund's largest sector
underweight. The headwinds to consumer spending--including rising interest
rates, high energy prices and declining mortgage equity withdrawals--are well
known and already discounted in share prices to some extent. Therefore, despite
some near-term concerns, we continue to seek out attractive companies in this
sector.
1
OUTLOOK
The economy continues to grow at a healthy pace, and it seems poised to deliver
significant potential earnings growth. This level of earnings, combined with
dividend distributions, may keep the market in good shape. However, in the
short run, investors' fixation with predicting the end of the rate-hike cycle
casts a conservative blanket on the market. Daily and monthly economic data
take on tremendous influence, making it difficult for stocks to gain traction.
We remain conservative on both economic growth and inflation prospects, and
look forward to a more neutral Federal Reserve policy.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
----------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH: INSTITUTIONAL
19.37% 34.68% 2.61% 11.27%
----------------------------------------------
LOOMIS SAYLES AGGRESSIVE GROWTH: RETAIL
19.22 34.28 2.35 10.97
----------------------------------------------
RUSSELL MIDCAP GROWTH INDEX(c)
11.32 22.68 8.99 9.02
----------------------------------------------
LIPPER MID-CAP GROWTH FUNDS INDEX(c)
12.88 24.88 6.31 7.27
----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(a)(b)
[CHART]
Loomis Sayles Lipper Mid-Cap
Aggressive Russell Midcap Growth
Growth Fund Growth Index(c) Funds Index(c)
-------------- -------------- --------------
12/31/1996 $100,000 $100,000 $100,000
1/31/1997 106,200 104,425 102,559
2/28/1997 102,897 102,125 95,742
3/31/1997 96,301 96,355 88,460
4/30/1997 97,399 98,714 87,694
5/31/1997 106,194 107,560 99,115
6/30/1997 107,193 110,537 103,291
7/31/1997 118,094 121,117 109,599
8/31/1997 115,390 119,935 109,295
9/30/1997 125,694 126,005 117,120
10/31/1997 122,891 119,696 110,561
11/30/1997 119,094 120,954 108,793
12/31/1997 122,643 122,542 111,341
1/31/1998 116,241 120,336 109,235
2/28/1998 125,529 131,650 118,513
3/31/1998 129,796 137,168 124,650
4/30/1998 133,210 139,031 125,192
5/31/1998 127,229 133,312 117,895
6/30/1998 133,743 137,084 123,318
7/31/1998 126,909 131,211 115,110
8/31/1998 101,184 106,169 90,293
9/30/1998 112,173 114,200 99,709
10/31/1998 119,756 122,608 103,376
11/30/1998 120,714 130,879 111,232
12/31/1998 136,793 144,433 125,581
1/31/1999 138,120 148,763 131,815
2/28/1999 135,358 141,488 121,576
3/31/1999 173,623 149,368 130,243
4/30/1999 182,478 156,174 135,585
5/31/1999 189,230 154,165 135,021
6/30/1999 214,000 164,928 145,904
7/31/1999 212,331 159,676 143,907
8/31/1999 224,709 158,017 143,178
9/30/1999 222,058 156,671 147,358
10/31/1999 278,017 168,785 160,386
11/30/1999 326,280 186,265 180,504
12/31/1999 407,361 218,517 218,156
1/31/2000 418,767 218,473 214,410
2/29/2000 569,397 264,402 268,144
3/31/2000 517,127 264,674 249,271
4/30/2000 468,207 238,982 216,387
5/31/2000 421,058 221,561 196,935
6/30/2000 480,680 245,071 227,537
7/31/2000 469,240 229,552 218,099
8/31/2000 555,392 264,171 246,622
9/30/2000 550,894 251,256 234,769
10/31/2000 466,717 234,060 215,786
11/30/2000 349,384 183,197 170,662
12/31/2000 384,532 192,844 182,963
1/31/2001 352,770 203,859 185,448
2/28/2001 275,443 168,598 157,630
3/31/2001 235,972 144,469 140,906
4/30/2001 274,412 168,550 159,484
5/31/2001 261,652 167,757 160,799
6/30/2001 253,671 167,846 160,171
7/31/2001 228,355 156,526 151,747
8/31/2001 199,422 145,181 141,579
9/30/2001 158,880 121,187 121,159
10/31/2001 174,339 133,926 127,905
11/30/2001 192,383 148,344 138,410
12/31/2001 194,730 153,983 144,414
1/31/2002 188,051 148,983 138,891
2/28/2002 169,076 140,537 131,985
3/31/2002 183,143 151,263 140,305
4/30/2002 173,528 143,255 135,640
5/31/2002 162,284 138,980 131,115
6/30/2002 146,818 123,643 119,334
7/31/2002 132,166 111,630 106,464
8/31/2002 130,051 111,242 105,195
9/30/2002 125,369 102,404 98,659
10/31/2002 130,409 110,336 103,634
11/30/2002 140,255 118,972 109,789
12/31/2002 123,621 111,784 103,299
1/31/2003 122,100 110,686 101,767
2/28/2003 121,050 109,724 100,196
3/31/2003 121,522 111,767 101,629
4/30/2003 130,661 119,377 108,758
5/31/2003 145,190 130,863 117,751
6/30/2003 145,306 132,730 119,594
7/31/2003 153,037 137,473 124,311
8/31/2003 166,978 145,044 130,425
9/30/2003 160,416 142,231 126,049
10/31/2003 176,121 153,694 135,937
11/30/2003 177,406 157,806 139,169
12/31/2003 173,184 159,529 139,883
1/31/2004 180,094 164,796 143,417
2/29/2004 176,456 167,561 145,395
3/31/2004 180,444 167,241 145,360
4/30/2004 178,098 162,519 140,749
5/31/2004 186,540 166,354 143,814
6/30/2004 193,573 169,002 147,273
7/31/2004 177,177 157,809 136,810
8/31/2004 171,667 155,864 134,440
9/30/2004 181,624 161,683 140,191
10/31/2004 185,601 167,167 144,334
11/30/2004 198,018 175,800 152,357
12/31/2004 206,691 184,222 159,511
1/31/2005 200,780 179,291 154,357
2/28/2005 207,165 183,831 156,350
3/31/2005 199,354 181,145 153,235
4/30/2005 188,230 173,978 145,854
5/31/2005 201,369 183,942 154,505
6/30/2005 206,464 187,362 158,041
7/31/2005 217,716 198,294 167,139
8/31/2005 217,476 197,083 166,616
9/30/2005 224,936 199,635 169,525
10/31/2005 220,684 193,760 164,815
11/30/2005 235,956 204,271 173,726
12/31/2005 238,551 206,512 174,788
1/31/2006 260,689 218,879 186,792
2/28/2006 255,944 216,185 185,179
3/31/2006 268,511 222,226 191,357
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gain
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers and reimbursements,
performance would be lower.
(a) Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class of shares would be lower due to higher fees.
(b) The mountain chart is based on the initial investment minimum of $100,000
for the Institutional Class. (c) See page 11 for a description of the indexes.
WHAT YOU SHOULD KNOW
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than US standards. Growth funds involve
increased risks, in part, because the value of the underlying securities is
based on future expectations that may or may not be met.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL CAP GROWTH FUND
[PHOTO]
JOHN SLAVIK
Manager since April 2005
[PHOTO]
Mark F. Burns
Manager since January 2005
MARK F. BURNS
Manager since January 2005
FUND FACTS
SYMBOL | Institutional: LSSIX;
Retail: LCGRX
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its net assets (plus any borrowings made
for investment purposes) in equity securities of companies with market
capitalizations that fall within the capitalization range of the Russell 2000
Index, an index that tracks stocks of the 2,000 smallest US companies
FUND INCEPTION DATE | 12/31/96
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 1/2/97;
Retail: 1/2/97
EXPENSE RATIO | Institutional: 1.00%;
Retail: 1.25%
TOTAL NET ASSETS | $26.4 million
PORTFOLIO REVIEW
Favorable stock selection across most sectors enabled the Fund to outperform
its Benchmark, the Russell 2000 Growth Index, for the six months ended March
31, 2006. Leading sectors included technology, financials and consumer
discretionary--areas in which our stock selections drove performance. These
sectors were home to the top three performers for the period. Although we
generally build the Fund's sector positions from the bottom up, the Fund's
weightings in technology and financials increased during the six-month period,
while healthcare and producer durables decreased.
We took profits in financial holding CB Richard Ellis Group, a commercial real
estate broker and the Fund's top performer for the six months ended March 31,
2006. The company is benefiting from the commercial real estate cycle, which is
still in a relatively early stage. In addition, the company's market-share
gains and operating leverage have helped it post strong earnings and generate
solid cash flow.
Apparel company Guess, a consumer discretionary holding, also was among the
leading performers for the six-month period. The company posted strong earnings
growth due to the brand's re-emergence and to several management initiatives
that have improved profitability. Technology holding Redback Networks, a
communications equipment manufacturer, also was among the Fund's top three
contributors to performance. The company increased its customer base with
several large telecommunication companies that needed to upgrade their data and
video-services networks.
The utilities sector was the only area showing a negative absolute contribution
to the Fund's six-month return. The lone utilities stock owned by the Fund
during the period was Alamosa Holdings, a Sprint wireless service affiliate,
which we sold. Although the stock increased significantly since we purchased
it, it did give back a small part of these gains during the fourth quarter of
2005.
Among individual holdings, Hudson Highland, SFBC and Universal American were
the Fund's worst performers during the six-month period, and we sold each
stock. Due to some customer concentration issues, the market has drastically
reduced its earnings outlook for Hudson Highland, a staffing company. These
earnings revisions severely weighed on the stock. SFBC, a clinical staffing
company serving the pharmaceuticals industry, suffered stock setbacks when it
announced a declining backlog. A federal investigation into one of the
company's facilities also weakened the stock. Universal American, an insurance
company we owned for its exposure to Medicare Part D, struggled when earnings
faltered due to another business line.
OUTLOOK
Looking ahead, we believe the market has the potential to deliver returns in
line with earnings growth. The economy continues to grow at a healthy rate,
which may allow for brisk earnings growth. We think selected smaller companies
have the potential to experience even faster
3
growth. This level of earnings, combined with dividend payments, may keep the
market vital. In the near term, though, investors' fixation with predicting the
end of the interest-rate-hike cycle may increase market volatility. With
shorter-than-usual time horizons, investors are basing decisions on daily and
monthly economic data. We remain conservative toward economic growth and
inflation prospects, and we look forward to a more neutral Federal Reserve
policy.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION
---------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH: INSTITUTIONAL
17.96% 33.10% 0.82% 4.24%
---------------------------------------------
LOOMIS SAYLES SMALL CAP GROWTH: RETAIL
17.71 32.64 0.56 3.97
---------------------------------------------
RUSSELL 2000 INDEX(c)
15.23 25.85 12.59 9.79
---------------------------------------------
RUSSELL 2000 GROWTH INDEX(c)
16.20 27.84 8.59 5.39
---------------------------------------------
LIPPER SMALL-CAP GROWTH FUNDS INDEX(c)
14.13 24.66 8.04 7.68
---------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(a)(b)
[CHART]
Russell Lipper
Loomis Sayles 2000 Russell Small-Cap
Small Cap Growth 2000 Growth Funds
Growth Fund Index(c) Index(c) Index(c)
----------- --------- --------- ------------
12/31/1996 $100,000 $100,000 $100,000 $100,000
1/31/1997 102,600 102,498 101,998 102,319
2/28/1997 94,997 96,308 99,525 94,931
3/31/1997 85,099 89,512 94,829 88,083
4/30/1997 83,499 88,476 95,093 86,771
5/31/1997 97,101 101,774 105,673 98,809
6/30/1997 102,801 105,225 110,201 104,095
7/31/1997 111,097 110,617 115,329 110,360
8/31/1997 112,996 113,936 117,968 112,113
9/30/1997 125,494 123,028 126,603 121,548
10/31/1997 116,697 115,639 121,041 115,333
11/30/1997 115,401 112,882 120,258 112,727
12/31/1997 119,429 112,945 122,363 111,226
1/31/1998 115,523 111,439 120,432 109,575
2/28/1998 128,081 121,277 129,337 118,434
3/31/1998 133,88 126,364 134,671 123,791
4/30/1998 132,089 127,139 135,416 124,691
5/31/1998 121,007 117,902 128,123 115,867
6/30/1998 132,817 119,107 128,393 119,262
7/31/1998 119,734 109,161 117,999 110,288
8/31/1998 92,722 83,962 95,086 86,200
9/30/1998 103,691 92,475 102,527 90,810
10/31/1998 107,808 97,298 106,709 94,390
11/30/1998 121,305 104,846 112,299 102,066
12/31/1998 141,770 114,334 119,249 112,299
1/31/1999 145,881 119,477 120,833 115,014
2/28/1999 136,705 108,547 111,046 103,947
3/31/1999 147,149 112,413 112,780 108,645
4/30/1999 148,518 122,341 122,886 112,888
5/31/1999 145,770 122,534 124,681 113,503
6/30/1999 167,607 128,989 130,319 124,127
7/31/1999 162,645 125,000 126,743 123,688
8/31/1999 167,395 120,325 122,053 121,954
9/30/1999 176,568 122,646 122,079 126,375
10/31/1999 199,239 125,788 122,574 133,743
11/30/1999 220,339 139,088 129,892 150,618
12/31/1999 271,920 163,603 144,596 180,988
1/31/2000 266,971 162,080 142,274 179,104
2/29/2000 363,481 199,791 165,769 231,579
3/31/2000 315,393 178,789 154,840 213,402
4/30/2000 290,067 160,738 145,522 187,021
5/31/2000 250,821 146,663 137,041 171,731
6/30/2000 280,568 165,609 148,987 201,975
7/31/2000 251,782 151,416 144,193 188,834
8/31/2000 293,980 167,343 155,196 209,143
9/30/2000 284,602 159,030 150,634 198,786
10/31/2000 256,740 146,121 143,910 183,871
11/30/2000 190,475 119,590 129,137 152,559
12/31/2000 222,551 126,908 140,228 166,052
1/31/2001 212,470 137,180 147,529 171,112
2/28/2001 165,408 118,376 137,849 149,206
3/31/2001 140,894 107,613 131,106 134,714
4/30/2001 166,734 120,788 141,362 149,258
5/31/2001 162,132 123,586 144,837 153,303
6/30/2001 166,072 126,956 149,838 157,168
7/31/2001 142,639 116,125 141,727 148,407
8/31/2001 126,550 108,873 137,150 139,621
9/30/2001 99,126 91,306 118,688 117,830
10/31/2001 110,575 100,090 125,633 126,465
11/30/2001 118,990 108,445 135,359 136,265
12/31/2001 123,702 115,196 143,714 144,519
1/31/2002 117,752 111,098 142,219 140,149
2/28/2002 103,045 103,908 138,322 131,668
3/31/2002 109,444 112,939 149,439 142,433
4/30/2002 105,405 110,496 150,801 138,675
5/31/2002 100,357 104,035 144,108 133,112
6/30/2002 91,716 95,213 136,958 123,221
7/31/2002 78,692 80,579 116,273 105,745
8/31/2002 77,795 80,542 115,977 105,592
9/30/2002 71,284 74,724 107,648 99,188
10/31/2002 75,889 78,504 111,099 103,420
11/30/2002 80,267 86,286 121,014 112,083
12/31/2002 72,297 80,336 114,276 104,595
1/31/2003 69,940 78,153 111,114 101,833
2/28/2003 69,045 76,069 107,756 98,659
3/31/2003 68,368 77,221 109,144 100,694
4/30/2003 75,554 84,529 119,492 109,016
5/31/2003 83,970 94,055 132,316 120,133
6/30/2003 85,658 95,867 134,710 124,204
7/31/2003 91,611 103,115 143,139 131,466
8/31/2003 98,913 108,653 149,702 138,438
9/30/2003 96,440 105,903 146,938 135,037
10/31/2003 104,415 115,051 159,278 147,289
11/30/2003 107,892 118,802 164,930 151,211
12/31/2003 103,631 119,334 168,276 151,426
1/31/2004 111,040 125,603 175,587 158,511
2/29/2004 106,665 125,408 177,161 157,915
3/31/2004 106,217 125,994 178,812 156,824
4/30/2004 101,618 119,670 169,696 149,160
5/31/2004 104,870 122,050 172,397 152,272
6/30/2004 109,023 126,111 179,657 156,613
7/31/2004 99,025 114,792 167,560 142,796
8/31/2004 94,757 112,320 166,699 138,170
9/30/2004 100,594 118,531 174,525 146,064
10/31/2004 101,942 121,411 177,960 150,159
11/30/2004 107,784 131,674 193,396 160,674
12/31/2004 113,399 136,406 199,120 167,766
1/31/2005 111,494 130,261 190,812 161,416
2/28/2005 113,512 132,049 194,044 164,605
3/31/2005 110,254 127,096 188,490 159,074
4/30/2005 104,532 119,007 177,695 150,187
5/31/2005 111,943 127,398 189,325 160,140
6/30/2005 117,216 131,517 196,628 165,737
7/31/2005 124,847 140,710 209,085 175,850
8/31/2005 123,161 138,727 205,209 172,813
9/30/2005 124,393 139,826 205,852 173,752
10/31/2005 118,783 134,659 199,461 167,867
11/30/2005 125,850 142,283 209,144 176,867
12/31/2005 125,511 142,071 208,188 176,718
1/31/2006 140,446 155,775 226,857 191,121
2/28/2006 138,873 154,945 226,232 190,374
3/31/2006 146,765 162,475 237,208 198,307
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers and reimbursements,
performance would be lower.
(a) Cumulative performance is shown for the Institutional Class of shares.
Performance of the Retail Class would be lower due to higher fees. (b) The
mountain chart is based on the initial investment minimum of $100,000 for the
Institutional Class. (c) See page 11 for a description of the indexes.
WHAT YOU SHOULD KNOW
Small- and mid-cap stocks may be more volatile than larger, more established
companies. The secondary market for these stocks may be less liquid, which
could adversely impact the Fund's value. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than US standards. Growth funds involve
increased risks, in part, because the value of the underlying securities is
based on future expectations that may or may not be met.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES SMALL CAP VALUE FUND
/s/ Joseph Katz
Manager since January 2000
[PHOTO]
Daniel Thelen
Manager since April 2000
Manager since April 2000
FUND FACTS
SYMBOL | Institutional: LSSCX;
Retail: LSCRX; Admin: LSVAX
OBJECTIVE | Long-term capital growth from investments in common stocks or
other equity securities
STRATEGY | Invests at least 80% of its net assets (plus any borrowings made
for investment purposes) in equity securities of companies with market
capitalizations that fall within the capitalization range of the Russell 2000
Index
FUND INCEPTION DATE | 5/13/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/13/91;
Retail: 1/2/97; Admin; 1/2/98
EXPENSE RATIO | Institutional: 0.90%; Retail: 1.15%; Admin: 1.40%
TOTAL NET ASSETS | $814.3 million
PORTFOLIO REVIEW
The Fund posted solid performance for the six-month period ended March 31,
2006, maintaining pace with its Benchmark, the Russell 2000 Value Index, in a
market climate that strongly favored small-cap stocks. All sectors except
utilities generated positive returns for the Fund. Our sector allocations were
positive influences on relative performance, while stock selection was a slight
negative. In particular, our technology and consumer discretionary stocks
generally lagged the Benchmark. But good stock selection within the energy,
basic materials and financial services sectors largely offset the negative
influence of the laggards.
Within financial services, we found strength in the credit card processing,
consumer finance, and real estate investment trust (REIT) areas, as opposed to
more traditional banks and insurance companies. For example, Wright Express
Corp., which provides payment processing and information management services
for vehicle fleets, and Advanta Corp., an issuer of business credit cards, were
the Fund's top financial services holdings.
Many basic materials companies continued to benefit from their ability to pass
through higher costs of raw materials to end customers. A healthy commercial
construction market also helped these companies. Chaparral Steel, a
manufacturer of structural steel products and steel bars, was the Fund's top
performer. Although the company has no formal Wall Street coverage yet, it has
delivered very strong earnings during its short history as an independent
entity. (Texas Industries spun it off in July 2005.) Chaparral clearly has
benefited from the strong commercial construction environment and the ability
to raise prices, as the steel supply remains relatively tight.
The Fund's second-best performer was Live Nation, another recent spin-off. We
added this producer and promoter of music concerts and theatrical shows shortly
after Clear Channel Entertainment made it a separate entity. The overhang of
stock caused by the spin-off resulted in a large number of shares available at
an attractive valuation, and we were able to build a position before the stock
rose sharply in the first calendar quarter of 2006. Live Nation has announced a
number of initiatives to create shareholder value, including monetizing certain
real estate assets and increasing the company's presence in ticket and
concession sales.
The Fund's utility stocks were marginally negative as a result of volatile
prices in the natural gas market, which impacted a few of the Fund's holdings.
Other lagging sectors included consumer staples and healthcare, as investors
preferred more economically sensitive companies and sectors during the period.
Two of the Fund's strongest performers for the first nine months of 2005
reversed course late in the calendar year, leading to disappointing six-month
performance. In addition to suffering from the overall weakness in energy
stocks, Energy Partners Ltd., an oil and natural gas exploration and production
company, declined due to a modest shortfall in some of its exploration efforts
and a delay in production growth stemming from the 2005 hurricane season.
Hudson Highland Group, a professional staffing and executive recruiting firm,
surprised investors with a late-December reduction in its fourth-quarter
earnings forecast, after raising its forecast for the year in late October. We
reduced the fund's position in Energy Partners and eliminated the position in
Hudson Highland.
OUTLOOK
The economy continues to grow at a healthy pace, and it seems poised to deliver
potentially solid earnings growth. We believe this level of earnings, combined
with dividend distributions, may keep the market vital. In the short run,
though, investors' fixation with predicting the end of the
5
rate-hike cycle casts a conservative blanket on the market. Daily and monthly
economic data take on tremendous influence, making it difficult for stocks to
gain traction. We remain conservative on both economic growth and inflation
prospects, and look forward to a more neutral Federal Reserve policy.
We will continue to emphasize companies that appear to be positioned for strong
performance as the economic cycle matures. We believe capital spending trends
should improve, driven by strong corporate balance sheets and healthy cash flow
across some economic sectors. Therefore, we have increased the Fund's position
in the producer durables sector and decreased exposure to consumer
discretionary stocks, given the headwinds of higher energy prices and a
diminishing stimulus from mortgage-refinance activity. After realizing solid
gains from many basic materials companies, we have also trimmed these holdings
because relative return prospects seem less attractive.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: INSTITUTIONAL
14.10% 23.22% 15.00% 13.75% 15.64%
----------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: RETAIL(a)
13.94 22.88 14.71 13.47 15.46
----------------------------------------------
LOOMIS SAYLES SMALL CAP VALUE: ADMIN(a)
13.77 22.55 14.43 13.11 15.09
----------------------------------------------
RUSSELL 2000 VALUE INDEX(c)
14.26 23.77 16.24 14.03 15.31
----------------------------------------------
RUSSELL 2000 INDEX(c)
15.23 25.85 12.59 10.15 12.16
----------------------------------------------
LIPPER SMALL-CAP CORE FUNDS INDEX(b)(c)
13.48 23.93 13.40 11.28 N/A
----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(d)(e)
[CHART]
Loomis Sayles Russell 2000 Lipper Small-Cap
Small Cap Value Russell 2000 Core Funds
Value Fund Index(a)(c) Index(a)(c) Index(a)(b)(c)
---------- ----------- ------------- -----------------
5/91 $100,000 $100,000 $100,000
5/91 102,200 104,691 104,767
6/91 98,603 99,789 98,661
7/91 106,402 102,381 102,123
8/91 114,499 105,488 105,903
9/91 114,602 105,611 106,733
10/91 116,906 106,811 109,555
11/91 114,007 102,477 104,488
12/91 130,480 109,121 112,855 $100,000
1/92 143,750 118,250 122,000 106,378
2/92 151,800 123,890 125,558 109,427
3/92 143,649 122,542 121,309 105,725
4/92 136,337 120,845 117,059 102,146
5/92 136,541 124,131 118,615 101,930
6/92 124,635 120,111 113,006 98,333
7/92 128,087 124,636 116,938 101,022
8/92 123,912 122,207 113,638 99,368
9/92 125,275 124,514 116,259 99,851
10/92 129,246 127,420 119,954 103,578
11/92 141,576 135,304 129,133 110,820
12/92 147,621 140,915 133,632 115,026
1/93 154,382 148,392 138,155 118,409
2/93 150,832 148,985 134,964 115,704
3/93 157,136 154,636 139,343 118,864
4/93 153,129 150,920 135,518 114,981
5/93 159,668 155,667 141,515 119,286
6/93 160,466 157,142 142,398 120,206
7/93 164,366 159,840 144,364 121,322
8/93 173,192 166,089 150,600 124,960
9/93 181,107 170,067 154,850 126,979
10/93 186,033 173,958 158,836 129,668
11/93 178,927 169,426 153,608 126,466
12/93 184,062 174,415 158,860 130,135
1/94 187,964 180,640 163,841 133,575
2/94 185,107 180,117 163,248 133,322
3/94 174,426 172,034 154,629 128,136
4/94 172,473 173,729 155,548 127,918
5/94 169,868 173,480 153,802 128,241
6/94 165,825 168,954 148,579 124,078
7/94 166,738 172,076 151,020 125,868
8/94 174,558 178,849 159,435 131,665
9/94 174,435 176,951 158,902 131,900
10/94 173,267 173,713 158,274 132,587
11/94 166,371 166,705 151,882 129,228
12/94 168,800 171,722 155,963 130,347
1/95 169,323 170,880 153,995 131,692
2/95 175,893 177,203 160,401 136,935
3/95 180,096 178,080 163,164 139,835
4/95 180,619 183,375 166,792 142,185
5/95 184,303 187,303 169,659 143,911
6/95 189,298 193,703 178,461 149,643
7/95 201,905 200,770 188,740 157,915
8/95 211,617 206,735 192,645 163,166
9/95 215,553 209,821 196,085 165,959
10/95 204,387 201,441 187,316 160,089
11/95 214,239 209,447 195,186 164,875
12/95 222,958 215,935 200,336 170,421
1/96 223,404 217,368 200,120 171,668
2/96 234,619 220,775 206,358 177,751
3/96 240,015 225,409 210,558 182,202
4/96 254,272 231,559 221,817 194,772
5/96 264,748 237,422 230,558 203,561
6/96 258,500 234,619 221,091 194,317
7/96 243,947 222,146 201,780 178,534
8/96 256,168 231,784 213,495 187,634
9/96 264,827 238,112 221,839 195,523
10/96 268,720 240,873 218,420 191,863
11/96 281,565 253,835 227,419 198,795
12/96 290,856 262,075 233,380 202,304
1/97 296,033 266,104 238,044 206,814
2/97 292,185 268,630 232,272 201,403
3/97 285,815 261,425 221,312 191,245
4/97 283,129 265,269 221,929 191,297
5/97 313,905 286,388 246,618 211,698
6/97 328,627 300,881 257,187 223,668
7/97 347,457 313,510 269,155 237,128
8/97 354,719 318,487 275,313 242,928
9/97 375,860 339,665 295,465 261,159
10/97 364,021 330,430 282,485 250,761
11/97 362,674 334,051 280,658 247,548
12/97 366,409 345,374 285,570 247,282
1/98 358,348 339,125 281,064 243,664
2/98 383,720 359,627 301,846 261,855
3/98 400,833 374,214 314,295 274,198
4/98 399,070 376,063 316,034 276,836
5/98 381,950 362,750 299,014 262,465
6/98 377,023 360,701 299,643 261,524
7/98 352,629 332,448 275,385 242,656
8/98 292,224 280,384 221,911 195,759
9/98 306,981 296,218 239,277 203,993
10/98 323,128 305,014 249,036 212,366
11/98 341,417 313,270 262,084 224,207
12/98 362,449 323,093 278,302 238,290
1/99 345,450 315,760 282,000 236,503
2/99 321,061 294,201 259,160 217,184
3/99 321,254 291,774 263,206 218,170
4/99 347,436 318,410 286,791 232,906
5/99 354,419 328,197 290,980 237,725
6/99 370,794 340,080 304,138 251,463
7/99 366,196 332,009 295,793 250,089
8/99 354,001 319,873 284,846 240,919
9/99 346,213 313,478 284,908 240,732
10/99 342,820 307,205 286,062 242,827
11/99 349,951 308,797 303,142 258,481
12/99 363,774 318,285 337,458 286,363
1/00 350,278 309,962 332,039 280,860
2/00 375,043 328,907 386,870 320,461
3/00 396,308 330,449 361,364 315,903
4/00 397,140 332,405 339,619 298,337
5/00 380,142 327,333 319,825 285,654
6/00 392,611 336,897 347,705 310,851
7/00 399,168 348,122 336,518 301,188
8/00 424,116 363,686 362,194 328,020
9/00 417,754 361,624 351,549 319,591
10/00 425,524 360,340 335,856 309,977
11/00 411,865 353,005 301,380 279,108
12/00 448,109 390,935 327,263 306,218
1/01 460,566 401,726 344,302 317,118
2/01 448,776 401,171 321,711 296,974
3/01 432,620 394,737 305,974 282,934
4/01 456,414 413,008 329,910 305,475
5/01 469,741 423,628 338,019 316,608
6/01 488,061 440,673 349,691 326,398
7/01 490,892 430,791 330,762 318,836
8/01 485,198 429,298 320,079 309,914
9/01 433,912 381,908 276,992 269,307
10/01 449,186 391,883 293,202 285,306
11/01 476,541 420,042 315,901 306,508
12/01 510,233 445,759 335,399 328,037
1/02 509,519 451,676 331,911 324,150
2/02 513,900 454,426 322,814 315,495
3/02 543,758 488,458 348,760 339,737
4/02 545,226 505,653 351,938 341,406
5/02 535,194 488,929 336,318 328,681
6/02 517,319 478,104 319,631 310,271
7/02 449,808 407,068 271,357 268,099
8/02 457,140 405,259 270,666 269,520
9/02 422,672 376,311 251,228 250,441
10/02 429,773 381,972 259,283 259,342
11/02 451,304 412,454 282,423 278,480
12/02 442,730 394,831 266,698 264,951
1/03 431,219 383,714 259,316 257,203
2/03 421,904 370,815 251,481 249,172
3/03 423,128 374,775 254,719 251,276
4/03 457,867 410,373 278,871 272,199
5/03 486,483 452,274 308,797 296,112
6/03 496,748 459,937 314,386 302,929
7/03 515,823 482,874 334,057 318,463
8/03 535,373 501,216 349,373 332,265
9/03 521,935 495,467 342,924 325,049
10/03 565,204 535,868 371,722 350,592
11/03 581,651 556,438 384,913 363,222
12/03 595,611 576,561 392,722 373,322
1/04 609,191 596,497 409,784 385,150
2/04 621,009 608,047 413,458 391,852
3/04 631,318 616,456 417,311 396,101
4/04 609,474 584,576 396,035 382,487
5/04 614,228 591,632 402,338 385,816
6/04 641,561 621,681 419,282 402,286
7/04 614,936 593,102 391,050 381,089
8/04 623,730 598,920 389,041 377,755
9/04 646,309 622,610 407,304 396,540
10/04 652,578 632,282 415,322 403,034
11/04 697,214 688,389 451,346 434,862
12/04 725,661 704,820 464,706 441,891
1/05 701,714 677,555 445,317 429,079
2/05 716,450 691,009 452,860 439,104
3/05 706,133 676,783 439,896 428,047
4/05 671,391 641,872 414,704 404,934
5/05 701,402 681,020 441,846 426,635
6/05 727,284 711,135 458,889 441,175
7/05 770,121 751,599 487,962 467,394
8/05 756,798 734,343 478,915 463,075
9/05 762,626 733,130 480,417 467,493
10/05 743,712 714,716 465,500 453,141
11/05 771,527 743,709 488,098 473,848
12/05 770,987 738,000 485,868 475,286
1/06 833,746 799,026 529,437 511,500
2/06 836,497 798,972 527,979 508,119
3/06 869,993 837,670 553,595 530,500
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers and reimbursements,
performance would be lower.
(a) Performance shown for periods prior to the inception date of the Retail
Class (12/31/96) and Admin Class (1/02/98) represents the performance of the
Institutional Class of shares during the periods shown, adjusted to reflect the
current levels of management and 12b-1 fees payable by the respective Classes.
Since index performance data is not available coincident with the Fund's
inception date, the beginning value of the index is the value as of the month
end closest to the Fund's inception date. (b) The Lipper Small-Cap Core Funds
Index performance data is not available prior to January 1, 1992. (c) See page
11 for a description of the indexes. (d) Cumulative performance is shown for
the Institutional Class of shares. Performance of the Retail and Admin Classes
would be lower due to higher fees and expenses. (e) The mountain chart is based
on the initial investment minimum of $100,000 for the Institutional Class.
WHAT YOU SHOULD KNOW
Value stocks may fall out of favor with investors and underperform the overall
equity market during any given period. Small- and mid-cap stocks may be more
volatile than larger, more established companies. The secondary market for
these stocks may be less liquid, which could adversely impact the Fund's value.
Foreign investments involve special risks, including greater economic,
political and currency fluctuation risks, which may be even greater in emerging
markets. Foreign countries may have different accounting standards than US
standards.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
[PHOTO]
DAVID SOWERBY
Manager since August 2005
[PHOTO]
Mark Shank
Manager since June 2003
FUND FACTS
SYMBOL | LSCGX
OBJECTIVE | Long-term capital growth
STRATEGY | Invests at least 80% of net assets (plus any borrowings made for
investment purposes) in equity securities and may invest in companies of any
size; the Fund uses a tax-managed approach in an effort to minimize the effect
of federal income tax
FUND INCEPTION DATE | 10/1/95
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.65%
TOTAL NET ASSETS | $9.6 million
PORTFOLIO REVIEW
The Fund posted solid absolute and relative performance for the six-month
period ended March 31, 2006. Strong stock selection in the industrials and
technology sectors, along with our emphasis on materials (the best performing
sector in absolute terms) accounted for the majority of the Fund's
outperformance relative to its Benchmark, the Standard & Poor's 500 Index. Our
strategy has been to overweight economically sensitive sectors of the market
where we believe companies still have earnings leverage. Within these sectors,
we focused on high-quality companies with accelerating business models.
From an industry perspective, the financial and industrial sectors had the
greatest positive impact on Fund performance, due to their large portfolio
weightings and strong returns from the stocks we selected. The Fund's largest
sectors included financial and industrial companies. Global investment services
holding Goldman Sachs Group made the greatest contribution to performance. The
company reported higher-than-expected earnings, primarily stemming from strong
capital markets activity. We increased the Fund's weighting in the financials
sector by adding to existing positions and establishing a new position in
property casualty reinsurer Everest Re Group, Ltd.
Within the industrials sector, energy services company GlobalSantaFe and
Burlington Northern Santa Fe, a major railroad company, made the second- and
third-greatest contributions to performance, respectively. Global SantaFe
increased its future earnings estimates based on increased prices for its
products and services. Burlington Northern benefited from better-than-expected
earnings and continued economic growth.
The technology sector also made strong contributions to the Fund's performance,
with Cisco Systems and Harris Corp. realizing attractive six-month gains.
The healthcare sector had the largest negative impact on the Fund's
performance, primarily due to weak results from Kinetic Concepts and Guidant.
Kinetic Concepts, which was among the greatest detractors to Fund performance,
declined on competitive pressures. The Fund's energy sector also performed
poorly for the period. In particular, the stock price of natural gas producer
Devon Energy fell during the six-month period, along with natural gas prices.
Other individual stocks that hurt performance included chip maker Intel, which
declined in price on weaker-than-expected earnings, largely due to the
company's loss of market share to rival Advanced Micro Devices. We sold Intel
in January.
OUTLOOK
We believe the economy should continue to grow at a healthy pace, and it seems
poised to deliver potentially strong earnings growth. In our view, this level
of earnings, combined with dividend distributions, should keep the market
strong. However, in the short run, investors' fixation with predicting the end
of the rate-hike cycle casts a conservative blanket on the market. Daily and
monthly economic data take on tremendous influence, making it difficult for
stocks to gain traction. We remain conservative on both economic growth and
inflation prospects, and look forward to a more neutral Federal Reserve policy.
7
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS REGISTRATION(a)(b) INCEPTION(a)(b)
--------------------------------------------------------------------
LOOMIS SAYLES TAX-MANAGED EQUITY: INSTITUTIONAL
6.95% 10.18% 4.11% 10.53% 9.30% 10.23%
--------------------------------------------------------------------
RETURN AFTER TAXES ON DISTRIBUTIONS (c)
6.72 9.95 3.79 7.51 6.05 7.34
--------------------------------------------------------------------
RETURN AFTER TAXES ON DISTRIBUTIONS AND SALE OF FUND SHARES(c)
4.51 6.61 3.35 7.56 6.28 7.38
--------------------------------------------------------------------
S&P 500 INDEX(c)
6.38 11.72 3.97 8.95 7.24 9.66
--------------------------------------------------------------------
LIPPER LARGE-CAP CORE FUNDS INDEX(c)
7.20 12.69 3.15 7.77 6.42 8.40
--------------------------------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
REGISTRATION TO MARCH 31, 2006(d)
[CHART]
Loomis Sayles Tax- Lipper Large-Cap
Managed Equity Fund S&P 500 Index(b)(c) Core Funds Index(b)(c)
------------------- ------------------ ----------------------
3/7/1997 $25,000 $25,000 $25,000
3/31/1997 23,940 23,973 23,930
4/30/1997 25,001 25,404 25,255
5/31/1997 26,041 26,951 26,788
6/30/1997 26,468 28,158 27,950
7/31/1997 28,508 30,399 30,157
8/31/1997 27,225 28,696 28,623
9/30/1997 28,184 30,267 30,096
10/31/1997 27,268 29,256 29,168
11/30/1997 27,390 30,611 30,121
12/31/1997 27,062 31,136 30,668
1/31/1998 27,503 31,481 30,971
2/28/1998 29,533 33,751 33,166
3/31/1998 31,012 35,480 34,806
4/30/1998 31,629 35,837 35,159
5/31/1998 30,725 35,221 34,559
6/30/1998 31,674 36,651 36,200
7/31/1998 31,918 36,261 35,908
8/31/1998 27,261 31,018 30,534
9/30/1998 29,998 33,005 32,051
10/31/1998 31,255 35,690 34,455
11/30/1998 32,755 37,853 36,505
12/31/1998 36,322 40,035 38,928
1/31/1999 37,525 41,709 40,290
2/28/1999 36,264 40,412 39,045
3/31/1999 38,316 42,029 40,616
4/30/1999 39,431 43,657 41,704
5/31/1999 38,844 42,626 40,598
6/30/1999 41,396 44,992 42,863
7/31/1999 41,189 43,587 41,606
8/31/1999 40,691 43,371 41,181
9/30/1999 39,486 42,182 40,065
10/31/1999 40,015 44,852 42,520
11/30/1999 40,279 45,763 43,563
12/31/1999 43,063 48,459 46,461
1/31/2000 41,775 46,024 44,582
2/29/2000 43,993 45,153 44,568
3/31/2000 48,296 49,570 48,443
4/30/2000 48,296 48,079 46,861
5/31/2000 48,962 47,092 45,667
6/30/2000 48,252 48,253 47,339
7/31/2000 47,321 47,499 46,601
8/31/2000 51,045 50,449 49,816
9/30/2000 49,494 47,786 47,163
10/31/2000 49,449 47,584 46,617
11/30/2000 48,208 43,832 42,517
12/31/2000 50,556 44,047 43,037
1/31/2001 48,442 45,609 44,256
2/28/2001 47,304 41,451 40,138
3/31/2001 45,785 38,825 37,674
4/30/2001 47,411 41,842 40,537
5/31/2001 47,790 42,122 40,765
6/30/2001 45,998 41,097 39,682
7/31/2001 45,510 40,692 39,107
8/31/2001 43,667 38,145 36,804
9/30/2001 41,606 35,065 34,011
10/31/2001 42,309 35,733 34,812
11/30/2001 43,828 38,474 37,093
12/31/2001 44,648 38,811 37,514
1/31/2002 44,259 38,245 36,922
2/28/2002 44,096 37,507 36,303
3/31/2002 46,195 38,918 37,539
4/30/2002 45,423 36,559 35,576
5/31/2002 45,201 36,289 35,317
6/30/2002 42,773 33,704 32,878
7/31/2002 39,903 31,078 30,434
8/31/2002 39,740 31,281 30,685
9/30/2002 37,423 27,881 27,705
10/31/2002 38,804 30,335 29,857
11/30/2002 39,964 32,121 31,191
12/31/2002 38,873 30,234 29,548
1/31/2003 37,652 29,442 28,772
2/28/2003 37,430 29,000 28,391
3/31/2003 37,542 29,282 28,630
4/30/2003 39,926 31,694 30,740
5/31/2003 41,867 33,363 32,229
6/30/2003 41,921 33,789 32,548
7/31/2003 42,642 34,385 33,061
8/31/2003 43,474 35,055 33,700
9/30/2003 42,474 34,683 33,264
10/31/2003 44,360 36,645 34,892
11/30/2003 44,750 36,968 35,185
12/31/2003 46,804 38,906 36,877
1/31/2004 47,998 39,620 37,398
2/29/2004 48,962 40,171 37,840
3/31/2004 48,678 39,565 37,247
4/30/2004 47,997 38,944 36,668
5/31/2004 48,222 39,478 37,041
6/30/2004 49,414 40,246 37,704
7/31/2004 47,373 38,914 36,369
8/31/2004 47,089 39,071 36,392
9/30/2004 48,167 39,495 36,809
10/31/2004 48,282 40,098 37,307
11/30/2004 50,325 41,720 38,723
12/31/2004 51,351 43,140 39,934
1/31/2005 51,069 42,089 39,031
2/28/2005 51,810 42,974 39,759
3/31/2005 50,841 42,213 39,031
4/30/2005 49,417 41,413 38,162
5/31/2005 50,727 42,730 39,397
6/30/2005 50,498 42,791 39,532
7/31/2005 52,493 44,382 40,938
8/31/2005 51,811 43,977 40,563
9/30/2005 52,381 44,334 41,032
10/31/2005 51,296 43,595 40,540
11/30/2005 52,948 45,243 42,093
12/31/2005 53,213 45,259 42,217
1/31/2006 54,703 46,457 43,399
2/28/2006 55,217 46,584 43,205
3/31/2006 56,006 47,163 43,986
INCEPTION TO MARCH 31, 2006(d)
[CHART]
Loomis Sayles Tax- Lipper Large-Cap
Managed Equity Fund S&P 500 Index(b)(c) Core Funds Index(b)(c)
------------------- ------------------- ---------------------
10/1/1995 $25,000 $25,000 $25,000
10/31/1995 24,500 24,911 24,884
11/30/1995 25,100 26,004 25,856
12/31/1995 25,105 26,505 26,247
1/31/1996 25,080 27,407 27,019
2/29/1996 25,532 27,661 27,348
3/31/1996 25,532 27,928 27,597
4/30/1996 26,109 28,339 27,998
5/31/1996 26,511 29,070 28,557
6/30/1996 26,336 29,181 28,598
7/31/1996 24,882 27,892 27,430
8/31/1996 25,708 28,480 28,053
9/30/1996 27,060 30,083 29,507
10/31/1996 27,712 30,913 30,094
11/30/1996 29,716 33,250 32,045
12/31/1996 29,024 32,591 31,454
1/31/1997 30,843 34,627 33,174
2/28/1997 30,591 34,898 33,134
3/31/1997 29,707 33,464 31,715
4/30/1997 31,022 35,462 33,472
5/31/1997 32,313 37,621 35,503
6/30/1997 32,843 39,307 37,043
7/31/1997 35,375 42,434 39,969
8/31/1997 33,783 40,057 37,935
9/30/1997 34,972 42,251 39,888
10/31/1997 33,836 40,840 38,658
11/30/1997 33,988 42,730 39,921
12/31/1997 33,580 43,464 40,646
1/31/1998 34,128 43,945 41,047
2/28/1998 36,646 47,114 43,957
3/31/1998 38,482 49,527 46,131
4/30/1998 39,248 50,025 46,598
5/31/1998 38,126 49,165 45,802
6/30/1998 39,304 51,162 47,978
7/31/1998 39,606 50,618 47,591
8/31/1998 33,828 43,299 40,468
9/30/1998 37,224 46,073 42,479
10/31/1998 38,784 49,821 45,666
11/30/1998 40,645 52,841 48,381
12/31/1998 45,072 55,885 51,594
1/31/1999 46,563 58,222 53,398
2/28/1999 44,999 56,413 51,749
3/31/1999 47,546 58,670 53,831
4/30/1999 48,929 60,942 55,273
5/31/1999 48,200 59,503 53,807
6/30/1999 51,367 62,805 56,809
7/31/1999 51,110 60,844 55,142
8/31/1999 50,492 60,543 54,580
9/30/1999 48,997 58,883 53,101
10/31/1999 49,654 62,609 56,354
11/30/1999 49,982 63,882 57,737
12/31/1999 53,435 67,645 61,577
1/31/2000 51,838 64,246 59,087
2/29/2000 54,590 63,030 59,068
3/31/2000 59,929 69,196 64,204
4/30/2000 59,929 67,114 62,108
5/31/2000 60,756 65,737 60,526
6/30/2000 59,875 67,358 62,741
7/31/2000 58,720 66,305 61,763
8/31/2000 63,341 70,423 66,024
9/30/2000 61,415 66,705 62,508
10/31/2000 61,360 66,423 61,784
11/30/2000 59,820 61,187 56,350
12/31/2000 62,733 61,486 57,040
1/31/2001 60,111 63,667 58,655
2/28/2001 58,698 57,862 53,196
3/31/2001 56,814 54,197 49,931
4/30/2001 58,831 58,408 53,725
5/31/2001 59,302 58,800 54,028
6/30/2001 57,078 57,368 52,593
7/31/2001 56,473 56,804 51,831
8/31/2001 54,186 53,248 48,779
9/30/2001 51,628 48,948 45,077
10/31/2001 52,500 49,881 46,139
11/30/2001 54,385 53,707 49,161
12/31/2001 55,402 54,178 49,719
1/31/2002 54,920 53,387 48,935
2/28/2002 54,717 52,358 48,115
3/31/2002 57,322 54,327 49,752
4/30/2002 56,364 51,033 47,150
5/31/2002 56,088 50,657 46,807
6/30/2002 53,076 47,049 43,575
7/31/2002 49,515 43,382 40,336
8/31/2002 49,312 43,666 40,668
9/30/2002 46,437 38,920 36,719
10/31/2002 48,150 42,346 39,572
11/30/2002 49,590 44,838 41,338
12/31/2002 48,236 42,204 39,162
1/31/2003 46,722 41,099 38,134
2/28/2003 46,446 40,482 37,628
3/31/2003 46,585 40,875 37,945
4/30/2003 49,544 44,242 40,741
5/31/2003 51,951 46,573 42,715
6/30/2003 52,019 47,167 43,137
7/31/2003 52,914 47,999 43,817
8/31/2003 53,945 48,935 44,665
9/30/2003 52,705 48,415 44,087
10/31/2003 55,045 51,154 46,244
11/30/2003 55,529 51,604 46,633
12/31/2003 58,078 54,310 48,876
1/31/2004 59,559 55,307 49,566
2/29/2004 60,756 56,076 50,151
3/31/2004 60,404 55,230 49,366
4/30/2004 59,558 54,363 48,599
5/31/2004 59,838 55,109 49,093
6/30/2004 61,316 56,181 49,971
7/31/2004 58,784 54,321 48,201
8/31/2004 58,431 54,541 48,233
9/30/2004 59,769 55,132 48,785
10/31/2004 59,912 55,974 49,445
11/30/2004 62,447 58,239 51,322
12/31/2004 63,721 60,220 52,926
1/31/2005 63,370 58,753 51,730
2/28/2005 64,289 59,989 52,695
3/31/2005 63,087 58,927 51,730
4/30/2005 61,320 57,809 50,578
5/31/2005 62,945 59,649 52,215
6/30/2005 62,662 59,733 52,394
7/31/2005 65,137 61,955 54,257
8/31/2005 64,291 61,389 53,760
9/30/2005 64,998 61,887 54,382
10/31/2005 63,652 60,855 53,730
11/30/2005 65,702 63,157 55,788
12/31/2005 66,030 63,178 55,952
1/31/2006 67,879 64,851 57,519
2/28/2006 68,517 65,027 57,262
3/31/2006 69,493 65,837 58,296
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Performance data reflects certain fee waivers and reimbursements, without
which, performance and rankings would be lower. Except as indicated in the
table above, returns do not reflect the taxes that a shareholder would pay on
fund distributions or the redemption of shares.
After-tax returns are calculated using the historical highest individual
federal marginal income tax rates and do not reflect the impact of state and
local taxes. Actual after-tax returns depend on an investor's tax situation and
may differ from those shown. After-tax returns shown are not relevant to
investors who hold their shares through tax-deferred arrangements, such as
401(k) plans, qualified plans, education savings accounts or individual
retirement accounts. Under certain circumstances, the addition of the tax
benefits from capital losses resulting from redemptions may cause the Return
After Taxes on Distributions and Sale of Fund Shares to be greater than the
Return After Taxes on Distributions or even the Return Before Taxes.
(a) Shares of the Fund were registered for offer under the Securities Act of
1933 on March 7, 1997. In accordance with regulations, performance information
is provided for the period beginning on March 7, 1997 ("Registration").
Performance from inception is also provided for the convenience of our
shareholders. (b) Index performance is not available coincident with the Fund's
inception and registration dates; comparative performance is presented from the
month end closest to the Fund's inception and registration dates. (c) See page
11 for a description of the indexes and disclosure related to after-tax
returns. (d) The mountain chart is based on the Fund's initial minimum
investment of $25,000.
WHAT YOU SHOULD KNOW
Growth funds involve increased risks, in part, because the value of the
underlying securities is based on future expectations that may or may not be
met.
8
FUND AND MANAGER REVIEW
LOOMIS SAYLES VALUE FUND
[PHOTO]
ARTHUR BARRY
Manager since July 2005
[PHOTO]
James Carroll
Manager since November 2002
/s/ Warren Koontz
Manager since June 2000
FUND FACTS
SYMBOL | LSGIX
OBJECTIVE | Long-term growth of capital and income
STRATEGY | Invests primarily in equity securities, including common stocks,
convertible securities, and warrants; Fund invests primarily in medium- and
large-sized companies
FUND INCEPTION DATE | 5/13/91
EXPENSE RATIO | 0.85%
TOTAL NET ASSETS | $41.7 million
PORTFOLIO REVIEW
The Fund significantly outpaced its benchmark, the Russell 1000 Value Index,
for the six months ended March 31, 2006. Throughout the period, we maintained
our disciplined, bottom-up approach to stock selection, which resulted in solid
performance.
Financials and industrials were the Fund's best-performing sectors during the
period. Market-sensitive names, including Lehman Brothers and Merrill Lynch,
generated strong results. These companies benefited from merger-and-acquisition
activity and from better-than-expected earnings reports.
Our well-diversified industrials sector exhibited broad-based strength, with
most holdings making positive contributions to performance. In particular, we
focused on companies we believed to be well managed, with strong cash
generation and good exposure to this late phase of the economic cycle. ABB Ltd.
was the Fund's top performer, benefiting from the power industry's need for
increased infrastructure. Burlington Northern Santa Fe was the Fund's
second-best individual performer, advancing on the company's consistently
positive track record, coupled with a positive outlook for the transportation
markets in 2006.
Other individual stocks that performed well for the Fund included two energy
companies, GlobalSantaFe and Occidental Petroleum, and two consumer companies,
Office Depot and TJX. In addition, BellSouth Corp. gained on the announcement
of its merger with AT&T. The combined company will create the largest US
telecommunication provider in many regions. Economies of scale should also help
the new company benefit from local synergies and potentially enjoy increased
purchasing power.
Utilities was the only market sector that detracted from the Fund's relative
performance. Recently, rising interest rates and falling commodities prices
took a toll on utilities stocks.
Fundamentals for the energy sector remain favorable, in our opinion, but some
profit-taking seemed to be warranted, so we trimmed the Fund's energy
weighting. Conoco, Exxon Mobil and Chevron all had a slightly negative impact
on Fund performance and we eliminated Conoco and Chevron. These integrated
energy stocks underperformed the broader benchmarks throughout the six-month
period, as aggressive investors continued to rotate into more leveraged parts
of the sector, including oil services and independent producers. The market has
become increasingly sensitized to the possibility that high commodity prices
might lead to moderating demand. This has led to weakness in the leveraged
companies. Currently, we believe stocks of selected integrated energy companies
are attractively priced, and the companies are returning substantial cash flow
to shareholders while offering defensive potential if oil and gas prices recede.
9
OUTLOOK
The economy continues to grow at a healthy pace, and it seems poised for solid
earnings growth. Especially if this is combined with rising dividend
distributions, we believe the market should be in good shape. In the short run,
though, investors' fixation with predicting the end of the rate-hike cycle
casts a conservative blanket on the market. Daily and monthly economic data
take on tremendous influence, making it difficult for stocks to gain traction.
We remain conservative on both economic growth and inflation prospects, and
look forward to a more neutral Federal Reserve policy.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------
LOOMIS SAYLES VALUE: INSTITUTIONAL
10.73% 20.17% 7.80% 9.21% 10.87%
----------------------------------------------
RUSSELL 1000 VALUE INDEX(b)
7.27 13.31 7.79 10.97 12.70
----------------------------------------------
LIPPER LARGE-CAP VALUE FUNDS INDEX(b)
6.35 11.87 4.83 8.70 10.67
----------------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Russell 1000 Lipper Large-Cap
Loomis Sayles Value Value Funds
Value Fund Index(a)(b)(d) Index(a)(b)
------------- -------------- -----------------
5/13/1991 $100,000 $100,000 $100,000
5/31/1991 105,500 103,721 104,178
6/30/1991 99,497 99,351 98,936
7/31/1991 102,800 103,502 103,543
8/31/1991 105,298 105,371 106,080
9/30/1991 102,497 104,581 105,274
10/31/1991 102,897 106,319 107,264
11/30/1991 96,199 100,860 102,764
12/31/1991 107,156 109,312 113,886
1/31/1992 110,617 109,496 113,049
2/29/1992 112,951 112,182 115,088
3/31/1992 110,308 110,549 112,511
4/30/1992 112,845 115,324 114,580
5/31/1992 113,048 115,886 115,467
6/30/1992 110,606 115,175 112,930
7/31/1992 115,075 119,370 117,320
8/31/1992 111,714 115,701 114,916
9/30/1992 112,530 117,299 116,271
10/31/1992 113,543 117,404 117,054
11/30/1992 119,844 121,257 121,870
12/31/1992 122,241 124,162 123,741
1/31/1993 124,992 127,760 125,160
2/28/1993 126,154 132,219 126,382
3/31/1993 128,488 136,124 130,055
4/30/1993 125,096 134,378 127,630
5/31/1993 127,848 137,081 131,080
6/30/1993 127,746 140,118 131,672
7/31/1993 126,788 141,662 131,283
8/31/1993 131,872 146,779 136,593
9/30/1993 131,133 147,025 137,084
10/31/1993 133,992 146,902 139,445
11/30/1993 132,089 143,848 137,227
12/31/1993 136,752 146,595 140,156
1/31/1994 142,003 152,106 144,725
2/28/1994 140,583 146,919 141,245
3/31/1994 134,777 141,443 135,380
4/30/1994 137,513 144,155 137,064
5/31/1994 139,040 145,822 139,042
6/30/1994 134,771 142,329 135,692
7/31/1994 139,475 146,761 139,650
8/31/1994 145,611 150,983 145,312
9/30/1994 140,573 145,980 141,527
10/31/1994 140,348 148,017 143,846
11/30/1994 133,780 142,048 138,841
12/31/1994 135,533 143,698 140,414
1/31/1995 138,406 148,122 142,943
2/28/1995 145,990 153,985 148,258
3/31/1995 149,903 157,372 151,734
4/30/1995 155,524 162,349 156,145
5/31/1995 162,181 169,168 161,933
6/30/1995 163,332 171,460 165,446
7/31/1995 169,653 177,429 170,676
8/31/1995 170,569 179,936 171,713
9/30/1995 175,959 186,443 177,881
10/31/1995 171,596 184,592 176,458
11/30/1995 179,403 193,941 184,102
12/31/1995 183,278 198,815 187,091
1/31/1996 188,685 205,010 192,845
2/29/1996 190,327 206,560 195,012
3/31/1996 192,344 210,072 197,121
4/30/1996 192,344 210,880 199,801
5/31/1996 195,999 213,517 203,502
6/30/1996 196,371 213,691 203,620
7/31/1996 189,203 205,615 195,633
8/31/1996 193,725 211,496 200,717
9/30/1996 203,373 219,903 210,552
10/31/1996 208,925 228,405 214,999
11/30/1996 223,508 244,968 230,400
12/31/1996 222,077 241,842 226,502
1/31/1997 233,759 253,566 237,933
2/28/1997 235,325 257,292 239,840
3/31/1997 227,347 248,041 230,675
4/30/1997 235,327 258,462 240,938
5/31/1997 249,565 272,900 254,822
6/30/1997 261,818 284,607 265,456
7/31/1997 284,675 306,019 285,462
8/31/1997 275,679 295,116 273,249
9/30/1997 289,739 312,953 287,234
10/31/1997 279,019 304,209 278,568
11/30/1997 287,278 317,659 287,704
12/31/1997 286,962 326,932 290,996
1/31/1998 287,622 322,306 291,413
2/28/1998 306,662 344,004 310,584
3/31/1998 315,923 365,045 324,387
4/30/1998 318,514 367,486 327,685
5/31/1998 312,972 362,037 322,110
6/30/1998 312,471 366,677 328,135
7/31/1998 298,472 360,206 322,445
8/31/1998 256,507 306,601 278,440
9/30/1998 274,078 324,199 291,822
10/31/1998 297,347 349,311 315,192
11/30/1998 307,605 365,585 331,279
12/31/1998 317,172 378,028 344,076
1/31/1999 316,442 381,047 349,796
2/28/1999 307,107 375,669 341,785
3/31/1999 318,286 383,443 352,161
4/30/1999 341,171 419,257 372,913
5/31/1999 339,158 414,648 366,547
6/30/1999 347,773 426,687 382,705
7/31/1999 334,940 414,195 371,840
8/31/1999 320,839 398,823 365,064
9/30/1999 302,904 384,885 351,561
10/31/1999 314,263 407,038 368,492
11/30/1999 312,283 403,855 369,777
12/31/1999 312,970 405,805 381,164
1/31/2000 299,481 392,566 365,052
2/29/2000 275,403 363,400 349,700
3/31/2000 303,218 407,740 381,722
4/30/2000 301,975 402,995 377,472
5/31/2000 307,169 407,244 377,754
6/30/2000 299,920 388,631 373,583
7/31/2000 298,660 393,498 371,895
8/31/2000 318,790 415,393 393,420
9/30/2000 313,817 419,197 387,209
10/31/2000 325,648 429,494 390,302
11/30/2000 318,581 413,552 373,573
12/31/2000 335,976 434,271 388,615
1/31/2001 340,377 435,941 391,848
2/28/2001 331,153 423,819 372,962
3/31/2001 318,768 408,842 358,467
4/30/2001 334,100 428,893 378,777
5/31/2001 339,546 438,527 384,873
6/30/2001 333,672 428,801 374,414
7/31/2001 330,936 427,889 371,863
8/31/2001 318,559 410,750 354,446
9/30/2001 291,705 381,841 326,785
10/31/2001 293,805 378,555 328,915
11/30/2001 310,082 400,562 350,014
12/31/2001 316,996 409,997 355,289
1/31/2002 314,175 406,838 348,734
2/28/2002 312,667 407,491 346,804
3/31/2002 323,266 426,770 362,115
4/30/2002 315,282 412,133 346,679
5/31/2002 317,457 414,199 347,146
6/30/2002 294,315 390,417 322,938
7/31/2002 269,651 354,124 295,042
8/31/2002 272,887 356,798 297,028
9/30/2002 241,532 317,126 262,697
10/31/2002 258,826 340,621 281,973
1/30/2002 274,821 362,079 299,650
12/31/2002 264,076 346,352 285,380
1/31/2003 257,976 337,968 278,585
2/28/2003 247,940 328,958 271,616
3/31/2003 246,626 329,504 271,441
4/30/2003 266,677 358,508 294,358
5/31/2003 286,278 381,650 312,476
6/30/2003 291,288 386,422 316,052
7/31/2003 292,802 392,176 320,454
8/31/2003 298,688 398,287 325,869
9/30/2003 294,536 394,401 322,209
10/31/2003 309,145 418,538 339,986
11/30/2003 315,235 424,216 344,168
12/31/2003 333,330 450,364 365,279
1/31/2004 337,729 458,283 370,813
2/29/2004 345,227 468,105 378,633
3/31/2004 344,122 464,008 374,103
4/30/2004 337,722 452,668 367,208
5/31/2004 343,024 457,284 369,891
6/30/2004 349,644 468,089 378,034
7/31/2004 344,574 461,496 368,935
8/31/2004 345,884 468,059 371,608
9/30/2004 351,625 475,314 375,999
10/31/2004 355,388 483,215 380,005
11/30/2004 374,330 507,646 396,504
12/31/2004 383,726 524,645 409,095
1/31/2005 379,466 515,333 401,162
2/28/2005 390,888 532,411 412,419
3/31/2005 386,198 525,106 405,716
4/30/2005 379,246 515,701 397,685
5/31/2005 388,424 528,116 406,985
6/30/2005 395,377 533,898 411,112
7/31/2005 413,050 549,345 424,509
8/31/2005 412,843 546,955 422,672
9/30/2005 419,119 554,635 426,748
10/31/2005 412,413 540,548 417,847
11/30/2005 428,744 558,318 432,221
12/31/2005 432,860 561,653 434,709
1/31/2006 450,867 583,466 447,397
2/28/2006 457,044 587,028 448,197
3/31/2006 464,262 594,980 453,858
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers and reimbursements,
performance would be lower.
(a) Index performance data is not available coincident with the Fund's
inception date; comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 11 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$100,000.
WHAT YOU SHOULD KNOW
Value stocks may fall out of favor with investors and underperform the overall
equity market during any given period. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than US standards.
10
ADDITIONAL INFORMATION
INDEX DEFINITIONS
Indexes are unmanaged and do not have expenses that affect results, unlike
mutual funds. Index returns are adjusted for the reinvestment of capital gain
distributions and income dividends. It is not possible to invest directly in an
index.
Lipper Mid-Cap Growth Funds Index is an equally weighted index of typically the
30 largest mutual funds within the mid-cap growth funds investment objective.
Lipper Large-Cap Core Funds Index is an equally weighted index of typically the
30 largest mutual funds within the large-cap core funds investment objective.
Lipper Small-Cap Core Funds Index is an equally weighted index of typically the
30 largest mutual funds within the small-cap core funds investment objective.
Lipper Small-Cap Growth Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the small-cap growth funds
investment objective.
Lipper Large-Cap Value Funds Index is an equally weighted index of typically
the 30 largest mutual funds within the large-cap value funds
investment objective.
Source: Lipper, Inc.
Russell Midcap Growth Index is an index that measures the performance of those
Russell Midcap companies with higher price-to-book ratios and higher forecasted
growth values. The stocks are also members of the Russell 1000 Growth Index.
Russell 1000 Value Index is an index comprised of those Russell 1000 companies
with lower price-to-book ratios and lower forecasted growth values.
Russell 2000 Growth Index is an index comprised of those Russell 2000 companies
with higher price-to-book ratios and higher forecasted growth values.
Russell 2000 Index is an index comprised of the 2,000 smallest companies in the
Russell 3000 Index (a broad market index), representing approximately 8% of the
Russell 3000 total market capitalization.
Russell 2000 Value Index is an index comprised of those Russell 2000 companies
with lower price-to-book ratios and lower forecasted growth values.
S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and
industry group representation. It is a market-value weighted index (stock price
times number of shares outstanding), with each stock's weight in the index
proportionate to its market value.
AFTER-TAX RETURNS
After-tax returns are calculated using the historical highest individual
federal marginal income tax rates and do not reflect the impact of state and
local taxes. Actual after-tax returns depend on an investor's tax situation and
may differ from those shown. After-tax returns shown are not relevant to
investors who hold their shares through tax-deferred arrangements, such as
401(k) plans, qualified plans, education savings accounts or individual
retirement accounts. Under certain circumstances, the addition of the tax
benefits from capital losses resulting from redemptions may cause the return
after taxes on distributions and sale of fund shares to be greater than the
return after taxes on distribution or even the return before taxes.
PROXY VOTING INFORMATION
A description of the Funds' proxy voting policies and procedures is available
without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330;
(ii) on the Funds' website, www.loomissayles.com, and (iii) on the SEC's
website at www.sec.gov. Information about how the Funds voted proxies relating
to portfolio securities during the 12 months ended June 30, 2005 is available
on (i) the Funds' website and (ii) the SEC's website.
QUARTERLY PORTFOLIO SCHEDULES
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling 800-SEC-0330.
UNDERSTANDING YOUR FUND'S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1) transaction
costs, including redemption fees and certain exchange fees; and (2) ongoing
costs, including management fees, distribution and/or service fees (12b-1
fees), and other Fund expenses. These costs are described in more detail in the
Funds' prospectus. The examples below are intended to help you understand the
ongoing costs of investing in the Funds and help you compare these with the
ongoing costs of investing in other mutual funds.
11
The first line in the table of each Fund shows the actual amount of Fund
expenses you would have paid on a $1,000 investment in the Fund from October 1,
2005 through March 31, 2006. It also shows how much a $1,000 investment would
be worth at the close of the period, assuming actual fund returns and expenses.
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 the Period column
as shown below for your class.
The second line in the table of each Fund provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratios and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expenses you paid on your investment for the period. You may use
this information to compare the ongoing costs of investing in the Funds and
other funds. To do so, compare this 5% hypothetical example with the 5%
hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown reflect ongoing costs only, and do not
include any transaction costs. Therefore, the second line in the table is
useful in comparing ongoing costs only, and will not help you determine the
relative costs of owning different funds. If transaction costs were included,
total costs would be higher.
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,193.70 $5.47
Hypothetical (5% return before expenses) $1,000.00 $1,019.95 $5.04
Retail Class
- ------------
Actual $1,000.00 $1,192.20 $6.83
Hypothetical (5% return before expenses) $1,000.00 $1,018.70 $6.29
*Expenses are equal to the Fund's annualized expense ratio of 1.00% and 1.25% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the half-year period).
LOOMIS SAYLES SMALL CAP GROWTH FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,179.60 $5.43
Hypothetical (5% return before expenses) $1,000.00 $1,019.95 $5.04
Retail Class
- ------------
Actual $1,000.00 $1,177.10 $6.78
Hypothetical (5% return before expenses) $1,000.00 $1,018.70 $6.29
*Expenses are equal to the Fund's annualized expense ratio of 1.00% and 1.25% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the half-year period).
LOOMIS SAYLES SMALL CAP VALUE FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,141.00 $4.80
Hypothetical (5% return before expenses) $1,000.00 $1,020.45 $4.53
Retail Class
- ------------
Actual $1,000.00 $1,139.40 $6.13
Hypothetical (5% return before expenses) $1,000.00 $1,019.20 $5.79
Admin Class
- -----------
Actual $1,000.00 $1,137.70 $7.46
Hypothetical (5% return before expenses) $1,000.00 $1,017.95 $7.04
*Expenses are equal to the Fund's annualized expense ratio of 0.90%, 1.15% and 1.40% for the Institutional, Retail and
Admin Classes, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the
half-year period).
12
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,069.50 $3.35
Hypothetical (5% return before expenses) $1,000.00 $1,021.69 $3.28
*Expenses are equal to the Fund's annualized expense ratio of 0.65%, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the half-year period).
LOOMIS SAYLES VALUE FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,107.30 $4.46
Hypothetical (5% return before expenses) $1,000.00 $1,020.69 $4.28
*Expenses are equal to the Fund's annualized expense ratio of 0.85%, multiplied by the average account value over the period,
multiplied by 182/365 (to reflect the half-year period).
13
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND
SHARES VALUE (+)
- ----------------------------------------------------------------
COMMON STOCKS - 96.5% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 2.3%
Precision Castparts Corp. 20,475 $1,216,215
----------
AIR FREIGHT & LOGISTICS - 4.7%
C.H. Robinson Worldwide, Inc. 23,875 1,172,024
Expeditors International of Washington, Inc. 15,375 1,328,246
----------
2,500,270
----------
BIOTECHNOLOGY - 3.7%
Celgene Corp.(b) 21,600 955,152
Neurocrine Biosciences, Inc.(b) 8,050 519,547
Vertex Pharmaceuticals, Inc.(b) 13,575 496,709
----------
1,971,408
----------
CAPITAL MARKETS - 6.6%
Affiliated Managers Group, Inc.(b)(c) 13,225 1,409,917
Greenhill & Co., Inc.(c) 12,650 836,292
Investment Technology Group, Inc.(b) 25,075 1,248,735
----------
3,494,944
----------
COMMERCIAL SERVICES & SUPPLIES - 6.6%
Corporate Executive Board Co. 12,875 1,299,087
Monster Worldwide, Inc.(b) 22,675 1,130,576
Stericycle, Inc.(b) 15,750 1,065,015
----------
3,494,678
----------
COMMUNICATIONS EQUIPMENT - 1.8%
F5 Networks, Inc.(b) 13,300 964,117
----------
COMPUTERS & PERIPHERALS - 1.5%
Network Appliance, Inc.(b) 21,700 781,851
----------
DIVERSIFIED FINANCIAL SERVICES - 11.3%
CBOT Holdings, Inc.(b)(c) 4,425 528,345
Chicago Mercantile Exchange Holdings, Inc. 3,525 1,577,437
IntercontinentalExchange, Inc.(b) 12,800 883,840
Moody's Corp. 20,250 1,447,065
Nasdaq Stock Market, Inc.(b) 18,575 743,743
NYSE Group, Inc.(b)(c) 10,150 804,388
----------
5,984,818
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 3.7%
Broadcom Corp., Class A(b) 21,975 948,441
Mettler-Toledo International, Inc.(b) 16,725 1,009,186
----------
1,957,627
----------
ENERGY EQUIPMENT & SERVICES - 3.3%
Dril-Quip, Inc.(b)(c) 8,950 634,108
GlobalSantaFe Corp. 18,375 1,116,281
----------
1,750,389
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 3.6%
Conor Medsystems, Inc.(b)(c) 18,150 533,610
Hologic, Inc.(b) 10,525 582,559
Intuitive Surgical, Inc.(b)(c) 6,725 793,550
----------
1,909,719
----------
14
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES AGGRESSIVE GROWTH FUND - CONTINUED
SHARES VALUE (+)
- ------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 5.4%
Express Scripts, Inc.(b) 11,275 $ 991,072
Health Net, Inc.(b) 18,225 926,195
Humana, Inc.(b) 18,350 966,127
-----------
2,883,394
-----------
INTERNET & CATALOG RETAIL - 2.2%
Coldwater Creek, Inc.(b)(c) 41,475 1,153,005
-----------
INTERNET SOFTWARE & SERVICES - 3.1%
Akamai Technologies, Inc.(b)(c) 49,875 1,640,389
-----------
IT SERVICES - 2.3%
Cognizant Technology Solutions Corp.(b) 20,300 1,207,647
-----------
MACHINERY - 4.8%
JLG Industries, Inc. 34,400 1,059,176
Joy Global, Inc. 24,850 1,485,284
-----------
2,544,460
-----------
OIL, GAS & CONSUMABLE FUELS - 6.1%
Denbury Resources, Inc.(b) 26,725 846,381
Peabody Energy Corp. 16,600 836,806
Southwestern Energy Co.(b) 22,850 735,541
Ultra Petroleum Corp.(b) 13,300 828,723
-----------
3,247,451
-----------
REAL ESTATE - 4.8%
CB Richard Ellis Group, Inc., Class A(b) 21,525 1,737,067
Jones Lang LaSalle, Inc. 10,675 817,065
-----------
2,554,132
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.2%
MEMC Electronic Materials, Inc.(b) 23,925 883,311
Microsemi Corp.(b)(c) 29,050 845,646
-----------
1,728,957
-----------
SOFTWARE - 1.6%
Salesforce.com, Inc.(b)(c) 23,300 846,489
-----------
SPECIALTY RETAIL - 1.4%
Circuit City Stores, Inc. 29,500 722,160
-----------
TEXTILES APPAREL & LUXURY GOODS - 4.3%
Carter's, Inc.(b)(c) 15,075 1,017,412
Coach, Inc.(b) 20,850 720,993
Gildan Activewear, Inc.(b) 12,125 576,180
-----------
2,314,585
-----------
WIRELESS TELECOMMUNICATION SERVICES - 8.2%
American Tower Corp., Class A(b) 34,500 1,046,040
Hutchison Telecommunications International, Ltd., ADR(b) 20,700 537,579
Leap Wireless International, Inc.(b) 18,250 795,518
NII Holdings, Inc., Class B(b)(c) 33,950 2,002,031
-----------
4,381,168
-----------
TOTAL COMMON STOCKS
(Identified Cost $39,059,179) 51,249,873
-----------
15
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 26.0%
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to be
repurchased at $1,712,421 on 4/03/06 collateralized by
$1,265,000 US Treasury Bond, 8.750% due 8/15/20 with
a value of $1,747,690 (Note 2g of Notes to Financial
Statements) $ 1,712,000 $ 1,712,000
-------------
SHARES
- -------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(d) 12,115,232 12,115,232
-------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $13,827,232) 13,827,232
-------------
TOTAL INVESTMENTS - 122.5%
(Identified Cost $52,886,411)(a) 65,077,105
Other assets less liabilities--(22.5)% (11,971,778)
-------------
TOTAL NET ASSETS - 100% $ 53,105,327
-------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales.):
At March 31, 2006, the unrealized appreciation on investments based on cost of $52,886,411 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 12,349,808
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (159,114)
-------------
Net unrealized appreciation $ 12,190,694
-------------
(b)Non-income producing security.
(c)All or a portion of this security was on loan to brokers at March 31, 2006.
(d)Represents investment of securities lending collateral.
ADRAn American Depositary Receipt is a certificate issued by a custodian bank
representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Diversified Financial Services 11.3% Biotechnology 3.7%
Wireless Telecommunication Services 8.2 Electronic Equipment & Instruments 3.7
Capital Markets 6.6 Healthcare Equipment & Supplies 3.6
Commercial Services & Supplies 6.6 Energy Equipment & Services 3.3
Oil, Gas & Consumable Fuels 6.1 Semiconductors & Semiconductor Equipment 3.2
Healthcare Providers & Services 5.4 Internet Software & Services 3.1
Real Estate 4.8 Aerospace & Defense 2.3
Machinery 4.8 IT Services 2.3
Air Freight & Logistics 4.7 Internet & Catalog Retail 2.2
Textiles Apparel & Luxury Goods 4.3 Other, less than 2% each 6.3
See accompanying notes to financial statements.
16
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND
SHARES VALUE (+)
- -----------------------------------------------------------------------
COMMON STOCKS - 97.9% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 1.0%
Essex Corp.(b)(c) 12,450 $ 274,149
----------
BIOTECHNOLOGY - 4.7%
BioMarin Pharmaceutical, Inc.(c) 9,775 131,180
Cubist Pharmaceuticals, Inc.(b)(c) 5,675 130,355
Keryx Biopharmaceuticals, Inc.(b)(c) 8,425 161,002
Nektar Therapeutics(b)(c) 6,525 132,979
Neurocrine Biosciences, Inc.(b)(c) 2,150 138,761
Nuvelo, Inc.(c) 12,700 226,314
Theravance, Inc.(b)(c) 5,550 155,622
United Therapeutics Corp.(b)(c) 2,650 175,642
----------
1,251,855
----------
CAPITAL MARKETS - 3.2%
Affiliated Managers Group, Inc.(b)(c) 2,300 245,203
GFI Group, Inc.(b)(c) 4,775 247,870
Investment Technology Group, Inc.(c) 7,025 349,845
----------
842,918
----------
CHEMICALS - 1.0%
Scotts Miracle-Gro Co., Class A 5,625 257,400
----------
COMMERCIAL BANKS - 1.1%
East West Bancorp, Inc.(b) 7,550 291,053
----------
COMMERCIAL SERVICES & SUPPLIES - 9.1%
Advisory Board Co.(b)(c) 6,675 372,265
American Reprographics Co.(b)(c) 9,700 336,493
Corporate Executive Board Co. 2,900 292,610
CRA International, Inc.(b)(c) 6,725 331,273
Labor Ready, Inc.(c) 10,525 252,074
Mobile Mini, Inc.(c) 10,825 334,709
On Assignment, Inc.(c) 19,625 215,482
PeopleSupport, Inc.(c) 27,475 269,255
----------
2,404,161
----------
COMMUNICATIONS EQUIPMENT - 3.8%
Exfo Electro-Optical Engineering, Inc.(b)(c) 16,700 131,429
Foundry Networks, Inc.(c) 19,000 345,040
Oplink Communications, Inc.(b)(c) 11,575 200,711
Redback Networks, Inc.(b)(c) 14,525 315,047
----------
992,227
----------
COMPUTERS & PERIPHERALS - 0.6%
Advanced Digital Information Corp.(c) 17,725 155,626
----------
DIVERSIFIED CONSUMER SERVICES - 4.6%
Bright Horizons Family Solutions, Inc.(b)(c) 8,425 326,300
Laureate Education, Inc.(c) 6,425 342,967
Sotheby's Holdings, Inc.(c) 10,825 314,358
Steiner Leisure Ltd.(c) 5,900 238,950
----------
1,222,575
----------
DIVERSIFIED FINANCIAL SERVICES - 0.7%
International Securities Exchange, Inc. 4,125 171,806
----------
17
SHARES VALUE (+)
- --------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
ENERGY EQUIPMENT & SERVICES - 7.1%
Allis-Chalmers Energy, Inc.(b)(c) 10,575 $ 144,137
Carbo Ceramics, Inc.(b) 4,525 257,518
Dril-Quip, Inc.(b)(c) 3,750 265,687
Helix Energy Solutions Group, Inc.(b)(c) 5,275 199,923
Natural Gas Services Group, Inc.(b)(c) 11,150 199,362
Oil States International, Inc.(b)(c) 8,275 304,934
Unit Corp.(c) 4,400 245,300
Universal Compression Holdings, Inc.(c) 5,150 260,950
----------
1,877,811
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 6.6%
American Medical Systems Holdings, Inc.(c) 11,175 251,437
ArthroCare Corp.(b)(c) 5,900 282,138
Conor Medsystems, Inc.(b)(c) 4,900 144,060
ev3, Inc.(b)(c) 12,825 227,131
Meridian Bioscience, Inc.(b) 6,425 173,347
NuVasive, Inc.(b)(c) 10,425 196,511
Symmetry Medical, Inc.(b)(c) 9,550 202,555
Viasys Healthcare, Inc.(c) 8,950 269,216
----------
1,746,395
----------
HEALTHCARE PROVIDERS & SERVICES - 7.4%
Chemed Corp.(b) 6,675 396,094
Computer Programs & Systems, Inc.(b) 5,275 263,750
Emageon, Inc.(c) 7,750 131,673
HealthExtras, Inc.(c) 6,800 240,040
Matria Healthcare, Inc.(b)(c) 6,937 263,329
NovaMed, Inc.(c) 24,650 175,015
United Surgical Partners International, Inc.(b)(c) 5,537 196,065
Ventiv Health, Inc.(b)(c) 8,825 293,166
----------
1,959,132
----------
HOTELS, RESTAURANTS & LEISURE - 2.1%
McCormick & Schmick's Seafood Restaurants, Inc.(c) 12,325 313,918
Pinnacle Entertainment, Inc.(b)(c) 8,725 245,783
----------
559,701
----------
HOUSEHOLD DURABLES - 1.2%
Lifetime Brands, Inc.(b) 11,175 315,023
----------
INSURANCE - 2.9%
Arch Capital Group Ltd.(c) 5,025 290,143
Argonaut Group, Inc.(b)(c) 5,900 209,745
ProAssurance Corp.(b)(c) 5,150 267,800
----------
767,688
----------
INTERNET & CATALOG RETAIL - 1.2%
Coldwater Creek, Inc.(b)(c) 11,262 313,084
----------
INTERNET SOFTWARE & SERVICES - 6.3%
Akamai Technologies, Inc.(b)(c) 8,825 290,254
aQuantive, Inc.(b)(c) 11,050 260,117
Digital Insight Corp.(b)(c) 10,050 365,820
j2 Global Communications, Inc.(b)(c) 5,150 242,050
Online Resources Corp.(b)(c) 21,000 273,000
Websense, Inc.(b)(c) 8,050 222,019
----------
1,653,260
----------
18
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SMALL CAP GROWTH FUND - CONTINUED
SHARES VALUE (+)
- -----------------------------------------------------------------------
COMMON STOCKS - CONTINUED
IT SERVICES - 3.8%
Anteon International Corp.(c) 3,650 $ 199,144
Heartland Payment Systems, Inc.(b)(c) 11,225 278,043
Lightbridge, Inc.(c) 14,975 166,223
SRA International, Inc., Class A(b)(c) 9,425 355,605
----------
999,015
----------
MACHINERY - 4.2%
American Science & Engineering, Inc.(b)(c) 2,950 275,530
Bucyrus International, Inc., Class A 7,725 372,268
Flow International Corp.(b)(c) 18,100 238,377
Freightcar America, Inc.(b) 3,400 216,240
----------
1,102,415
----------
MEDIA - 0.6%
Morningstar, Inc.(b)(c) 3,650 163,411
----------
OIL, GAS & CONSUMABLE FUELS - 1.2%
Range Resources Corp.(b) 11,262 307,565
----------
PHARMACEUTICALS - 1.7%
Adams Respiratory Therapeutics, Inc.(c) 6,425 255,522
Santarus, Inc.(b)(c) 26,250 196,088
----------
451,610
----------
REAL ESTATE - 2.6%
Jones Lang LaSalle, Inc.(b) 4,525 346,344
Trammell Crow Co.(c) 9,200 328,072
----------
674,416
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.2%
ATMI, Inc.(b)(c) 8,175 246,885
Microsemi Corp.(b)(c) 8,950 260,534
Netlogic Microsystems, Inc.(b)(c) 5,150 212,232
PMC-Sierra, Inc.(b)(c) 24,650 302,948
Power Integrations, Inc.(b)(c) 6,800 168,504
Tessera Technologies, Inc.(c) 5,900 189,272
----------
1,380,375
----------
SOFTWARE - 5.3%
Blackboard, Inc.(b)(c) 7,950 225,860
Informatica Corp.(b)(c) 22,400 348,320
Quest Software, Inc.(b)(c) 15,450 258,015
SPSS, Inc.(c) 7,575 239,824
Ultimate Software Group, Inc.(b)(c) 13,100 338,635
----------
1,410,654
----------
SPECIALTY RETAIL - 2.2%
Guess?, Inc.(b)(c) 4,675 182,839
Guitar Center, Inc.(b)(c) 3,650 174,105
Zumiez, Inc.(b)(c) 3,750 229,125
----------
586,069
----------
TEXTILES APPAREL & LUXURY GOODS - 2.4%
Carter's, Inc.(c) 4,525 305,392
Phillips-Van Heusen Corp. 8,300 317,143
----------
622,535
----------
19
SHARES VALUE (+)
- ------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
THRIFTS & MORTGAGE FINANCE - 1.8%
FirstFed Financial Corp.(b)(c) 4,675 $ 279,612
PFF Bancorp, Inc. 5,800 195,518
------------
475,130
------------
TRADING COMPANIES & DISTRIBUTORS - 1.3%
NuCo2, Inc.(b)(c) 11,175 354,695
------------
WIRELESS TELECOMMUNICATION SERVICES - 1.0%
SBA Communications Corp.(b)(c) 11,450 268,045
------------
TOTAL COMMON STOCKS
(Identified Cost $20,632,445) 25,851,799
------------
PRINCIPAL AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 25.9%
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to be
repurchased at $579,142 on 4/03/06 collateralized by
$600,000 US Treasury Note, 4.000% due 6/15/2009
with a value of $591,989 (Note 2g of Notes to
Financial Statements) $ 579,000 579,000
------------
SHARES
- ------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(d) 6,265,097 6,265,097
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $6,844,097) 6,844,097
------------
TOTAL INVESTMENTS - 123.8%
(Identified Cost $27,476,542)(a) 32,695,896
Other assets less liabilities--(23.8)% (6,277,078)
------------
TOTAL NET ASSETS - 100% $ 26,418,818
------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales.):
At March 31, 2006, the net unrealized appreciation on investments based on cost of $27,476,542 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of value over cost $ 5,330,932
Aggregate gross unrealized depreciation for all securities in which there is an excess of cost over value (111,578)
------------
Net unrealized appreciation $ 5,219,354
------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Non-income producing security.
(d)Represents investment of securities lending collateral.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Commercial Services & Supplies 9.1% IT Services 3.8%
Healthcare Providers & Services 7.4 Communications Equipment 3.8
Energy Equipment & Services 7.1 Capital Markets 3.2
Healthcare Equipment & Supplies 6.6 Insurance 2.9
Internet Software & Services 6.3 Real Estate 2.6
Software 5.3 Textiles Apparel & Luxury Goods 2.4
Semiconductors & Semiconductor Equipment 5.2 Specialty Retail 2.2
Biotechnology 4.7 Hotels, Restaurants & Leisure 2.1
Diversified Consumer Services 4.6 Other, less than 2% each 14.4
Machinery 4.2
See accompanying notes to financial statements.
20
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND
SHARES VALUE (+)
- ---------------------------------------------------------------
COMMON STOCKS - 93.9% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 1.0%
Ladish Co., Inc.(b)(c) 106,825 $ 3,094,720
Moog, Inc., Class A(c) 140,750 4,995,218
-----------
8,089,938
-----------
AUTOMOBILES - 0.3%
Winnebago Industries, Inc.(b) 89,500 2,715,430
-----------
BUILDING PRODUCTS - 1.1%
Griffon Corp.(b)(c) 246,750 6,129,270
Lennox International, Inc.(b) 101,875 3,041,988
-----------
9,171,258
-----------
CHEMICALS - 2.3%
Cytec Industries, Inc. 126,175 7,571,762
FMC Corp. 53,600 3,322,128
MacDermid, Inc.(b) 40,450 1,300,467
Minerals Technologies, Inc. 25,075 1,464,631
Spartech Corp. 205,675 4,936,200
-----------
18,595,188
-----------
COMMERCIAL BANKS - 9.9%
Alabama National Bancorp(b) 69,650 4,764,060
Capital Corporation of the West(b) 67,050 2,462,076
Centerstate Banks of Florida, Inc.(b) 87,575 3,222,760
Community Bancorp(b)(c) 105,875 3,278,949
CVB Financial Corp.(b) 266,236 4,552,636
East West Bancorp, Inc. 177,050 6,825,277
First Midwest Bancorp, Inc. 190,400 6,962,928
First State Bancorporation(b) 80,900 2,148,704
IBERIABANK Corp.(b) 114,819 6,495,311
Independent Bank Corp.(b) 201,875 5,743,347
Midwest Banc Holdings, Inc.(b) 140,975 3,656,891
Pennsylvania Commerce Bancorp, Inc.(b)(c) 93,050 2,805,458
PrivateBankcorp, Inc.(b) 155,025 6,431,987
Seacoast Banking Corp. of Florida(b) 93,875 2,732,701
Signature Bank(b)(c) 195,550 6,372,974
Texas Regional Bancshares, Inc., Class A 165,193 4,871,527
Wintrust Financial Corp.(b) 123,925 7,208,717
-----------
80,536,303
-----------
COMMERCIAL SERVICES & SUPPLIES - 2.9%
Adesa, Inc. 143,850 3,846,549
American Ecology Corp.(b) 75,150 1,531,557
McGrath Rentcorp.(b) 195,550 5,878,233
Navigant Consulting, Inc.(b)(c) 276,950 5,912,882
Waste Connections, Inc.(b)(c) 154,475 6,149,650
-----------
23,318,871
-----------
COMMUNICATIONS EQUIPMENT - 3.2%
ADTRAN, Inc. 210,650 5,514,817
Anaren, Inc.(c) 204,750 3,986,482
CommScope, Inc.(b)(c) 311,725 8,899,749
Polycom, Inc.(c) 164,075 3,557,146
SafeNet, Inc.(b)(c) 96,025 2,542,742
Tekelec(b)(c) 130,375 1,803,086
-----------
26,304,022
-----------
21
SHARES VALUE (+)
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
COMPUTERS & PERIPHERALS - 2.4%
Avid Technology, Inc.(b)(c) 93,825 $ 4,077,634
Electronics for Imaging, Inc.(b)(c) 220,875 6,177,874
Hutchinson Technology, Inc.(b)(c) 73,700 2,223,529
Imation Corp. 99,450 4,267,399
McDATA Corp., Class A(b)(c) 654,075 3,021,827
-----------
19,768,263
-----------
CONSTRUCTION & ENGINEERING - 1.6%
Insituform Technologies, Inc., Class A(b)(c) 144,950 3,855,670
Michael Baker Corp.(b)(c) 54,125 1,533,361
Washington Group International, Inc.(b) 125,625 7,209,619
-----------
12,598,650
-----------
CONSTRUCTION MATERIALS - 1.2%
Eagle Materials, Inc.(b) 56,025 3,572,154
Texas Industries, Inc.(b) 96,825 5,856,944
-----------
9,429,098
-----------
CONSUMER FINANCE - 2.6%
Advanta Corp., Class B(b) 260,980 9,622,333
First Cash Financial Services, Inc.(b)(c) 290,800 5,813,092
United PanAm Financial Corp.(c) 174,125 5,380,462
-----------
20,815,887
-----------
DIVERSIFIED CONSUMER SERVICES - 0.4%
Vertrue, Inc.(b)(c) 83,025 3,470,445
-----------
DIVERSIFIED FINANCIAL SERVICES - 0.9%
iShares Russell 2000 Value Index Fund(b) 100,700 7,526,318
-----------
DIVERSIFIED TELECOMMUNICATIONS SERVICES - 0.8%
Commonwealth Telephone Enterprises, Inc.(b) 68,100 2,346,045
Iowa Telecommunications Services, Inc.(b) 226,875 4,328,775
-----------
6,674,820
-----------
ELECTRIC UTILITIES - 0.5%
ALLETE, Inc.(b) 50,658 2,360,663
Otter Tail Corp.(b) 57,725 1,656,130
-----------
4,016,793
-----------
ELECTRICAL EQUIPMENT - 2.1%
AMETEK, Inc. 169,525 7,621,844
General Cable Corp.(c) 179,625 5,448,026
II-VI, Inc.(b)(c) 236,275 4,274,215
-----------
17,344,085
-----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 2.8%
Anixter International, Inc.(b) 121,000 5,781,380
Cognex Corp. 113,425 3,361,917
Excel Technology, Inc.(b)(c) 170,325 5,019,478
Keithley Instruments, Inc.(b) 206,275 3,168,384
Rofin-Sinar Technologies, Inc.(b)(c) 105,025 5,685,003
-----------
23,016,162
-----------
ENERGY EQUIPMENT & SERVICES - 2.6%
Carbo Ceramics, Inc.(b) 77,175 4,392,029
FMC Technologies, Inc.(c) 165,300 8,466,666
22
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE (+)
- --------------------------------------------------------------------
COMMON STOCKS - CONTINUED
ENERGY EQUIPMENT & SERVICES - CONTINUED
Helix Energy Solutions Group, Inc.(b)(c) 122,200 $ 4,631,380
Universal Compression Holdings, Inc.(c) 65,425 3,315,085
-----------
20,805,160
-----------
FOOD & STAPLES RETAILING - 1.1%
Casey's General Stores, Inc. 149,025 3,408,202
Smart & Final, Inc.(b)(c) 325,850 5,340,681
-----------
8,748,883
-----------
FOOD PRODUCTS - 0.7%
J & J Snack Foods Corp.(b) 106,732 3,585,128
Ralcorp Holdings, Inc.(b)(c) 60,200 2,290,610
-----------
5,875,738
-----------
GAS UTILITIES - 1.9%
ONEOK, Inc. 132,100 4,260,225
UGI Corp. 535,050 11,273,504
-----------
15,533,729
-----------
HEALTHCARE EQUIPMENT & SUPPLIES - 2.4%
Arrow International, Inc.(b) 121,900 3,982,473
Intermagnetics General Corp.(b)(c) 156,038 3,908,739
Sybron Dental Specialties, Inc.(c) 114,525 4,723,011
Symmetry Medical, Inc.(b)(c) 142,775 3,028,258
West Pharmaceutical Services, Inc.(b) 115,050 3,994,536
-----------
19,637,017
-----------
HEALTHCARE PROVIDERS & SERVICES - 0.5%
Healthspring, Inc.(c) 219,200 4,079,312
-----------
HOTELS, RESTAURANTS & LEISURE - 3.3%
Bob Evans Farms, Inc.(b) 191,050 5,676,095
CEC Entertainment, Inc.(b)(c) 80,125 2,693,803
Fairmont Hotels & Resorts, Inc.(b) 82,225 3,675,457
Morton's Restaurant Group, Inc.(b)(c) 136,150 2,366,287
Steak n Shake Co.(b)(c) 129,850 2,739,835
Sunterra Corp.(b)(c) 354,000 5,055,120
Trump Entertainment Resorts, Inc.(b)(c) 254,950 4,721,674
-----------
26,928,271
-----------
INSURANCE - 6.6%
American Equity Investment Life Holding Co.(b) 460,625 6,605,362
AmerUs Group Co.(b) 58,950 3,551,148
Delphi Financial Group, Inc.(b) 142,500 7,357,275
Endurance Specialty Holdings Ltd. 120,000 3,906,000
KMG America Corp.(b)(c) 314,075 2,688,482
Midland Co. (The)(b) 33,368 1,167,213
National Financial Partners Corp. 130,275 7,363,143
Navigators Group, Inc.(c)(b)(c) 118,150 5,860,240
Ohio Casualty Corp. 193,675 6,139,498
Protective Life Corp. 59,950 2,981,913
RLI Corp.(b) 102,700 5,884,710
-----------
53,504,984
-----------
INTERNET & CATALOG RETAIL - 0.2%
FTD Group, Inc.(b)(c) 167,375 1,621,864
-----------
23
SHARES VALUE (+)
- ----------------------------------------------------------------
COMMON STOCKS - CONTINUED
INTERNET SOFTWARE & SERVICES - 0.6%
Digitas, Inc.(b)(c) 333,100 $ 4,796,640
-----------
IT SERVICES - 1.9%
Perot Systems Corp., Class A(b)(c) 357,225 5,558,421
Wright Express Corp.(b)(c) 366,050 10,267,702
-----------
15,826,123
-----------
MACHINERY - 8.2%
Actuant Corp., Class A(b) 156,125 9,557,972
Albany International Corp., Class A(b) 201,750 7,684,657
Barnes Group, Inc.(b) 148,125 5,999,063
CLARCOR, Inc.(b) 162,150 5,772,540
Commercial Vehicle Group, Inc.(b)(c) 185,475 3,562,975
ESCO Technologies, Inc.(b)(c) 55,350 2,803,478
Greenbrier Cos., Inc.(b) 97,800 3,916,890
Harsco Corp. 75,925 6,272,923
IDEX Corp. 173,575 9,055,408
Lincoln Electric Holdings, Inc.(b) 52,375 2,827,726
Nordson Corp. 100,375 5,004,698
RBC Bearings, Inc.(b)(c) 218,900 4,487,450
-----------
66,945,780
-----------
MARINE - 0.9%
American Commercial Lines, Inc.(b)(c) 155,300 7,330,160
-----------
MEDIA - 4.1%
Harte-Hanks, Inc. 257,125 7,032,368
John Wiley & Sons, Inc., Class A 87,700 3,319,445
Live Nation, Inc.(c) 397,000 7,876,480
R.H. Donnelley Corp.(b)(c) 112,525 6,552,331
Scholastic Corp.(b)(c) 73,075 1,955,487
Thomas Nelson, Inc.(b) 131,675 3,851,494
Valassis Communications, Inc.(c) 108,000 3,171,960
-----------
33,759,565
-----------
METALS & MINING - 2.2%
AMCOL International Corp.(b) 88,825 2,558,160
Century Alum Co.(b)(c) 32,800 1,392,360
Chaparral Steel Co.(b)(c) 143,725 9,330,627
Reliance Steel & Aluminum Co. 45,400 4,263,968
-----------
17,545,115
-----------
MULTI-UTILITIES & UNREGULATED POWER - 0.9%
NorthWestern Corp. 226,275 7,046,204
-----------
MULTILINE RETAIL - 0.9%
Big Lots, Inc.(b)(c) 244,425 3,412,173
Dollar Tree Stores, Inc.(c) 154,575 4,277,090
-----------
7,689,263
-----------
OIL, GAS & CONSUMABLE FUELS - 2.7%
Alpha Natural Resources, Inc.(b)(c) 163,275 3,778,184
ATP Oil & Gas Corp.(b)(c) 90,125 3,957,389
Denbury Resources, Inc.(c) 189,500 6,001,465
Energy Partners Ltd.(b)(c) 185,450 4,372,911
Remington Oil & Gas Corp.(b)(c) 90,025 3,890,880
-----------
22,000,829
-----------
24
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SMALL CAP VALUE FUND - CONTINUED
SHARES VALUE (+)
- -------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
PHARMACEUTICALS - 0.4%
Perrigo Co. 198,225 $ 3,233,050
------------
REAL ESTATE - 5.7%
BioMed Realty Trust, Inc. REIT 239,150 7,088,406
CBL & Associates Properties, Inc. REIT(b) 136,150 5,779,568
Corporate Office Properties Trust REIT 170,375 7,792,952
First Potomac Realty Trust REIT 240,375 6,790,594
Kite Reality Group Trust REIT 351,300 5,603,235
LaSalle Hotel Properties REIT 168,000 6,888,000
Newcastle Investment Corp. REIT(b) 164,900 3,944,408
Potlatch Corp.(b) 59,850 2,563,974
------------
46,451,137
------------
ROAD & RAIL - 2.6%
Genesee & Wyoming, Inc., Class A(b)(c) 210,638 6,462,358
Laidlaw International, Inc. 309,400 8,415,680
Landstar System, Inc. 75,950 3,350,914
Marten Transport Ltd.(b)(c) 170,850 3,090,677
------------
21,319,629
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 3.0%
Diodes, Inc.(b)(c) 116,150 4,820,225
DSP Group, Inc.(b)(c) 211,350 6,131,263
Entegris, Inc.(b)(c) 426,550 4,538,492
Fairchild Semiconductor International, Inc., Class A(c) 288,100 5,494,067
Integrated Device Technology, Inc.(c) 207,550 3,084,193
------------
24,068,240
------------
SOFTWARE - 1.9%
Hyperion Solutions Corp.(c) 141,837 4,623,886
MapInfo Corp.(b)(c) 178,550 2,503,271
Progress Software Corp.(c) 139,075 4,045,692
Quest Software, Inc.(c) 268,350 4,481,445
------------
15,654,294
------------
SPECIALTY RETAIL - 1.3%
Charlotte Russe Holding, Inc.(b)(c) 109,475 2,342,765
Men's Wearhouse, Inc. 86,174 3,097,094
Rent-A-Center, Inc.(c) 187,775 4,805,162
------------
10,245,021
------------
TEXTILES APPAREL & LUXURY GOODS - 0.6%
Fossil, Inc.(b)(c) 133,050 2,472,069
Unifirst Corp/MA(b) 70,225 2,332,875
------------
4,804,944
------------
TRADING COMPANIES & DISTRIBUTORS - 0.3%
Electro Rent Corp.(b)(c) 143,900 2,446,300
------------
WATER UTILITIES - 0.4%
American States Water Co.(b) 96,050 3,588,428
------------
TOTAL COMMON STOCKS
(Identified Cost $567,740,383) 764,877,211
------------
25
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 29.2%
COMMERCIAL PAPER - 4.6%
Citigroup, Inc., 3.300%, 4/03/2006(d) $ 37,185,000 $ 37,178,183
--------------
SHARES
- --------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(e) 200,515,426 200,515,426
--------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $237,693,609) 237,693,609
--------------
TOTAL INVESTMENTS - 123.1%
(Identified Cost $805,433,992)(a) 1,002,570,820
Other assets less liabilities--(23.1)% (188,267,512)
--------------
TOTAL NET ASSETS - 100% $ 814,303,308
--------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales.):
At March 31, 2006, the net unrealized appreciation on investments based on cost of $805,433,992 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost $ 201,103,725
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (3,966,897)
--------------
Net unrealized appreciation $ 197,136,828
--------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Non-income producing security.
(d)Interest rate represents annualized yield at time of purchase; not a coupon
rate.
(e)Represents investment of securities lending collateral.
REITReal Estate Investment Trust.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Commercial Banks 9.9% Oil, Gas & Consumable Fuels 2.7%
Machinery 8.2 Road & Rail 2.6
Insurance 6.6 Consumer Finance 2.6
Real Estate 5.7 Energy Equipment & Services 2.6
Media 4.1 Computers & Peripherals 2.4
Hotels, Restaurants & Leisure 3.3 Healthcare Equipment & Supplies 2.4
Communications Equipment 3.2 Chemicals 2.3
Semiconductors & Semiconductor Equipment 3.0 Metals & Mining 2.2
Commercial Services & Supplies 2.9 Electrical Equipment 2.1
Electronic Equipment & Instruments 2.8 Other, less than 2% each 22.3
See accompanying notes to financial statements.
26
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND
SHARES VALUE (+)
- ---------------------------------------------------------------------
COMMON STOCKS - 99.8% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 5.0%
Honeywell International, Inc. 4,500 $192,465
United Technologies Corp. 4,925 285,502
---------
477,967
---------
BEVERAGES - 4.9%
Molson Coors Brewing Co., Class B 2,275 156,110
PepsiCo, Inc. 5,325 307,732
---------
463,842
---------
BIOTECHNOLOGY - 2.8%
Amgen, Inc.(b) 3,675 267,356
---------
CAPITAL MARKETS - 8.3%
Bear Stearns Cos., Inc. 1,775 246,192
Franklin Resources, Inc. 2,375 223,820
Goldman Sachs Group, Inc. 2,075 325,692
---------
795,704
---------
CHEMICALS - 5.3%
Ecolab, Inc. 6,025 230,155
Praxair, Inc. 5,050 278,507
---------
508,662
---------
COMMERCIAL BANKS - 6.0%
Bank of America Corp. 4,300 195,822
Wells Fargo & Co. 3,225 205,980
Zions Bancorporation 2,075 171,665
---------
573,467
---------
COMMERCIAL SERVICES & SUPPLIES - 1.8%
ARAMARK Corp., Class B 5,700 168,378
---------
COMMUNICATIONS EQUIPMENT - 9.3%
Cisco Systems, Inc.(b) 15,250 330,467
Corning, Inc.(b) 5,800 156,078
Harris Corp. 5,250 248,273
QUALCOMM, Inc. 3,075 155,626
---------
890,444
---------
DIVERSIFIED FINANCIAL SERVICES - 2.1%
Citigroup, Inc. 4,225 199,547
---------
DIVERSIFIED TELECOMMUNICATIONS SERVICES - 1.8%
AT&T, Inc. 6,200 167,648
---------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.5%
Flextronics International, Ltd.(b) 14,175 146,711
---------
ENERGY EQUIPMENT & SERVICES - 2.5%
GlobalSantaFe Corp. 4,000 243,000
---------
HEALTHCARE EQUIPMENT & SUPPLIES - 4.4%
Kinetic Concepts, Inc.(b) 2,650 109,100
Medtronic, Inc. 3,725 189,044
Zimmer Holdings, Inc.(b) 1,775 119,990
---------
418,134
---------
27
SHARES VALUE (+)
- ---------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
HEALTHCARE PROVIDERS & SERVICES - 4.7%
Caremark Rx, Inc.(b) 3,200 $ 157,376
WellPoint, Inc.(b) 3,750 290,363
----------
447,739
----------
HOTELS, RESTAURANTS & LEISURE - 1.9%
Marriott International, Inc., Class A 2,675 183,505
----------
INSURANCE - 4.7%
AFLAC, Inc. 4,000 180,520
Allstate Corp. 2,700 140,697
Everest Re Group Ltd. 1,425 133,052
----------
454,269
----------
IT SERVICES - 1.0%
First Data Corp. 2,025 94,811
----------
MACHINERY - 4.9%
Danaher Corp. 3,800 241,490
Dover Corp. 4,625 224,590
----------
466,080
----------
MEDIA - 3.4%
DIRECTV Group, Inc. (The)(b) 11,850 194,340
Viacom, Inc., Class B(b) 3,412 132,386
----------
326,726
----------
MULTILINE RETAIL - 3.5%
Federated Department Stores, Inc. 2,000 146,000
Target Corp. 3,675 191,137
----------
337,137
----------
OIL, GAS & CONSUMABLE FUELS - 7.7%
ConocoPhillips 3,200 202,080
Devon Energy Corp. 4,475 273,736
Exxon Mobil Corp. 4,225 257,133
----------
732,949
----------
PERSONAL PRODUCTS - 1.6%
Alberto-Culver Co. 3,425 151,488
----------
PHARMACEUTICALS - 3.4%
Abbott Laboratories 5,125 217,659
Perrigo Co. 6,625 108,054
----------
325,713
----------
ROAD & RAIL - 2.5%
Burlington Northern Santa Fe Corp. 2,900 241,657
----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 2.7%
DSP Group, Inc.(b) 3,675 106,612
Texas Instruments, Inc. 4,600 149,362
----------
255,974
----------
SOFTWARE - 2.1%
Microsoft Corp. 7,400 201,354
----------
TOTAL COMMON STOCKS
(Identified Cost $7,960,141) 9,540,262
----------
28
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES TAX-MANAGED EQUITY FUND - CONTINUED
VALUE (+)
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS - 99.8%
(Identified Cost $7,960,141)(a) $9,540,262
Other assets less liabilities--0.2% 18,524
----------
TOTAL NET ASSETS - 100% $9,558,786
----------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales.):
At March 31, 2006, the unrealized appreciation on investments based on cost of $7,960,141 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $1,727,016
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (146,895)
----------
Net unrealized appreciation $1,580,121
----------
(b)Non-income producing security.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Communications Equipment 9.3% Multiline Retail 3.5%
Capital Markets 8.3 Media 3.4
Oil, Gas & Consumable Fuels 7.7 Pharmaceuticals 3.4
Commercial Banks 6.0 Biotechnology 2.8
Chemicals 5.3 Semiconductors & Semiconductor Equipment 2.7
Aerospace & Defense 5.0 Energy Equipment & Services 2.5
Machinery 4.9 Road & Rail 2.5
Beverages 4.9 Software 2.1
Insurance 4.7 Diversified Financial Services 2.1
Healthcare Providers & Services 4.7 Other, less than 2% each 9.6
Healthcare Equipment & Supplies 4.4
See accompanying notes to financial statements.
29
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES VALUE FUND
SHARES VALUE (+)
- ------------------------------------------------------------------
COMMON STOCKS - 94.9% OF TOTAL NET ASSETS
AEROSPACE & DEFENSE - 5.6%
Honeywell International, Inc. 17,050 $ 729,229
Northrop Grumman Corp. 12,250 836,552
United Technologies Corp. 13,025 755,059
----------
2,320,840
----------
BEVERAGES - 1.3%
Molson Coors Brewing Co., Class B(b) 7,750 531,805
----------
CAPITAL MARKETS - 8.6%
Ameriprise Financial, Inc. 10,910 491,605
Lehman Brothers Holdings, Inc. 5,825 841,887
Mellon Financial Corp. 13,650 485,940
Merrill Lynch & Co., Inc. 10,925 860,453
Morgan Stanley 14,450 907,749
----------
3,587,634
----------
CHEMICALS - 1.8%
Praxair, Inc. 13,675 754,176
----------
COMMERCIAL BANKS - 6.5%
Bank of America Corp. 16,825 766,211
US Bancorp 26,050 794,525
Wachovia Corp. 12,504 700,849
Wells Fargo & Co. 7,200 459,864
----------
2,721,449
----------
COMMERCIAL SERVICES & SUPPLIES - 1.3%
ARAMARK Corp., Class B 19,100 564,214
----------
COMMUNICATIONS EQUIPMENT - 2.9%
Avaya, Inc.(c) 42,225 477,142
Motorola, Inc. 31,625 724,529
----------
1,201,671
----------
COMPUTERS & PERIPHERALS - 1.7%
Hewlett-Packard Co. 21,925 721,333
----------
CONSTRUCTION & ENGINEERING - 1.0%
Chicago Bridge & Iron Co. NV(b) 16,700 400,800
----------
CONSUMER FINANCE - 1.4%
American Express Co. 11,050 580,678
----------
DIVERSIFIED FINANCIAL SERVICES - 7.2%
CIT Group, Inc. 16,475 881,742
Citigroup, Inc. 21,100 996,553
J.P. Morgan Chase & Co. 26,775 1,114,911
----------
2,993,206
----------
DIVERSIFIED TELECOMMUNICATIONS SERVICES - 4.6%
AT&T, Inc. 29,175 788,892
BellSouth Corp. 32,250 1,117,462
----------
1,906,354
----------
ELECTRIC UTILITIES - 3.2%
Entergy Corp. 10,925 753,169
Exelon Corp. 11,325 599,093
----------
1,352,262
----------
30
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES VALUE FUND - CONTINUED
SHARES VALUE (+)
- --------------------------------------------------------------
COMMON STOCKS - CONTINUED
ELECTRICAL EQUIPMENT - 2.1%
ABB Ltd. ADR(b)(c) 68,875 $ 864,381
----------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 1.0%
Flextronics International, Ltd.(c) 38,400 397,440
----------
ENERGY EQUIPMENT & SERVICES - 4.2%
GlobalSantaFe Corp. 14,075 855,056
Halliburton Co. 12,325 899,972
----------
1,755,028
----------
HEALTHCARE EQUIPMENT & SUPPLIES - 1.7%
Baxter International, Inc. 7,550 293,015
Beckman Coulter, Inc. 7,575 413,368
----------
706,383
----------
HEALTHCARE PROVIDERS & SERVICES - 1.3%
Quest Diagnostics, Inc. 10,775 552,758
----------
HOTELS, RESTAURANTS & LEISURE - 1.8%
McDonald's Corp. 22,450 771,382
----------
INDEPENDENT POWER PRODUCER & ENERGY - 1.0%
NRG Energy, Inc.(c) 9,350 422,807
----------
INDUSTRIAL CONGLOMERATES - 1.5%
Tyco International Ltd. 22,875 614,880
----------
INSURANCE - 6.4%
Allstate Corp. 15,975 832,457
American International Group, Inc. 12,250 809,603
Berkshire Hathaway, Inc., Class B(c) 144 433,728
Prudential Financial, Inc. 7,925 600,794
----------
2,676,582
----------
MEDIA - 8.2%
Comcast Corp.(c) 20,675 540,858
DIRECTV Group, Inc. (The)(b)(c) 51,900 851,160
McGraw-Hill Cos., Inc. 10,875 626,617
News Corp., Class A 37,250 618,723
Time Warner, Inc. 45,950 771,500
----------
3,408,858
----------
MULTILINE RETAIL - 1.5%
Federated Department Stores, Inc. 8,450 616,850
----------
OIL, GAS & CONSUMABLE FUELS - 6.3%
Exxon Mobil Corp. 26,350 1,603,661
Occidental Petroleum Corp. 6,450 597,592
XTO Energy, Inc. 9,550 416,094
----------
2,617,347
----------
PHARMACEUTICALS - 2.8%
Abbott Laboratories 11,700 496,899
Pfizer, Inc. 27,000 672,840
----------
1,169,739
----------
REAL ESTATE - 1.1%
Simon Property Group, Inc. REIT 5,650 475,391
----------
31
SHARES VALUE (+)
- ------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - CONTINUED
ROAD & RAIL - 2.1%
Burlington Northern Santa Fe Corp. 10,550 $ 879,132
------------
SPECIALTY RETAIL - 3.3%
Office Depot, Inc.(c) 20,100 748,524
TJX Cos, Inc. 25,475 632,289
------------
1,380,813
------------
TOBACCO - 1.5%
Altria Group, Inc. 8,925 632,425
------------
TOTAL COMMON STOCKS
(Identified Cost $29,884,962) 39,578,618
------------
PRINCIPAL AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 11.1%
COMMERCIAL PAPER - 5.0%
Citigroup, Inc., 3.300%, 4/03/06(d) $ 2,087,000 2,086,618
------------
SHARES
- ------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(e) 2,530,770 2,530,770
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $4,617,388) 4,617,388
------------
TOTAL INVESTMENTS - 106.0%
(Identified Cost $34,502,350)(a) 44,196,006
Other assets less liabilities--(6.0)% (2,501,909)
------------
TOTAL NET ASSETS - 100% $ 41,694,097
------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales.):
At March 31, 2006, the net unrealized appreciation on investments based on cost of $34,502,350 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost $ 9,907,123
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (213,467)
------------
Net unrealized appreciation $ 9,693,656
------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Non-income producing security.
(d)Interest rate represents annualized yield at time of purchase; not a coupon
rate.
(e)Represents investment of securities lending collateral.
ADRAn American Depositary Receipt (ADR) is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States.
REITReal Estate Investment Trust.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Capital Markets 8.6% Energy Equipment & Services 4.2%
Media 8.2 Specialty Retail 3.3
Diversified Financial Services 7.2 Electric Utilities 3.2
Commercial Banks 6.5 Communications Equipment 2.9
Insurance 6.4 Pharmaceuticals 2.8
Oil, Gas & Consumable Fuels 6.3 Road & Rail 2.1
Aerospace & Defense 5.6 Electrical Equipment 2.1
Diversified Telecommunications Services 4.6 Other, less than 2% each 20.9
See accompanying notes to financial statements.
32
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2006 (UNAUDITED)
AGGRESSIVE SMALL CAP
GROWTH FUND GROWTH FUND
- ---------------------------------------------------------------------------------------------
ASSETS
Investments at cost $ 52,886,411 $ 27,476,542
Net unrealized appreciation 12,190,694 5,219,354
-------------- --------------
Investments at value 65,077,105 32,695,896
Cash 434 681
Receivable for Fund shares sold 39,928 3,503
Receivable for securities sold 1,222,798 589,496
Dividends and interest receivable 8,442 47
Receivable from investment adviser 12,077 11,679
Securities lending income receivable 5,693 544
-------------- --------------
TOTAL ASSETS 66,366,477 33,301,846
-------------- --------------
LIABILITIES
Collateral on securities loaned, at value (Note 2) 12,115,232 6,265,097
Payable for securities purchased 1,046,130 535,664
Payable for Fund shares redeemed 11,666 9,026
Management fees payable 32,750 16,002
Deferred Trustees' fees 14,661 13,569
Administrative fees payable 5,902 5,531
Trustees' fees payable 8,553 7,475
Service and distribution fees payable 226 28
Other accounts payable and accrued expenses 26,030 30,636
-------------- --------------
TOTAL LIABILITIES 13,261,150 6,883,028
-------------- --------------
NET ASSETS $ 53,105,327 $ 26,418,818
-------------- --------------
Net Assets consist of:
Paid-in capital $ 137,623,741 $ 224,286,109
Undistributed (overdistributed) net investment income (loss) (156,924) (92,937)
Accumulated net realized gain (loss) on investments (96,552,184) (202,993,708)
Net unrealized appreciation on investments 12,190,694 5,219,354
-------------- --------------
NET ASSETS $ 53,105,327 $ 26,418,818
-------------- --------------
NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS
Net assets $ 19,960,685 $ 22,347,646
-------------- --------------
Shares of beneficial interest 880,492 1,710,230
-------------- --------------
Net asset value, offering and redemption price per share $ 22.67 $ 13.07
-------------- --------------
RETAIL CLASS
Net assets $ 33,144,642 $ 4,071,172
-------------- --------------
Shares of beneficial interest 1,492,969 318,949
-------------- --------------
Net asset value, offering and redemption price per share $ 22.20 $ 12.76
-------------- --------------
ADMIN CLASS
Net assets -- --
-------------- --------------
Shares of beneficial interest -- --
-------------- --------------
Net asset value, offering and redemption price per share -- --
-------------- --------------
Value of securities on loan (Note 2) $ 12,029,531 $ 6,169,083
-------------- --------------
See accompanying notes to financial statements.
33
SMALL CAP TAX-MANAGED
VALUE FUND EQUITY FUND VALUE FUND
-------------------------------------------
$ 805,433,992 $ 7,960,141 $ 34,502,350
197,136,828 1,580,121 9,693,656
-------------------------------------------
1,002,570,820 9,540,262 44,196,006
6,143,472 61,057 675
4,756,525 -- 66,339
1,717,043 223,268 514,262
1,724,714 5,941 39,726
-- 10,615 2,974
13,739 -- 168
-------------------------------------------
1,016,926,313 9,841,143 44,820,150
-------------------------------------------
200,515,426 -- 2,530,770
313,285 256,985 550,149
1,005,665 -- --
504,808 4,025 17,406
44,355 12,086 13,781
79,272 919 4,678
26,375 7,086 7,969
2,860 -- --
130,959 1,256 1,300
-------------------------------------------
202,623,005 282,357 3,126,053
-------------------------------------------
$ 814,303,308 $ 9,558,786 $ 41,694,097
-------------------------------------------
$ 574,211,234 $ 12,022,168 $ 30,552,949
1,349,660 22,894 94,201
41,605,586 (4,066,397) 1,353,291
197,136,828 1,580,121 9,693,656
-------------------------------------------
$ 814,303,308 $ 9,558,786 $ 41,694,097
-------------------------------------------
$ 459,739,932 $ 9,558,786 $ 41,694,097
-------------------------------------------
16,178,576 977,717 2,127,488
-------------------------------------------
$ 28.42 $ 9.78 $ 19.60
-------------------------------------------
$ 286,476,921 -- --
-------------------------------------------
10,150,437 -- --
-------------------------------------------
$ 28.22 -- --
-------------------------------------------
$ 68,086,455 -- --
-------------------------------------------
2,438,372 -- --
-------------------------------------------
$ 27.92 -- --
-------------------------------------------
$ 196,745,513 $ -- $ 2,461,946
-------------------------------------------
See accompanying notes to financial statements.
34
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
AGGRESSIVE SMALL CAP
GROWTH FUND GROWTH FUND
- -------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 107,989 $ 15,523
Interest 13,315 8,713
Securities lending income 15,235 4,635
Less net foreign taxes withheld -- --
------------ ------------
136,539 28,871
------------ ------------
EXPENSES
Management fees 182,094 77,882
Distribution fees--Retail Class 36,053 4,396
Service and distribution fees--Admin Class -- --
Trustees' fees and expenses 12,221 10,787
Administrative fees 12,160 4,240
Custodian 8,930 8,712
Transfer agent fees--Institutional Class, Retail Class, Admin Class 43,086 19,132
Audit and tax services 15,847 17,022
Registration 14,590 16,535
Shareholder reporting 11,040 8,614
Legal 1,823 890
Expense recapture (Note 4) -- --
Miscellaneous 3,919 3,302
------------ ------------
Total expenses 341,763 171,512
Less reimbursement/waiver (62,961) (63,273)
------------ ------------
Net expenses 278,802 108,239
------------ ------------
Net investment income (loss) (142,263) (79,368)
------------ ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
REALIZED GAIN ON:
Investments--net 4,392,639 1,675,114
------------ ------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments--net 4,061,978 2,002,401
------------ ------------
Net realized and unrealized gain on investments 8,454,617 3,677,515
------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,312,354 $ 3,598,147
------------ ------------
See accompanying notes to financial statements.
35
SMALL CAP TAX-MANAGED
VALUE FUND EQUITY FUND VALUE FUND
-------------------------------------------
$ 5,478,023 $ 64,892 $ 379,026
453,826 256 19,432
91,376 3 921
(740) -- (58)
-------------------------------------------
6,022,485 65,151 399,321
-------------------------------------------
2,761,265 23,193 96,393
311,974 -- --
165,590 -- --
38,134 10,268 11,497
207,494 2,354 9,873
27,114 6,395 7,667
234,835 696 13,040
16,376 12,323 14,249
27,370 10,096 7,208
58,956 2,941 5,264
21,390 242 1,226
35,456 -- --
16,258 3,112 3,469
-------------------------------------------
3,922,212 71,620 169,886
(132,068) (41,470) (6,081)
-------------------------------------------
3,790,144 30,150 163,805
-------------------------------------------
2,232,341 35,001 235,516
-------------------------------------------
51,432,347 129,889 2,331,266
-------------------------------------------
46,050,133 456,654 1,390,116
-------------------------------------------
97,482,480 586,543 3,721,382
-------------------------------------------
$ 99,714,821 $ 621,544 $ 3,956,898
-------------------------------------------
See accompanying notes to financial statements.
36
STATEMENTS OF CHANGES IN NET ASSETS
AGGRESSIVE GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment loss $ (142,263) $ (372,012)
Net realized gain on investments 4,392,639 8,280,912
Net change in unrealized appreciation (depreciation) on investments 4,061,978 2,760,613
---------------- ------------------
Increase in net assets resulting from operations 8,312,354 10,669,513
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- (280,790)
Retail Class -- (217,988)
CAPITAL GAINS:
Institutional Class -- --
Retail Class -- --
---------------- ------------------
Total Distributions -- (498,778)
---------------- ------------------
DECREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 8) (7,168,345) (8,782,602)
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
Retail Class -- --
---------------- ------------------
Total increase in net assets 1,144,009 1,388,133
---------------- ------------------
NET ASSETS
Beginning of period 51,961,318 50,573,185
---------------- ------------------
End of period $53,105,327 $51,961,318
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (156,924) $ (14,661)
---------------- ------------------
SMALL CAP GROWTH FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment loss $ (79,368) $ (209,903)
Net realized gain on investments 1,675,114 4,895,374
Net change in unrealized appreciation (depreciation) on investments 2,002,401 483,981
---------------- ------------------
Increase in net assets resulting from operations 3,598,147 5,169,452
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class -- --
Retail Class -- --
CAPITAL GAINS:
Institutional Class -- --
Retail Class -- --
---------------- ------------------
Total Distributions -- --
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 8) 3,443,479 (16,249,525)
---------------- ------------------
REDEMPTION FEES
Institutional Class 230 1,091
Retail Class 44 344
---------------- ------------------
Total increase (decrease) in net assets 7,041,900 (11,078,638)
---------------- ------------------
NET ASSETS
Beginning of period 19,376,918 30,455,556
---------------- ------------------
End of period $26,418,818 $ 19,376,918
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (92,937) $ (13,569)
---------------- ------------------
See accompanying notes to financial statements.
37
SMALL CAP VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 2,232,341 $ 2,280,117
Net realized gain on investments 51,432,347 58,138,015
Net change in unrealized appreciation (depreciation) on investments 46,050,133 43,086,275
---------------- ------------------
Increase in net assets resulting from operations 99,714,821 103,504,407
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (2,173,458) (330,114)
Retail Class (748,627) --
Admin Class (47,377) --
CAPITAL GAINS:
Institutional Class (36,009,633) (36,097,787)
Retail Class (21,502,778) (18,456,167)
Admin Class (6,186,131) (6,757,571)
---------------- ------------------
Total Distributions (66,668,004) (61,641,639)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 8) 74,684,439 82,243,991
---------------- ------------------
REDEMPTION FEES
Institutional Class 5,137 5,541
Retail Class 3,053 3,209
Admin Class 809 956
---------------- ------------------
Total increase in net assets 107,740,255 124,116,465
---------------- ------------------
NET ASSETS
Beginning of period 706,563,053 582,446,588
---------------- ------------------
End of period $814,303,308 $706,563,053
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 1,349,660 $ 2,086,781
---------------- ------------------
TAX-MANAGED EQUITY FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 35,001 $ 46,163
Net realized gain on investments 129,889 19,715
Net change in unrealized appreciation (depreciation) on investments 456,654 533,250
---------------- ------------------
Increase in net assets resulting from operations 621,544 599,128
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (54,165) (23,811)
CAPITAL GAINS:
Institutional Class -- --
---------------- ------------------
Total Distributions (54,165) (23,811)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 8) (238,867) 3,452,918
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 328,512 4,028,235
NET ASSETS
Beginning of period 9,230,274 5,202,039
---------------- ------------------
End of period $9,558,786 $9,230,274
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 22,894 $ 42,058
---------------- ------------------
See accompanying notes to financial statements.
38
STATEMENTS OF CHANGES IN NET ASSETS
VALUE FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- -----------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 235,516 $ 397,776
Net realized gain on investments 2,331,266 2,769,664
Net change in unrealized appreciation (depreciation) on investments 1,390,116 2,911,452
---------------- ------------------
Increase in net assets resulting from operations 3,956,898 6,078,892
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (530,299) (524,122)
CAPITAL GAINS:
Institutional Class (1,548,378) --
---------------- ------------------
Total Distributions (2,078,677) (524,122)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 8) 2,561,275 (1,863,227)
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 4,439,496 3,691,543
---------------- ------------------
NET ASSETS
Beginning of period 37,254,601 33,563,058
---------------- ------------------
End of period $41,694,097 $37,254,601
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ 94,201 $ 388,984
---------------- ------------------
See accompanying notes to financial statements.
39
THIS PAGE INTENTIONALLY LEFT BLANK
40
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of the investment gain (loss) on investment net investment realized
period income (loss) investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
AGGRESSIVE GROWTH FUND
INSTITUTIONAL CLASS
3/31/2006(e) $19.00 $(0.05)(c) $ 3.72 $ 3.67 $ -- $ --
9/30/2005 15.50 (0.10)(c) 3.78 3.68 (0.18) --
9/30/2004 13.69 (0.13)(c) 1.94 1.81 -- --
9/30/2003 10.70 (0.10)(c) 3.09 2.99 -- --
9/30/2002 13.56 (0.13)(c) (2.73) (2.86) -- --
9/30/2001 47.71 (0.20)(c) (33.43) (33.63) -- (0.52)
RETAIL CLASS
3/31/2006(e) $18.63 $(0.07)(c) $ 3.64 $ 3.57 $ -- $ --
9/30/2005 15.20 (0.14)(c) 3.70 3.56 (0.13) --
9/30/2004 13.46 (0.16)(c) 1.90 1.74 -- --
9/30/2003 10.55 (0.13)(c) 3.04 2.91 -- --
9/30/2002 13.41 (0.16)(c) (2.70) (2.86) -- --
9/30/2001 47.33 (0.25)(c) (33.15) (33.40) -- (0.52)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized.
(b) The adviser has agreed to waive/reimburse a portion of the Fund's expenses
during the period. Without this waiver/reimbursement the Fund's ratio of
operating expenses would have been higher.
(c) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(d) Annualized for periods less than one year.
(e) For the six months ended March 31, 2006 (Unaudited).
See accompanying notes to financial statements.
41
See accompanying notes to financial statements.
42
RATIOS TO AVERAGE NET ASSETS:
- --------------- --------------------------------------------------
Net asset Net assets,
value, Total end of Net Portfolio
Total Redemption end of the return the period Net Gross investment turnover
distributions fee period %(a) (000) Expenses %(b)(d) Expenses %(d) income (loss) %(d) rate %
- -------------------------------------------------------------------------------------------------------------------
$ -- $-- $22.67 19.4 $19,961 1.00 1.16 (0.45) 95
(0.18) -- 19.00 23.9 26,159 1.00 1.21 (0.60) 280
-- -- 15.50 13.2 25,191 1.00 1.17 (0.84) 284
-- -- 13.69 27.9 23,866 1.00 1.23 (0.88) 248
-- -- 10.70 (21.1) 13,421 1.00 1.31 (0.91) 220
(0.52) -- 13.56 (71.1) 16,347 1.00 1.13 (0.75) 258
$ -- $-- $22.20 19.2 $33,145 1.25 1.58 (0.68) 95
(0.13) -- 18.63 23.6 25,802 1.25 1.50 (0.85) 280
-- -- 15.20 12.9 25,382 1.25 1.42 (1.10) 284
-- -- 13.46 27.6 32,813 1.25 1.47 (1.13) 248
-- -- 10.55 (21.3) 26,885 1.25 1.45 (1.16) 220
(0.52) -- 13.41 (71.2) 41,456 1.25 1.37 (1.01) 258
FINANCIAL HIGHLIGHTS - CONTINUED
INCOME (LOSS) FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of the investment gain (loss) on investment net investment realized
period income (loss) investments operations income capital gains
- -----------------------------------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
INSTITUTIONAL CLASS
3/31/2006(f) $11.08 $(0.04)(c) $ 2.03 $ 1.99 $ -- $ --
9/30/2005 8.96 (0.08)(c) 2.20 2.12 -- --
9/30/2004 8.59 (0.09)(c) 0.46 0.37 -- --
9/30/2003 6.35 (0.06)(c) 2.30 2.24 -- --
9/30/2002 8.83 (0.08)(c) (2.40) (2.48) -- --
9/30/2001 26.98 (0.12)(c) (17.06) (17.18) -- (0.97)
RETAIL CLASS
3/31/2006(f) $10.84 $(0.06)(c) $ 1.98 $ 1.92 $ -- $ --
9/30/2005 8.78 (0.11)(c) 2.17 2.06 -- --
9/30/2004 8.45 (0.11)(c) 0.44 0.33 -- --
9/30/2003 6.26 (0.08)(c) 2.27 2.19 -- --
9/30/2002 8.72 (0.10)(c) (2.36) (2.46) -- --
9/30/2001 26.74 (0.15)(c) (16.90) (17.05) -- (0.97)
SMALL CAP VALUE FUND
INSTITUTIONAL CLASS
3/31/2006(f) $27.43 $ 0.10(c) $ 3.46 $ 3.56 $(0.15) $(2.42)
9/30/2005 25.75 0.13(c) 4.22 4.35 (0.02) (2.65)
9/30/2004 21.34 0.04(c) 4.97 5.01 (0.05) (0.55)
9/30/2003 17.28 0.05(c) 4.01 4.06 -- --
9/30/2002 19.89 0.10(c) (0.36) (0.26) (0.11) (2.24)
9/30/2001 20.42 0.16(c) 0.60 0.76 (0.20) (1.09)
RETAIL CLASS
3/31/2006(f) $27.23 $ 0.07(c) $ 3.42 $ 3.49 $(0.08) $(2.42)
9/30/2005 25.62 0.06(c) 4.20 4.26 -- (2.65)
9/30/2004 21.25 (0.02)(c) 4.95 4.93 (0.01) (0.55)
9/30/2003 17.25 (0.00)(c)(d) 4.00 4.00 -- --
9/30/2002 19.85 0.05(c) (0.35) (0.30) (0.06) (2.24)
9/30/2001 20.38 0.11(c) 0.60 0.71 (0.15) (1.09)
ADMIN CLASS
3/31/2006(f) $26.94 $ 0.03(c) $ 3.39 $ 3.42 $(0.02) $(2.42)
9/30/2005 25.43 (0.00)(c)(d) 4.16 4.16 -- (2.65)
9/30/2004 21.13 (0.08)(c) 4.93 4.85 -- (0.55)
9/30/2003 17.20 (0.05)(c) 3.98 3.93 -- --
9/30/2002 19.80 (0.00)(c)(d) (0.35) (0.35) (0.01) (2.24)
9/30/2001 20.34 0.05(c) 0.60 0.65 (0.10) (1.09)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized.
(b) The adviser has agreed to waive/reimburse a portion of the Fund's expenses
during the period. Without this waiver/reimbursement the Fund's ratio of
operating expenses would have been higher.
(c) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(d) Amount rounds to less than $0.01 per share.
(e) Annualized for periods less than one year.
(f) For the six months ended March 31, 2006 (Unaudited).
(g) Includes expense recapture of 0.02%. See Note 4 of Notes to Financial
Statements.
See accompanying notes to financial statements.
43
RATIOS TO AVERAGE NET ASSETS:
- -------------- ----------------------------------
Net asset Net assets, Net
value, Total end of Net Gross investment Portfolio
Total Redemption end of the return the period Expenses Expenses income(loss) turnover
distributions fee period %(a) (000) %(b)(e) %(e) %(e) rate %
- --------------------------------------------------------------------------------------------------
$ -- $0.00(d) $13.07 18.0 $ 22,348 1.00 1.57 (0.72) 53
-- 0.00(d) 11.08 23.7 15,785 1.00 1.70 (0.85) 227
-- 0.00(d) 8.96 4.3 15,867 1.00 1.31 (0.95) 217
-- -- 8.59 35.3 22,519 1.00 1.19 (0.91) 190
-- -- 6.35 (28.1) 42,415 1.00 1.07 (0.90) 162
(0.97) -- 8.83 (65.2) 124,479 0.99 0.99 (0.74) 140
$ -- $0.00(d) $12.76 17.7 $ 4,071 1.25 2.07 (0.98) 53
-- 0.00(d) 10.84 23.5 3,592 1.25 1.87 (1.14) 227
-- 0.00(d) 8.78 3.9 14,589 1.25 1.52 (1.19) 217
-- -- 8.45 35.0 30,345 1.25 1.43 (1.17) 190
-- -- 6.26 (28.2) 32,135 1.25 1.33 (1.15) 162
(0.97) -- 8.72 (65.3) 50,197 1.25 1.26 (1.01) 140
$(2.57) $0.00(d) $28.42 14.1 $459,740 0.90 0.90/(g)/ 0.74 33
(2.67) 0.00(d) 27.43 18.0 403,110 0.90 0.93 0.48 59
(0.60) 0.00(d) 25.75 23.8 346,356 0.90 0.93 0.16 70
-- -- 21.34 23.5 289,945 0.90 0.94 0.26 74
(2.35) -- 17.28 (2.6) 234,370 0.94 0.96 0.48 86
(1.29) -- 19.89 3.9 215,439 0.98 0.98 0.76 98
$(2.50) $0.00(d) $28.22 13.9 $286,477 1.15 1.20 0.49 33
(2.65) 0.00(d) 27.23 17.7 235,948 1.15 1.20 0.24 59
(0.56) 0.00(d) 25.62 23.5 173,411 1.15 1.18 (0.08) 70
-- -- 21.25 23.2 140,152 1.15 1.20 (0.01) 74
(2.30) -- 17.25 (2.8) 86,816 1.19 1.20 0.22 86
(1.24) -- 19.85 3.6 97,544 1.22 1.22 0.51 98
$(2.44) $0.00(d) $27.92 13.8 $ 68,086 1.40 1.62 0.23 33
(2.65) 0.00(d) 26.94 17.4 67,505 1.40 1.43 (0.01) 59
(0.55) 0.00(d) 25.43 23.3 62,680 1.40 1.43 (0.33) 70
-- -- 21.13 22.9 37,411 1.40 1.47 (0.27) 74
(2.25) -- 17.20 (3.0) 24,655 1.44 1.53 (0.01) 86
(1.19) -- 19.80 3.3 16,471 1.50 1.59 0.23 98
See accompanying notes to financial statements.
44
FINANCIAL HIGHLIGHTS - CONTINUED
INCOME (LOSS) FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------------ ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of the investment gain (loss) on investment net investment realized
period income investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
TAX-MANAGED EQUITY FUND
INSTITUTIONAL CLASS
3/31/2006(e) $ 9.20 $0.04(c) $ 0.60 $ 0.64 $(0.06) $ --
9/30/2005 8.49 0.05(c) 0.69 0.74 (0.03) --
9/30/2004 7.66 0.05(c) 0.97 1.02 (0.19) --
9/30/2003 6.78 0.06(c) 0.85 0.91 (0.03) --
9/30/2002 7.67 0.06(c) (0.81) (0.75) (0.14) --
9/30/2001 11.16 0.12(c) (1.60) (1.48) (0.09) (1.92)
VALUE FUND
INSTITUTIONAL CLASS
3/31/2006(e) $18.72 $0.12(c) $ 1.82 $ 1.94 $(0.27) $(0.79)
9/30/2005 15.95 0.20(c) 2.83 3.03 (0.26) --
9/30/2004 13.52 0.21(c) 2.39 2.60 (0.17) --
9/30/2003 11.17 0.15(c) 2.29 2.44 (0.09) --
9/30/2002 13.90 0.13(c) (2.42) (2.29) (0.16) (0.28)
9/30/2001 15.12 0.14(c) (1.19) (1.05) (0.17) --
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses. Periods less than one year
are not annualized.
(b) The adviser has agreed to waive/reimburse a portion of the Fund's expenses
during the period. Without this waiver/reimbursement the Fund's ratio of
operating expenses would have been higher.
(c) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(d) Annualized for periods less than one year.
(e) For the six months ended March 31, 2006 (Unaudited).
See accompanying notes to financial statements.
45
RATIOS TO AVERAGE NET ASSETS:
- -------------- -------------------------------------------
Net asset Net assets,
value, end of the Net Portfolio
Total Redemption end of the Total period Net Gross investment turnover
distributions fee period return %(a) (000) Expenses %(b)(d) Expenses %(d) income %(d) rate %
- ----------------------------------------------------------------------------------------------------------------
$(0.06) $-- $ 9.78 7.0 $ 9,559 0.65 1.54 0.75 31
(0.03) -- 9.20 8.7 9,230 0.65 2.02 0.59 38
(0.19) -- 8.49 13.4 5,202 0.65 3.39 0.59 27
(0.03) -- 7.66 13.5 2,490 0.65 1.82 0.81 200
(0.14) -- 6.78 (10.1) 17,426 0.65 1.14 0.72 188
(2.01) -- 7.67 (15.9) 19,211 0.65 1.05 1.29 300
$(1.06) $-- $19.60 10.7 $41,694 0.85 0.88 1.22 19
(0.26) -- 18.72 19.2 37,255 0.85 0.92 1.13 34
(0.17) -- 15.95 19.4 33,563 0.85 0.93 1.38 47
(0.09) -- 13.52 22.0 37,959 0.85 0.92 1.23 56
(0.44) -- 11.17 (17.2) 33,025 0.85 0.90 0.90 66
(0.17) -- 13.90 (7.1) 39,549 0.85 0.96 0.87 90
See accompanying notes to financial statements.
46
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2006 (UNAUDITED)
1. ORGANIZATION. Loomis Sayles Funds I and Loomis Sayles Funds II (the "Trusts"
and each a "Trust") are each organized as a Massachusetts business trust. Each
Trust is registered under the Investment Company Act of 1940, as amended (the
"1940 Act"), as an open-end investment management company. Each Declaration of
Trust permits the Board of Trustees to authorize the issuance of an unlimited
number of shares of the Trusts in multiple series (individually, a "Fund" and
collectively, the "Funds"). Shares of Loomis Sayles Tax-Managed Equity Fund
were first registered under the Securities Act of 1933 (the "1933 Act")
effective March 7, 1997 (subsequent to its commencement of investment
operations). Information presented in these financial statements pertains to
certain equity funds of the Trusts; the financial statements for the remaining
equity funds and the fixed income funds are presented in separate reports. The
following Funds are included in this report:
LOOMIS SAYLES FUNDS I:
Loomis Sayles Small Cap Value Fund (the "Small Cap Value Fund")
LOOMIS SAYLES FUNDS II:
Loomis Sayles Aggressive Growth Fund (the "Aggressive Growth Fund")
Loomis Sayles Small Cap Growth Fund (the "Small Cap Growth Fund")
Loomis Sayles Tax-Managed Equity Fund (the "Tax-Managed Equity Fund")
Loomis Sayles Value Fund (the "Value Fund")
Each Fund offers Institutional Class Shares. Aggressive Growth Fund, Small Cap
Growth Fund and Small Cap Value Fund also offer Retail Class Shares. In
addition, Small Cap Value Fund offers Admin Class Shares.
Most expenses of the Trusts can be directly attributed to a Fund. Expenses
which can not be directly attributed to a Fund are generally apportioned based
on the relative net assets of each of the Funds in the Trusts. Expenses of a
Fund are borne pro rata by the holders of each Class of shares, except that
each Class bears expenses unique to that Class (including the Rule 12b-1
service and distribution fees and transfer agent fees applicable to such
Class), and 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 dividends 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 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.
A. SECURITY VALUATION. Equity securities for which market quotations are
readily available are valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Such pricing services generally use the security's last sale
price on the exchange or market where primarily traded or, if there is no
reported sale during the day, the closing bid price. Securities traded on the
NASDAQ National Market are valued at the NASDAQ Official Closing Price
("NOCP"), or if lacking an NOCP, at the most recent bid quotation on the NASDAQ
National Market. Debt securities for which market quotations are readily
available (other than short-term obligations with a remaining maturity of less
than 60 days) are generally valued at market value, as reported by pricing
services recommended by the investment adviser's pricing committee and approved
by the Board of Trustees. Such pricing services generally use the most recent
bid prices in the principal market in which such securities are normally
traded. Broker-dealer bid quotations may also be used to value debt and equity
securities where a pricing service does not price a security or where a pricing
service does not provide a reliable price for the security. Short-term
obligations with a remaining maturity of 60 days or less are valued at
amortized cost, which approximates market value. Securities for which market
quotations are not readily available (including restricted securities, if any)
are valued at fair value as determined in good faith by the Funds' investment
adviser using consistently applied procedures under the general supervision of
the Board of Trustees. Investments in other open-end investment companies are
valued at the net asset value each day.
The Funds may hold securities traded in foreign markets. Foreign securities are
valued at the market price in the foreign market. However, if events occurring
after the close of the foreign market (but before the close of regular trading
on the New York Stock Exchange) are believed to materially affect the value of
those securities, such securities are fair valued pursuant to procedures
approved by the Board of Trustees. When fair valuing equity securities, a Fund
may, among other things, use modeling tools or other processes that may take
into account factors such as securities market activity and/or significant
events that occur after the close of the foreign market and before the Fund
calculates its net asset value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME. Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon thereafter as the
Fund is notified, and interest
47
income is recorded on an accrual basis. Interest income is increased by the
accretion of discount and decreased by the amortization of premium. Investment
income is recorded net of foreign taxes withheld when applicable. The Funds
estimate the components of distributions received from Real Estate Investment
Trusts (REITs). In determining net gain or loss on securities sold, the cost of
securities has been determined on an identified cost basis. Investment income
and realized and unrealized gains and losses are allocated on a pro rata basis
to each class based on 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 US dollars. The value of securities, currencies and other assets
and liabilities denominated in currencies other than US dollars are translated
into US dollars based upon foreign exchange rates prevailing at the end of the
period. Purchases and sales of investment securities, income and expenses are
translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange
rates prevailing at the end of the period, it is not practical to isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities. Such changes are included with the net realized and unrealized gain
or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currency, currency gains or losses realized between the trade and settlement
dates on securities transactions and the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the Funds' books
and the US dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, at the end of the fiscal period, resulting from changes
in exchange rates.
Each Fund may use foreign currency exchange contracts to facilitate
transactions in foreign-denominated investments. Losses may arise from changes
in the value of the foreign currency or if the counterparties do not perform
under the contracts' terms.
Each Fund may purchase investments of foreign issuers. Investing in securities
of foreign issuers involves special risks and considerations not typically
associated with investing in US companies and securities of the US government.
These risks include revaluation of currencies and the risk of appropriation.
Moreover, the markets for securities of many foreign issuers may be less liquid
and the prices of such securities may be more volatile than those of comparable
US companies and the US government.
D. FORWARD FOREIGN CURRENCY CONTRACTS. Each Fund may enter into forward foreign
currency exchange contracts. Contracts to buy generally are used to acquire
exposure to foreign currencies, while contracts to sell are used to hedge a
Fund's investments against currency fluctuation. Also, a contract to buy or
sell can offset a previous contract. These contracts involve market risk in
excess of the unrealized gain or loss reflected in the Fund's Statement of
Assets and Liabilities. The US dollar value of the currencies a Fund has
committed to buy or sell represents the aggregate exposure to each currency the
Fund has acquired or hedged through currency contracts outstanding at period
end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. 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 US dollar. At March 31, 2006, there were no open forward currency contracts.
E. FEDERAL AND FOREIGN INCOME TAXES. The Trusts treat each Fund as a separate
entity for federal income tax purposes. Each Fund intends to meet the
requirements of the Internal Revenue Code 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.
Accordingly, no provision for federal income tax has been made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities. Such
taxes are accrued as applicable.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions are
recorded on ex-dividend date. The timing and characterization of certain income
and capital gain distributions are determined in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. Permanent differences are primarily due to
differing treatments for book and tax purposes of items such as distributions
from real estate investment trusts, net operating losses, non-deductible
expenses, foreign currency transactions, gains realized from passive foreign
investment companies and redemptions in kind. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to capital accounts. Distributions from net investment income
and short-term capital gains are considered to be ordinary income for tax
purposes.
48
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
The tax characterization of distributions is determined on an annual basis. The
tax character of distributions paid to shareholders during the year ended
September 30, 2005 was as follows:
2005 DISTRIBUTIONS PAID FROM:
-------------------------------------
ORDINARY LONG-TERM
INCOME CAPITAL GAINS TOTAL
----------- ------------- -----------
Aggressive Growth Fund $ 498,778 $ -- $ 498,778
Small Cap Growth Fund -- -- --
Small Cap Value Fund 24,071,753 37,569,886 61,641,639
Tax-Managed Equity Fund 23,811 -- 23,811
Value Fund 524,122 -- 524,122
As of September 30, 2005, the capital loss carryforwards were as follows:
AGGRESSIVE SMALL CAP SMALL CAP TAX-MANAGED
CAPITAL LOSS CARRYFORWARD GROWTH FUND GROWTH FUND VALUE FUND EQUITY FUND VALUE FUND
- ------------------------- ------------- ------------- ---------- ----------- ----------
Expires September 30, 2009 $ -- $ -- $-- $ (214,505) $--
Expires September 30, 2010 (79,794,012) (145,381,318) -- (2,177,191) --
Expires September 30, 2011 (21,142,388) (59,283,040) -- (1,662,157) --
Expires September 30, 2012 -- -- -- (110,150) --
Expires September 30, 2013 -- -- -- (17,395) --
------------- ------------- ---------- ----------- ----------
Total capital loss carryforward $(100,936,400) $(204,664,358) $-- $(4,181,398) $--
------------- ------------- ---------- ----------- ----------
G. REPURCHASE AGREEMENTS. Each Fund, through its custodian, receives delivery
of the underlying securities collateralizing repurchase agreements. It is each
Fund's policy that the market value of the collateral be at least equal to 102%
of the repurchase price, including interest. The repurchase agreements are
tri-party arrangements whereby the collateral is held at the custodian bank 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.
H. SECURITIES LENDING. The Funds have entered into an agreement with State
Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to
lend securities to certain designated borrowers. The loans are collateralized
with cash or securities in an amount equal to at least 105% or 102% of the
market value of the loaned international equity or domestic securities,
respectively, when the loan is initiated. Thereafter, the value of the
collateral must remain at 102% of the market value of loaned securities for US
equities and US corporate debt; at least 105% of the market value of loaned
securities for non-US equities; and at least 100% of the market value of loaned
securities for US government and agency securities, sovereign debt issued by
non-US governments and non-US corporate debt. In the event that the market
value of the collateral falls below the required percentages described above,
the borrower will deliver additional collateral on the next business day. As
with other extensions of credit, the Funds may bear the risk of loss with
respect to the investment of the collateral. The Funds invest cash collateral
in short-term investments, a portion of the income from which is remitted to
the borrowers and the remainder allocated between the Funds and State Street
Bank as lending agent. The market value of securities on loan to borrowers and
the value of collateral held by the Funds with respect to such loans at
March 31, 2006, were as follows:
MARKET VALUE VALUE OF
FUND ON LOAN COLLATERAL
- ---- ------------ ------------
Aggressive Growth Fund $ 12,029,531 $ 12,115,232
Small Cap Growth Fund 6,169,083 6,265,097
Small Cap Value Fund 196,745,513 200,515,426
Tax-Managed Fund -- --
Value Fund 2,461,946 2,530,770
I. INDEMNIFICATIONS. Under the Funds' organizational documents, its officers
and Trustees are indemnified against certain liability 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 Funds that have not yet occurred. However, based on experience, the
Funds expect the risk of loss to be remote.
49
3. PURCHASES AND SALES OF SECURITIES. For the six months ended March 31, 2006,
purchases and sales of securities (excluding short-term investments and US
Government/Agency Securities) were as follows:
FUND PURCHASES SALES
- ---- ------------ ------------
Aggressive Growth Fund $ 45,939,509 $ 54,602,191
Small Cap Growth Fund 13,997,043 10,848,162
Small Cap Value Fund 231,948,097 238,009,238
Tax-Managed Equity Fund 2,865,488 3,139,643
Value Fund 7,191,724 7,182,146
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES. Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as
the investment adviser to each Fund. Separate management agreements for each
Fund in effect for the six months ended March 31, 2006, provide for fees at the
following annual percentage rates of each Fund's average daily net assets.
Loomis Sayles has contractually agreed, until January 31, 2007, to reduce its
advisory fees and/or bear other expenses, to the extent necessary to limit the
total operating expenses of each Fund, to the following annual percentage rate
of the Fund's average daily net assets:
EXPENSE LIMIT AS A PERCENTAGE OF
AVERAGE DAILY NET ASSETS
MANAGEMENT -------------------------------
FUND FEES INSTITUTIONAL RETAIL ADMIN
---- ---------- ------------- ------ -----
Aggressive Growth Fund 0.75% 1.00% 1.25% --
Small Cap Growth Fund 0.75% 1.00% 1.25% --
Small Cap Value Fund 0.75% 0.90% 1.15% 1.40%
Tax-Managed Equity Fund 0.50% 0.65% -- --
Value Fund 0.50% 0.85% -- --
For the six months ended March 31, 2006, the management fees and waivers for
each Fund were as follows:
PERCENTAGE OF
GROSS WAIVER OF NET AVERAGE DAILY NET ASSETS
- - MANAGEMENT MANAGEMENT MANAGEMENT ------------------------
FUND FEE FEE FEE GROSS NET
- ---- ---------- ---------- ---------- ----- -----
Aggressive Growth Fund $ 182,094 $39,332 $ 142,762 0.75% 0.59%
Small Cap Growth Fund 77,882 58,754 19,128 0.75% 0.18%
Small Cap Value Fund 2,761,265 0 2,761,265 0.75% 0.75%
Tax-Managed Equity Fund 23,193 23,193 -- 0.50% 0.00%
Value Fund 96,393 6,081 90,312 0.50% 0.47%
For the six months ended March 31, 2006, in addition to the waiver of
management fees, expenses have been reimbursed as follows:
EXPENSES
FUND REIMBURSED
- ---- ----------
Aggressive Growth Fund $ 23,629
Small Cap Growth Fund 4,519
Small Cap Value Fund 132,068
Tax-Managed Equity Fund 18,277
Value Fund --
Loomis Sayles has given binding undertakings to certain Funds to defer its
management fees and, if necessary, bear certain expenses associated with these
funds to limit their operating expenses. These undertakings are in effect until
the date indicated above and will be reevaluated on an annual basis.
Loomis Sayles is permitted to recover expenses it has borne under the expense
limitation agreement (whether through reduction of its management fees or
otherwise) in later periods to the extent the Funds' expenses fall below the
expense limits, provided, however, that the Funds are not obligated to pay such
deferred fees more than one year after the end of the fiscal year in which the
fee was deferred.
50
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
At March 31, 2006, the amounts subject to possible reimbursement under the
expense limitation agreements were as follows:
EXPENSES SUBJECT TO EXPENSES SUBJECT TO
POSSIBLE POSSIBLE
REIMBURSEMENT UNTIL REIMBURSEMENT UNTIL
FUND SEPTEMBER 30, 2006 SEPTEMBER 30, 2007
- ---- ------------------- -------------------
Aggressive Growth Fund $116,730 $ 62,961
Small Cap Growth Fund 151,644 63,273
Small Cap Value Fund 189,817 132,068
Tax-Managed Fund 106,971 41,470
Value Fund 26,275 6,081
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trusts. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management US Group, L.P. ("IXIS US Group") (formerly IXIS Asset Management
North America L.P.) which is part of IXIS Asset Management Group, an
international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly by
three large affiliated French financial services entities: the Caisse Nationale
des Caisses d'Epargne, a financial institution owned by CDC (as defined below)
and by French regional savings banks known as the Caisses d'Epargne; the Caisse
des Depots et Consignations ("CDC"), a public sector financial institution
created by the French government in 1816; and CNP Assurances, a large French
life insurance company.
B. ADMINISTRATIVE FEES. IXIS Asset Management Advisors, L.P. ("IXIS Advisors")
provides certain administrative services to the Funds and has subcontracted
with State Street Bank to serve as sub-administrator.
Pursuant to the agreement between the Trusts, IXIS Advisor Funds Trust I, IXIS
Advisor Funds Trust II, IXIS Advisor Funds Trust III, IXIS Advisor Funds Trust
IV and IXIS Cash Management Trust ("IXIS Advisor Funds Trusts")(collectively,
the "Trusts") and IXIS Advisors, each Fund paid IXIS Advisors its pro rata
portion of a group fee for these services representing the higher amount based
on the following calculations:
(1)Percentage of Average Daily Net Assets
FIRST NEXT OVER
$5 BILLION $5 BILLION $10 BILLION
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Fund's pro rata portion, allocated based on the combined
assets of the Trusts and the IXIS Advisors Funds Trusts, of the
annual aggregate minimum fee of $5 million.
For the six months ended March 31, 2006, fees paid to IXIS Advisors for
administrative fees were as follows:
ADMINISTRATIVE
FUND FEES
- ---- --------------
Aggressive Growth Fund $ 12,160
Small Cap Growth Fund 4,240
Small Cap Value Fund 207,494
Tax-Managed Equity Fund 2,354
Value Fund 9,873
C. SERVICE AND DISTRIBUTION FEES. The Trusts have entered into a distribution
agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"),
a wholly owned subsidiary of IXIS US Group. Pursuant to this agreement, IXIS
Distributors serves as principal underwriter of the various Funds of the Trusts
except for Loomis Sayles Investment Grade Bond Fund--Class J.
Pursuant to Rule 12b-1 under the 1940 Act, Aggressive Growth Fund, Small Cap
Growth Fund and Small Cap Value Fund have adopted Distribution Plans relating
to each Fund's Retail Class shares (the "Retail Class Plan") and Small Cap
Value Fund has adopted a separate Distribution Plan relating to Admin Class
shares (the "Admin Class Plan").
Under the respective Retail Class and Admin Class Plans, each Fund pays IXIS
Distributors 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 and
Admin Class Shares, as
51
reimbursement for expenses incurred by IXIS Distributors in providing personal
services to investors in Retail Class and Admin Class Shares and/or maintenance
of shareholder accounts. In addition, the Admin Class shares of the Small Cap
Value Fund may pay a shareholder service fee, at an annual rate not to exceed
0.25% of the average daily net assets attributable to Admin Class shares, to
securities dealers or financial intermediaries for providing personal service
and account maintenance for their customers who hold such shares.
D. TRUSTEES FEES AND EXPENSES. The Funds do not pay any compensation directly
to its officers or Trustees who are directors, officers or employees of IXIS
Advisors, IXIS Distributors, IXIS US Group, Loomis Sayles or their affiliates.
The Chairperson of the Board receives a retainer fee at the annual rate of
$200,000. The Chairperson does not receive any meeting attendance fees for
Board of Trustees meetings or committee meetings that she attends. Each
independent Trustee (other than the Chairperson) receives, in the aggregate, a
retainer fee at the annual rate of $55,000. Each independent Trustee also
receives a meeting attendance fee of $6,000 for each meeting of the Board of
Trustees that he or she attends in person and $3,000 for each meeting of the
Board of Trustees that he or she attends telephonically. In addition, each
committee chairman receives an additional retainer fee at the annual rate of
$10,000. Each committee member receives $4,000 or $5,000 for each Contract and
Governance or Audit Committee meeting, respectively, that he or she attends in
person and $2,000 or $2,500 for each Contract and Governance or Audit Committee
meeting, respectively, that he or she attends telephonically. These fees are
allocated among the funds in the Trusts based on a formula that takes into
account, among other factors, the relative net assets of each fund. Trustees
are reimbursed for travel expenses in connection with attendance at meetings.
Prior to November 18, 2005, the Trusts had co-chairmen of the Board. Prior to
October 1, 2005, each independent Trustee received, in the aggregate, a
retainer fee at the annual rate of $50,000 and meeting attendance fees of
$5,000 for each meeting of the Board of Trustees that he or she attended. The
co-chairmen of the Board each received an additional annual retainer of
$25,000. Each committee chairman received an additional retainer fee at the
annual rate of $7,000. Each committee member received $3,750 for each committee
meeting that he or she attended. In addition, during the period October 1, 2005
to November 18, 2005, each co-chairman received an additional one-time payment
of $25,000 as compensation for their services as chairmen.
Prior to January 1, 2006, each committee member was compensated $4,000 for each
Audit Committee meeting that he or she attended in person and $2,000 for such
meeting he or she attended telephonically.
A deferred compensation plan (the "Plan") is available to the Trustees on a
voluntary basis. Each participating Trustee will receive an amount equal to the
value that such deferred compensation would have been had it been invested in a
designated fund or certain other funds of the Trusts on the normal payment
date. Deferred amounts remain in the Funds until distributed in accordance with
the Plan.
Additionally, the Board of Trustees has approved the use of the Funds' assets
to pay their portion of the annual salary for 2005 of an employee at IXIS
Advisors who supports the Funds' Chief Compliance Officer. For the period
October 1, 2005 through December 31, 2005, each Fund's portion of such expense
was approximately $575.
E. REDEMPTION FEES. Shareholders of Small Cap Growth Fund and Small Cap Value
Fund will be charged a 2% redemption fee if they redeem, including redeeming by
exchange, any class of shares of these Funds within 60 days of their
acquisition (including acquisition by exchange). The redemption fee is intended
to offset the costs to the Funds of short-term trading, such as portfolio
transaction and market impact costs associated with redemption activity and
administrative costs associated with processing redemptions. The redemption fee
is deducted from the shareholder's redemption or exchange proceeds and is paid
to the Fund. The "first-in, first-out" (FIFO) method is used to determine the
holding period of redeemed or exchanged shares, which means that if shares were
acquired on different days, the shares acquired first will be redeemed or
exchanged first for purposes of determining whether the redemption fee applies.
A new holding period begins with each purchase or exchange. These fees are
accounted for as an addition to paid-in capital and are presented on the
Statements of Changes in Net Assets.
5. LINE OF CREDIT. Each Fund, together with certain other Funds of the Trusts,
participates in a $75 million committed line of credit provided by State Street
Bank. Advances under the line are taken primarily for emergency purposes.
Interest is charged to a Fund based on its borrowings at a rate per annum equal
to the Federal Funds rate plus 0.50%. In addition, a Fund is charged its pro
rata portion of a facility fee equal to 0.09% per annum on the unused portion
of the line of credit. For the period ended March 31, 2006, the Funds had no
borrowing under this agreement.
6. BROKERAGE COMMISSION RECAPTURE. Each Fund has entered into agreements with
certain brokers whereby the brokers will rebate a portion of brokerage
commissions. All amounts rebated by the brokers are returned to the Funds under
such agreements and are
52
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
included in realized gains in the Statements of Operations. For the six months
ended March 31, 2006, amounts rebated under these agreements were as follows:
FUND REBATES
- ---- -------
Aggressive Growth Fund $12,847
Small Cap Growth Fund 1,925
Small Cap Value Fund 48,650
Tax-Managed Equity 870
7. SHAREHOLDERS. At March 31, 2006, Loomis Sayles owned 259,319 shares,
equating to 26.5% of Tax-Managed Equity Fund shares outstanding. At March 31,
2006, the Loomis Sayles Funded Pension Plan ("Pension Plan") and the Loomis
Sayles Employees' Profit Sharing Retirement Plan held shares of beneficial
interest in the Funds as follows:
PROFIT SHARING
FUND PENSION PLAN RETIREMENT PLAN
- ---- ------------ ---------------
Aggressive Growth Fund 319,727 352,762
Small Cap Growth Fund 364,448 371,388
Small Cap Value Fund 368,767 601,497
Value Fund 494,545 432,883
At March 31, 2006, one shareholder owned 10.1% of the Loomis Sayles Aggressive
Growth Fund's total outstanding shares; one shareholder owned 13.8% of the
Loomis Sayles Small Cap Growth Fund's total outstanding shares; four
shareholders individually owned more than 5% of the Loomis Sayles Tax-Managed
Equity Fund's total outstanding shares, representing, in aggregate, 46.7% of
the Fund; and two shareholders individually owned more than 5% of the Loomis
Sayles Value Fund's total outstanding shares, representing, in aggregate, 11.5%
of the Fund.
8. CAPITAL SHARES. Each Fund may issue an unlimited number of shares of
beneficial interest without par value. Transactions in capital shares were as
follows:
AGGRESSIVE GROWTH FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ -------- ------------
Issued from the sale of shares 81,568 $ 1,751,152 53,494 $ 915,359
Issued in connection with
the reinvestment of distributions -- -- 16,185 277,892
Redeemed (577,946) (11,129,383) (318,259) (5,344,666)
--------- --------------- ----------- ---------------
Net change (496,378) $ (9,378,231) (248,580) $ (4,151,415)
--------- --------------- ----------- ---------------
Shares Amount Shares Amount
RETAIL CLASS --------- ------------ -------- ------------
Issued from the sale of shares 291,330 $ 5,926,147 318,102 $ 5,337,862
Issued in connection with
the reinvestment of distributions -- -- 12,860 216,942
Redeemed (183,447) (3,716,261) (615,930) (10,185,991)
--------- --------------- ----------- ---------------
Net change 107,883 $ 2,209,886 (284,968) $ (4,631,187)
--------- --------------- ----------- ---------------
SMALL CAP GROWTH FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS --------- ------------ -------- ------------
Issued from the sale of shares 344,690 $ 4,202,342 113,316 $ 1,131,916
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (58,725) (651,991) (460,764) (4,575,642)
--------- --------------- ----------- ---------------
Net change 285,965 $ 3,550,351 (347,448) $ (3,443,726)
--------- --------------- ----------- ---------------
53
SMALL CAP GROWTH FUND -- CONTINUED
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 72,340 $ 850,880 216,852 $ 2,124,356
Issued in connection with
the reinvestment of distributions -- -- -- --
Redeemed (84,835) (957,752) (1,546,953) (14,930,155)
---------- --------------- ------------ --------------
Net change (12,495) $ (106,872) (1,330,101) $(12,805,799)
---------- --------------- ------------ --------------
SMALL CAP VALUE FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,507,884 $ 40,879,056 3,605,383 $ 93,881,608
Issued in connection with
the reinvestment of distributions 1,409,958 35,671,938 1,389,061 34,567,270
Redeemed (1,435,968) (38,986,849) (3,747,820) (95,533,263)
---------- --------------- ------------ --------------
Net change 1,481,874 $ 37,564,145 1,246,624 $ 32,915,615
---------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,894,555 $ 51,003,598 3,302,664 $ 85,184,696
Issued in connection with
the reinvestment of distributions 879,102 22,100,621 739,424 18,285,960
Redeemed (1,287,943) (34,441,129) (2,145,167) (55,041,964)
---------- --------------- ------------ --------------
Net change 1,485,714 $ 38,663,090 1,896,921 $ 48,428,692
---------- --------------- ------------ --------------
Shares Amount Shares Amount
ADMIN CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 418,040 $ 11,101,009 1,009,094 $ 25,783,740
Issued in connection with
the reinvestment of distributions 237,129 5,902,138 263,038 6,449,687
Redeemed (722,939) (18,545,943) (1,230,767) (31,333,743)
---------- --------------- ------------ --------------
Net change (67,770) $ (1,542,796) 41,365 $ 899,684
---------- --------------- ------------ --------------
TAX-MANAGED EQUITY FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 61,521 $ 576,097 421,995 $ 3,741,887
Issued in connection with
the reinvestment of distributions 4,870 45,436 2,601 23,491
Redeemed (91,511) (860,400) (34,673) (312,460)
---------- --------------- ------------ --------------
Net change (25,120) $ (238,867) 389,923 $ 3,452,918
---------- --------------- ------------ --------------
VALUE FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 114,143 $ 2,196,322 141,305 $ 2,428,427
Issued in connection with
the reinvestment of distributions 111,464 2,043,141 30,355 515,434
Redeemed (88,168) (1,678,188) (285,225) (4,807,088)
---------- --------------- ------------ --------------
Net change 137,439 $ 2,561,275 (113,565) $ (1,863,227)
---------- --------------- ------------ --------------
54
[LOGO] LS LOOMIS SAYLES FUNDS
Loomis Sayles Bond Fund
Loomis Sayles Fixed Income Fund
Loomis Sayles Global Bond Fund
Loomis Sayles Inflation Protected Securities Fund
Loomis Sayles Institutional High Income Fund
Loomis Sayles Intermediate Duration Fixed Income Fund
Loomis Sayles Investment Grade Fixed Income Fund
TABLE OF CONTENTS
Fund and Manager Reviews 1
Portfolio of Investments 18
Statements of Assets and Liabilities 73
Statements of Operations 75
Statements of Changes in Net Assets 77
Financial Highlights 81
Notes to Financial Statements 87
SEMIANNUAL REPORT
MARCH 31, 2006 (unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES BOND FUND
[PHOTO]
Daniel Fuss
Manager since May 1991
[PHOTO]
Kathleen Gaffney
Manager since November 1997
Manager since November 1997
FUND FACTS
SYMBOL | Institutional: LSBDX;
Retail: LSBRX; Admin: LBFAX
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in investment-grade fixed-income securities,
although it may invest up to 35% of assets in lower rated fixed-income
securities and up to 20% of its assets in preferred stocks.
FUND INCEPTION DATE | 5/16/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/16/91; Retail: 1/2/97;
Admin: 1/2/98
EXPENSE RATIO | Institutional: 0.75%; Retail: 1.00%; Admin: 1.25%
TOTAL NET ASSETS | $5,186.1 million
PORTFOLIO REVIEW
Once again, the Fund's outperformance relative to its Benchmark, the Lehman US
Government/Credit Index, was due to our out-of-Benchmark strategies. In
particular, the Fund's investments in high yield, convertible and foreign
securities (none of which is represented in the Benchmark) had the most
positive impact on Fund performance for the six-month period. Robust earnings,
continued economic growth and a low rate of defaults boosted the high yield and
convertible bond sectors. Among foreign securities, strong global economic
growth and ongoing trade surpluses among certain Latin American and Pacific Rim
countries helped performance.
The strongest international performers included Fund holdings in Thailand,
South Korea, Indonesia and Singapore. Continued trade surpluses and economic
expansion in the Pacific Rim region helped the performance of these securities.
In addition, Brazilian investments posted strong results due to the country's
ongoing trade surpluses, which were fueled by the export of raw materials.
Certain investments in the Mexican peso also performed well, primarily as a
result of falling interest rates in Mexico during the fourth calendar quarter
of 2005.
Among industries, telecommunications, airline and pharmaceutical bonds
generated strong performance for the Fund. The ongoing economic expansion
combined with industry consolidation created a favorable climate for telecom
bonds, particularly within the high yield and convertible sectors. Certain
bonds in the pharmaceutical industry benefited from favorable product
distribution, while select airline holdings advanced because the underlying
companies benefited from continued high traffic with reduced capacity.
In terms of performance detractors, select supranational holdings lagged for
the period as a result of their exposure to the currencies of New Zealand and
Australia. The market's increased attention to rising current account deficits
in these countries helped push currency values down.
The Fund maintains a "barbell" structure, with shorter-duration holdings
concentrated in Treasury securities at one end of the spectrum, and
longer-duration holdings in high yield issues at the other. This structure
helps mute the impact of rising Treasury rates while helping to capture yield
advantages among longer-term, high yield issues, which typically are not as
adversely affected by rising rates. Throughout the six-month period, the Fund's
average duration lengthened modestly, from 4.5 years to 4.9 years, due to our
purchase of high yield bonds with longer-durations and convertible issues.
OUTLOOK
We believe the downside risk to bonds is lower now, because the market may be
closer to seeing a peak in the federal funds rate and yields in general.
Volatility may arise over the near term, as investors scour every bit of data
in an effort to determine when the Federal Reserve will stop raising interest
rates. We believe any spike in
1
rates may be short-lived as the market anticipates slower economic growth
ahead. Also serving as a cap on rates, demand for US bonds seems likely to
remain strong if the United States continues to be a "higher yield" country,
despite the gains in yields globally. Investors in corporate bonds are faced
with tight spread levels that could widen slightly. Nevertheless, the corporate
market could outperform Treasuries by a small margin, given still-healthy
profit growth in a supportive economic environment. We continue to find
attractive opportunities in high yield bonds, but we remain somewhat cautious
due to stretched valuations. We view this as a good time to reduce certain high
yield exposures and look for opportunities to move back into the market at a
later date, when spreads may be wider.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------
LOOMIS SAYLES BOND: INSTITUTIONAL
3.29% 7.99% 12.24% 9.87% 11.26%
----------------------------------------------
LOOMIS SAYLES BOND: RETAIL(c)
3.19 7.73 12.65 9.60 10.98
----------------------------------------------
LOOMIS SAYLES BOND: ADMIN(c)
3.06 7.45 11.67 9.21 10.46
----------------------------------------------
LEHMAN US GOVERNMENT/CREDIT INDEX(d)
-0.42 2.02 5.23 6.32 7.07
----------------------------------------------
LIPPER BBB-RATED FUNDS INDEX(d)
0.24 2.74 5.60 6.06 7.05
----------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE(e)
INCEPTION TO MARCH 31, 2006(b)
[CHART]
Lehman
Loomis Sayles US Government/ Lipper BBB-Rated
Bond Fund Credit Index/(d)/ Funds Index/(d)/
------------- -------------------- -------------------
5/16/1991 $100,000 $100,000 $100,000
5/31/1991 99,600 100,000 100,000
6/30/1991 98,096 99,892 99,747
7/31/1991 100,499 101,145 100,836
8/31/1991 104,600 103,476 103,268
9/30/1991 104,799 105,637 105,513
10/31/1991 107,712 106,581 106,479
11/30/1991 106,592 107,643 107,336
12/31/1991 108,873 111,274 111,368
1/31/1992 110,571 109,624 110,015
2/29/1992 113,335 110,206 110,624
3/31/1992 112,485 109,604 110,252
4/30/1992 114,094 110,257 110,825
5/31/1992 117,460 112,397 113,076
6/30/1992 117,894 114,044 114,733
7/31/1992 121,714 116,961 117,888
8/31/1992 122,822 118,005 118,972
9/30/1992 123,485 119,616 120,412
10/31/1992 122,053 117,791 118,295
11/30/1992 123,297 117,696 118,435
12/31/1992 124,419 119,710 120,402
1/31/1993 128,737 122,315 123,029
2/28/1993 131,260 124,854 125,931
3/31/1993 133,898 125,277 126,710
4/30/1993 135,934 126,241 127,660
5/31/1993 138,122 126,174 127,964
6/30/1993 141,050 129,038 130,840
7/31/1993 144,478 129,862 132,058
8/31/1993 147,079 132,844 135,135
9/30/1993 147,329 133,306 135,527
10/31/1993 149,553 133,851 136,467
11/30/1993 150,181 132,338 134,898
12/31/1993 152,044 132,916 135,806
1/31/1994 158,065 134,917 138,160
2/28/1994 155,393 131,982 135,150
3/31/1994 149,784 128,754 131,299
4/30/1994 146,428 127,688 129,715
5/31/1994 145,887 127,452 129,384
6/30/1994 145,478 127,153 128,847
7/31/1994 147,689 129,695 131,052
8/31/1994 149,905 129,748 131,568
9/30/1994 148,106 127,783 129,751
10/31/1994 147,425 127,641 129,338
11/30/1994 145,449 127,413 128,992
12/31/1994 145,871 128,253 129,637
1/31/1995 148,920 130,715 131,728
2/28/1995 153,268 133,746 134,738
3/31/1995 156,609 134,643 135,796
4/30/1995 162,326 136,522 138,238
5/31/1995 171,026 142,244 144,200
6/30/1995 173,386 143,380 145,289
7/31/1995 172,901 142,828 144,949
8/31/1995 176,497 144,655 147,081
9/30/1995 180,839 146,124 148,805
10/31/1995 182,629 148,270 150,787
11/30/1995 188,108 150,711 153,260
12/31/1995 192,472 152,932 155,790
1/31/1996 196,380 153,884 157,049
2/29/1996 190,429 150,619 153,745
3/31/1996 190,582 149,354 152,611
4/30/1996 189,038 148,329 151,637
5/31/1996 191,098 148,079 151,533
6/30/1996 193,640 150,056 153,269
7/31/1996 193,543 150,406 153,649
8/31/1996 195,169 150,036 153,573
9/30/1996 201,239 152,704 156,646
10/31/1996 207,960 156,268 160,406
11/30/1996 216,050 159,145 163,983
12/31/1996 212,269 157,371 162,396
1/31/1997 212,099 157,558 162,912
2/28/1997 215,196 157,890 163,841
3/31/1997 211,774 156,014 161,312
4/30/1997 214,527 158,296 163,695
5/31/1997 219,247 159,773 165,569
6/30/1997 224,136 161,690 168,038
7/31/1997 235,656 166,637 173,848
8/31/1997 230,496 164,767 171,545
9/30/1997 237,964 167,357 174,563
10/31/1997 237,155 170,038 176,336
11/30/1997 238,411 170,933 177,198
12/31/1997 239,198 172,727 179,099
1/31/1998 242,188 175,162 181,384
2/28/1998 244,804 174,806 181,318
3/31/1998 248,354 175,345 182,238
4/30/1998 249,297 176,226 183,019
5/31/1998 249,297 178,120 184,584
6/30/1998 249,497 179,932 185,938
7/31/1998 246,827 180,075 185,794
8/31/1998 229,105 183,594 184,443
9/30/1998 237,009 188,844 188,246
10/31/1998 236,322 187,510 185,924
11/30/1998 250,761 188,627 189,362
12/31/1998 250,460 189,090 189,832
1/31/1999 255,068 190,433 191,484
2/28/1999 250,452 185,907 187,341
3/31/1999 259,468 186,830 189,429
4/30/1999 268,420 187,294 190,787
5/31/1999 262,219 185,360 188,213
6/30/1999 260,515 184,782 187,225
7/31/1999 256,555 184,271 186,280
8/31/1999 254,169 184,123 185,591
9/30/1999 255,033 185,783 187,186
10/31/1999 255,237 186,265 187,553
11/30/1999 257,687 186,161 188,007
12/31/1999 261,759 185,028 187,704
1/31/2000 261,314 184,977 187,153
2/29/2000 269,258 187,296 189,455
3/31/2000 272,893 190,002 191,201
4/30/2000 265,525 189,076 188,881
5/31/2000 261,834 188,905 187,444
6/30/2000 270,160 192,762 192,187
7/31/2000 271,322 194,803 193,011
8/31/2000 277,454 197,553 196,532
9/30/2000 272,265 198,297 197,091
10/31/2000 265,187 199,540 196,454
11/30/2000 263,993 202,952 198,276
12/31/2000 273,180 206,957 202,427
1/31/2001 281,075 210,429 207,324
2/28/2001 281,806 212,600 209,372
3/31/2001 274,366 213,576 209,241
4/30/2001 271,074 211,975 208,094
5/31/2001 274,598 213,194 209,971
6/30/2001 272,895 214,217 210,216
7/31/2001 277,289 219,555 214,984
8/31/2001 282,696 222,374 217,562
9/30/2001 273,056 224,419 215,703
10/31/2001 279,882 230,114 220,277
11/30/2001 282,261 226,337 218,851
12/31/2001 280,427 224,553 217,514
1/31/2002 282,586 226,203 218,704
2/28/2002 284,197 228,123 219,749
3/31/2002 284,026 223,495 216,868
4/30/2002 291,411 227,824 220,186
5/31/2002 296,889 229,927 221,927
6/30/2002 293,267 231,882 220,884
7/31/2002 284,616 234,675 219,778
8/31/2002 295,773 239,936 224,220
9/30/2002 293,614 245,097 226,240
10/31/2002 297,607 242,755 224,625
11/30/2002 307,279 242,898 227,862
12/31/2002 317,880 249,334 233,167
1/31/2003 327,417 249,326 234,712
2/28/2003 335,799 253,768 238,662
3/31/2003 339,526 253,437 239,070
4/30/2003 355,110 256,146 243,895
5/31/2003 372,475 263,425 250,282
6/30/2003 377,168 262,371 250,607
7/31/2003 362,836 251,372 242,067
8/31/2003 366,428 253,030 243,978
9/30/2003 384,456 261,045 251,492
10/31/2003 389,300 257,741 250,496
11/30/2003 398,410 258,425 252,217
12/31/2003 410,601 260,974 55,893
1/31/2004 414,625 263,345 258,222
2/29/2004 415,869 266,566 260,503
3/31/2004 420,069 269,013 262,293
4/30/2004 404,485 260,754 255,610
5/31/2004 399,510 259,419 253,667
6/30/2004 405,263 260,487 255,164
7/31/2004 410,004 263,238 257,831
8/31/2004 421,730 268,809 263,069
9/30/2004 432,358 269,749 264,699
10/31/2004 441,654 272,086 267,315
11/30/2004 450,663 269,058 266,428
12/31/2004 457,018 271,918 269,463
1/31/2005 454,367 273,809 270,891
2/28/2005 459,320 272,005 270,453
3/31/2005 452,659 270,089 267,414
4/30/2005 450,985 274,139 269,597
5/31/2005 455,991 277,577 272,404
6/30/2005 463,651 279,391 274,707
7/31/2005 465,691 276,246 273,435
8/31/2005 471,792 280,370 276,832
9/30/2005 472,915 276,702 274,069
10/31/2005 468,432 274,334 271,697
11/30/2005 471,149 275,740 272,813
12/31/2005 476,190 278,360 275,489
1/31/2006 486,714 277,851 276,495
2/28/2006 492,700 278,602 277,767
3/31/2006 488,839 275,541 274,728
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month-end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on Fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would be
lower.
(a) Inception date of the Institutional, Retail and Admin Classes of shares are
May 16, 1991, December 31, 1996 and January 2, 1998, respectively. (b) The
mountain chart is based on the initial investment minimum of $100,000 for the
Institutional Class. (c) Performance shown for periods prior to the inception
date of the Retail Class and the Admin Class represents the performance of the
Institutional Class during the periods shown, adjusted to reflect the current
levels of management and 12b-1 fees payable by the respective classes of
shares. (d) See page 15 for a description of the indexes. Index performance
data is not available coincident with the Fund's inception date, the beginning
value of the index is the value as of the month end closest to the Fund's
inception date. (e) Cumulative performance is shown for the Institutional Class
of shares. Performance of the Retail and Admin Classes would be lower, due to
higher fees.
WHAT YOU SHOULD KNOW
High-yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the US. Securities issued by US
government agencies are not issued, and may not be guaranteed by the
US government.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES FIXED INCOME FUND
[PHOTO]
Daniel Fuss
Manager since January 1995
FUND FACTS
SYMBOL | LSFIX
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in fixed- income securities, may invest up to 35%
of its assets in lower-rated fixed-income securities and up to 20% of its
assets in preferred stocks
FUND INCEPTION DATE | 1/17/95
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.61%
TOTAL NET ASSETS | $469.6 million
PORTFOLIO REVIEW
Strong sector and security selections accounted for the Fund's outperformance
relative to its Benchmark, the Lehman US Government/Credit Index, for the
six-month period ended March 31, 2006. In particular, our security selections
within the emerging markets, high yield and international sectors--sectors that
are not represented in the Benchmark--helped generate the majority of the
Fund's relative performance advantage.
Tighter yield spreads in the US bond market caused investors to seek higher
yields in the below investment grade sector and outside the United States. The
Fund's high yield, emerging market and international bond holdings benefited
from this trend. Outside the United States, improving fundamentals and
increased global demand for commodities also helped emerging market and
international bonds. Convertible securities and short-duration Canadian bonds
also were positive performance drivers.
US government agency securities performed poorly versus other sectors within
the Fund, which detracted from its six-month performance. Yield-curve
positioning was the primary culprit within this sector.
From a country perspective, Brazil, the Philippines and the United States were
the most positive performers. Brazil and the Philippines performed well as a
result of improving fundamentals and favorable factors related to our specific
security selections. Our strong weighting in the United States and positive
performance from our domestic high yield selections were positives for the
Fund. Securities from New Zealand and Sweden detracted slightly from
performance.
In terms of industries, the Fund realized the greatest positive performance
from communications, sovereign issues and technology. The government-sponsored,
finance and basic industries segments detracted the most from relative
performance. In each case, issue-specific factors drove the results.
The Fund remains positioned in a "barbell" fashion, in an attempt to limit
interest rate risk. Overall, the Fund maintains a slightly defensive slant,
with a shorter duration than the Benchmark.
OUTLOOK
We believe the downside risk to bonds is lower now, because the market is
closer to seeing the peak in the federal funds rate and yields in general.
Volatility may arise over the near term, as investors scour every bit of data
in an effort to determine when the Federal Reserve will stop raising interest
rates. We believe any spike in rates may be short-lived as the market
anticipates slower economic growth ahead. Also serving as a cap on rates,
demand for US bonds seems likely to stay strong, as the United States remains a
"higher yield" country, despite the global rise in interest rates. Corporate
investors are faced with tight spread levels that could widen slightly.
Nevertheless, the corporate market may outperform Treasuries by a small margin,
given still-healthy profit growth in a supportive economic environment. With
respect to the high yield market, we continue to find attractive opportunities,
but we remain somewhat cautious due to stretched valuations. We view this as a
good time to reduce certain high yield exposures and look for opportunities to
move back into the market at a later date when spreads are wider.
3
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS REGISTRATION(a) INCEPTION(a)
--------------------------------------------------------------
LOOMIS SAYLES FIXED INCOME: INSTITUTIONAL
3.24% 7.90% 12.41% 9.88% 9.47% 11.02%
--------------------------------------------------------------
LEHMAN US GOVERNMENT/CREDIT INDEX(b)
-0.42 2.02 5.23 6.32 6.32 6.91
--------------------------------------------------------------
LIPPER BBB-RATED FUNDS INDEX(b)
0.24 2.74 5.60 6.06 5.86 6.80
--------------------------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE
REGISTRATION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lehman
Fixed Income US Government/ Lipper BBB-Rated
Fund Credit Index/(a)(b)/ Funds Index/(a)(b)/
-------------- --------------------- ----------------
3/7/1997 $3,000,000 $3,000,000 $3,000,000
3/31/1997 2,973,000 2,964,347 2,953,678
4/30/1997 3,004,811 3,007,699 2,997,311
5/31/1997 3,078,128 3,035,766 3,031,640
6/30/1997 3,144,308 3,072,204 3,076,838
7/31/1997 3,287,689 3,166,196 3,183,224
8/31/1997 3,222,921 3,130,654 3,141,058
9/30/1997 3,317,675 3,179,874 3,196,312
10/31/1997 3,325,306 3,230,813 3,228,775
11/30/1997 3,350,246 3,247,817 3,244,554
12/31/1997 3,351,921 3,281,901 3,279,365
1/31/1998 3,391,809 3,328,168 3,321,218
2/28/1998 3,420,978 3,321,403 3,320,000
3/31/1998 3,471,609 3,331,643 3,336,851
4/30/1998 3,484,801 3,348,386 3,351,142
5/31/1998 3,487,589 3,384,376 3,379,801
6/30/1998 3,490,379 3,418,796 3,404,600
7/31/1998 3,460,012 3,421,524 3,401,952
8/31/1998 3,224,385 3,488,383 3,377,229
9/30/1998 3,336,917 3,588,130 3,446,853
10/31/1998 3,302,213 3,562,792 3,404,340
11/30/1998 3,478,881 3,584,019 3,467,282
12/31/1998 3,476,098 3,592,802 3,475,903
1/31/1999 3,534,496 3,618,327 3,506,149
2/28/1999 3,464,513 3,532,333 3,430,289
3/31/1999 3,578,496 3,549,861 3,468,512
4/30/1999 3,689,429 3,558,681 3,493,388
5/31/1999 3,607,524 3,521,944 3,446,257
6/30/1999 3,586,961 3,510,956 3,428,157
7/31/1999 3,534,233 3,501,240 3,410,857
8/31/1999 3,504,898 3,498,437 3,398,236
9/30/1999 3,531,185 3,529,979 3,427,440
10/31/1999 3,540,013 3,539,135 3,434,173
11/30/1999 3,563,377 3,537,154 3,442,484
12/31/1999 3,606,138 3,515,628 3,436,926
1/31/2000 3,593,516 3,514,656 3,426,846
2/29/2000 3,703,119 3,558,718 3,468,999
3/31/2000 3,743,853 3,610,143 3,500,964
4/30/2000 3,643,518 3,592,540 3,458,490
5/31/2000 3,587,043 3,589,289 3,432,181
6/30/2000 3,699,676 3,662,576 3,519,026
7/31/2000 3,718,545 3,701,369 3,534,106
8/31/2000 3,793,659 3,753,616 3,598,576
9/30/2000 3,740,548 3,767,742 3,608,822
10/31/2000 3,646,660 3,791,362 3,597,158
11/30/2000 3,627,698 3,856,203 3,630,502
12/31/2000 3,744,147 3,932,293 3,706,526
1/31/2001 3,879,685 3,998,256 3,796,186
2/28/2001 3,886,280 4,039,515 3,833,677
3/31/2001 3,794,953 4,058,052 3,831,290
4/30/2001 3,750,931 4,027,631 3,810,278
5/31/2001 3,818,823 4,050,802 3,844,647
6/30/2001 3,802,020 4,070,235 3,849,140
7/31/2001 3,876,540 4,171,664 3,936,445
8/31/2001 3,947,480 4,225,219 3,983,648
9/30/2001 3,801,818 4,264,086 3,949,606
10/31/2001 3,903,327 4,372,280 4,033,352
11/30/2001 3,950,557 4,300,525 4,007,245
12/31/2001 3,920,138 4,266,628 3,982,774
1/31/2002 3,946,011 4,297,983 4,004,551
2/28/2002 3,961,006 4,334,459 4,023,698
3/31/2002 3,975,661 4,246,521 3,970,945
4/30/2002 4,090,558 4,328,778 4,031,699
5/31/2002 4,146,190 4,368,729 4,063,576
6/30/2002 4,083,168 4,405,877 4,044,471
7/31/2002 3,972,105 4,458,946 4,024,217
8/31/2002 4,116,690 4,558,918 4,105,564
9/30/2002 4,057,410 4,656,983 4,142,537
10/31/2002 4,087,029 4,612,473 4,112,979
11/30/2002 4,235,388 4,615,201 4,172,245
12/31/2002 4,371,767 4,737,483 4,269,378
1/31/2003 4,492,428 4,737,334 4,297,661
2/28/2003 4,605,188 4,821,721 4,369,988
3/31/2003 4,653,543 4,815,442 4,377,472
4/30/2003 4,903,438 4,866,904 4,465,808
5/31/2003 5,169,204 5,005,220 4,582,770
6/30/2003 5,237,955 4,985,188 4,588,720
7/31/2003 5,028,436 4,776,201 4,432,351
8/31/2003 5,084,755 4,807,706 4,467,340
9/30/2003 5,334,416 4,959,999 4,604,916
10/31/2003 5,386,694 4,897,214 4,586,679
11/30/2003 5,519,745 4,910,219 4,618,189
12/31/2003 5,689,753 4,958,654 4,685,504
1/31/2004 5,736,978 5,003,688 4,728,143
2/29/2004 5,762,795 5,064,904 4,769,917
3/31/2004 5,823,304 5,111,395 4,802,695
4/30/2004 5,577,560 4,954,468 4,680,325
5/31/2004 5,517,323 4,929,092 4,644,737
6/30/2004 5,598,979 4,949,386 4,672,147
7/31/2004 5,672,326 5,001,670 4,720,979
8/31/2004 5,844,765 5,107,509 4,816,889
9/30/2004 6,004,327 5,125,373 4,846,745
10/31/2004 6,142,426 5,169,771 4,894,639
11/30/2004 6,276,331 5,112,255 4,878,393
12/31/2004 6,385,539 5,166,595 4,933,968
1/31/2005 6,356,804 5,202,510 4,960,128
2/28/2005 6,437,536 5,168,239 4,952,106
3/31/2005 6,313,935 5,131,838 4,896,450
4/30/2005 6,294,993 5,208,788 4,936,423
5/31/2005 6,385,641 5,274,115 4,987,831
6/30/2005 6,494,836 5,308,573 5,029,999
7/31/2005 6,523,413 5,248,814 5,006,710
8/31/2005 6,608,869 5,327,184 5,068,901
9/30/2005 6,600,373 5,257,485 5,018,312
10/31/2005 6,537,581 5,212,488 4,974,872
11/30/2005 6,575,499 5,239,210 4,995,309
12/31/2005 6,648,487 5,288,990 5,044,315
1/31/2006 6,782,121 5,279,310 5,062,727
2/28/2006 6,864,185 5,293,587 5,086,025
3/31/2006 6,813,979 5,235,435 5,030,373
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lehman Lipper BBB-
Fixed Income US Government/ Rated Funds
Fund Credit Index/(a)(b)/ Index/(a)(b)/
------------- -------------------- -------------
1/17/1995 $3,000,000 $3,000,000 $3,000,000
1/31/1995 3,027,000 3,000,000 3,000,000
2/28/1995 3,096,016 3,069,564 3,068,543
3/31/1995 3,149,886 3,090,149 3,092,644
4/30/1995 3,242,808 3,133,259 3,148,254
5/31/1995 3,413,704 3,264,577 3,284,046
6/30/1995 3,464,568 3,290,669 3,308,853
7/31/1995 3,461,450 3,277,984 3,301,093
8/31/1995 3,530,333 3,319,921 3,349,649
9/30/1995 3,629,182 3,353,642 3,388,917
10/31/1995 3,641,158 3,402,892 3,434,063
11/30/1995 3,731,095 3,458,913 3,490,379
12/31/1995 3,806,090 3,509,879 3,547,988
1/31/1996 3,897,817 3,531,727 3,576,674
2/29/1996 3,787,119 3,456,792 3,501,430
3/31/1996 3,768,183 3,427,765 3,475,600
4/30/1996 3,733,516 3,404,246 3,453,413
5/31/1996 3,768,238 3,398,513 3,451,048
6/30/1996 3,815,717 3,443,881 3,490,593
7/31/1996 3,809,231 3,451,916 3,499,241
8/31/1996 3,859,894 3,443,430 3,497,505
9/30/1996 3,979,936 3,504,642 3,567,498
10/31/1996 4,106,896 3,586,439 3,653,128
11/30/1996 4,262,548 3,652,482 3,734,576
12/31/1996 4,195,199 3,611,764 3,698,449
1/31/1997 4,209,043 3,616,053 3,710,200
2/28/1997 4,267,970 3,623,682 3,731,364
3/31/1997 4,219,315 3,580,616 3,673,749
4/30/1997 4,264,462 3,632,981 3,728,019
5/31/1997 4,368,515 3,666,882 3,770,718
6/30/1997 4,462,438 3,710,896 3,826,934
7/31/1997 4,665,925 3,824,428 3,959,255
8/31/1997 4,574,006 3,781,498 3,906,810
9/30/1997 4,708,482 3,840,950 3,975,534
10/31/1997 4,719,312 3,902,478 4,015,911
11/30/1997 4,754,706 3,923,018 4,035,537
12/31/1997 4,757,084 3,964,187 4,078,834
1/31/1998 4,813,693 4,020,073 4,130,891
2/28/1998 4,855,091 4,011,902 4,129,376
3/31/1998 4,926,946 4,024,271 4,150,335
4/30/1998 4,945,669 4,044,495 4,168,110
5/31/1998 4,949,625 4,087,967 4,203,756
6/30/1998 4,953,585 4,129,542 4,234,601
7/31/1998 4,910,489 4,132,838 4,231,308
8/31/1998 4,576,084 4,213,597 4,200,557
9/30/1998 4,735,790 4,334,081 4,287,155
10/31/1998 4,686,537 4,303,474 4,234,277
11/30/1998 4,937,267 4,329,115 4,312,564
12/31/1998 4,933,317 4,339,723 4,323,287
1/31/1999 5,016,197 4,370,555 4,360,906
2/28/1999 4,916,876 4,266,684 4,266,552
3/31/1999 5,078,642 4,287,855 4,314,095
4/30/1999 5,236,079 4,298,509 4,345,035
5/31/1999 5,119,839 4,254,134 4,286,414
6/30/1999 5,090,655 4,240,863 4,263,900
7/31/1999 5,015,823 4,229,126 4,242,383
8/31/1999 4,974,191 4,225,740 4,226,685
9/30/1999 5,011,498 4,263,840 4,263,008
10/31/1999 5,024,027 4,274,900 4,271,382
11/30/1999 5,057,185 4,272,508 4,281,720
12/31/1999 5,117,871 4,246,506 4,274,806
1/31/2000 5,099,959 4,245,332 4,262,269
2/29/2000 5,255,508 4,298,555 4,314,699
3/31/2000 5,313,318 4,360,670 4,354,457
4/30/2000 5,170,921 4,339,408 4,301,627
5/31/2000 5,090,772 4,335,481 4,268,904
6/30/2000 5,250,622 4,424,004 4,376,922
7/31/2000 5,277,400 4,470,862 4,395,678
8/31/2000 5,384,004 4,533,970 4,475,865
9/30/2000 5,308,628 4,551,034 4,488,608
10/31/2000 5,175,381 4,579,563 4,474,101
11/30/2000 5,148,469 4,657,885 4,515,574
12/31/2000 5,313,735 4,749,794 4,610,131
1/31/2001 5,506,092 4,829,469 4,721,649
2/28/2001 5,515,453 4,879,306 4,768,280
3/31/2001 5,385,840 4,901,696 4,765,312
4/30/2001 5,323,364 4,864,951 4,739,177
5/31/2001 5,419,717 4,892,939 4,781,924
6/30/2001 5,395,870 4,916,413 4,787,513
7/31/2001 5,501,629 5,038,928 4,896,102
8/31/2001 5,602,309 5,103,617 4,954,812
9/30/2001 5,395,584 5,150,564 4,912,471
10/31/2001 5,539,646 5,281,250 5,016,634
11/30/2001 5,606,676 5,194,578 4,984,162
12/31/2001 5,563,504 5,153,634 4,953,725
1/31/2002 5,600,223 5,191,508 4,980,811
2/28/2002 5,621,504 5,235,566 5,004,626
3/31/2002 5,642,304 5,129,347 4,939,012
4/30/2002 5,805,366 5,228,705 5,014,577
5/31/2002 5,884,319 5,276,962 5,054,226
6/30/2002 5,794,878 5,321,833 5,030,464
7/31/2002 5,637,257 5,385,934 5,005,272
8/31/2002 5,842,453 5,506,689 5,106,450
9/30/2002 5,758,322 5,625,142 5,152,437
10/31/2002 5,800,357 5,571,378 5,115,672
11/30/2002 6,010,910 5,574,673 5,189,387
12/31/2002 6,204,462 5,722,378 5,310,199
1/31/2003 6,375,705 5,722,197 5,345,378
2/28/2003 6,535,735 5,824,128 5,435,337
3/31/2003 6,604,360 5,816,544 5,444,646
4/30/2003 6,959,014 5,878,704 5,554,517
5/31/2003 7,336,193 6,045,775 5,699,993
6/30/2003 7,433,764 6,021,579 5,707,393
7/31/2003 7,136,414 5,769,145 5,512,903
8/31/2003 7,216,342 5,807,199 5,556,422
9/30/2003 7,570,664 5,991,153 5,727,537
10/31/2003 7,644,857 5,915,314 5,704,854
11/30/2003 7,833,684 5,931,024 5,744,045
12/31/2003 8,074,962 5,989,528 5,827,772
1/31/2004 8,141,984 6,043,924 5,880,805
2/29/2004 8,178,623 6,117,866 5,932,764
3/31/2004 8,264,499 6,174,023 5,973,533
4/30/2004 7,915,737 5,984,472 5,821,330
5/31/2004 7,830,247 5,953,820 5,777,066
6/30/2004 7,946,134 5,978,332 5,811,159
7/31/2004 8,050,229 6,041,486 5,871,895
8/31/2004 8,294,956 6,169,328 5,991,186
9/30/2004 8,521,408 6,190,906 6,028,321
10/31/2004 8,717,400 6,244,534 6,087,891
11/30/2004 8,907,440 6,175,061 6,067,684
12/31/2004 9,062,429 6,240,697 6,136,807
1/31/2005 9,021,648 6,284,079 6,169,346
2/28/2005 9,136,223 6,242,684 6,159,368
3/31/2005 8,960,808 6,198,715 6,090,143
4/30/2005 8,933,925 6,291,663 6,139,862
5/31/2005 9,062,574 6,370,571 6,203,802
6/30/2005 9,217,544 6,412,192 6,256,250
7/31/2005 9,258,101 6,340,010 6,227,284
8/31/2005 9,379,382 6,434,672 6,304,636
9/30/2005 9,368,718 6,350,482 6,241,714
10/31/2005 9,278,208 6,296,131 6,187,683
11/30/2005 9,332,022 6,328,408 6,213,103
12/31/2005 9,435,607 6,388,537 6,274,055
1/31/2006 9,625,263 6,376,845 6,296,956
2/28/2006 9,741,729 6,394,089 6,325,933
3/31/2006 9,671,916 6,323,848 6,256,714
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would be
lower.
(a) Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with regulations, performance
information is provided for the period beginning on March 7, 1997
("Registration"). Performance from inception is also provided for the
convenience of our long-term shareholders. Since index performance data is not
available coincident with the Fund's inception and registration dates,
comparative performance is presented from the month end closest to the Fund's
inception and registration dates. (b) See page 15 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the US. Securities issued by US
government agencies are not issued, and may not be guaranteed by the US
government.
4
FUND AND MANAGER REVIEW
LOOMIS SAYLES GLOBAL BOND FUND
[PHOTO]
Ken Buntrock
Manager since September 2000
[PHOTO]
David Rolley
Manager since September 2000
Manager since September 2000
FUND FACTS
SYMBOL | Institutional: LSGBX;
Retail: LSGLX
OBJECTIVE | High total investment return through a combination of high current
income and capital appreciation
STRATEGY | Invests primarily in investment-grade fixed-income securities
worldwide, although it may invest up to 20% of assets in lower-rated
fixed-income securities
FUND INCEPTION DATE | 5/10/91
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 5/10/91; Retail: 1/2/97
EXPENSE RATIO | Institutional: 0.75%; Retail: 1.00%
TOTAL NET ASSETS | $1,060.7 million
PORTFOLIO REVIEW
Emerging market issues, particularly those denominated in local currencies,
were the top performers for the six months ended March 31, 2006. Specifically,
currency-linked notes in the Indonesian rupiah and Brazilian real issued by
supranational entities and US or British commercial banks led the way and
helped the Fund outperform its Benchmark, the Lehman Global Aggregate Bond
Index.
The high yield market posted strong performance in the final three months of
the period. In particular, bonds issued by Qwest, Lucent Technologies and
Albertson's posted strong returns. Yen-denominated securities of high-quality
names were among the worst-performing securities; a weak yen and dramatically
rising bond yields were responsible.
We also maintained a defensive duration strategy during the period, which had a
positive influence on the Fund's relative performance. Most major market bond
yields dramatically increased, particularly in the January-to-March period, and
our shorter duration helped the Fund's performance. Specifically, our short
duration position in the Japanese yen paid off toward the end of the period, as
yen yields increased dramatically after the bank of Japan announced the end of
its accommodative monetary policy stance.
Our country strategy, which included overweighted positions in Australian, New
Zealand, British, Norwegian and Swedish bond markets, also was effective,
primarily due to positive local-market returns. In addition, the Fund was
underweighted in the negative-performing markets of the euro, US dollar and
Japanese yen.
Our strategy of maintaining overweighted positions in non-yen Asian currencies
paid off handsomely, as these currencies advanced against the US dollar. The
Brazilian real and the Mexican peso also posted positive currency performance.
The Fund's modest overweight in the British pound and in Swedish krona
detracted from performance, both on a relative and absolute basis, while our
Benchmark exposure in yen hurt absolute performance as that currency
depreciated.
OUTLOOK
Global economic growth prospects remain upbeat, with Asia leading the pack.
Europe, particularly Germany, is benefiting from rising consumer and business
confidence, and in the United States the first-quarter growth in the Gross
Domestic Product is forecast to be vigorous, although it may slow to a slower,
but still respectable growth rate for the balance of the year. The markets seem
to expect continued tightening by key monetary authorities, including the US
Federal Reserve Board, the European Central Bank and the Bank of Japan. But an
end to the tightening mode appears within reach in the United States.
We are keeping duration significantly shorter than the Benchmark in the yen,
but only modestly shorter in the euro. We have been gradually increasing US
dollar duration and are comfortable with the current Benchmark level in this
market. Our overweight position in non-yen Asian currencies has been successful
and remains in place.
5
In Europe, we have a constructive outlook for the Swedish and the Norwegian
krone. We have been hedging the Fund's exposure to the New Zealand and
Australian dollars, but the recent sell-off in these markets may open the door
for an opportunistic removal of the currency hedges. We are maintaining select
emerging market local currency and corporate positions, but event risks remain
a concern. For example, leveraged buyouts, mergers and acquisitions, or other
shareholder friendly actions could negatively affect already tight corporate
spread levels.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS INCEPTION(a)
----------------------------------------------
LOOMIS SAYLES GLOBAL BOND: INSTITUTIONAL
-0.14% -1.22% 10.42% 8.07% 8.45%
----------------------------------------------
LOOMIS SAYLES GLOBAL BOND: RETAIL(b)
-0.32 -1.47 10.14 7.82 8.28
----------------------------------------------
LEHMAN GLOBAL AGGREGATE BOND INDEX(c)
-1.32 -2.57 7.09 5.51 6.91
----------------------------------------------
LIPPER GLOBAL INCOME FUNDS INDEX(c)
-0.21 0.09 6.80 5.51 6.18
----------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE(d)
INCEPTION TO MARCH 31, 2006(e)
[CHART]
Loomis Sayles Lehman Lipper Global
Global Bond Global Aggregate Income Funds
Fund Bond Index/(a)(c)/ Index/(a)(c)/
------------- ----------------- ---------------
5/10/1991 $100,000 $100,000 $100,000
5/31/1991 100,000 100,310 100,426
6/30/1991 95,600 99,487 98,704
7/31/1991 98,602 101,363 100,213
8/31/1991 100,002 103,443 101,681
9/30/1991 105,302 106,842 104,978
10/31/1991 105,808 108,116 106,110
11/30/1991 108,220 109,444 106,224
12/31/1991 116,878 114,233 109,866
1/31/1992 112,670 112,462 108,045
2/29/1992 111,746 112,462 108,545
3/31/1992 111,131 111,498 107,963
4/30/1992 112,154 112,223 108,783
5/31/1992 116,046 115,401 111,063
6/30/1992 120,455 118,030 112,728
7/31/1992 123,515 120,455 114,671
8/31/1992 122,230 123,013 115,409
9/30/1992 118,466 123,447 114,040
10/31/1992 119,958 120,676 113,867
11/30/1992 117,319 119,534 112,719
12/31/1992 117,859 120,853 113,736
1/31/1993 118,083 122,933 115,253
2/28/1993 120,598 124,872 117,902
3/31/1993 123,565 126,226 119,108
4/30/1993 127,346 128,040 120,559
5/31/1993 128,161 128,908 121,880
6/30/1993 123,880 129,572 123,446
7/31/1993 122,493 129,616 124,881
8/31/1993 128,997 132,917 127,874
9/30/1993 131,900 134,068 127,784
10/31/1993 134,221 134,201 129,506
11/30/1993 132,932 133,006 128,662
12/31/1993 135,073 134,245 131,507
1/31/1994 137,639 135,838 133,123
2/28/1994 133,606 134,130 128,645
3/31/1994 130,066 132,501 124,643
4/30/1994 129,220 132,183 123,676
5/31/1994 126,377 131,439 122,782
6/30/1994 121,916 132,324 121,732
7/31/1994 122,672 134,245 122,716
8/31/1994 122,169 134,086 122,741
9/30/1994 121,546 133,873 123,069
10/31/1994 121,923 135,281 124,266
11/30/1994 123,435 133,926 123,725
12/31/1994 123,311 134,555 122,035
1/31/1995 122,559 137,369 122,208
2/28/1995 122,314 140,759 123,922
3/31/1995 119,672 145,468 127,136
4/30/1995 125,069 147,743 130,203
5/31/1995 132,598 152,292 134,509
6/30/1995 131,087 153,337 134,402
7/31/1995 134,600 154,054 135,419
8/31/1995 138,988 152,177 134,927
9/30/1995 141,754 155,001 137,182
10/31/1995 143,384 156,851 138,445
11/30/1995 149,406 158,718 140,815
12/31/1995 152,768 161,011 143,694
1/31/1996 156,388 160,391 145,375
2/29/1996 153,167 158,931 142,833
3/31/1996 153,978 158,444 142,948
4/30/1996 156,935 157,709 144,171
5/31/1996 157,876 157,860 144,585
6/30/1996 161,492 159,719 145,992
7/31/1996 161,217 161,799 147,487
8/31/1996 162,958 162,117 148,830
9/30/1996 167,896 163,887 151,658
10/31/1996 171,942 167,472 154,729
11/30/1996 177,341 170,092 158,494
12/31/1996 175,710 168,915 158,096
1/31/1997 173,584 166,189 156,745
2/28/1997 176,431 165,410 156,861
3/31/1997 174,860 163,861 154,912
4/30/1997 174,003 164,233 155,358
5/31/1997 177,988 167,145 157,586
6/30/1997 181,975 168,950 159,501
7/31/1997 183,959 169,729 160,841
8/31/1997 181,825 169,340 160,023
9/30/1997 185,516 172,774 163,431
10/31/1997 182,956 175,916 163,264
11/30/1997 182,388 174,960 163,275
12/31/1997 179,762 175,305 163,811
1/31/1998 183,717 176,969 165,024
2/28/1998 187,207 177,943 166,441
3/31/1998 185,073 177,483 167,142
4/30/1998 187,498 179,687 168,470
5/31/1998 186,898 180,944 168,270
6/30/1998 183,104 181,289 167,764
7/31/1998 184,770 182,360 168,495
8/31/1998 173,832 186,183 162,447
9/30/1998 181,272 194,999 169,109
10/31/1998 191,604 197,495 170,551
11/30/1998 199,498 196,300 172,352
12/31/1998 198,780 199,336 174,179
1/31/1999 202,716 198,548 174,549
2/28/1999 199,918 192,645 170,072
3/31/1999 206,496 192,901 171,431
4/30/1999 214,549 192,707 172,987
5/31/1999 209,293 189,901 169,531
6/30/1999 206,990 187,148 167,934
7/31/1999 207,984 190,025 168,528
8/31/1999 205,530 189,724 168,178
9/30/1999 207,009 192,061 169,696
10/31/1999 206,181 191,768 169,468
11/30/1999 204,718 189,671 168,594
12/31/1999 206,376 189,025 169,398
1/31/2000 201,154 185,794 166,621
2/29/2000 202,241 185,449 168,007
3/31/2000 204,587 189,157 170,016
4/30/2000 197,385 184,537 166,790
5/31/2000 197,918 185,387 166,721
6/30/2000 203,143 190,087 170,366
7/31/2000 200,990 188,193 169,846
8/31/2000 198,839 187,361 169,747
9/30/2000 196,672 187,892 169,505
10/31/2000 190,555 186,369 167,818
11/30/2000 194,024 189,573 170,258
12/31/2000 205,684 195,026 176,470
1/31/2001 208,934 195,964 178,260
2/28/2001 208,746 196,291 177,987
3/31/2001 203,778 192,264 175,955
4/30/2001 203,207 192,034 175,109
5/31/2001 199,773 192,397 175,328
6/30/2001 202,250 191,043 175,406
7/31/2001 206,841 195,424 178,066
8/31/2001 216,025 201,310 181,854
9/30/2001 211,813 202,868 181,159
10/31/2001 217,362 204,700 184,763
11/30/2001 218,884 202,319 182,776
12/31/2001 216,213 198,097 180,877
1/31/2002 214,311 196,318 180,525
2/28/2002 216,797 197,637 181,215
3/31/2002 217,360 196,468 180,102
4/30/2002 225,011 202,284 183,907
5/31/2002 230,929 206,815 186,449
6/30/2002 237,418 214,020 189,334
7/31/2002 234,546 215,941 189,097
8/31/2002 239,706 219,464 192,356
9/30/2002 242,390 221,889 194,075
10/31/2002 242,584 221,260 193,810
11/30/2002 247,557 221,836 194,927
12/31/2002 260,306 230,829 202,003
1/31/2003 267,517 233,422 204,540
2/28/2003 271,717 236,440 207,683
3/31/2003 273,320 237,033 208,409
4/30/2003 281,547 240,078 212,257
5/31/2003 296,976 248,610 220,093
6/30/2003 294,570 245,911 218,591
7/31/2003 283,347 238,750 212,175
8/31/2003 281,534 238,201 211,791
9/30/2003 299,158 249,646 220,744
10/31/2003 296,944 248,256 219,425
11/30/2003 303,744 251,496 221,700
12/31/2003 315,560 259,710 228,690
1/31/2004 316,380 260,674 229,796
2/29/2004 319,924 262,020 230,860
3/31/2004 322,227 264,923 233,494
4/30/2004 310,337 255,240 225,765
5/31/2004 311,578 256,506 226,032
6/30/2004 311,796 257,240 226,610
7/31/2004 312,825 257,187 227,240
8/31/2004 320,333 262,816 231,694
9/30/2004 324,914 265,914 234,170
10/31/2004 333,037 272,287 239,015
11/30/2004 342,228 279,501 244,599
12/31/2004 346,438 283,785 248,141
1/31/2005 342,142 280,802 246,359
2/28/2005 343,853 281,333 247,253
3/31/2005 338,489 277,934 244,262
4/30/2005 342,347 281,563 246,847
5/31/2005 337,623 277,793 245,636
6/30/2005 336,543 276,553 245,769
7/31/2005 335,264 274,332 244,235
8/31/2005 340,427 278,846 247,865
9/30/2005 334,844 274,411 245,000
10/31/2005 330,323 270,322 241,785
11/30/2005 327,516 268,410 239,735
12/31/2005 331,413 271,057 243,390
1/31/2006 336,848 274,473 246,944
2/28/2006 336,410 273,500 245,801
3/31/2006 334,515 270,791 244,480
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month-end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on Fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would be
lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, the beginning value of the index is the value as of the month
end closest to the Fund's inception date. (b) Performance shown for periods
prior to the inception date of the Retail Class (12/31/96) represents the
performance of the Institutional Class during the periods shown, adjusted to
reflect the current levels of management and 12b-1 fees payable by the
respective Classes of shares. (c) See page 15 for a description of the indexes.
(d) Performance is shown for the Institutional Class. Performance of the Retail
Class would be lower due to higher fees. (e) The mountain chart is based on the
Institutional Class minimum initial investment of $100,000.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity, which
may adversely affect the value of these securities and that of the Fund.
Foreign investments involve special risks, including greater economic,
political and currency fluctuation risks, which may be even greater in emerging
markets. Foreign countries may have different accounting standards than those
of the US Securities issued by US government agencies are not issued, and may
not be guaranteed by the US government.
6
FUND AND MANAGER REVIEW
LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND
[PHOTO]
John Hyll
Manager since January 2003
Manager since January 2003
[PHOTO]
Cliff Rowe
Manager since January 2003
Manager since January 2003
FUND FACTS
SYMBOL | LSGSX
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests primarily in inflation-protected securities with emphasis
on debt securities issued by the U.S. Treasury
FUND INCEPTION DATE | 5/21/91
EXPENSE RATIO | 0.40%
TOTAL NET ASSETS | $9.3 million
PORTFOLIO REVIEW
The Treasury market struggled during the six months ended March 31, 2006.
During this period, interest rates increased as the Federal Reserve continued
to raise rates as inflation expectations remained a concern. This environment
led to a negative total return for the Fund, although it was in line with its
Benchmark, the Lehman US Treasury Inflation Protected Securities Index, for the
six-month period.
Yields were driven higher by a rebounding economy, record Treasury issuance,
and Fed Reserve tightening. Economic activity picked up after a slow fourth
quarter, as evidenced by robust retail sales and payroll gains. Japan and
Euroland seemed to join the party as well, with signs of stronger sustainable
growth in those areas. The 30-year Treasury bond came out of retirement to help
finance the burgeoning federal deficit, while Federal Reserve Chairman
Greenspan went into retirement. Fear that the new Chairman might push rates up
more aggressively helped push the 10-year Treasury yield up by quarter-end.
Our outlook calls for a further hike to 5.25% and reflects the recent
combination of strong economic data, buoyant stock prices, record gold prices,
and robust growth outside of the US. However, risks of a pause have increased
as the Fed has told us this (Bernanke, Yellen) and oil, confidence, or housing
could produce a sharper than expected slowdown.
Bond yields may be near a cycle peak. 2007 GDP appears reasonably strong, while
headline inflation is expected to decline, and we see this as permitting a
modest drop in bond yields from recent levels. Foreign yields have risen in
line with US yields. The dollar, however, has recently weakened sharply, which
is borderline bearish for bonds. The shape of the curve forecast implies modest
Fed easing beyond the forecast horizon.
Given our interest rate outlook, we have positioned the Fund for the
possibility of lower interest rates. Unfortunately, during this period lower
rates did not materialize and this did hurt performance. The Fund's longer
duration was constructed primarily with longer maturity TIPS. We believe longer
maturity TIPS are attractive because of favorable breakeven levels relative to
our inflation outlook and market technicals as a result of increasing demand
from pension funds. We also have limited exposure to intermediate TIPS which
may increase as the Federal Reserve gets closer to the end of its tightening
cycle, which would result in a steepening of the yield curve.
We continue to invest the majority of the Fund's assets in US Treasury
Inflation Protected Securities (TIPS), while maintaining small positions in
high yield corporate securities and investment grade credits. Our strategy was
designed to benefit from both a potential decline in interest rates and rebound
in lower rated, high yield corporate bonds after the sector experienced a
lackluster fourth calendar quarter in 2005. As corporate valuations improved
during the first quarter of 2006, we have maintained a slightly higher
concentration of TIPS relative to our minimum allowable amount (80%).
Corporate securities, particularly those in the high yield sector, had the most
positive impact on Fund performance during the period. Fixed income investors
showed a strong appetite for yield and, as we anticipated, the high yield
sector responded positively to this trend during the first calendar quarter of
2006. Late in the period we purchased small currency positions in Japan, Sweden
and Norway. Fundamentally, we believe the US dollar is a weak currency, and
when interest rates stop increasing, we think the dollar may face significant
pressures. We believe the
7
currencies of Japan, Sweden and Norway are positioned to perform better than
the US dollar.
OUTLOOK
Given that the Fund's Benchmark is composed entirely of US TIPS, the Fund's
current allocation of 87% TIPS is underweighted. We expect to shift to a more
bulleted maturity structure and increase duration when we believe the Federal
Reserve Board is closer to concluding its tightening cycle. In addition, as
credit opportunities become more attractive, we plan to reduce the Fund's
exposure to TIPS further, probably to our minimum position of 80%, while
increasing our allocation to corporate securities.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION(a)
-----------------------------------------------------------
LOOMIS SAYLES INFLATION PROTECTED SECURITIES: INSTITUTIONAL
-2.14% 0.40% 4.83% 6.57%
-----------------------------------------------------------
LEHMAN US TREASURY INFLATION PROTECTED SECURITIES INDEX(b)
-2.14 0.86 7.24 N/A
-----------------------------------------------------------
LIPPER TREASURY INFLATION PROTECTED SECURITIES INDEX(b)
-2.37 0.54 N/A N/A
-----------------------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lipper Treasury Lehman US Treasury
Inflation Inflation Protected Inflation Protected
Protected Securities Funds Securities Funds
Securities Fund Index/(a)(b)/ Index/(a)(b)/
--------------- ------------- -------------
5/21/1991 100,000
5/31/1991 100,300 $100,000 $100,000
6/30/1991 99,999 99,860 99 860
7/31/1991 101,499 101,048 101,048
8/31/1991 104,300 103,393 103,393
9/30/1991 107,200 105,564 105,564
10/31/1991 108,015 106,493 106,493
11/30/1991 109,127 107,558 107,558
12/31/1991 115,282 111,226 111,226
1/31/1992 111,316 109,490 109,490
2/29/1992 112,919 109,918 109,918
3/31/1992 111,417 109,276 109,276
4/30/1992 110,883 109,963 109,963
5/31/1992 114,254 111,993 111,993
6/30/1992 116,207 113,597 113,597
7/31/1992 120,670 116,461 116,461
8/31/1992 121,780 117,546 117,546
9/30/1992 124,325 119,209 119,209
10/31/1992 121,329 117,489 117,489
11/30/1992 121,778 117,284 117,284
12/31/1992 125,358 119,259 119,259
1/31/1993 128,241 121,794 121,794
2/28/1993 132,435 124,233 124,233
3/31/1993 132,554 124,648 124,648
4/30/1993 133,601 125,607 125,607
5/31/1993 133,841 125,469 125,469
6/30/1993 138,713 128,252 128,252
7/31/1993 140,822 129,035 129,035
8/31/1993 145,891 131,915 131,915
9/30/1993 146,387 132,421 132,421
10/31/1993 146,622 132,920 132,920
11/30/1993 144,496 131,463 131,463
12/31/1993 145,074 131,972 131,972
1/31/1994 148,787 133,777 133,777
2/28/1994 143,550 130,944 130,944
3/31/1994 137,492 128,001 128,001
4/30/1994 135,251 126,993 126,993
5/31/1994 134,413 126,831 126,831
6/30/1994 133,714 126,538 126,538
7/31/1994 137,712 128,865 128,865
8/31/1994 137,574 128,889 128,889
9/30/1994 133,584 127,073 127,073
10/31/1994 132,890 126,979 126,979
11/30/1994 133,474 126,745 126,745
12/31/1994 136,010 127,518 127,518
1/31/1995 139,547 129,890 129,890
2/28/1995 142,645 132,687 132,687
3/31/1995 143,672 133,519 133,519
4/30/1995 145,597 135,263 135,263
5/31/1995 152,950 140,718 140,718
6/30/1995 154,143 141,798 141,798
7/31/1995 153,495 141,277 141,277
8/31/1995 156,534 142,937 142,937
9/30/1995 158,820 144,313 144,313
10/31/1995 161,123 146,510 146,510
11/30/1995 164,055 148,795 148,795
12/31/1995 167,303 150,904 150,904
1/31/1996 167,454 151,831 151,831
2/29/1996 161,643 148,737 148,737
3/31/1996 159,445 147,495 147,495
4/30/1996 157,420 146,554 146,554
5/31/1996 156,617 146,308 146,308
6/30/1996 159,499 148,197 148,197
7/31/1996 159,882 148,563 148,563
8/31/1996 157,931 148,231 148,231
9/30/1996 162,322 150,691 150,691
10/31/1996 168,230 154,006 154,006
11/30/1996 172,856 156,686 156,686
12/31/1996 169,520 155,086 155,086
1/31/1997 169,012 155,258 155,258
2/28/1997 169,012 155,472 155,472
3/31/1997 165,310 153,826 153,826
4/30/1997 169,394 156,046 156,046
5/31/1997 171,274 157,392 157,392
6/30/1997 174,014 159,159 159,159
7/31/1997 182,106 163,677 163,677
8/31/1997 178,974 162,058 162,058
9/30/1997 182,965 164,495 164,495
10/31/1997 186,624 167,341 167,341
11/30/1997 188,733 168,198 168,198
12/31/1997 191,073 169,956 169,956
1/31/1998 193,939 172,499 172,499
2/28/1998 193,222 172,031 172,031
3/31/1998 193,570 172,519 172,519
4/30/1998 194,808 173,295 173,295
5/31/1998 197,166 175,074 175,074
6/30/1998 199,512 177,066 177,066
7/31/1998 199,791 177,339 177,339
8/31/1998 204,386 181,953 181,953
9/30/1998 209,333 186,857 186,857
10/31/1998 207,742 186,220 186,220
11/30/1998 209,217 186,283 186,283
12/31/1998 208,777 186,699 186,699
1/31/1999 210,656 187,784 187,784
2/28/1999 204,631 183,318 183,318
3/31/1999 204,631 184,037 184,037
4/30/1999 205,696 184,454 184,454
5/31/1999 203,207 182,837 182,837
6/30/1999 201,296 182,464 182,464
7/31/1999 200,230 182,199 182,199
8/31/1999 199,649 182,197 182,197
9/30/1999 201,985 183,677 183,677
10/31/1999 202,712 183,971 183,971
11/30/1999 201,719 183,718 183,718
12/31/1999 199,439 182,529 182,529
1/31/2000 200,436 182,784 182,784
2/29/2000 205,247 185,386 185,386
3/31/2000 210,850 188,640 188,640
4/30/2000 209,901 188,118 188,118
5/31/2000 209,083 188,239 188,239
6/30/2000 213,975 191,596 191,596
7/31/2000 216,115 193,452 193,452
8/31/2000 220,481 196,312 196,312
9/30/2000 220,282 196,871 196,871
10/31/2000 223,410 198,755 198,755
11/30/2000 229,509 202,663 202,663
12/31/2000 234,650 206,703 206,703
1/31/2001 235,706 208,783 208,783
2/28/2001 238,700 211,158 211,158
3/31/2001 237,769 211,898 211,898
4/30/2001 233,227 209,735 209,735
5/31/2001 233,880 210,427 210,427
6/30/2001 234,933 211,396 211,396
7/31/2001 242,380 216,472 216,472
8/31/2001 245,458 219,159 219,159
9/30/2001 248,625 222,974 222,974
10/31/2001 258,843 228,727 228,727
11/30/2001 249,059 223,595 223,595
12/31/2001 245,622 221,651 221,651
1/31/2002 248,324 223,086 223,086
2/28/2002 251,701 225,145 225,145
3/31/2002 245,308 220,248 220,248
4/30/2002 252,152 225,496 225,496
5/31/2002 254,421 226,848 226,848
6/30/2002 257,958 230,022 230,022
7/31/2002 263,968 235,073 235,073
8/31/2002 271,834 239,731 239,731
9/30/2002 279,473 245,351 245,351
10/31/2002 275,504 243,379 243,379
11/30/2002 273,108 241,284 241,284
12/31/2002 280,509 247,130 247,130
1/31/2003 280,761 246,510 246,510
2/28/2003 287,106 250,487 250,487
3/31/2003 285,269 249,773 249,773
4/30/2003 285,526 250,930 250,930
5/31/2003 293,692 257,443 257,443
6/30/2003 291,930 256,095 256,095
7/31/2003 278,734 245,509 245,509
8/31/2003 281,717 246,883 246,883
9/30/2003 291,464 254,059 254,059
10/31/2003 285,926 250,443 250,443
11/30/2003 286,498 250,731 250,731
12/31/2003 288,905 252,953 252,953
1/31/2004 291,534 255,047 255,047
2/29/2004 295,207 258,102 258,102
3/31/2004 297,303 260,374 260,374
4/30/2004 284,846 252,539 252,539
5/31/2004 286,441 251,605 251,605
6/30/2004 287,873 252,626 252,626
7/31/2004 290,810 254,979 254,979
8/31/2004 297,498 259,945 259,945
9/30/2004 298,242 260,473 260,473
10/31/2004 300,151 262,547 262,547
11/30/2004 297,179 259,427 259,427
12/31/2004 301,578 261,748 261,748
1/31/2005 301,578 261,879 261,768
2/28/2005 300,221 260,753 260,650
3/31/2005 299,800 261,002 260,883
4/30/2005 304,477 265,813 265,865
5/31/2005 306,943 267,970 267,693
6/30/2005 308,233 269,015 268,832
7/31/2005 302,345 263,474 263,188
8/31/2005 308,816 269,655 269,262
9/30/2005 307,611 268,883 268,885
10/31/2005 303,366 265,119 265,449
11/30/2005 303,639 265,172 265,909
12/31/2005 307,617 268,884 269,180
1/31/2006 307,617 269,207 269,154
2/28/2006 308,478 269,207 269,025
3/31/2006 301,232 262,531 263,123
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
For illustrative purposes, the chart above reflects the growth of a
hypothetical investment of $100,000 in the Fund, since its inception. For
illustrative purposes, the chart above also reflects the growth of a
hypothetical investment in the former primary benchmark of the Fund, the Lehman
US Government Bond Index (the "Former Benchmark"), compared to the performance
of the Fund from the Fund's inception date and through December 31, 2004. On
December 15, 2004, in connection with a change of the Fund's investment
objective, the Fund changed its primary benchmark from the Former Benchmark to
the Lehman US Treasury Inflation Protected Securities Index (the "New
Benchmark"). Since index performance data is not available coincident with the
date of the Fund's strategy change, comparative data for the Fund's New
Benchmark begins on December 31, 2004. For illustrative purposes, the chart
above reflects the growth of a hypothetical investment in the New Benchmark,
compared to the performance of the Fund, from December 31, 2004, through March
31, 2006. The chart above also compares the performance of the Fund to the
Lipper Treasury Inflation Protected Securities Fund Index from December 31,
2004 and through March 31, 2006. The performance of the New Benchmark and of
the Lipper Treasury Inflation Protected Securities Fund Index was linked to the
performance of the Former Benchmark as of December 31, 2004.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would be
lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 15 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment
of $100,000.
WHAT YOU SHOULD KNOW
Securities issued by US government agencies are not issued, and may not be
guaranteed by the US government.
Effective December 15, 2004, the Fund's name and investment strategy changed.
The Fund is now named the Loomis Sayles Inflation Protected Securities Fund,
and its strategy emphasizes inflation-protected debt securities issued by the
US Treasury (TIPS). The principal value of the types of securities are
periodically adjusted according to the rate of inflation and repayment of the
original bonds is guaranteed by the US government.
8
FUND AND MANAGER REVIEW
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
[PHOTO]
Daniel Fuss
Manager since January 1996
FUND FACTS
SYMBOL | LSHIX
OBJECTIVE | High total investment return through a combination of current
income and capital appreciation
STRATEGY | Invests in primarily lower-rated fixed-income securities and other
securities that are expected to produce a relatively high level of income
(including income-producing preferred and common stocks)
FUND INCEPTION DATE | 6/5/96
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.75%
TOTAL NET ASSETS | $127.2 million
PORTFOLIO REVIEW
Favorable security selections in the high yield, emerging market and
convertibles sectors helped the Fund significantly outperform its Benchmark,
the Lehman High Yield Index, for the six months ended March 31, 2006. Our
primary strategies during the period included taking advantage of select
non-benchmark opportunities among non-dollar, convertible, emerging market,
preferred/equity and investment grade credit securities. With the global
economy improving, we focused on sovereign opportunities, particularly in Latin
America and Southeast Asia. In addition, we shortened the Fund's duration
during the period in anticipation of higher interest rates.
In terms of sectors, the convertibles, preferred/equity and emerging markets
areas made the greatest positive contributions to Fund performance.
Convertibles outperformed due to improving corporate capital structures in
select names. Continental Airlines convertibles were the Fund's top-performing
individual securities, due to strength in the underlying stock. The
preferred/equity sector's positive influence on performance was driven by
specific names that performed well. In the emerging markets sector, the
combination of strong global economic growth, rising commodity prices and
improving credit quality led to strong performance. For example, Republic of
Argentina warrants, which are positively correlated with Argentina's Gross
Domestic Product, were top performers on strong signs of an economic recovery
in the country. On the downside, the Canadian sector was a slight drag on
relative performance, primarily due to currency depreciation.
Among industries represented in the Fund, communications performed well due to
capital restructuring improvements and fiber/bandwidth demand. Level 3
Communications convertibles were top performers for the Fund, due to strong
profitability forecasts for the company stemming from growing demand for
telecom products. In addition, strong demand within the biotech and
pharmaceutical markets led to positive performance for consumer non-cyclicals.
The individual technology stocks we selected also outperformed.
Bankruptcies led to declines in the auto and electric industries. In
particular, Delphi and Calpine bonds detracted from the Fund's performance. We
maintained a position in certain short Calpine paper and held all our Delphi
bonds. Solo Cup also was a negative contributor to performance, due to a credit
downgrade. We sold the position early in 2006.
OUTLOOK
Credit spreads remain tight, but opportunities are still present, particularly
in the below-investment grade categories. The high yield sector appears fairly
valued, as market and economic conditions are favorable. Nevertheless, from a
shorter-term, tactical perspective, the market seems rich and vulnerable to
spreads snapping back to the middle or higher end of the range. Therefore,
although we anticipate attractive opportunities in selected
9
high yield securities, our overall assessment is one of caution. We continue to
focus our efforts on careful credit research, seeking improving credit quality
in select names. Defaults are expected to rise modestly in 2006, but there is
no indication credit quality is deteriorating on a widespread basis. We will
continue to look for opportunities in technical flare-ups.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS REGISTRATION(a) INCEPTION(a)
------------------------------------------------------
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME: INSTITUTIONAL
7.44% 14.48% 12.93% 8.44% 8.50%
------------------------------------------------------
LEHMAN HIGH YIELD INDEX(b)
3.58 7.43 8.13 5.99 6.68
------------------------------------------------------
LIPPER HIGH CURRENT YIELD FUNDS INDEX(b)
3.58 7.14 6.58 4.43 5.23
------------------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE
REGISTRATION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles
Institutional High Lehman High Lipper High Current
Income Fund Yield Index/(a)(b)/ Yield Funds Index/(a)(b)/
------------------ ------------------ ------------------------
3/7/1997 $3,000,000 $3,000,000 $3,000,000
3/31/1997 2,961,300 2,956,675 2,935,019
4/30/1997 3,000,093 2,985,600 2,960,015
5/31/1997 3,089,196 3,051,777 3,038,341
6/30/1997 3,148,508 3,094,100 3,090,391
7/31/1997 3,305,934 3,179,060 3,172,824
8/31/1997 3,302,958 3,171,860 3,180,038
9/30/1997 3,404,029 3,234,719 3,257,060
10/31/1997 3,302,929 3,237,599 3,244,290
11/30/1997 3,317,792 3,268,527 3,267,845
12/31/1997 3,287,601 3,297,202 3,306,367
1/31/1998 3,333,298 3,356,554 3,370,604
2/28/1998 3,398,631 3,376,213 3,402,372
3/31/1998 3,506,707 3,407,893 3,451,685
4/30/1998 3,496,889 3,421,354 3,462,458
5/31/1998 3,401,773 3,433,249 3,458,631
6/30/1998 3,323,192 3,445,583 3,464,701
7/31/1998 3,282,649 3,465,180 3,488,336
8/31/1998 2,784,015 3,273,974 3,222,514
9/30/1998 2,777,333 3,288,812 3,203,193
10/31/1998 2,774,000 3,221,383 3,130,474
11/30/1998 3,041,414 3,355,052 3,314,300
12/31/1998 2,995,185 3,358,746 3,303,951
1/31/1999 3,068,567 3,408,645 3,363,790
2/28/1999 3,049,235 3,388,547 3,350,254
3/31/1999 3,191,939 3,420,853 3,409,321
4/30/1999 3,392,712 3,487,155 3,497,486
5/31/1999 3,296,359 3,439,949 3,431,058
6/30/1999 3,346,463 3,432,623 3,431,561
7/31/1999 3,319,357 3,446,397 3,432,623
8/31/1999 3,249,982 3,408,331 3,397,795
9/30/1999 3,242,183 3,383,789 3,371,317
10/31/1999 3,319,346 3,361,313 3,361,592
11/30/1999 3,396,687 3,400,568 3,420,818
12/31/1999 3,474,132 3,439,072 3,461,999
1/31/2000 3,461,277 3,424,234 3,444,984
2/29/2000 3,568,577 3,430,870 3,469,424
3/31/2000 3,572,859 3,358,746 3,409,362
4/30/2000 3,538,560 3,364,130 3,394,490
5/31/2000 3,457,173 3,329,633 3,334,061
6/30/2000 3,555,702 3,397,437 3,395,777
7/31/2000 3,551,436 3,423,357 3,401,865
8/31/2000 3,671,474 3,446,773 3,419,649
9/30/2000 3,572,711 3,416,658 3,369,326
10/31/2000 3,414,083 3,307,219 3,254,168
11/30/2000 3,182,608 3,176,242 3,072,498
12/31/2000 3,275,222 3,237,598 3,125,800
1/31/2001 3,553,616 3,480,143 3,333,190
2/28/2001 3,548,641 3,526,473 3,343,728
3/31/2001 3,404,566 3,443,454 3,232,797
4/30/2001 3,337,496 3,400,568 3,190,415
5/31/2001 3,399,907 3,461,799 3,224,914
6/30/2001 3,323,069 3,364,693 3,129,947
7/31/2001 3,327,722 3,414,216 3,148,290
8/31/2001 3,351,681 3,454,473 3,162,241
9/30/2001 3,121,086 3,222,322 2,938,954
10/31/2001 3,159,475 3,302,022 3,006,177
11/30/2001 3,289,013 3,422,480 3,101,659
12/31/2001 3,282,435 3,408,519 3,093,281
1/31/2002 3,282,435 3,432,247 3,100,728
2/28/2002 3,176,085 3,384,352 3,045,930
3/31/2002 3,310,433 3,465,805 3,106,216
4/30/2002 3,366,379 3,521,213 3,138,694
5/31/2002 3,332,715 3,501,680 3,107,195
6/30/2002 3,131,086 3,243,483 2,932,255
7/31/2002 2,996,763 3,101,801 2,836,135
8/31/2002 3,058,496 3,190,266 2,884,966
9/30/2002 2,932,792 3,148,381 2,844,823
10/31/2002 2,957,134 3,120,896 2,826,824
11/30/2002 3,213,222 3,314,230 2,989,777
12/31/2002 3,275,879 3,360,560 3,018,826
1/31/2003 3,440,001 3,472,441 3,085,588
2/28/2003 3,502,953 3,515,265 3,126,937
3/31/2003 3,616,449 3,616,378 3,204,996
4/30/2003 3,900,340 3,830,936 3,362,352
5/31/2003 4,045,433 3,870,505 3,402,342
6/30/2003 4,159,109 3,981,822 3,494,011
7/31/2003 4,108,784 3,938,059 3,467,076
8/31/2003 4,153,159 3,983,325 3,513,632
9/30/2003 4,361,647 4,092,200 3,598,950
10/31/2003 4,512,997 4,174,843 3,679,708
11/30/2003 4,645,679 4,238,140 3,722,340
12/31/2003 4,848,695 4,334,119 3,814,498
1/31/2004 4,951,487 4,416,824 3,875,711
2/29/2004 4,924,254 4,405,743 3,868,130
3/31/2004 4,979,406 4,435,669 3,882,885
4/30/2004 4,821,559 4,405,492 3,874,065
5/31/2004 4,690,894 4,330,863 3,814,199
6/30/2004 4,821,301 4,392,971 3,867,564
7/31/2004 4,869,514 4,452,699 3,898,393
8/31/2004 5,013,652 4,540,038 3,962,011
9/30/2004 5,152,845 4,605,964 4,017,006
10/31/2004 5,262,601 4,689,171 4,088,474
11/30/2004 5,386,272 4,745,706 4,146,505
12/31/2004 5,538,165 4,816,454 4,209,046
1/31/2005 5,530,965 4,810,193 4,198,679
2/28/2005 5,650,434 4,880,940 4,262,841
3/31/2005 5,463,969 4,739,007 4,149,770
4/30/2005 5,396,763 4,692,802 4,101,283
5/31/2005 5,508,476 4,776,134 4,167,006
6/30/2005 5,672,628 4,869,858 4,234,057
7/31/2005 5,777,005 4,955,005 4,299,810
8/31/2005 5,814,555 4,964,459 4,320,236
9/30/2005 5,822,114 4,914,936 4,292,187
10/31/2005 5,755,160 4,880,627 4,256,801
11/30/2005 5,792,568 4,906,108 4,295,587
12/31/2005 5,895,097 4,948,244 4,335,208
1/31/2006 6,111,447 5,027,193 4,391,116
2/28/2006 6,263,622 5,060,751 4,427,929
3/31/2006 6,254,959 5,091,053 4,446,041
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lehman High Lipper High
Institutional High Yield Current Yield
Income Fund Index/(a)(b)/ Funds Index/(a)(b)/
------------------ ------------- -------------------
6/5/1996 $3,000,000 $3,000,000 $3,000,000
6/30/1996 3,009,000 3,024,817 3,001,875
7/31/1996 2,990,946 3,038,898 3,015,534
8/31/1996 3,032,819 3,071,731 3,064,208
9/30/1996 3,113,796 3,145,762 3,144,098
10/31/1996 3,131,856 3,169,951 3,159,086
11/30/1996 3,221,740 3,233,107 3,213,523
12/31/1996 3,228,828 3,255,623 3,253,122
1/31/1997 3,244,649 3,285,389 3,285,381
2/28/1997 3,219,341 3,340,250 3,340,543
3/31/1997 3,165,256 3,292,011 3,268,186
4/30/1997 3,206,721 3,324,217 3,296,019
5/31/1997 3,301,960 3,397,899 3,383,236
6/30/1997 3,365,358 3,445,023 3,441,195
7/31/1997 3,533,626 3,539,618 3,532,985
8/31/1997 3,530,445 3,531,601 3,541,018
9/30/1997 3,638,477 3,601,589 3,626,784
10/31/1997 3,530,414 3,604,796 3,612,564
11/30/1997 3,546,301 3,639,232 3,638,792
12/31/1997 3,514,030 3,671,159 3,681,687
1/31/1998 3,562,875 3,737,243 3,753,216
2/28/1998 3,632,707 3,759,132 3,788,591
3/31/1998 3,748,227 3,794,405 3,843,501
4/30/1998 3,737,732 3,809,392 3,855,496
5/31/1998 3,636,066 3,822,637 3,851,235
6/30/1998 3,552,073 3,836,370 3,857,994
7/31/1998 3,508,737 3,858,189 3,884,313
8/31/1998 2,975,760 3,645,297 3,588,316
9/30/1998 2,968,618 3,661,818 3,566,802
10/31/1998 2,965,056 3,586,741 3,485,828
11/30/1998 3,250,887 3,735,570 3,690,521
12/31/1998 3,201,474 3,739,683 3,678,996
1/31/1999 3,279,910 3,795,241 3,745,628
2/28/1999 3,259,247 3,772,865 3,730,556
3/31/1999 3,411,779 3,808,835 3,796,327
4/30/1999 3,626,380 3,882,657 3,894,501
5/31/1999 3,523,391 3,830,096 3,820,533
6/30/1999 3,576,947 3,821,940 3,821,093
7/31/1999 3,547,973 3,837,276 3,822,275
8/31/1999 3,473,821 3,794,893 3,783,494
9/30/1999 3,465,484 3,767,567 3,754,010
10/31/1999 3,547,962 3,742,542 3,743,181
11/30/1999 3,630,630 3,786,249 3,809,130
12/31/1999 3,713,408 3,829,120 3,854,985
1/31/2000 3,699,668 3,812,599 3,836,039
2/29/2000 3,814,358 3,819,988 3,863,253
3/31/2000 3,818,935 3,739,684 3,796,373
4/30/2000 3,782,274 3,745,679 3,779,813
5/31/2000 3,695,281 3,707,269 3,712,525
6/30/2000 3,800,597 3,782,764 3,781,245
7/31/2000 3,796,036 3,811,623 3,788,025
8/31/2000 3,924,342 3,837,695 3,807,828
9/30/2000 3,818,777 3,804,165 3,751,792
10/31/2000 3,649,224 3,682,313 3,623,562
11/30/2000 3,401,806 3,536,482 3,421,271
12/31/2000 3,500,799 3,604,797 3,480,622
1/31/2001 3,798,367 3,874,850 3,711,555
2/28/2001 3,793,049 3,926,434 3,723,289
3/31/2001 3,639,051 3,834,000 3,599,766
4/30/2001 3,567,362 3,786,249 3,552,572
5/31/2001 3,634,072 3,854,425 3,590,988
6/30/2001 3,551,942 3,746,306 3,485,241
7/31/2001 3,556,914 3,801,446 3,505,666
8/31/2001 3,582,524 3,846,269 3,521,201
9/30/2001 3,336,046 3,587,788 3,272,568
10/31/2001 3,377,080 3,676,528 3,347,421
11/30/2001 3,515,540 3,810,648 3,453,742
12/31/2001 3,508,509 3,795,103 3,444,413
1/31/2002 3,508,509 3,821,522 3,452,705
2/28/2002 3,394,833 3,768,195 3,391,687
3/31/2002 3,538,435 3,858,886 3,458,816
4/30/2002 3,598,234 3,920,579 3,494,981
5/31/2002 3,562,252 3,898,830 3,459,907
6/30/2002 3,346,736 3,611,349 3,265,108
7/31/2002 3,203,161 3,453,598 3,158,077
8/31/2002 3,269,146 3,552,097 3,212,452
9/30/2002 3,134,784 3,505,461 3,167,752
10/31/2002 3,160,803 3,474,859 3,147,709
11/30/2002 3,434,528 3,690,121 3,329,160
12/31/2002 3,501,501 3,741,705 3,361,506
1/31/2003 3,676,927 3,866,276 3,435,847
2/28/2003 3,744,214 3,913,957 3,481,889
3/31/2003 3,865,527 4,026,537 3,568,810
4/30/2003 4,168,971 4,265,430 3,744,027
5/31/2003 4,324,057 4,309,486 3,788,557
6/30/2003 4,445,562 4,433,429 3,890,632
7/31/2003 4,391,771 4,384,703 3,860,639
8/31/2003 4,439,202 4,435,102 3,912,480
9/30/2003 4,662,050 4,556,326 4,007,482
10/31/2003 4,823,823 4,648,342 4,097,408
11/30/2003 4,965,644 4,718,818 4,144,879
12/31/2003 5,182,642 4,825,682 4,247,498
1/31/2004 5,292,514 4,917,768 4,315,660
2/29/2004 5,263,406 4,905,429 4,307,219
3/31/2004 5,322,356 4,938,750 4,323,648
4/30/2004 5,153,637 4,905,150 4,313,828
5/31/2004 5,013,974 4,822,057 4,247,166
6/30/2004 5,153,362 4,891,209 4,306,588
7/31/2004 5,204,896 4,957,711 4,340,917
8/31/2004 5,358,961 5,054,955 4,411,757
9/30/2004 5,508,102 5,128,359 4,472,995
10/31/2004 5,625,425 5,221,002 4,552,576
11/30/2004 5,757,622 5,283,950 4,617,194
12/31/2004 5,919,987 5,362,721 4,686,834
1/31/2005 5,912,291 5,355,750 4,675,290
2/28/2005 6,039,996 5,434,522 4,746,735
3/31/2005 5,840,487 5,276,491 4,620,829
4/30/2005 5,768,649 5,225,046 4,566,838
5/31/2005 5,888,060 5,317,829 4,640,022
6/30/2005 6,063,524 5,422,183 4,714,684
7/31/2005 6,175,093 5,516,988 4,787,901
8/31/2005 6,215,231 5,527,514 4,810,646
9/30/2005 6,223,311 5,472,374 4,779,413
10/31/2005 6,151,743 5,434,173 4,740,010
11/30/2005 6,191,729 5,462,545 4,783,199
12/31/2005 6,301,323 5,509,459 4,827,317
1/31/2006 6,532,581 5,597,362 4,889,572
2/28/2006 6,695,243 5,634,726 4,930,564
3/31/2006 6,686,199 5,668,465 4,950,732
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with regulations, performance
information is provided for the period beginning on March 7, 1997
("Registration"). Performance from inception is also provided for the
convenience of our long-term shareholders. Since index performance data is not
available coincident with the Fund's inception and registration dates,
comparative performance is presented from the month end closest to the Fund's
inception and registration dates. (b) See page 15 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the US. Securities issued by US
government agencies are not issued, and may not be guaranteed by the US
government.
10
FUND AND MANAGER REVIEW
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
[PHOTO]
Cliff Rowe
Manager since January 2003
Manager since December 2005
[PHOTO]
Neil Burke
Manager since December 2005
FUND FACTS
SYMBOL | LSDIX
OBJECTIVE | Above-average total return through a combination of current income
and capital appreciation
STRATEGY | Invests only in investment-grade fixed-income securities. The
Fund's weighted average duration generally is two to five years
FUND INCEPTION DATE | 1/28/98
EXPENSE RATIO | 0.40%
TOTAL NET ASSETS | $41.3 million
[PHOTO]
Richard Raczkowski
Manager since December 2005
PORTFOLIO REVIEW
In a challenging climate for fixed income investors, the Fund slightly
outperformed its Benchmark, the Lehman US Government/Credit Intermediate Index,
for the six-month period ended March 31, 2006. The primary contributors to this
outperformance included security selection and duration management. Throughout
the period, we increased the Fund's duration by approximately half a year, but
the Fund's interest-rate sensitivity still remained slightly short of the
Benchmark's at the end of March, 2006. We do not plan to make any significant
changes to the duration strategy in the near-term.
The Fund maintained a slight yield advantage relative to the Benchmark during
the fiscal period, while its overall quality remained comparable. Slight
increases in securities with AA and A ratings contributed to this advantage,
because they provided higher yields relative to comparable Treasuries with
limited risk. In addition, we trimmed our holdings in US credits and increased
exposure to US Treasuries and the asset-backed securities market. In general,
these allocation changes have come at the expense of the BBB-rated sector, a
quality bucket that has contributed healthy returns throughout the past six
months, but which now appears to be rich as a whole, given the group's
potential risks and tight spreads relative to lower-risk instruments.
The Fund's out-of-Benchmark allocations to mortgage-backed securities
(especially 15-year mortgages) and asset-backed securities with shorter
maturities (particularly auto loans) contributed positively to performance
during the six months. Fears of extension risk (as interest rates rise, the
likelihood of prepayment decreases) provided an opportunity for us to purchase
mortgage-backed securities at favorable prices. Within the corporate sector,
investment-grade financials and industrials posted strong returns. Security
selection was an important driver of return within these areas. In addition,
the Fund's emphasis on consumer non-cyclicals and its equal-weight position in
consumer cyclicals led to outperformance relative to the Benchmark's sectors.
In terms of individual issues, a few short-term US Treasury notes made the
greatest contributions to Fund performance during the period. The Fund's
holdings in Residential Capital Corp. also performed well on expectations that
the company would separate from GMAC.
As interest rates rose, a few longer-duration US Treasury notes were the
largest detractors to the Fund's performance, particularly in the first
calendar quarter of 2006. The Fund's avoidance of the Agency sector proved
somewhat costly, because Agencies performed well on a relative basis. In
addition, basic industries detracted slightly from the Fund's relative
performance during the six-month period, primarily for issue-specific reasons.
OUTLOOK
We believe the US economy may slow, but growth should remain at a healthy,
close-to-trend pace into summer. Our forecast calls for vigorous real GDP
growth for the first half of 2006, slowing to a more moderate pace in the
second half of the year. The end of the housing boom could temper consumer
enthusiasm for spending. But we believe higher net exports, greater business
capital
11
investment, and stronger spending by state and local governments may offset
slowing consumer-spending trends. Global economic growth also is looking
favorable, in our view, with Europe and Japan finally seeing stronger economic
momentum.
With a federal funds rate of 4.75% as of March 31, 2006, we believe the Federal
Reserve Board is at or close to a "neutral" zone, neither stimulating nor
suppressing economic activity. Our forecast is for inflation to remain in
check, reducing the risk that the Fed will need to raise rates much beyond 5%.
Corporate investors are faced with tight spread levels, but the corporate
market could outperform Treasuries by a small margin, given still-healthy
profit growth in a supportive economic environment. We continue to view
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR 5 YEARS INCEPTION(a)
--------------------------------------------------------
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND:
INSTITUTIONAL
0.39% 2.17% 4.49% 5.14%
--------------------------------------------------------
LEHMAN US GOV'T/CREDIT INTERMEDIATE INDEX(b)
0.13 2.08 4.71 5.43
--------------------------------------------------------
LIPPER INTERMEDIATE INVESTMENT GRADE DEBT FUNDS INDEX(b)
-0.10 2.21 4.91 5.33
--------------------------------------------------------
* Notannualized
allocations to US credits--especially those in the BBB universe--on a
selective, credit-specific basis.
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lehman US
Intermediate Government/Credit Lipper Intermediate
Duration Fixed Intermediate Investment Grade
Income Fund Index/(a)(b)/ Debt Funds Index/(a)(b)/
-------------- ----------------- ------------------------
1/28/1998 $2,000,000 $2,000,000 $2,000,000
1/31/1998 2,008,000 2,000,000 2,000,000
2/28/1998 2,008,000 1,998,476 1,997,109
3/31/1998 2,016,032 2,004,896 2,004,485
4/30/1998 2,024,096 2,014,941 2,013,850
5/31/1998 2,036,241 2,029,721 2,032,011
6/30/1998 2,042,349 2,042,676 2,048,200
7/31/1998 2,050,519 2,049,881 2,052,391
8/31/1998 2,030,014 2,082,096 2,080,194
9/30/1998 2,038,134 2,134,402 2,126,828
10/31/1998 2,042,210 2,132,300 2,109,620
11/30/1998 2,060,998 2,132,139 2,120,139
12/31/1998 2,064,296 2,140,706 2,129,212
1/31/1999 2,083,494 2,152,461 2,142,422
2/28/1999 2,064,326 2,120,823 2,104,181
3/31/1999 2,092,194 2,136,642 2,120,746
4/30/1999 2,115,836 2,143,200 2,127,865
5/31/1999 2,085,579 2,126,712 2,106,194
6/30/1999 2,092,253 2,128,190 2,099,075
7/31/1999 2,087,860 2,126,319 2,091,677
8/31/1999 2,083,475 2,127,936 2,089,448
9/30/1999 2,112,019 2,147,796 2,112,442
10/31/1999 2,118,777 2,153,338 2,115,656
11/30/1999 2,130,007 2,155,994 2,118,141
12/31/1999 2,132,350 2,148,950 2,108,404
1/31/2000 2,125,526 2,141,099 2,100,909
2/29/2000 2,145,931 2,158,742 2,123,716
3/31/2000 2,166,532 2,181,257 2,149,930
4/30/2000 2,155,049 2,176,315 2,136,614
5/31/2000 2,145,783 2,179,710 2,132,737
6/30/2000 2,192,132 2,218,160 2,177,898
7/31/2000 2,213,176 2,235,041 2,196,489
8/31/2000 2,234,201 2,261,437 2,226,945
9/30/2000 2,257,660 2,282,013 2,241,699
10/31/2000 2,255,177 2,292,405 2,249,600
11/30/2000 2,279,082 2,323,557 2,285,400
12/31/2000 2,320,789 2,366,372 2,331,570
1/31/2001 2,373,935 2,405,214 2,372,538
2/28/2001 2,395,775 2,427,938 2,395,339
3/31/2001 2,417,577 2,446,551 2,404,648
4/30/2001 2,419,994 2,440,085 2,391,713
5/31/2001 2,447,098 2,453,825 2,406,442
6/30/2001 2,454,440 2,462,993 2,415,292
7/31/2001 2,496,656 2,514,144 2,473,884
8/31/2001 2,526,616 2,539,293 2,501,127
9/30/2001 2,551,629 2,576,334 2,520,379
10/31/2001 2,584,545 2,619,056 2,571,754
11/30/2001 2,579,635 2,592,822 2,539,460
12/31/2001 2,554,870 2,578,458 2,523,138
1/31/2002 2,557,425 2,591,852 2,541,344
2/28/2002 2,559,983 2,612,451 2,565,908
3/31/2002 2,534,127 2,572,731 2,521,383
4/30/2002 2,547,051 2,615,246 2,566,865
5/31/2002 2,573,285 2,641,364 2,587,935
6/30/2002 2,541,634 2,664,203 2,586,266
7/31/2002 2,515,455 2,695,748 2,596,536
8/31/2002 2,576,329 2,735,907 2,646,576
9/30/2002 2,578,133 2,784,887 2,675,453
10/31/2002 2,570,140 2,773,964 2,665,193
11/30/2002 2,605,094 2,771,586 2,677,862
12/31/2002 2,660,322 2,832,067 2,732,357
1/31/2003 2,671,230 2,831,928 2,740,900
2/28/2003 2,717,709 2,871,787 2,779,984
3/31/2003 2,726,134 2,874,766 2,780,258
4/30/2003 2,767,571 2,896,727 2,812,755
5/31/2003 2,828,458 2,954,922 2,865,211
6/30/2003 2,839,489 2,952,959 2,864,516
7/31/2003 2,766,798 2,872,734 2,767,930
8/31/2003 2,775,375 2,879,523 2,788,989
9/30/2003 2,854,196 2,952,382 2,863,977
10/31/2003 2,837,356 2,924,578 2,843,761
11/30/2003 2,845,868 2,928,550 2,851,270
12/31/2003 2,880,303 2,954,137 2,880,270
1/31/2004 2,903,345 2,973,535 2,903,172
2/29/2004 2,931,798 3,003,879 2,931,372
3/31/2004 2,957,891 3,027,250 2,952,490
4/30/2004 2,882,761 2,955,453 2,881,549
5/31/2004 2,865,752 2,942,036 2,867,417
6/30/2004 2,880,368 2,950,858 2,880,781
7/31/2004 2,907,443 2,975,752 2,907,821
8/31/2004 2,951,346 3,025,425 2,960,185
9/30/2004 2,956,658 3,030,690 2,967,931
10/31/2004 2,974,694 3,051,105 2,991,323
11/30/2004 2,957,738 3,023,301 2,972,626
12/31/2004 2,976,963 3,043,992 3,003,543
1/31/2005 2,981,131 3,049,881 3,019,767
2/28/2005 2,967,716 3,033,138 3,006,963
3/31/2005 2,947,546 3,017,481 2,989,169
4/30/2005 2,971,421 3,052,006 3,025,948
5/31/2005 2,992,221 3,079,394 3,057,721
6/30/2005 3,003,891 3,092,372 3,075,655
7/31/2005 2,990,073 3,066,693 3,051,632
8/31/2005 3,016,086 3,102,556 3,089,820
9/30/2005 3,000,101 3,076,253 3,058,483
10/31/2005 2,986,901 3,059,395 3,033,294
11/30/2005 2,998,550 3,072,720 3,044,398
12/31/2005 3,015,342 3,092,049 3,072,114
1/31/2006 3,020,166 3,091,587 3,076,023
2/28/2006 3,025,602 3,093,827 3,085,100
3/31/2006 3,011,512 3,080,156 3,055,280
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month-end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would be
lower.
(a) Since index performance data is not available coincident with the Fund's
inception date, comparative performance is presented from the month end closest
to the Fund's inception date. (b) See page 15 for a description of the indexes.
(c) The mountain chart is based on the Fund's minimum initial investment of
$2,000,000.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity, which may
adversely affect the value of the fund. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the US. Securities issued by US
government agencies are not issued, and may not be guaranteed by the US
government.
12
FUND AND MANAGER REVIEW
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
[PHOTO]
Daniel Fuss
Manager since July 1994
[PHOTO]
Steven Kaseta
Manager since November 2002
Manager since February 2002
FUND FACTS
SYMBOL | LSIGX
OBJECTIVE | Above-average total investment return through a combination of
current income and capital appreciation
STRATEGY | Invests in primarily investment-grade fixed-income securities,
although it may invest up to 10% of its assets in lower rated fixed-income
securities and up to 10% of its assets in preferred stocks
FUND INCEPTION DATE | 7/1/94
FUND REGISTRATION DATE | 3/7/97
EXPENSE RATIO | 0.55%
TOTAL NET ASSETS | $179.3 million
PORTFOLIO REVIEW
Favorable sector and security selections accounted for the Fund's
outperformance relative to its Benchmark, the Lehman US Government/Credit
Index, for the six months ended March 31, 2006. In particular, our security
selections within the emerging markets, high yield and international
sectors--sectors that are not represented in the Benchmark--helped generate the
majority of the Fund's performance advantage. In addition to these sectors, we
invested a large portion of the Fund's portfolio in other non-Benchmark
sectors, including convertibles, Canada, preferred equity and mortgage-related.
Tighter yield spreads in the US bond market caused investors to seek higher
yields. This sentiment helped drive performance in the high yield, emerging
market and international sectors. In addition, improving fundamentals and
increased global demand for commodities helped emerging market and
international bonds. Convertible securities and short-duration Canadian
Securities bonds also were positive.
The US government agency sector performed poorly versus other sectors within
the Fund and detracted from performance during the period. Yield-curve
positioning was the primary culprit within this sector.
From a country perspective, Mexico, the United Kingdom and the United States
provided the greatest positive contributions to Fund performance. Improving
fundamentals and good security selection accounted for positive results from
the Fund's Mexican bonds. Security selection also was the driver for the Fund's
UK bonds. The Fund's allocations to the US high yield and credit sectors and
the large domestic weighting within the portfolio also contributed to positive
performance. The largest detractor to Fund performance was the supranational
category, where bonds denominated in New Zealand dollars struggled as that
currency declined.
The banking and transportation industries had the greatest positive impact on
Fund performance for the period, due to favorable security selection. Examples
include Citibank (denominated in Brazilian reals) and Atlas Air Inc. In
addition, the US Treasury sector was among the top contributors, primarily due
to the sector's relatively short duration and large weighting in the Fund.
Issue-specific factors in the Fund's financial holdings, which included GE
Capital Corp., detracted from relative performance.
The Fund remains positioned in a "barbell" fashion in an attempt to limit
interest rate risk. Overall, the Fund maintains a slightly defensive slant,
with a shorter duration than the Benchmark.
OUTLOOK
We believe the downside risk for bond prices is lower now, because the market
is closer to the peak in the federal funds rate and yields in general.
Volatility may arise over the near term, as investors scour every bit of data
in an effort to predict when the Federal Reserve Board will stop raising
interest rates. We believe any spike in rates may be short lived as the market
anticipates slower economic growth ahead. Also serving as a possible cap on
rates is demand for US bonds, which we believe may remain strong, as the United
States remains a "higher yield" country, despite rate gains in other parts of
the
13
world. Investors in corporate bonds are faced with tight spreads that could
widen slightly. Nevertheless, the corporate market could outperform Treasuries
by a small margin, given still-healthy profit growth in a supportive economic
environment.
With respect to the high yield market, we continue to find attractive
opportunities, but we remain somewhat cautious because we believe valuations
are stretched currently. We view this as a good time to reduce certain high
yield exposures and look for opportunities to move back into the market at a
later date and when spreads may be wider.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE SINCE
6 MONTHS* 1 YEAR 5 YEARS 10 YEARS REGISTRATION(a) INCEPTION(a)
--------------------------------------------------------------
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME: INSTITUTIONAL
0.84% 3.55% 11.15% 9.48% 9.12% 10.39%
--------------------------------------------------------------
LEHMAN US GOVERNMENT/CREDIT INDEX(b)
-0.42 2.02 5.23 6.32 6.32 6.80
--------------------------------------------------------------
LIPPER BBB-RATED FUNDS INDEX(b)
0.24 2.74 5.60 6.06 5.86 6.66
--------------------------------------------------------------
* Notannualized
CUMULATIVE PERFORMANCE
REGISTRATION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles Lipper
Investment Grade Lehman US BBB-Rated
Fixed Income Government/Credit Funds
Fund Index/(a)(b)/ Index/(a)(b)/
---------------- -------------------- -------------
3/7/1997 $3,000,000 $3,000,000 $3,000,000
3/31/1997 2,951,400 2,964,347 2,953,678
4/30/1997 2,995,081 3,007,699 2,997,311
5/31/1997 3,044,500 3,035,766 3,031,640
6/30/1997 3,101,736 3,072,204 3,076,838
7/31/1997 3,259,925 3,166,196 3,183,224
8/31/1997 3,167,343 3,130,654 3,141,058
9/30/1997 3,252,544 3,179,874 3,196,312
10/31/1997 3,282,143 3,230,813 3,228,775
11/30/1997 3,287,394 3,247,817 3,244,554
12/31/1997 3,303,502 3,281,901 3,279,365
1/31/1998 3,339,510 3,328,168 3,321,218
2/28/1998 3,358,879 3,321,403 3,320,000
3/31/1998 3,394,820 3,331,643 3,336,851
4/30/1998 3,402,967 3,348,386 3,351,142
5/31/1998 3,425,427 3,384,376 3,379,801
6/30/1998 3,428,167 3,418,796 3,404,600
7/31/1998 3,384,972 3,421,524 3,401,952
8/31/1998 3,207,261 3,488,383 3,377,229
9/30/1998 3,302,196 3,588,130 3,446,853
10/31/1998 3,273,467 3,562,792 3,404,340
11/30/1998 3,392,948 3,584,019 3,467,282
12/31/1998 3,413,306 3,592,802 3,475,903
1/31/1999 3,479,183 3,618,327 3,506,149
2/28/1999 3,425,256 3,532,333 3,430,289
3/31/1999 3,512,600 3,549,861 3,468,512
4/30/1999 3,597,605 3,558,681 3,493,388
5/31/1999 3,530,329 3,521,944 3,446,257
6/30/1999 3,495,379 3,510,956 3,428,157
7/31/1999 3,447,143 3,501,240 3,410,857
8/31/1999 3,433,010 3,498,437 3,398,236
9/30/1999 3,459,444 3,529,979 3,427,440
10/31/1999 3,448,719 3,539,135 3,434,173
11/30/1999 3,472,171 3,537,154 3,442,484
12/31/1999 3,497,865 3,515,628 3,436,926
1/31/2000 3,496,116 3,514,656 3,426,846
2/29/2000 3,597,853 3,558,718 3,468,999
3/31/2000 3,651,461 3,610,143 3,500,964
4/30/2000 3,561,270 3,592,540 3,458,490
5/31/2000 3,536,697 3,589,289 3,432,181
6/30/2000 3,637,847 3,662,576 3,519,026
7/31/2000 3,682,956 3,701,369 3,534,106
8/31/2000 3,754,773 3,753,616 3,598,576
9/30/2000 3,726,237 3,767,742 3,608,822
10/31/2000 3,660,283 3,791,362 3,597,158
11/30/2000 3,716,651 3,856,203 3,630,502
12/31/2000 3,813,656 3,932,293 3,706,526
1/31/2001 3,902,133 3,998,256 3,796,186
2/28/2001 3,942,325 4,039,515 3,833,677
3/31/2001 3,901,719 4,058,052 3,831,290
4/30/2001 3,889,623 4,027,631 3,810,278
5/31/2001 3,947,968 4,050,802 3,844,647
6/30/2001 3,963,365 4,070,235 3,849,140
7/31/2001 4,065,619 4,171,664 3,936,445
8/31/2001 4,172,139 4,225,219 3,983,648
9/30/2001 4,061,994 4,264,086 3,949,606
10/31/2001 4,195,228 4,372,280 4,033,352
11/30/2001 4,197,745 4,300,525 4,007,245
12/31/2001 4,165,002 4,266,628 3,982,774
1/31/2002 4,202,487 4,297,983 4,004,551
2/28/2002 4,232,325 4,334,459 4,023,698
3/31/2002 4,202,276 4,246,521 3,970,945
4/30/2002 4,330,865 4,328,778 4,031,699
5/31/2002 4,429,609 4,368,729 4,063,576
6/30/2002 4,433,153 4,405,877 4,044,471
7/31/2002 4,348,923 4,458,946 4,024,217
8/31/2002 4,464,169 4,558,918 4,105,564
9/30/2002 4,483,365 4,656,983 4,142,537
10/31/2002 4,413,873 4,612,473 4,112,979
11/30/2002 4,530,841 4,615,201 4,172,245
12/31/2002 4,687,608 4,737,483 4,269,378
1/31/2003 4,783,704 4,737,334 4,297,661
2/28/2003 4,916,691 4,821,721 4,369,988
3/31/2003 4,921,116 4,815,442 4,377,472
4/30/2003 5,140,105 4,866,904 4,465,808
5/31/2003 5,465,474 5,005,220 4,582,770
6/30/2003 5,510,291 4,985,188 4,588,720
7/31/2003 5,222,654 4,776,201 4,432,351
8/31/2003 5,268,091 4,807,706 4,467,340
9/30/2003 5,549,407 4,959,999 4,604,916
10/31/2003 5,561,615 4,897,214 4,586,679
11/30/2003 5,703,437 4,910,219 4,618,189
12/31/2003 5,850,585 4,958,654 4,685,504
1/31/2004 5,892,124 5,003,688 4,728,143
2/29/2004 5,955,170 5,064,904 4,769,917
3/31/2004 6,025,441 5,111,395 4,802,695
4/30/2004 5,775,385 4,954,468 4,680,325
5/31/2004 5,747,663 4,929,092 4,644,737
6/30/2004 5,808,589 4,949,386 4,672,147
7/31/2004 5,879,454 5,001,670 4,720,979
8/31/2004 6,042,902 5,107,509 4,816,889
9/30/2004 6,168,595 5,125,373 4,846,745
10/31/2004 6,282,097 5,169,771 4,894,639
11/30/2004 6,372,559 5,112,255 4,878,393
12/31/2004 6,451,579 5,166,595 4,933,968
1/31/2005 6,425,127 5,202,510 4,960,128
2/28/2005 6,460,465 5,168,239 4,952,106
3/31/2005 6,393,358 5,131,838 4,896,450
4/30/2005 6,388,883 5,208,788 4,936,423
5/31/2005 6,402,938 5,274,115 4,987,831
6/30/2005 6,461,845 5,308,573 5,029,999
7/31/2005 6,462,491 5,248,814 5,006,710
8/31/2005 6,561,368 5,327,184 5,068,901
9/30/2005 6,565,523 5,257,485 5,018,312
10/31/2005 6,517,372 5,212,488 4,974,872
11/30/2005 6,536,273 5,239,210 4,995,309
12/31/2005 6,568,300 5,288,990 5,044,315
1/31/2006 6,678,648 5,279,310 5,062,727
2/28/2006 6,700,020 5,293,587 5,086,025
3/31/2006 6,620,531 5,235,435 5,030,373
INCEPTION TO MARCH 31, 2006(c)
[CHART]
Loomis Sayles
Investment Lehman
Grade Fixed US Government/ Lipper BBB-Rated
Income Fund Credit Index/(a)(b)/ Funds Index/(a)(b)/
------------- ---------------------- -------------------
7/1/1994 $3,000,000 3,000,000 3,000,000
7/31/1994 3,036,000 3,059,957 3,051,324
8/31/1994 3,093,077 3,061,210 3,063,344
9/30/1994 3,023,483 3,014,850 3,021,035
10/31/1994 2,996,271 3,011,509 3,011,419
11/30/1994 2,974,698 3,006,126 3,003,366
12/31/1994 2,992,249 3,025,941 3,018,390
1/31/1995 3,045,810 3,084,042 3,067,070
2/28/1995 3,171,907 3,155,555 3,137,145
3/31/1995 3,225,829 3,176,716 3,161,786
4/30/1995 3,315,184 3,221,034 3,218,639
5/31/1995 3,485,253 3,356,031 3,357,467
6/30/1995 3,546,594 3,382,854 3,382,828
7/31/1995 3,523,541 3,369,814 3,374,895
8/31/1995 3,589,079 3,412,926 3,424,537
9/30/1995 3,680,959 3,447,591 3,464,682
10/31/1995 3,730,652 3,498,221 3,510,838
11/30/1995 3,826,903 3,555,811 3,568,413
12/31/1995 3,896,935 3,608,204 3,627,309
1/31/1996 3,964,352 3,630,665 3,656,637
2/29/1996 3,872,776 3,553,630 3,579,711
3/31/1996 3,872,776 3,523,791 3,553,303
4/30/1996 3,841,794 3,499,613 3,530,620
5/31/1996 3,862,155 3,493,719 3,528,202
6/30/1996 3,921,246 3,540,358 3,568,631
7/31/1996 3,931,833 3,548,618 3,577,472
8/31/1996 3,955,818 3,539,893 3,575,697
9/30/1996 4,079,239 3,602,821 3,647,255
10/31/1996 4,249,751 3,686,909 3,734,800
11/30/1996 4,399,343 3,754,802 3,818,069
12/31/1996 4,321,474 3,712,943 3,781,134
1/31/1997 4,314,560 3,717,352 3,793,148
2/28/1997 4,358,568 3,725,195 3,814,785
3/31/1997 4,269,654 3,680,923 3,755,882
4/30/1997 4,332,844 3,734,754 3,811,365
5/31/1997 4,404,336 3,769,606 3,855,019
6/30/1997 4,487,138 3,814,852 3,912,492
7/31/1997 4,715,982 3,931,565 4,047,771
8/31/1997 4,582,048 3,887,432 3,994,153
9/30/1997 4,705,305 3,948,549 4,064,414
10/31/1997 4,748,123 4,011,802 4,105,694
11/30/1997 4,755,720 4,032,917 4,125,758
12/31/1997 4,779,024 4,075,239 4,170,023
1/31/1998 4,831,115 4,132,691 4,223,244
2/28/1998 4,859,135 4,124,291 4,221,695
3/31/1998 4,911,128 4,137,007 4,243,123
4/30/1998 4,922,915 4,157,797 4,261,294
5/31/1998 4,955,406 4,202,487 4,297,737
6/30/1998 4,959,370 4,245,227 4,329,272
7/31/1998 4,896,882 4,248,615 4,325,905
8/31/1998 4,639,796 4,331,636 4,294,467
9/30/1998 4,777,134 4,455,495 4,383,000
10/31/1998 4,735,573 4,424,032 4,328,941
11/30/1998 4,908,421 4,450,391 4,408,978
12/31/1998 4,937,872 4,461,296 4,419,940
1/31/1999 5,033,173 4,492,992 4,458,400
2/28/1999 4,955,159 4,386,210 4,361,937
3/31/1999 5,081,515 4,407,975 4,410,543
4/30/1999 5,204,488 4,418,927 4,442,175
5/31/1999 5,107,164 4,373,309 4,382,243
6/30/1999 5,056,603 4,359,666 4,359,227
7/31/1999 4,986,822 4,347,600 4,337,228
8/31/1999 4,966,376 4,344,120 4,321,180
9/30/1999 5,004,617 4,383,287 4,358,314
10/31/1999 4,989,103 4,394,656 4,366,876
11/30/1999 5,023,028 4,392,197 4,377,445
12/31/1999 5,060,199 4,365,467 4,370,377
1/31/2000 5,057,669 4,364,260 4,357,560
2/29/2000 5,204,847 4,418,974 4,411,161
3/31/2000 5,282,399 4,482,829 4,451,808
4/30/2000 5,151,924 4,460,972 4,397,798
5/31/2000 5,116,376 4,456,934 4,364,343
6/30/2000 5,262,704 4,547,938 4,474,775
7/31/2000 5,327,962 4,596,108 4,493,951
8/31/2000 5,431,857 4,660,984 4,575,930
9/30/2000 5,390,575 4,678,526 4,588,958
10/31/2000 5,295,161 4,707,855 4,574,126
11/30/2000 5,376,707 4,788,370 4,616,527
12/31/2000 5,517,039 4,882,854 4,713,198
1/31/2001 5,645,034 4,964,762 4,827,209
2/28/2001 5,703,178 5,015,995 4,874,883
3/31/2001 5,644,435 5,039,012 4,871,848
4/30/2001 5,626,938 5,001,237 4,845,129
5/31/2001 5,711,342 5,030,009 4,888,832
6/30/2001 5,733,616 5,054,141 4,894,546
7/31/2001 5,881,543 5,180,088 5,005,563
8/31/2001 6,035,640 5,246,589 5,065,585
9/30/2001 5,876,299 5,294,852 5,022,297
10/31/2001 6,069,041 5,429,199 5,128,789
11/30/2001 6,072,683 5,340,098 5,095,591
12/31/2001 6,025,316 5,298,007 5,064,474
1/31/2002 6,079,544 5,336,942 5,092,165
2/28/2002 6,122,709 5,382,235 5,116,512
3/31/2002 6,079,237 5,273,041 5,049,431
4/30/2002 6,265,262 5,375,182 5,126,686
5/31/2002 6,408,110 5,424,790 5,167,222
6/30/2002 6,413,236 5,470,918 5,142,928
7/31/2002 6,291,385 5,536,816 5,117,173
8/31/2002 6,458,107 5,660,953 5,220,613
9/30/2002 6,485,877 5,782,724 5,267,628
10/31/2002 6,385,345 5,727,454 5,230,042
11/30/2002 6,554,557 5,730,842 5,305,405
12/31/2002 6,781,345 5,882,684 5,428,918
1/31/2003 6,920,362 5,882,499 5,464,883
2/28/2003 7,112,748 5,987,285 5,556,853
3/31/2003 7,119,150 5,979,488 5,566,370
4/30/2003 7,435,952 6,043,390 5,678,697
5/31/2003 7,906,648 6,215,141 5,827,426
6/30/2003 7,971,482 6,190,267 5,834,991
7/31/2003 7,555,371 5,930,762 5,636,153
8/31/2003 7,621,103 5,969,882 5,680,645
9/30/2003 8,028,070 6,158,989 5,855,587
10/31/2003 8,045,731 6,081,026 5,832,396
11/30/2003 8,250,897 6,097,176 5,872,464
12/31/2003 8,463,771 6,157,319 5,958,062
1/31/2004 8,523,863 6,213,239 6,012,281
2/29/2004 8,615,069 6,289,253 6,065,401
3/31/2004 8,716,727 6,346,983 6,107,081
4/30/2004 8,354,982 6,152,121 5,951,476
5/31/2004 8,314,878 6,120,611 5,906,222
6/30/2004 8,403,016 6,145,810 5,941,077
7/31/2004 8,505,533 6,210,733 6,003,171
8/31/2004 8,741,987 6,342,157 6,125,129
9/30/2004 8,923,820 6,364,339 6,163,094
10/31/2004 9,088,018 6,419,470 6,223,996
11/30/2004 9,218,886 6,348,051 6,203,338
12/31/2004 9,333,200 6,415,526 6,274,006
1/31/2005 9,294,934 6,460,122 6,307,272
2/28/2005 9,346,056 6,417,567 6,297,071
3/31/2005 9,249,720 6,372,367 6,226,299
4/30/2005 9,243,245 6,467,918 6,277,129
5/31/2005 9,263,580 6,549,037 6,342,498
6/30/2005 9,348,805 6,591,824 6,396,119
7/31/2005 9,349,740 6,517,620 6,366,505
8/31/2005 9,492,791 6,614,934 6,445,587
9/30/2005 9,498,803 6,528,386 6,381,258
10/31/2005 9,429,140 6,472,512 6,326,019
11/30/2005 9,456,485 6,505,693 6,352,008
12/31/2005 9,502,822 6,567,506 6,414,323
1/31/2006 9,662,469 6,555,487 6,437,736
2/28/2006 9,693,389 6,573,214 6,467,360
3/31/2006 9,578,387 6,501,006 6,396,593
Data quoted reflects past performance and cannot guarantee future results.
Average annual total returns assume reinvestment of dividends and capital gains
distributions. Investment return and principal value will fluctuate so that
shares, when redeemed, may be worth more or less than their original cost. For
performance current to the most recent month end, please visit the Loomis
Sayles website. Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Performance data reflects certain
fee waivers and reimbursements. Without such waivers, performance would
be lower.
(a) Shares of the Fund were registered for offer and sale under the Securities
Act of 1933 on March 7, 1997. In accordance with regulations, performance
information is provided for the period beginning on March 7, 1997
("Registration"). Performance from inception is also provided for the
convenience of our long-term shareholders. Since index performance data is not
available coincident with the Fund's inception and registration dates,
comparative performance is presented from the month end closest to the Fund's
inception and registration dates. (b) See page 15 for a description of the
indexes. (c) The mountain chart is based on the Fund's minimum initial
investment of $3,000,000.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity which may
adversely affect the value of the fund. Foreign investments involve special
risks, including greater economic, political and currency fluctuation risks,
which may be even greater in emerging markets. Foreign countries may have
different accounting standards than those of the US. Securities issued by US
government agencies are not issued, and may not be guaranteed by the US
government.
14
ADDITIONAL INFORMATION
INDEX DEFINITIONS
Indexes are unmanaged and do not have expenses that affect results, unlike
mutual funds. Index returns are adjusted for the reinvestment of capital gain
distributions and income dividends. It is not possible to invest directly in an
index.
Lipper BBB-Rated Funds Index is an equally weighted index of typically the 30
largest mutual funds within the corporate debt funds BBB-rated investment
objective.
Lipper Global Income Funds Index is an equally weighted index of typically the
30 largest mutual funds within the global income funds investment objective.
Lipper High Current Yield Funds Index is an equally weighted unmanaged index of
typically the 30 largest mutual funds within the high current yield funds
investment objective.
Lipper Intermediate Investment Grade Debt Funds Index is an equally weighted
unmanaged index of the 30 largest mutual funds within the intermediate
investment grade debt funds investment objectives.
Lipper Treasury Inflation Protected Securities Funds Index is an equally
weighted index of typically the 30 largest mutual funds within the treasury
inflation protected securities funds investment objective.
Source: Lipper, Inc.
Lehman US Government/Credit Index includes treasuries (public obligations of
the U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government)
as well as other publicly issued investment grade corporate and foreign
debentures that meet specified maturity, liquidity, and quality requirements.
Lehman US Government/Credit Intermediate Index includes securities which have a
remaining maturity of 1-10 years and includes Treasuries (public obligations of
the U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government),
as well as other publicly issued investment grade corporate and non-corporate
debentures that meet specified maturity, liquidity, and quality requirements.
Lehman Global Aggregate Bond Index covers the most liquid portion of the global
investment grade fixed-rate bond market, including government, credit and
collateralized securities.
Lehman US Government Bond Index includes treasuries (public obligations of the
U.S. Treasury that have remaining maturities of more than one year) and
agencies (publicly issued debt of U.S. Government agencies, quasi-federal
corporations, and corporate or foreign debt guaranteed by the U.S. Government).
Lehman High Yield Index covers the universe of fixed rate, non-investment grade
debt. Pay-in-kind bonds, Eurobonds, and debt issues from countries designated
as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded,
but Canadian and global bonds (SEC registered) of issuers in non-EMG countries
are included. Original issue zeroes, step-up coupon structures, and 144As are
also included.
Lehman US Treasury Inflation Protected Securities Index measures the
performance of the inflation protected securities issued by the U.S. Treasury.
PROXY VOTING INFORMATION
A description of the Funds' proxy voting policies and procedures is available
without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330;
(ii) on the Funds' website, www.loomissayles.com, and (iii) on the SEC's
website at www.sec.gov. Information about how the Funds voted proxies relating
to portfolio securities during the 12 months ended June 30, 2005 is available
on (i) the Funds' website and (ii) the SEC's website.
QUARTERLY PORTFOLIO SCHEDULES
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q
are available on the SEC's website at www.sec.gov and may be reviewed and
copied at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330.
UNDERSTANDING YOUR FUND'S EXPENSES
As a mutual fund shareholder you incur two types of costs: (1) transaction
costs, including redemption fees and certain exchange fees; and (2) ongoing
costs, including management fees, distribution and/or service fees (12b-1
fees), and other Fund expenses. These costs are described in more detail in
each Fund's prospectus. The examples below are intended to help you understand
the ongoing costs of investing in the Funds and help you compare these with the
ongoing costs of investing in other mutual funds.
The first line in the table for each Class of shares shows the actual amount of
Fund expenses you would have paid on a $1,000 investment in the Fund from
October 1, 2005 through March 31, 2006. It also shows how much a $1,000
investment would be worth at the close of the period, assuming actual Fund
returns and expenses. 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 and
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.
15
LOOMIS SAYLES BOND FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,032.90 $3.80
Hypothetical (5% return before expenses) $1,000.00 $1,021.19 $3.78
Retail Class
- ------------
Actual $1,000.00 $1,031.90 $5.06
Hypothetical (5% return before expenses) $1,000.00 $1,019.95 $5.03
Admin Class
- -----------
Actual $1,000.00 $1,030.60 $6.33
Hypothetical (5% return before expenses) $1,000.00 $1,018.70 $6.29
*Expenses are equal to the fund's annualized expense ratio of 0.75%, 1.00% and 1.25% for the Institutional, Retail and Admin
Class, respectively, multiplied by the average account value over the period, multiplied by 182/365 ( to reflect the half-year
period).
LOOMIS SAYLES FIXED INCOME FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,032.40 $3.09
Hypothetical (5% return before expenses) $1,000.00 $1,021.89 $3.07
*Expenses are equal to the fund's annualized expense ratio of 0.61% for the Institutional Class multiplied by the average account
value over the period, multiplied by 182/365 ( to reflect the half-year period).
LOOMIS SAYLES GLOBAL BOND FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $ 998.60 $3.74
Hypothetical (5% return before expenses) $1,000.00 $1,021.19 $3.78
Retail Class
- ------------
Actual $1,000.00 $ 996.80 $4.98
Hypothetical (5% return before expenses) $1,000.00 $1,019.95 $5.04
*Expenses are equal to the fund's annualized expense ratio of 0.75% and 1.00% for the Institutional and Retail Class,
respectively, multiplied by the average account value over the period, multiplied by 182/365 ( to reflect the half-year period).
LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $ 978.60 $1.97
Hypothetical (5% return before expenses) $1,000.00 $1,022.94 $2.02
*Expenses are equal to the fund's annualized expense ratio of 0.40% for the Institutional Class multiplied by the average account
value over the period, multiplied by 182/365 ( to reflect the half-year period).
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,074.40 $3.88
Hypothetical (5% return before expenses) $1,000.00 $1,021.19 $3.78
*Expenses are equal to the fund's annualized expense ratio of 0.75% for the Institutional Class multiplied by the average account
value over the period, multiplied by 182/365 ( to reflect the half-year period).
16
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,003.90 $2.00
Hypothetical (5% return before expenses) $1,000.00 $1,022.94 $2.02
*Expenses are equal to the fund's annualized expense ratio of 0.40% for the Institutional Class multiplied by the average account
value over the period, multiplied by 182/365 ( to reflect the half-year period).
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period*
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06
------------------- ------------- ------------- -----------------
Actual $1,000.00 $1,008.40 $2.75
Hypothetical (5% return before expenses) $1,000.00 $1,022.19 $2.77
*Expenses are equal to the fund's annualized expense ratio of 0.55% for the Institutional Class multiplied by the average account
value over the period, multiplied by 182/365 ( to reflect the half-year period).
17
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - 94.7% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 86.7%
AGENCIES - 0.2%
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 USD 1,580,000 $ 1,864,400
Pemex Project Funding Master Trust,
8.625%, 12/01/2023(b) 6,485,000 7,619,875
-----------
9,484,275
-----------
AIRLINES - 0.6%
American Airlines, Inc., 7.324%, 10/15/2009 1,255,000 1,219,235
American Airlines, Inc., Series 93A6,
8.040%, 9/16/2011 3,261,957 2,898,020
Continental Airlines, Inc., Series 1997-4B,
6.900%, 1/02/2017 3,606,680 3,388,444
Continental Airlines, Inc., Series 1998-1,
Class B, 6.748%, 3/15/2017 1,926,244 1,781,832
Continental Airlines, Inc., Series 1999-1B,
6.795%, 8/02/2018 4,394,547 4,171,644
Continental Airlines, Inc., Series 1999-1C,
6.954%, 8/02/2009 6,424,286 5,924,499
Continental Airlines, Inc., Series 1999-2, Class B,
7.566%, 3/15/2020 3,763,166 3,562,686
Continental Airlines, Inc., Series 2000-2,
8.307%, 4/02/2018 7,392,216 7,113,496
Continental Airlines, Inc., Series 2001-1B,
7.373%, 12/15/2015 3,440,213 3,289,603
-----------
33,349,459
-----------
AUTOMOTIVE - 2.3%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 3,000,000 3,060,000
Delphi Automotive Systems Corp.,
6.550%, 6/15/2006(c) 350,000 215,250
Delphi Automotive Systems Corp.,
7.125%, 5/01/2029(b)(c) 4,686,000 2,881,890
Ford Motor Co., 6.375%, 2/01/2029 1,255,000 834,575
Ford Motor Co., 6.625%, 10/01/2028 8,180,000 5,480,600
Ford Motor Credit Co., 5.700%, 1/15/2010 31,635,000 28,073,627
Ford Motor Credit Co., 7.000%, 10/01/2013(b) 13,075,000 11,694,358
Ford Motor Credit Co., 7.250%, 10/25/2011 18,760,000 17,094,694
Ford Motor Credit Co., 7.375%, 10/28/2009 500,000 470,067
General Motors Acceptance Canada,
6.625%, 12/17/2010 GBP 500,000 790,169
General Motors Acceptance Corp.,
5.550%, 7/16/2007(d) USD 7,500,000 7,282,800
General Motors Acceptance Corp.,
5.620%, 3/20/2007(b)(d) 26,650,000 26,105,780
General Motors Acceptance Corp.,
5.625%, 5/15/2009(b) 2,040,000 1,898,451
General Motors Acceptance Corp.,
6.375%, 12/07/2007 GBP 500,000 834,038
General Motors Acceptance Corp.,
6.750%, 12/01/2014(b) USD 6,045,000 5,441,739
General Motors Acceptance Corp.,
6.875%, 8/28/2012 200,000 184,502
General Motors Acceptance Corp.,
7.500%, 12/01/2006 NZD 1,100,000 657,766
18
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
AUTOMOTIVE - CONTINUED
General Motors Acceptance Corp.,
8.000%, 11/01/2031 USD 1,065,000 $ 1,006,534
GMAC Australia, 6.500%, 8/10/2007 AUD 450,000 308,040
GMAC International Finance BV,
8.000%, 3/14/2007 NZD 1,147,000 694,090
Goodyear Tire & Rubber Co.,
7.000%, 3/15/2028(b) USD 2,275,000 1,905,312
Goodyear Tire & Rubber Co., 9.000%, 7/01/2015 3,460,000 3,511,900
------------
120,426,182
------------
BANKING - 7.9%
Barclays Financial LLC, 4.060%, 9/16/2010, 144A KRW 38,370,000,000 38,172,542
Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 917,000,000 22,081,124
Barclays Financial LLC, 4.160%, 2/22/2010, 144A 2,816,000,000 67,938,943
Barclays Financial LLC, 4.460%, 9/23/2010, 144A KRW 48,070,000,000 48,604,331
Barclays Financial LLC, 5.500%, 11/01/2010, 144A THB 364,000,000 9,169,523
CIT Group, Inc., 5.500%, 12/01/2014 GBP 6,750,000 11,797,809
European Investment Bank, Zero Coupon Bond,
3/10/2021 AUD 148,280,000 46,366,327
HSBC Bank USA, 3.310%, 8/25/2010, 144A USD 41,250,000 41,786,250
J.P. Morgan Chase & Co., Zero Coupon Bond,
3/28/2011, 144A IDR 699,525,000,000 47,506,885
J.P. Morgan Chase & Co., Zero Coupon Bond,
1/01/2025, 144A BRL 241,667,000 63,890,657
J.P. Morgan Chase London, Zero Coupon Bond,
10/21/2010, 144A IDR 152,206,784,000 10,683,486
------------
407,997,877
------------
BROKERAGE - 0.2%
Morgan Stanley, 5.375%, 11/14/2013 GBP 5,000,000 8,790,527
------------
CHEMICALS - 1.2%
Borden, Inc., 7.875%, 2/15/2023 USD 25,674,000 21,245,235
Borden, Inc., 8.375%, 4/15/2016 165,000 151,800
Borden, Inc., 9.200%, 3/15/2021 7,525,000 6,847,750
Hercules, Inc., 6.500%, 6/30/2029 11,109,000 8,776,110
IMC Global, Inc., 6.875%, 7/15/2007(b) 3,695,000 3,722,713
IMC Global, Inc., 7.300%, 1/15/2028 6,635,000 6,129,081
IMC Global, Inc., 7.375%, 8/01/2018 7,525,000 7,600,250
Methanex Corp., 6.000%, 8/15/2015 6,245,000 5,868,826
------------
60,341,765
------------
CONSTRUCTION MACHINERY - 0.1%
Great Lakes Dredge & Dock Corp.,
7.750%, 12/15/2013(b) 3,590,000 3,356,650
United Rentals North America, Inc.,
7.000%, 2/15/2014 1,500,000 1,443,750
------------
4,800,400
------------
CONSUMER PRODUCTS - 0.3%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 12,705,000 13,026,411
------------
ELECTRIC - 1.5%
AES Corp., 7.750%, 3/01/2014(b) 4,875,000 5,118,750
AES Corp., 8.375%, 3/01/2011 GBP 1,990,000 3,509,286
AES Corp., 8.875%, 2/15/2011 USD 315,000 339,412
19
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
ELECTRIC - CONTINUED
Calpine Canada Energy Finance,
8.750%, 10/15/2007(c) CAD 500,000 $ 231,194
Calpine Corp., 8.625%, 8/15/2010(b)(c) USD 7,173,000 2,869,200
Commonwealth Edison Co.,
4.750%, 12/01/2011(e) 470,000 451,073
Dynegy Holdings, Inc., 7.125%, 5/15/2018 2,295,000 2,099,925
Dynegy Holdings, Inc., 7.625%, 10/15/2026 5,650,000 5,169,750
Dynegy Holdings, Inc., 8.375%, 5/01/2016, 144A 1,890,000 1,880,550
Edison Mission Energy, 7.730%, 6/15/2009 1,835,000 1,880,875
Empresa Nacional de Electricidad SA
(Endesa-Chile), 7.875%, 2/01/2027(b) 11,581,000 12,478,875
Enersis SA, 7.375%, 1/15/2014 3,435,000 3,594,006
Enersis SA, 7.400%, 12/01/2016 7,650,000 8,051,044
NGC Corporation Capital Trust I, Series B,
8.316%, 6/01/2027(b) 14,610,000 12,856,800
Power Receivables Finance LLC,
6.290%, 1/01/2012, 144A 3,002,961 3,015,063
Quezon Power Philippines Co., 8.860%,
6/15/2017 6,910,313 6,875,761
Salton Sea Funding Corp., Series E,
8.300%, 5/30/2011 1,800,468 1,910,899
Salton Sea Funding Corp., Series F,
7.475%, 11/30/2018 222,873 235,465
Southern California Edison Co.,
7.625%, 1/15/2010(b) 2,000,000 2,130,620
Texas-New Mexico Power Co., 6.250%, 1/15/2009 1,000,000 1,013,327
TXU Corp., Series P, 5.550%, 11/15/2014(b) 320,000 299,327
TXU Corp., Series R, 6.550%, 11/15/2034 2,810,000 2,535,873
------------
78,547,075
------------
ENTERTAINMENT - 0.8%
Time Warner, Inc., 6.625%, 5/15/2029 19,865,000 19,524,415
Time Warner, Inc., 6.950%, 1/15/2028 8,730,000 8,854,542
Time Warner, Inc., 7.625%, 4/15/2031 5,885,000 6,410,783
Time Warner, Inc., 7.700%, 5/01/2032 3,785,000 4,162,410
------------
38,952,150
------------
FOREIGN LOCAL GOVERNMENTS - 5.0%
Ontario Hydro, Zero Coupon Bond, 11/27/2020 CAD 1,507,000 633,073
Province of Alberta, 5.930%, 9/16/2016 22,256,706 20,462,410
Province of British Columbia, 5.250%, 12/01/2006 26,460,000 22,830,119
Province of British Columbia, 6.000%, 6/09/2008 66,745,000 59,401,536
Province of Manitoba, 4.450%, 12/01/2008 1,640,000 1,415,440
Province of Manitoba, 5.750%, 6/02/2008 74,125,000 65,609,051
Province of Ontario, 3.500%, 9/08/2006 52,020,000 44,440,051
Province of Ontario, 5.700%, 12/01/2008 33,755,000 30,009,390
Province of Saskatchewan, 5.500%, 6/02/2008 775,000 682,565
Province of Saskatchewan, 6.000%, 6/01/2006 16,570,000 14,235,146
------------
259,718,781
------------
GOVERNMENT AGENCIES - 3.8%
Federal Home Loan Mortgage Corp.,
2.875%, 5/15/2007(b) USD 35,000,000 34,151,810
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 9,250,000 5,697,453
20
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
GOVERNMENT AGENCIES - CONTINUED
Federal Home Loan Mortgage Corp.,
5.000%, 12/01/2031 USD 430,065 $ 409,681
Federal Home Loan Mortgage Corp.,
5.500%, 9/15/2011(b) 15,000,000 15,232,620
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 145,900,000 86,975,217
Federal National Mortgage Association,
2.375%, 2/15/2007(b) USD 10,000,000 9,768,230
Federal National Mortgage Association,
5.250%, 1/15/2009(b) 31,665,000 31,791,280
Federal National Mortgage Association,
5.375%, 11/15/2011(b) 7,700,000 7,770,956
Federal National Mortgage Association,
5.500%, 3/15/2011(b) 5,000,000 5,071,390
------------
196,868,637
------------
GOVERNMENT OWNED - NO GUARANTEE - 0.0%
SLM Corp., 6.500%, 6/15/2010 NZD 1,010,000 620,741
------------
HEALTHCARE - 0.7%
Columbia/HCA Healthcare Corp.,
7.190%, 11/15/2015 USD 4,500,000 4,589,482
Columbia/HCA Healthcare Corp.,
7.500%, 12/15/2023 1,965,000 1,908,237
Columbia/HCA Healthcare Corp.,
7.580%, 9/15/2025 2,310,000 2,236,560
Columbia/HCA Healthcare Corp.,
7.690%, 6/15/2025 5,000,000 4,943,865
Columbia/HCA Healthcare Corp.,
7.750%, 7/15/2036 1,000,000 976,807
HCA, Inc., 5.750%, 3/15/2014 2,750,000 2,572,947
HCA, Inc., 6.250%, 2/15/2013 3,000,000 2,910,084
HCA, Inc., 6.300%, 10/01/2012 2,500,000 2,440,108
HCA, Inc., 7.050%, 12/01/2027 14,530,000 13,253,714
------------
35,831,804
------------
HOME CONSTRUCTION - 0.8%
Centex Corp., 5.250%, 6/15/2015(b) 5,110,000 4,746,066
DR Horton, Inc., 5.250%, 2/15/2015(b) 12,315,000 11,225,751
K Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 4,130,000 3,743,738
K Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 1,500,000 1,478,797
Lennar Corp., 5.600%, 5/31/2015 3,995,000 3,796,484
Pulte Homes, Inc., 5.200%, 2/15/2015(b) 5,360,000 4,947,119
Pulte Homes, Inc., 6.000%, 2/15/2035(b) 4,410,000 3,839,152
Pulte Homes, Inc., 6.375%, 5/15/2033 2,635,000 2,393,123
Toll Brothers Finance Corp.,
5.150%, 5/15/2015(b) 7,935,000 7,181,175
------------
43,351,405
------------
INDEPENDENT/ENERGY - 0.5%
Astoria Depositor Corp., 8.144%, 5/01/2021,
144A 19,355,000 20,322,750
Pioneer Natural Resource Co., 5.875%, 7/15/2016 4,720,000 4,473,031
------------
24,795,781
------------
21
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INTEGRATED/ENERGY - 1.1%
Cerro Negro Finance Ltd.,
7.900%, 12/01/2020, 144A USD 38,955,000 $ 38,175,900
Petrozuata Finance, Inc.,
8.220%, 4/01/2017, 144A 17,708,000 17,442,380
Phillips 66 Capital Trust II, 8.000%, 1/15/2037 1,000,000 1,054,874
------------
56,673,154
------------
LIFE INSURANCE - 0.4%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 38,400,000 22,869,133
------------
MEDIA CABLE - 2.4%
Comcast Corp., 5.500%, 3/15/2011(b) USD 3,000,000 2,967,240
Comcast Corp., 5.650%, 6/15/2035(b) 30,670,000 26,730,592
Comcast Corp., 6.450%, 3/15/2037 44,930,000 43,231,736
Comcast Corp., 6.500%, 11/15/2035 37,670,000 36,551,050
CSC Holdings, Inc., 7.875%, 2/15/2018(b) 1,550,000 1,551,937
NTL Cable Plc, 9.750%, 4/15/2014 GBP 6,005,000 10,954,736
Shaw Comunications, Inc., 7.500%, 11/20/2013 CAD 930,000 858,760
------------
122,846,051
------------
METALS & MINING - 0.2%
Vale Overseas Ltd., 8.250%, 1/17/2034 USD 10,730,000 12,312,675
------------
NON-CAPTIVE DIVERSIFIED - 2.4%
General Electric Capital Corp., 1.725%, 6/27/2008 SGD 4,250,000 2,518,903
General Electric Capital Corp., 6.125%, 5/17/2012 GBP 14,715,000 27,116,088
General Electric Capital Corp., 6.500%, 9/28/2015 NZD 156,048,000 96,871,643
------------
126,506,634
------------
OIL FIELD SERVICES - 0.3%
North America Energy Partners, Inc.,
8.750%, 12/01/2011(b) USD 7,245,000 7,063,875
Pecom Energia SA, 8.125%, 7/15/2010, 144A 5,640,000 5,837,400
------------
12,901,275
------------
PACKAGING - 0.1%
Owens-Illinois, Inc., 7.800%, 5/15/2018(b) 6,915,000 6,863,137
------------
PAPER - 2.6%
Abitibi-Consolidated, Inc., 7.400%, 4/01/2018 3,000,000 2,550,000
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 6,720,000 5,577,600
Bowater, Inc., 10.850%, 11/30/2014 CAD 450,000 420,773
Georgia-Pacific Corp., 7.375%, 12/01/2025(b) USD 26,962,000 25,883,520
Georgia-Pacific Corp., 7.750%, 11/15/2029(b) 68,885,000 67,507,300
Georgia-Pacific Corp., 8.000%, 1/15/2024 3,210,000 3,238,088
Georgia-Pacific Corp., 8.875%, 5/15/2031 8,469,000 9,104,175
Georgia-Pacific Corp., (Timber Group),
7.250%, 6/01/2028 19,240,000 18,181,800
International Paper Co., 4.250%, 1/15/2009 2,000,000 1,929,292
------------
134,392,548
------------
PHARMACEUTICALS - 1.1%
Elan Financial Plc, 7.750%, 11/15/2011 43,606,000 41,316,685
Pharma Service Intermediate Holding Corp.,
(Step to 11.500% on 4/1/2009),
Zero Coupon Bond, 4/01/2014(f) 17,500,000 15,728,125
------------
57,044,810
------------
22
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PIPELINES - 0.9%
El Paso Corp., 6.375%, 2/01/2009, 144A USD 3,810,000 $ 3,767,138
El Paso Corp., 6.750%, 5/15/2009(b) 8,350,000 8,329,125
El Paso Corp., 6.950%, 6/01/2028, 144A 10,774,000 10,181,430
El Paso Corp., 7.000%, 5/15/2011(b) 2,115,000 2,122,931
El Paso Corp., 7.750%, 6/15/2010, 144A 5,190,000 5,352,188
El Paso Corp., 7.750%, 1/15/2032(b) 1,500,000 1,511,250
El Paso Corp., 7.800%, 8/01/2031(b) 1,000,000 1,005,000
Williams Cos., Inc., 7.500%, 1/15/2031 13,985,000 14,509,437
------------
46,778,499
------------
RAILROADS - 0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 7,804,000 6,049,528
------------
REAL ESTATE INVESTMENT TRUSTS - 0.2%
Highwoods Realty LP, 7.500%, 4/15/2018 5,640,000 6,046,221
iStar Financial, Inc., Series REGS,
5.700%, 3/01/2014 5,855,000 5,709,732
------------
11,755,953
------------
RESTAURANTS - 0.0%
McDonald's Corp., 3.628%, 10/10/2010 SGD 3,750,000 2,289,553
------------
RETAILERS - 0.7%
Dillard's, Inc., 6.625%, 1/15/2018(b) USD 1,920,000 1,795,200
Dillard's, Inc., 7.000%, 12/01/2028(b) 4,125,000 3,691,875
Dillard's, Inc., 7.750%, 7/15/2026 7,182,000 6,822,900
Dillard's, Inc., 7.750%, 5/15/2027 1,000,000 950,000
J.C. Penney Co., Inc., 7.125%, 11/15/2023(b) 3,386,000 3,638,287
Toys R Us, 7.375%, 10/15/2018(b) 7,560,000 5,556,600
Wal-Mart Stores, Inc., 4.750%, 1/29/2013 GBP 4,945,000 8,525,946
Woolworth Corp., 8.500%, 1/15/2022 USD 4,475,000 4,743,500
------------
35,724,308
------------
SOVEREIGNS - 20.2%
Canadian Government, 2.750%, 12/01/2007 CAD 366,130,000 307,237,573
Canadian Government, 4.250%, 9/01/2008 221,710,000 190,755,840
Canadian Government, 4.500%, 9/01/2007 197,930,000 170,616,219
Canadian Government, Series WH31,
6.000%, 6/01/2008 58,550,000 52,195,406
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 104,450,000 14,360,282
Government of Sweden, Series 1045,
5.250%, 3/15/2011 10,000,000 1,387,045
Mexican Fixed Rate Bonds, 8.000%, 12/07/2023 MXN 643,900,000 55,379,513
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 1,050,000,000 99,425,184
PF Export Receivables Master Trust,
6.436%, 6/01/2015, 144A USD 2,239,227 2,194,443
Republic of Argentina, Zero Coupon Bond,
12/15/2035 1,029,581 95,236
Republic of Argentina, 2.000%, 9/30/2014 ARS 91,624,200 30,665,300
Republic of Argentina, 4.889%, 8/03/2012 USD 22,930,000 18,745,275
Republic of Argentina, 8.280%, 12/31/2033 377,858 371,246
Republic of Brazil, 8.250%, 1/20/2034(b) 44,490,000 49,027,980
Republic of Brazil, 8.875%, 4/15/2024 32,625,000 37,714,500
Republic of Peru, 5.000%, 3/07/2017(d) 2,982,750 2,811,242
Republic of South Africa, 12.500%, 12/21/2006 ZAR 5,690,000 957,312
23
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SOVEREIGNS - CONTINUED
Republic of Uruguay, 7.500%, 3/15/2015(b) USD 4,356,000 $ 4,530,240
Republic of Uruguay, 7.875%, 1/15/2033(g) 5,188,727 5,396,276
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 1,000,000 616,634
United Mexican States, 8.375%, 1/14/2011(b) USD 1,000,000 1,109,000
--------------
1,045,591,746
--------------
SUPERMARKETS - 1.5%
Albertson's, Inc., 6.625%, 6/01/2028 11,270,000 9,080,825
Albertson's, Inc., 7.450%, 8/01/2029 53,329,000 47,092,227
Albertson's, Inc., 7.750%, 6/15/2026 8,115,000 7,315,218
Albertson's, Inc., 8.000%, 5/01/2031 9,680,000 9,010,725
Albertson's, Inc., 8.700%, 5/01/2030 2,995,000 2,921,152
--------------
75,420,147
--------------
SUPRANATIONAL - 3.9%
European Investment Bank,
Zero Coupon Bond, 9/12/2008, 144A BRL 10,732,465 3,513,950
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 297,000,000 88,523,567
Inter-American Development Bank, Series EMTN,
6.000%, 12/15/2017 NZD 184,525,000 111,737,956
--------------
203,775,473
--------------
TECHNOLOGY - 3.5%
Affiliated Computer Services, Inc.,
5.200%, 6/01/2015 USD 115,000 104,795
Amkor Technology, Inc., 7.125%, 3/15/2011(b) 8,285,000 7,622,200
Amkor Technology, Inc., 10.500%, 5/01/2009(b) 1,695,000 1,661,100
Arrow Electronics, Inc., 6.875%, 7/01/2013(b) 17,380,000 18,046,036
Avnet, Inc., 6.000%, 9/01/2015 13,755,000 13,182,448
Corning Glass, 8.875%, 3/15/2016 825,000 973,466
Corning, Inc., 5.900%, 3/15/2014 9,330,000 9,213,226
Corning, Inc., 6.200%, 3/15/2016 5,155,000 5,154,758
Corning, Inc., 6.750%, 9/15/2013 13,600,000 14,183,549
Corning, Inc., 6.850%, 3/01/2029(b) 3,095,000 3,156,009
Hynix Semiconductor, Inc.,
9.875%, 7/01/2012, 144A(b) 6,585,000 7,243,500
Lucent Technologies, Inc., 6.450%, 3/15/2029 50,370,000 45,458,925
Lucent Technologies, Inc., 6.500%, 1/15/2028 500,000 446,250
Motorola, Inc., 7.625%, 11/15/2010 95,000 103,616
Nortel Networks Corp., 6.875%, 9/01/2023 12,432,000 11,375,280
Northern Telecom Capital Corp.,
7.875%, 6/15/2026 5,355,000 5,167,575
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 5,400,000 5,667,386
Sungard Data Systems, Inc.,
9.125%, 8/15/2013, 144A 1,790,000 1,892,925
Sungard Data Systems, Inc.,
10.250%, 8/15/2015, 144A 2,570,000 2,704,925
Xerox Capital Trust I, 8.000%, 2/01/2027 25,440,000 26,330,400
Xerox Corp., 7.200%, 4/01/2016 615,000 647,287
--------------
180,335,656
--------------
TEXTILE - 0.0%
Kellwood Co., 7.625%, 10/15/2017 2,500,000 2,339,035
--------------
24
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TOBACCO - 0.2%
Altria Group, Inc., 7.000%, 11/04/2013 USD 11,000,000 $ 11,826,232
------------
TRANSPORTATION SERVICES - 2.2%
American President Cos. Ltd., 8.000%, 1/15/2024 19,104,000 18,960,720
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 3,883,394 3,922,228
Atlas Air, Inc., 9.057%, 1/02/2014 9,260,147 8,889,741
Atlas Air, Inc., Series 1999-1A, 6.880%, 7/02/2009 1,448,379 1,412,170
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/2015 18,164,300 16,347,870
Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/2011 13,217,834 8,855,948
Atlas Air, Inc., Series 2000-1, 9.702%, 1/02/2008 201,720 129,101
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 15,562,236 15,717,859
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 34,996,223 32,546,487
Bombardier, Inc., 7.350%, 12/22/2026 CAD 5,185,000 4,006,904
Bombardier, Inc., 7.450%, 5/01/2034, 144A USD 4,330,000 3,886,175
------------
114,675,203
------------
TREASURIES - 12.0%
U.S. Treasury Notes, 2.375%, 8/15/2006(b) 2,500,000 2,478,223
U.S. Treasury Notes, 2.500%, 5/31/2006(b) 112,600,000 112,208,490
U.S. Treasury Notes, 2.625%, 5/15/2008(b) 99,465,000 95,097,890
U.S. Treasury Notes, 2.750%, 6/30/2006(b) 27,400,000 27,273,713
U.S. Treasury Notes, 2.750%, 7/31/2006(b) 103,755,000 103,094,392
U.S. Treasury Notes, 3.000%, 2/15/2008(b) 100,535,000 97,248,008
U.S. Treasury Notes, 3.375%, 2/28/2007(b) 35,460,000 34,989,056
U.S. Treasury Notes, 3.500%, 5/31/2007(b) 77,250,000 76,064,058
U.S. Treasury Notes, 3.625%, 6/30/2007(b) 50,000,000 49,246,100
U.S. Treasury Notes, 4.250%, 11/30/2007(b) 16,850,000 16,688,745
U.S. Treasury Notes, 6.500%, 10/15/2006(b) 9,000,000 9,074,880
------------
623,463,555
------------
WIRELESS TELECOMMUNICATION SERVICES - 0.5%
Rogers Wireless, Inc., 6.375%, 3/01/2014 1,895,000 1,890,263
Rogers Wireless, Inc., 7.625%, 12/15/2011 CAD 28,500,000 26,265,830
------------
28,156,093
------------
WIRELINES - 4.2%
AT&T, Inc., 6.150%, 9/15/2034 USD 14,755,000 14,011,835
BellSouth Corp., 6.000%, 11/15/2034(b) 22,060,000 20,574,016
Colt Telecom Group Plc, 7.625%, 12/15/2009 EUR 1,500,000 1,863,219
Level 3 Communications, Inc.,
11.500%, 3/01/2010 144A(b) USD 905,000 880,113
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 13,019,000 14,206,984
Philippine Long Distance Telephone Co.,
11.375%, 5/15/2012(b) 925,000 1,140,062
Qwest Capital Funding, Inc., 6.375%, 7/15/2008 919,000 914,405
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 22,405,000 21,536,806
Qwest Capital Funding, Inc.,
6.875%, 7/15/2028(b)(d) 59,645,000 57,259,200
Qwest Capital Funding, Inc.,
7.000%, 8/03/2009(b) 4,995,000 5,069,925
Qwest Capital Funding, Inc.,
7.250%, 2/15/2011(b) 1,820,000 1,845,025
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 5,170,000 5,260,475
25
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - CONTINUED
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 USD 15,470,000 $ 15,740,725
Qwest Corp., 7.250%, 9/15/2025 7,300,000 7,482,500
Verizon Communications., 5.850%, 9/15/2035 52,436,000 47,032,156
Verizon Maryland, Inc., 5.125%, 6/15/2033 1,905,000 1,501,517
--------------
216,318,963
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $4,315,270,258) 4,493,812,631
--------------
CONVERTIBLE BONDS - 8.0%
AIRLINES - 0.3%
AMR Corp., 4.500%, 2/15/2024(b) 6,425,000 8,995,000
Continental Airlines, Inc., 5.000%, 6/15/2023 4,185,000 6,471,056
--------------
15,466,056
--------------
BANKING - 0.8%
Wells Fargo & Co., 4.430%, 5/01/2033 42,240,000 41,986,560
--------------
HEALTHCARE - 0.0%
Invitrogen Corp., 1.500%, 2/15/2024 2,050,000 1,783,500
--------------
INDEPENDENT/ENERGY - 0.1%
Devon Energy Corp., 4.900%, 8/15/2008 1,400,000 1,624,000
Devon Energy Corp., 4.950%, 8/15/2008 2,600,000 3,016,000
--------------
4,640,000
--------------
INDUSTRIAL OTHER - 0.1%
Incyte Corp., 3.500%, 2/15/2011(b) 5,370,000 4,389,975
--------------
MEDIA NON-CABLE - 0.1%
Liberty Media Corporation, 3.500%, 1/15/2031 4,780,000 4,827,800
Sinclair Broadcast Group, Inc., 4.875%, 7/15/2018 275,000 241,656
--------------
5,069,456
--------------
PHARMACEUTICALS - 5.0%
Bristol-Myers Squibb Co., 4.410%, 9/15/2023(b) 62,700,000 62,621,625
Chiron Corp., 1.625%, 8/01/2033 31,230,000 30,410,212
Elan Capital Corp., 6.500%, 11/10/2008 2,390,000 4,905,475
Enzon Pharmaceuticals, Inc., 4.500%, 7/01/2008 23,235,000 21,637,594
Epix Pharmaceuticals, Inc., 3.000%, 6/15/2024 7,122,000 4,575,885
Human Genome Sciences, Inc., 2.250%,
8/15/2012 3,665,000 3,161,063
IVAX Corp., 4.500%, 5/15/2008 2,875,000 2,910,938
Nektar Therapeutics, 3.250%, 9/28/2012, 144A 4,230,000 4,890,937
Nektar Therapeutics, 3.500%, 10/17/2007 8,625,000 8,420,156
Regeneron Pharmaceuticals, Inc.,
5.500%, 10/17/2008 36,172,000 35,358,130
Valeant Pharmaceuticals International,
3.000%, 8/16/2010(b) 34,125,000 29,646,094
Valeant Pharmaceuticals International,
4.000%, 11/15/2013(b) 20,544,000 17,565,120
Vertex Pharmaceuticals, Inc.,
5.750%, 2/15/2011, 144A 12,778,000 31,545,687
--------------
257,648,916
--------------
26
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TECHNOLOGY - 0.7%
Amkor Technology, Inc., 5.000%, 3/15/2007(b) USD 5,070,000 $ 4,949,588
Ciena Corp., 3.750%, 2/01/2008 1,250,000 1,181,250
Kulicke & Soffa Industries, Inc.,
0.500%, 11/30/2008 10,920,000 9,363,900
Kulicke & Soffa Industries, Inc.,
1.000%, 6/30/2010 1,130,000 1,048,075
Maxtor Corp., 5.750%, 3/01/2012(e) 7,052,000 6,487,840
Nortel Networks Corp., 4.250%, 9/01/2008(b) 12,860,000 12,136,625
Richardson Electric Ltd.,
7.750%, 12/15/2011, 144A 395,000 363,400
SCI Systems, Inc., 3.000%, 3/15/2007(b) 2,750,000 2,660,625
--------------
38,191,303
--------------
TEXTILE - 0.1%
Dixie Yarns, Inc., 7.000%, 5/15/2012 209,000 192,280
Kellwood Co., 3.500%, 6/15/2034 6,630,000 5,817,825
--------------
6,010,105
--------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc.,
8.000%, 8/15/2005(c)(e) 1,000,000 --
Preston Corp., 7.000%, 5/01/2011 750,000 695,625
--------------
695,625
--------------
WIRELESS - 0.1%
Nextel Communications, Inc., 5.250%, 1/15/2010 3,505,000 3,505,000
--------------
WIRELINES - 0.7%
Level 3 Communications, Inc.,
2.875%, 7/15/2010(b) 24,120,000 21,557,250
Level 3 Communications, Inc.,
6.000%, 9/15/2009(b) 17,170,000 14,551,575
Level 3 Communications, Inc.,
6.000%, 3/15/2010(b) 885,000 702,469
--------------
36,811,294
--------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $374,122,477) 416,197,790
--------------
TOTAL BONDS AND NOTES
(Identified Cost $4,689,392,735) 4,910,010,421
--------------
SHARES
- -----------------------------------------------------------------------------------
COMMON STOCKS - 1.0% OF TOTAL NET ASSETS
COMMUNICATIONS EQUIPMENT - 0.3%
Corning, Inc.(h) 630,490 16,966,486
--------------
REAL ESTATE INVESTMENT TRUSTS - 0.1%
Host Marriott Corp. 196,848 4,212,545
--------------
WIRELINES - 0.6%
Philippine Long Distance Telephone Co., ADR(b) 768,621 28,877,091
--------------
TOTAL COMMON STOCKS
(Identified Cost $22,314,949) 50,056,122
--------------
27
SHARES VALUE (+)
- ---------------------------------------------------------------------
PREFERRED STOCKS - 1.7% OF TOTAL NET ASSETS
CONVERTIBLE PREFERRED STOCKS - 1.7%
AUTOMOTIVE - 0.1%
Cummins Capital Trust I, 7.000% USD 58,500 $ 6,464,250
-----------
CONSTRUCTION MACHINERY - 0.0%
United Rentals Trust, 6.500% 15,500 728,500
-----------
CONSUMER PRODUCTS - 0.1%
Newell Financial Trust I, 5.250% 154,222 6,612,268
-----------
ELECTRIC - 0.1%
AES Trust III, 6.750%(b) 82,225 3,836,619
-----------
ELECTRIC UTILITIES - 0.2%
CMS Energy Trust I, 7.750% 207,375 10,161,375
-----------
INSURANCE - 0.3%
Travelers Property Casualty, 4.500%(b) 688,850 16,525,511
-----------
LODGING - 0.0%
Felcor Lodging, Series A, 1.950%(b) 47,675 1,191,875
-----------
PACKAGING - 0.3%
Owens-Illinois, Inc., 4.750% 386,015 13,356,119
-----------
PIPELINES - 0.1%
El Paso Energy Capital Trust I, 4.750% 84,000 3,024,000
Williams Cos., Inc., 5.500% 25,000 2,525,000
-----------
5,549,000
-----------
TECHNOLOGY - 0.5%
Lucent Technologies Capital Trust, 7.750%(b) 24,695 24,704,261
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $81,091,727) 89,129,778
-----------
NON-CONVERTIBLE PREFERRED STOCKS - 0.0%
ELECTRIC - 0.0%
Connecticut Light & Power Co., 1.900% 2,925 90,675
Entergy Arkansas, Inc., 4.320% 100 7,500
Entergy Louisiana, Inc., 4.160% 2,824 259,808
Entergy Mississippi, Inc., 4.360% 5,000 377,500
Entergy New Orleans, Inc., 4.360%(c) 665 25,852
Entergy New Orleans, Inc., 4.750%(b)(c) 200 7,663
MDU Resources Group, Inc., 5.100% 2,140 213,866
Public Service Co., 4.000% 360 24,536
Southern California Edison Co., 4.780% 50,100 1,077,150
Xcel Energy, Inc., 3.600% 1,100 77,550
-----------
2,162,100
-----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $1,577,635) 2,162,100
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $82,669,362) 91,291,878
-----------
28
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES BOND FUND - CONTINUED
SHARES VALUE (+)
- -------------------------------------------------------------------------------------------------------------------
MUTUAL FUNDS - 0.5% OF TOTAL NET ASSETS
BOND MUTUAL FUNDS - 0.5%
High Income Opportunity Fund, Inc. USD 2,217,450 $ 13,748,190
Managed High Income Portfolio, Inc.(b) 1,369,100 8,255,673
Morgan Stanley Emerging Markets Debt Fund, Inc.(b) 356,954 3,715,891
--------------
25,719,754
--------------
TOTAL MUTUAL FUNDS
(Identified Cost $26,086,939) 25,719,754
--------------
PRINCIPAL AMOUNT
- -------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 19.1% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation,
dated 3/31/06 at 2.950% to be repurchased at $10,954,692 on 4/03/06
collateralized by $8,090,000 U.S. Treasury Bond, 8.750% due 8/15/20 with
value of $11,176,926 (Note 2g) $ 10,952,000 10,952,000
--------------
SHARES
- -------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(i) 981,993,796 981,993,796
--------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $992,945,796) 992,945,796
--------------
TOTAL INVESTMENTS - 117.0%
(Identified Cost $5,813,409,781)(a) 6,070,023,971
--------------
Other assets less liabilities--(17.0)% (883,920,250)
--------------
TOTAL NET ASSETS - 100% $5,186,103,721
--------------
+ See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's
fiscal year for tax purposes. Such adjustments are primarily due to wash sales, return of
capital included in dividends received from the Fund's investments in REIT's and interest
adjustments on defaulted bonds. Amortization of premium on debt securities is excluded for
tax purposes ):
At March 31, 2006, the net unrealized appreciation on investments based on cost of
$5,830,755,600 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of
value over cost $ 315,248,033
Aggregate gross unrealized depreciation for all securities in which there is an excess of
cost over value (75,979,662)
--------------
Net unrealized appreciation $ 239,268,371
--------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Non-income producing security due to default or bankruptcy filing.
(d)Variable rate security. Rate as of March 31, 2006 is disclosed.
(e)Illiquid security.
(f)Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
(g)Payment-in-Kind security.
(h)Non-income producing security.
(i)Represents investments of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $543,461,114 or
10.48% of total net assets.
ADRAn American Depositary Receipt (ADR) is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States.
Key to Abbreviations: ARS: Argentinian Peso; AUD: Australian Dollar; BRL:
Brazilian Real; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound;
IDR: Indonesian Rupiah; KRW: South Korean Won; MXN: Mexican Peso; NZD: New
Zealand Dolla;; SGD: Singapore Dollar; SEK, Swedish Krona; THB: Thai Baht;
USD: United States Dollar; ZAR: South African Rand.
See accompanying notes to financial statements.
29
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - 91.3% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 86.2%
ABS CAR LOAN - 0.0%
Americredit Automobile Receivables Trust,
Series 2003-DM, Class A4, 2.840%, 8/06/2010 USD 67,187 $ 66,137
----------
AGENCIES - 0.5%
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 250,000 295,000
Pemex Project Funding Master Trust,
8.625%, 12/01/2023 1,400,000 1,645,000
Pemex Project Funding Master Trust,
9.250%, 3/30/2018(d) 400,000 492,000
----------
2,432,000
----------
AIRLINES - 0.1%
American Airlines, Inc., 7.324%, 10/15/2009 250,000 242,876
American Airlines, Inc., Series 93A6,
8.040%, 9/16/2011 50,184 44,585
Continental Airlines, Inc., Series 2000-2,
8.307%, 4/02/2018 132,894 127,883
Continental Airlines, Inc., Series 2001-1B,
7.373%, 12/15/2015 206,413 197,376
----------
612,720
----------
ASSET-BACKED SECURITIES - 0.3%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/2029 725,000 658,519
Countrywide Asset Backed Certificates, Series
2003-5AFY 4.905%, 8/25/2032 96,197 95,826
Countrywide Asset Backed Certificates,
Series 2004-S1, Class A2, 3.872%, 3/25/2020 60,000 58,869
Countrywide Asset Backed Certificates,
Series 2004-S1, Class A3, 4.615%, 2/25/2035 55,000 52,953
Countrywide Home Loan Inc., Series MTNJ
5.500%, 8/01/2006 80,000 80,109
Residential Asset Securities Corp., Series 2004 Ks9
Class AI3 3.790%, 8/25/2029 130,000 127,254
Residential Asset Securities Corp., Series 2003 Ks10
Class AI4 4.470%, 3/25/2032 100,000 98,743
----------
1,172,273
----------
AUTOMOTIVE - 2.3%
BMW Vehicle Owner Trust, Series 2004-A,
Class A4, 3.320%, 2/25/2009 165,000 161,503
Cummins Engine Co., Inc., 7.125%, 3/01/2028 2,400,000 2,448,000
DaimlerChrysler NA Holding Corp.,
6.500%, 11/15/2013 200,000 203,414
Delphi Automotive Systems Corp.,
7.125%, 5/01/2029(b)(d) 1,362,000 837,630
Ford Credit Auto Owner Trust,
4.380%, 1/15/2010 105,000 103,339
Ford Credit Auto Owner Trust, Series 2004-A,
Class A4, 3.540%, 11/15/2008 95,000 92,841
Ford Motor Co., 6.375%, 2/01/2029 765,000 508,725
Ford Motor Co., 6.625%, 10/01/2028 1,650,000 1,105,500
30
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
AUTOMOTIVE - CONTINUED
General Motors Acceptance Corp.,
5.550%, 7/16/2007(e) USD 500,000 $ 485,520
General Motors Acceptance Corp.,
5.620%, 3/20/2007(e) 2,750,000 2,693,841
General Motors Acceptance Corp.,
5.625%, 5/15/2009 1,500,000 1,395,919
General Motors Acceptance Corp.,
6.375%, 12/07/2007 GBP 300,000 500,423
General Motors Acceptance Corp.,
6.875%, 8/28/2012 USD 200,000 184,502
General Motors Acceptance Corp.,
7.500%, 12/01/2006 NZD 100,000 59,797
GMAC International Finance BV,
8.000%, 3/14/2007 264,000 159,756
Nissan Auto Receivables Owner Trust,
Series 2005 B Note Class A3
3.990%, 7/15/2009 USD 40,000 39,424
-----------
10,980,134
-----------
BANKING - 5.9%
Bank of America Corp., 5.875%, 2/15/2009 205,000 208,076
Barclays Financial LLC, 4.060%, 9/16/2010, 144A KRW 2,340,000,000 2,327,958
Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 192,000,000 4,623,311
Barclays Financial LLC, 4.160%, 2/22/2010, 144A 175,000,000 4,222,058
Barclays Financial LLC,
5.500%, 11/01/2010, 144A 16,000,000 403,056
Capital One Bank, 5.125%, 2/15/2014 USD 430,000 413,792
CIT Group, Inc., 5.500%, 12/01/2014 GBP 2,000,000 3,495,647
Citigroup, Inc., 5.000%, 3/06/2007 USD 115,000 114,696
HSBC Bank USA, 3.310%, 8/25/2010, 144A 5,000,000 5,065,000
J.P. Morgan Chase & Co.,
Zero Coupon Bond, 3/28/2011, 144A IDR 13,692,036,000 929,868
J.P. Morgan Chase & Co.,
Zero Coupon Bond, 1/01/2025(e), 144A BRL 16,585,000 4,384,655
J.P. Morgan Chase & Co., 6.375%, 4/01/2008 USD 140,000 142,436
J.P. Morgan Chase London,
Zero Coupon Bond, 10/21/2010, 144A IDR 18,824,303,000 1,321,289
Wells Fargo Co., 3.500%, 4/04/2008(d) USD 215,000 208,063
-----------
27,859,905
-----------
BROKERAGE - 0.2%
Goldman Sachs Group, Inc., 4.750%, 7/15/2013 150,000 141,708
Morgan Stanley, 5.375%, 11/14/2013 GBP 500,000 879,053
-----------
1,020,761
-----------
CHEMICALS - 0.8%
Borden, Inc., 7.875%, 2/15/2023 USD 2,625,000 2,172,188
Borden, Inc., 9.200%, 3/15/2021 750,000 682,500
ICI Wilmington, Inc., 5.625%, 12/01/2013 115,000 111,324
Methanex Corp., 6.000%, 8/15/2015 1,000,000 939,764
-----------
3,905,776
-----------
31
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
COMMERCIAL MORTGAGE BACKED SECURITIES - 0.0%
GS Mortgage Securities Corporation II,
Series 2005-GG4, Class A4A,
4.751%, 7/10/2039 USD 95,000 $ 89,545
LB UBS Commercial Mortgage Trust,
Series 2005 C3, Class A3, 4.647%, 7/15/2030 105,000 100,857
-----------
190,402
-----------
CONSTRUCTION MACHINERY - 0.1%
Caterpillar Financial Asset Trust, Series 23005-AA3
3.900%, 2/25/2009 130,000 128,104
United Rentals North America, Inc.,
7.000%, 2/15/2014 150,000 144,375
-----------
272,479
-----------
CONSUMER PRODUCTS - 0.3%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 1,250,000 1,281,622
-----------
ELECTRIC - 2.8%
AES Corp., 7.750%, 3/01/2014 730,000 766,500
AES Corp., 9.375%, 9/15/2010 100,000 109,000
Calenergy Co., Inc., 7.630%, 10/15/2007 245,000 252,556
Calpine Corp., 8.500%, 7/15/2010, 144A(b) 215,000 197,262
Calpine Corp., 8.625%, 8/15/2010(b)(d) 500,000 200,000
Carolina Power & Light Co., 6.500%, 7/15/2012 65,000 67,733
Consolidated Edison Co. of N.Y.,
5.625%, 7/01/2012(d) 110,000 110,753
Dominion Resources, Inc., 5.000%, 3/15/2013 100,000 94,700
Dominion Resources, Inc., 5.700%, 9/17/2012 160,000 158,534
Duke Energy Corp., 4.200%, 10/01/2008 85,000 82,469
Dynegy Holdings, Inc., 7.125%, 5/15/2018 380,000 347,700
Dynegy Holdings, Inc., 7.625%, 10/15/2026 810,000 741,150
Empresa Nacional de Electricidad SA
(Endesa-Chile), 7.875%, 2/01/2027 1,589,000 1,712,195
Empresa Nacional de Electricidad SA
(Endesa-Chile), 8.350%, 8/01/2013 500,000 553,389
Enersis SA, 7.375%, 1/15/2014(d) 275,000 287,730
Enersis SA, 7.400%, 12/01/2016 4,000,000 4,209,696
NGC Corporation Capital Trust I, Series B,
8.316%, 6/01/2027 195,000 171,600
Quezon Power Philippines Co., 8.860%, 6/15/2017 1,597,050 1,589,065
Tiverton Power Associates Ltd.,
9.000%, 7/15/2018 144A(b) 456,952 395,264
TXU Corp., Series P, 5.550%, 11/15/2014(d) 170,000 159,017
TXU Corp., Series R, 6.550%, 11/15/2034 1,155,000 1,042,325
-----------
13,248,638
-----------
ENTERTAINMENT - 0.8%
Time Warner, Inc., 6.625%, 5/15/2029 1,875,000 1,842,853
Time Warner, Inc., 6.950%, 1/15/2028 865,000 877,340
Time Warner, Inc., 7.625%, 4/15/2031 730,000 795,221
Time Warner, Inc., 7.700%, 5/01/2032 375,000 412,392
-----------
3,927,806
-----------
FINANCIAL OTHER - 0.1%
Berkshire Hathaway Finance, 4.200%, 12/15/2010 650,000 618,452
-----------
32
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
FOOD - 0.0%
Friendly Ice Cream Corp., 8.375%, 6/15/2012(d) USD 20,000 $ 18,100
-----------
FOREIGN LOCAL GOVERNMENTS - 11.3%
Province of Alberta, 5.930%, 9/16/2016 CAD 1,122,018 1,031,563
Province of British Columbia,
Zero Coupon Bond, 8/23/2013 11,700,000 7,238,201
Province of British Columbia, 5.250%, 12/01/2006 1,615,000 1,393,448
Province of British Columbia, 6.000%, 6/09/2008 1,000,000 889,977
Province of British Columbia, 6.250%, 12/01/2009 7,025,000 6,421,663
Province of Manitoba, 5.750%, 6/02/2008 14,515,000 12,847,425
Province of Ontario, 3.500%, 9/08/2006 940,000 803,031
Province of Ontario, 5.700%, 12/01/2008 18,145,000 16,131,547
Province of Saskatchewan, 5.500%, 6/02/2008 6,960,000 6,129,878
-----------
52,886,733
-----------
GOVERNMENT AGENCIES - 3.5%
Federal Home Loan Mortgage Corp.,
2.875%, 5/15/2007(d) USD 1,000,000 975,766
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 1,500,000 923,911
Federal Home Loan Mortgage Corp.,
4.000%, 7/01/2019 USD 108,166 101,007
Federal Home Loan Mortgage Corp.,
4.500%, 8/01/2018 186,485 178,367
Federal Home Loan Mortgage Corp.,
4.500%, 6/01/2019 103,002 98,447
Federal Home Loan Mortgage Corp.,
4.500%, 12/01/2034 152,328 140,866
Federal Home Loan Mortgage Corp.,
5.000%, 11/01/2018 237,633 232,062
Federal Home Loan Mortgage Corp.,
5.000%, 12/01/2031 215,033 204,841
Federal Home Loan Mortgage Corp.,
5.500%, 7/15/2006 500,000 500,629
Federal Home Loan Mortgage Corp.,
5.500%, 12/01/2018 56,443 56,098
Federal Home Loan Mortgage Corp.,
7.000%, 3/01/2011 49,295 50,700
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 16,000,000 9,538,064
Federal National Mortgage Association,
4.000%, 5/01/2019(e) USD 286,417 268,188
Federal National Mortgage Association,
4.250%, 7/15/2007(d) 500,000 494,614
Federal National Mortgage Association,
5.250%, 8/01/2012(d) 535,000 529,577
Federal National Mortgage Association,
5.500%, 8/01/2019 299,133 297,420
Federal National Mortgage Association,
5.500%, 5/01/2033(e) 96,020 93,914
Federal National Mortgage Association,
5.500%, 10/01/2033 139,560 136,499
Federal National Mortgage Association,
5.500%, 11/01/2033 103,286 101,021
33
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
GOVERNMENT AGENCIES - CONTINUED
Federal National Mortgage Association,
5.500%, 2/01/2034(e) USD 288,180 $ 281,712
Federal National Mortgage Association,
5.500%, 12/01/2034 99,476 97,244
Federal National Mortgage Association,
5.500%, 4/01/2035 139,949 136,647
Federal National Mortgage Association,
6.000%, 8/01/2034 133,958 134,014
Federal National Mortgage Association,
7.500%, 4/01/2017 82,378 86,241
Federal National Mortgage Association,
7.500%, 11/01/2031 48,178 50,358
Federal National Mortgage Association,
8.000%, 8/01/2015 67,090 71,331
Federal National Mortgage Association,
8.000%, 12/01/2023 30,347 32,164
Government National Mortgage Association,
5.500%, 1/20/2034 169,114 167,043
Government National Mortgage Association,
6.000%, 9/15/2032 89,214 90,337
Government National Mortgage Association,
6.000%, 5/20/2034 96,878 97,727
Government National Mortgage Association,
7.500%, 9/15/2013 92,536 96,519
Government National Mortgage Association,
8.000%, 8/15/2025 17,433 18,666
Government National Mortgage Association,
8.000%, 9/15/2025 39,140 41,913
Government National Mortgage Association,
8.000%, 2/15/2030 9,699 10,372
-----------
16,334,279
-----------
HEALTHCARE - 1.7%
Columbia/HCA Healthcare Corp.,
7.580%, 9/15/2025 2,455,000 2,376,951
Columbia/HCA Healthcare Corp.,
7.690%, 6/15/2025 1,000,000 988,773
HCA, Inc., 6.250%, 2/15/2013 1,000,000 970,028
HCA, Inc., 7.050%, 12/01/2027 3,250,000 2,964,526
HCA, Inc., 7.500%, 11/06/2033 645,000 631,563
-----------
7,931,841
-----------
HOME CONSTRUCTION - 1.0%
Lennar Corp., 5.600%, 5/31/2015 500,000 475,154
Pulte Homes, Inc., 5.200%, 2/15/2015(d) 1,305,000 1,204,476
Pulte Homes, Inc., 6.000%, 2/15/2035(d) 1,805,000 1,571,354
Pulte Homes, Inc., 6.375%, 5/15/2033 1,040,000 944,534
Toll Brothers Finance Corp., 5.150%, 5/15/2015 565,000 511,325
-----------
4,706,843
-----------
INDEPENDENT/ENERGY - 0.4%
Astoria Depositor Corp., 8.144%, 5/01/2021, 144A 500,000 525,000
Chesapeake Energy Corp., 6.500%, 8/15/2017 165,000 162,937
Chesapeake Energy Corp., 6.875%, 1/15/2016 200,000 201,500
34
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INDEPENDENT/ENERGY - CONTINUED
Chesapeake Energy Corp.,
6.875%, 11/15/2020, 144A USD 110,000 $ 110,825
Pioneer Natural Resource Co., 5.875%, 7/15/2016 435,000 412,239
Pioneer Natural Resources Co., 6.500%, 1/15/2008 55,000 55,595
Progress Energy, Inc., 7.100%, 3/01/2011 45,000 47,727
XTO Energy, Inc., 4.900%, 2/01/2014 220,000 208,579
XTO Energy, Inc., 5.300%, 6/30/2015 70,000 67,518
-----------
1,791,920
-----------
INDUSTRIAL OTHER - 0.0%
Aramark Services, Inc., 5.000%, 6/01/2012 20,000 19,009
-----------
INTEGRATED/ENERGY - 1.3%
Cerro Negro Finance Ltd.,
7.900%, 12/01/2020, 144A 4,650,000 4,557,000
Conoco Funding Co., 6.350%, 10/15/2011 175,000 182,466
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 1,425,000 1,403,625
-----------
6,143,091
-----------
LIFE INSURANCE - 2.2%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 17,000,000 10,124,356
-----------
LODGING - 0.0%
Host Marriott LP, Series 0, 6.375%, 3/15/2015 USD 150,000 147,562
-----------
MEDIA CABLE - 1.9%
Comcast Corp., 5.650%, 6/15/2035 1,745,000 1,520,864
Comcast Corp., 6.450%, 3/15/2037 2,580,000 2,482,481
Comcast Corp., 6.500%, 11/15/2035 2,980,000 2,891,482
Cox Communications, Inc., 4.625%, 1/15/2010 85,000 81,481
Cox Communications, Inc., 5.450%, 12/15/2014 430,000 407,702
CSC Holdings, Inc., 7.250%, 4/15/2012, 144A 200,000 195,500
NTL Cable Plc, 9.750%, 4/15/2014 GBP 250,000 456,067
Rogers Cable, Inc., 5.500%, 3/15/2014 USD 150,000 142,125
TCI Communications, Inc., 7.875%, 2/15/2026 550,000 603,024
-----------
8,780,726
-----------
MEDIA NON-CABLE - 0.0%
Clear Channel Communications, Inc.,
4.250%, 5/15/2009 85,000 80,934
Reed Elsevier Capital, 4.625%, 6/15/2012 35,000 32,732
-----------
113,666
-----------
METALS & MINING - 0.2%
Alcoa, Inc., 6.000%, 1/15/2012 200,000 204,101
Glencore Funding LLC, 6.000%, 4/15/2014, 144A 200,000 190,399
Glencore Nickel Property Ltd.,
Zero Coupon Bond, 1/01/2025 144A(b)(g) 390,000 --
Murrin Murrin Holdings Property Ltd.,
9.375%, 8/31/2007(b)(g) 200,000 --
Vale Overseas Ltd., 8.250%, 1/17/2034 520,000 596,700
-----------
991,200
-----------
MUNICIPAL - GENERAL OBLIGATION - 0.0%
Chelsea GCA Realty Partnership LP,
7.250%, 10/21/2007 80,000 81,804
-----------
35
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
NON-CAPTIVE CONSUMER - 0.1%
American General Finance Corp.,
Series MTNG, 5.375%, 9/01/2009 USD 165,000 $ 164,707
Household Finance Corp., 6.500%, 11/15/2008 60,000 61,684
Household Finance Corp., 7.200%, 7/15/2006 175,000 175,943
-----------
402,334
-----------
NON-CAPTIVE DIVERSIFIED - 1.3%
General Electric Capital Corp., 1.725%, 6/27/2008 SGD 250,000 148,171
General Electric Capital Corp., 3.500%, 5/01/2008 USD 150,000 144,929
General Electric Capital Corp., 6.000%, 6/15/2012 245,000 251,613
General Electric Capital Corp., 6.125%, 5/17/2012 GBP 1,000,000 1,842,752
General Electric Capital Corp., 6.500%, 9/28/2015 NZD 5,100,000 3,165,983
General Electric Capital Corp., Series MTNA,
4.750%, 9/15/2014(d) USD 400,000 380,582
International Lease Finance Corp.,
6.375%, 3/15/2009 35,000 35,829
-----------
5,969,859
-----------
OIL FIELD SERVICES - 0.3%
Pecom Energia SA, 8.125%, 7/15/2010, 144A 1,472,000 1,523,520
-----------
PAPER - 2.5%
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 650,000 539,500
Georgia-Pacific Corp., 7.250%, 6/01/2028 2,000,000 1,890,000
Georgia-Pacific Corp., 7.375%, 12/01/2025 3,000,000 2,880,000
Georgia-Pacific Corp., 7.750%, 11/15/2029 5,515,000 5,404,700
International Paper Co., 4.000%, 4/01/2010 150,000 140,405
International Paper Co., 4.250%, 1/15/2009 700,000 675,252
-----------
11,529,857
-----------
PHARMACEUTICALS - 0.4%
Elan Financial Plc, 7.750%, 11/15/2011 720,000 682,200
Pharma Service Intermediate Holding Corp.,
Zero Coupon Bond
(Step to 11.500% on 4/1/2009), 4/01/2014(h) 1,500,000 1,348,125
Schering-Plough Corp. 5.550%, 12/01/2013 75,000 74,203
-----------
2,104,528
-----------
PIPELINES - 2.2%
El Paso Corp., 6.375%, 2/01/2009, 144A 1,575,000 1,557,281
El Paso Corp., 6.750%, 5/15/2009(d) 2,150,000 2,144,625
El Paso Corp., 6.950%, 6/01/2028, 144A 925,000 874,125
El Paso Corp., 7.000%, 5/15/2011 3,195,000 3,206,981
El Paso Corp., 7.750%, 6/15/2010, 144A 875,000 902,344
El Paso Corp., 7.800%, 8/01/2031(d) 250,000 251,250
Kinder Morgan Energy Partners,
5.000%, 12/15/2013 150,000 142,063
Kinder Morgan, Inc., 6.500%, 9/01/2012 110,000 113,801
Williams Cos., Inc., 7.500%, 1/15/2031 1,000,000 1,037,500
-----------
10,229,970
-----------
PROPERTY & CASUALTY INSURANCE - 0.0%
Axis Capital Holdings Ltd., 5.750%, 12/01/2014 80,000 77,859
-----------
RAILROADS - 0.1%
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 500,000 387,591
-----------
36
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - 0.7%
Colonial Reality LP, 4.750%, 2/01/2010 USD 15,000 $ 14,460
EOP Operating LP, 4.650%, 10/01/2010 210,000 200,888
EOP Operating LP, 7.250%, 2/15/2018 2,000,000 2,164,594
Highwoods Realty LP, 7.500%, 4/15/2018 475,000 509,212
Simon Property Group LP, 6.375%, 11/15/2007 75,000 76,086
Spieker Properties, Inc., 7.350%, 12/01/2017 500,000 545,844
-----------
3,511,084
-----------
REFINING - 0.1%
Valero Energy Corp., 4.750%, 4/01/2014 445,000 416,806
-----------
RESTAURANTS - 0.1%
McDonald's Corp., 3.628%, 10/10/2010 SGD 1,000,000 610,547
-----------
RETAILERS - 0.7%
Dillard's, Inc., 7.750%, 7/15/2026 USD 1,025,000 973,750
J.C. Penney Co., Inc., 7.125%, 11/15/2023(d) 1,045,000 1,122,862
Toys R Us, 7.375%, 10/15/2018 280,000 205,800
Woolworth Corp., 8.500%, 1/15/2022 925,000 980,500
-----------
3,282,912
-----------
SOVEREIGNS - 13.0%
Canadian Government, 4.250%, 9/01/2008 CAD 6,235,000 5,364,497
Canadian Government, 4.500%, 9/01/2007 16,520,000 14,240,287
Canadian Government, Series WH31,
6.000%, 6/01/2008 800,000 713,174
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 2,500,000 343,712
Government of Sweden, Series 1045,
5.250%, 3/15/2011 10,000,000 1,387,045
Kingdom of Norway, 5.500%, 5/15/2009 NOK 20,000,000 3,219,226
Mexican Fixed Rate Bonds, 8.000%, 12/07/2023 MXN 30,500,000 2,623,195
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 101,500,000 9,611,101
PF Export Receivables Master Trust,
6.436%, 6/01/2015, 144A USD 1,866,023 1,828,702
Republic of Argentina, Zero Coupon Bond,
12/15/2035 1,544,373 142,855
Republic of Argentina, 2.000%, 9/30/2014 ARS 5,000,000 1,673,428
Republic of Argentina, 4.889%, 8/03/2012(e) USD 2,420,000 1,978,350
Republic of Argentina, 8.280%, 12/31/2033 566,788 556,869
Republic of Brazil, 8.250%, 1/20/2034(d) 13,186,000 14,530,972
Republic of Brazil, 11.000%, 8/17/2040 575,000 737,725
Republic of South Africa, 12.500%, 12/21/2006 ZAR 3,020,000 508,099
Republic of Uruguay, 7.875%, 1/15/2033(i) USD 1,506,861 1,567,136
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 250,000 154,158
-----------
61,180,531
-----------
SUPERMARKETS - 1.5%
Albertson's, Inc., 6.625%, 6/01/2028 USD 1,150,000 926,615
Albertson's, Inc., 7.450%, 8/01/2029 4,910,000 4,335,780
Albertson's, Inc., 7.750%, 6/15/2026 1,055,000 951,023
Albertson's, Inc., 8.000%, 5/01/2031 415,000 386,307
Fred Meyer, Inc., 7.450%, 3/01/2008 165,000 170,518
Kroger Co., 4.950%, 1/15/2015(d) 90,000 83,442
-----------
6,853,685
-----------
37
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SUPRANATIONAL - 4.4%
Inter-American Development Bank,
Zero Coupon Bond, 5/11/2009 BRL 30,000,000 $ 8,941,775
Inter-American Development Bank, Series EMTN,
6.000%, 12/15/2017 NZD 19,735,000 11,950,405
-----------
20,892,180
-----------
TECHNOLOGY - 2.7%
Amkor Technology, Inc., 7.125%, 3/15/2011(d)(e) USD 625,000 575,000
Arrow Electronics, Inc., 6.875%, 7/01/2013 3,500,000 3,634,127
Avnet, Inc., 6.000%, 9/01/2015 250,000 239,594
Corning, Inc., 6.200%, 3/15/2016 250,000 249,988
Corning, Inc., 6.850%, 3/01/2029(d) 450,000 458,870
Lucent Technologies, Inc., 6.450%, 3/15/2029 4,445,000 4,011,612
Lucent Technologies, Inc., 6.500%, 1/15/2028 200,000 178,500
Nortel Networks Corp., 6.875%, 9/01/2023 575,000 526,125
Northern Telecom Capital Corp.,
7.875%, 6/15/2026 150,000 144,750
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 1,158,000 1,215,340
Xerox Capital Trust I, 8.000%, 2/01/2027 1,200,000 1,242,000
-----------
12,475,906
-----------
TEXTILE - 0.5%
Kellwood Co., 7.625%, 10/15/2017 2,500,000 2,339,035
-----------
TRANSPORTATION SERVICES - 1.5%
American President Cos. Ltd., 8.000%, 1/15/2024 2,500,000 2,481,250
Atlas Air, Inc., 9.057%, 1/02/2014 394,351 378,577
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/2015 1,326,184 1,193,566
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 1,276,789 1,289,557
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 1,500,291 1,395,271
Bombardier, Inc., 7.450%, 5/01/2034, 144A 175,000 157,062
-----------
6,895,283
-----------
TREASURIES - 11.8%
U.S. Treasury Bonds, 5.250%, 11/15/2028(d) 260,000 266,967
U.S. Treasury Bonds, 5.375%, 2/15/2031(d) 370,000 389,483
U.S. Treasury Notes, 2.625%, 5/15/2008(d) 17,455,000 16,688,621
U.S. Treasury Notes, 2.750%, 7/31/2006(d) 65,000 64,586
U.S. Treasury Notes, 3.000%, 2/15/2008(d) 15,345,000 14,843,295
U.S. Treasury Notes, 3.500%, 5/31/2007(d) 185,000 182,160
U.S. Treasury Notes, 3.750%, 5/15/2008(d) 5,150,000 5,039,357
U.S. Treasury Notes, 4.250%, 10/31/2007(d) 18,000,000 17,835,462
U.S. Treasury Notes, 4.625%, 5/15/2006(d) 160,000 159,975
U.S. Treasury Notes, 5.000%, 2/15/2011(d) 45,000 45,366
-----------
55,515,272
-----------
TREASURY INFLATION PROTECTED SECURITIES - 0.1%
U.S. Treasury Notes, 2.000%, 7/15/2014(d) 257,679 251,307
-----------
WIRELESS TELECOMMUNICATION SERVICES - 0.1%
Sprint Capital Corp., 6.125%, 11/15/2008 65,000 66,153
Sprint Capital Corp., 6.875%, 11/15/2028 180,000 185,712
-----------
251,865
-----------
38
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 4.4%
Level 3 Communications, Inc.,
11.500%, 3/01/2010 144A(d) USD 105,000 $ 102,113
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 3,914,000 4,271,152
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 3,305,000 3,176,931
Qwest Capital Funding, Inc.,
6.875%, 7/15/2028(d) 7,575,000 7,272,000
Qwest Capital Funding, Inc.,
7.000%, 8/03/2009(d) 850,000 862,750
Qwest Capital Funding, Inc.,
7.250%, 2/15/2011(d) 25,000 25,344
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 350,000 356,125
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 775,000 788,563
Telecom Italia Capital, 4.000%, 11/15/2008 80,000 77,086
Verizon Global Funding Corp., 5.850%, 9/15/2035 3,975,000 3,565,352
Verizon New Jersey, Inc., 5.875%, 1/17/2012 80,000 79,309
------------
20,576,725
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $385,597,818) 404,938,891
------------
CONVERTIBLE BONDS - 5.1%
AIRLINES - 0.4%
AMR Corp., 4.250%, 9/23/2023 325,000 547,219
AMR Corp., 4.500%, 2/15/2024 635,000 889,000
Continental Airlines, Inc., 5.000%, 6/15/2023 300,000 463,875
------------
1,900,094
------------
ELECTRIC - 0.3%
Power Receivables Finance LLC,
6.290%, 1/01/2012, 144A 1,259,984 1,265,061
------------
HEALTHCARE - 0.0%
Invitrogen Corp., 1.500%, 2/15/2024 200,000 174,000
------------
INDEPENDENT/ENERGY - 0.8%
Devon Energy Corp., 4.900%, 8/15/2008 1,300,000 1,508,000
Devon Energy Corp., 4.950%, 8/15/2008 1,900,000 2,204,000
------------
3,712,000
------------
PHARMACEUTICALS - 2.2%
Bristol-Myers Squibb Co., 4.410%, 9/15/2023(e) 3,520,000 3,515,600
Chiron Corp., 1.625%, 8/01/2033 1,175,000 1,144,156
Enzon Pharmaceuticals, Inc., 4.500%, 7/01/2008 2,255,000 2,099,969
Epix Pharmaceuticals, Inc., 3.000%, 6/15/2024 250,000 160,625
IVAX Corp., 4.500%, 5/15/2008 105,000 106,312
Nektar Therapeutics, 3.250%, 9/28/2012, 144A 275,000 317,969
Nektar Therapeutics, 3.500%, 10/17/2007 465,000 453,956
Regeneron Pharmaceuticals, Inc.,
5.500%, 10/17/2008 1,200,000 1,173,000
Valeant Pharmaceuticals International,
3.000%, 8/16/2010 885,000 768,844
Valeant Pharmaceuticals International,
4.000%, 11/15/2013 510,000 436,050
------------
10,176,481
------------
39
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TECHNOLOGY - 0.6%
Amkor Technology, Inc., 5.000%, 3/15/2007(d) USD 745,000 $ 727,306
Kulicke & Soffa Industries, Inc.,
0.500%, 11/30/2008 335,000 287,263
Kulicke & Soffa Industries, Inc.,
1.000%, 6/30/2010 40,000 37,100
Maxtor Corp., 5.750%, 3/01/2012(g) 491,000 451,720
Nortel Networks Corp., 4.250%, 9/01/2008(d) 700,000 660,625
Richardson Electric Ltd.,
7.750%, 12/15/2011, 144A 263,000 241,960
SCI Systems, Inc., 3.000%, 3/15/2007 200,000 193,500
------------
2,599,474
------------
TEXTILE - 0.0%
Dixie Yarns, Inc., 7.000%, 5/15/2012 108,000 99,360
------------
WIRELINES - 0.8%
Level 3 Communications, Inc.,
2.875%, 7/15/2010(d) 2,175,000 1,943,906
Level 3 Communications, Inc.,
6.000%, 9/15/2009(d) 1,985,000 1,682,288
Level 3 Communications, Inc.,
6.000%, 3/15/2010(d) 125,000 99,219
------------
3,725,413
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $21,071,290) 23,651,883
------------
TOTAL BONDS AND NOTES
(Identified Cost $406,669,108) 428,590,774
------------
SHARES
- ---------------------------------------------------------------------------------
COMMON STOCKS - 1.9% OF TOTAL NET ASSETS
COMMUNICATIONS EQUIPMENT - 1.2%
Corning, Inc.(c) 205,167 5,521,044
------------
REAL ESTATE INVESTMENT TRUSTS - 0.1%
Host Marriott Corp. 16,268 348,133
------------
WIRELINES - 0.6%
Philippine Long Distance Telephone Co., ADR(d) 81,790 3,072,850
------------
TOTAL COMMON STOCKS
(Identified Cost $3,261,080) 8,942,027
------------
PREFERRED STOCKS - 1.6% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.2%
ELECTRIC - 0.2%
Del Marva Power & Light Co., 4.000% 434 31,248
Entergy Louisiana, Inc., 4.440%(d) 830 76,360
Entergy New Orleans, Inc., 4.360%(b) 90 3,499
Entergy New Orleans, Inc., 4.750%(b)(d) 2,876 110,187
MDU Resources Group, Inc., 5.100% 500 49,969
Public Service Electric & Gas Co., 4.180%(d) 1,950 158,925
40
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES FIXED INCOME FUND - CONTINUED
SHARES VALUE (+)
- -------------------------------------------------------------------------------------
PREFERRED STOCKS - CONTINUED
ELECTRIC - CONTINUED
Union Electric Co., 4.500% USD 6,500 $ 549,900
Xcel Energy, Inc., 4.110% 100 8,375
------------
988,463
------------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $760,729) 988,463
------------
CONVERTIBLE PREFERRED STOCKS - 1.4%
CONSTRUCTION MACHINERY - 0.1%
United Rentals Trust, 6.500% 3,000 141,000
------------
CONSUMER PRODUCTS - 0.2%
Newell Financial Trust I, 5.250% 22,500 964,688
------------
ELECTRIC - 0.1%
AES Trust III, 6.750% 10,000 466,600
------------
INSURANCE - 0.6%
Travelers Property Casualty, 4.500% 122,900 2,948,371
------------
LODGING - 0.0%
Felcor Lodging, Series A, 1.950%(d) 2,500 62,500
------------
PACKAGING - 0.1%
Owens-Illinois, Inc., 4.750% 10,250 354,650
------------
PIPELINES - 0.0%
El Paso Energy Capital Trust I, 4.750% 2,500 90,000
------------
TECHNOLOGY - 0.3%
Lucent Technologies Capital Trust, 7.750%(d) 1,500 1,500,562
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $5,992,233) 6,528,371
------------
TOTAL PREFERRED STOCKS
(Identified Cost $6,752,962) 7,516,834
------------
PRINCIPAL AMOUNT
- -------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 24.2% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $16,520,060 on 4/03/06
collateralized by $17,075,000 U.S. Treasury Notes,
4.000% due 6/15/09 with a value of $16,847,015
(Note 2g) $ 16,516,000 16,516,000
------------
SHARES
- -------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(f) 97,146,936 97,146,936
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $113,662,936) 113,662,936
------------
41
VALUE (+)
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS - 119.0%
(Identified Cost $530,346,086)(a) $ 558,712,571
Other assets less liabilities--(19.0)% (89,101,049)
-------------
TOTAL NET ASSETS - 100% $ 469,611,522
-------------
+ See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain
adjustments made at the end of the Fund's fiscal year
for tax purposes. Such adjustments are primarily due to
wash sales, return of capital included in dividends
received from the Fund's investments in REIT's and
interest adjustments on defaulted bonds. Amortization
of premium on debt securities is excluded for tax
purposes.):
At March 31, 2006, the net unrealized appreciation on
investments based on cost of $531,684,615 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all
securities in which there is an excess of value over
tax cost $ 35,071,723
Aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over
value (8,041,417)
-------------
Net unrealized appreciation $ 27,030,306
-------------
(b)Non-income producing security due to default or bankruptcy filing.
(c)Non-income producing security.
(d)All or a portion of this security was on loan to brokers at March 31, 2006.
(e)Variable rate security. Rate as of March 31, 2006 is disclosed.
(f)Represents investments of securities lending collateral.
(g)Illiquid Security.
(h)Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
(i)Payment-in-Kind Security.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $50,961,903 or 10.85%
of total net assets.
ADRAn American Depositary Receipt (ADR) is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States.
Key to Abbreviations: ARS: Argentinian Peso; BRL: Brazilian Real; CAD:
Candian Dollar; GBP Great British Pound; IDR: Indonesian Rupiah; KRW: South
Korean Won; MXN: Mexican Peso; NOK: Norwegian Krone; NZD: New Zeland Dollar;
SEK: Swedish Krona; SGD: Singapore Dollar; THB: Thai Baht; USD: United
States Dollar; ZAR South African Rand
See accompanying notes to financial statements.
42
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------
BONDS AND NOTES - 92.5% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 92.5%
ARGENTINA - 0.6%
Republic of Argentina, 2.000%, 9/30/2014 ARS 20,000,000 $ 6,693,712
-----------
AUSTRALIA - 1.8%
Queensland Treasury Corp., 6.000%, 7/14/2009 AUD 18,650,000 13,566,002
Telestra Corp. Ltd., 7.250%, 11/15/2012 6,850,000 5,139,720
-----------
18,705,722
-----------
AUSTRIA - 2.1%
Osterreichsche Kontrollbank AG,
1.800%, 3/22/2010 JPY 2,530,000,000 21,978,413
-----------
BELGIUM - 2.4%
Kingdom of Belgium, 3.750%, 3/28/2009 EUR 20,765,000 25,402,735
-----------
BRAZIL - 0.6%
Cia Brasileira de Bebidas, 8.750%, 9/15/2013 USD 2,500,000 2,875,000
Republic of Brazil, 8.750%, 2/04/2025(b) 2,850,000 3,263,250
-----------
6,138,250
-----------
CANADA - 2.8%
Bowater, Inc., 10.850%, 11/30/2014 CAD 5,775,000 5,399,923
Canadian Pacific Railway Ltd.,
4.900%, 6/15/2010, 144A 5,575,000 4,818,650
Province of Ontario, 6.250%, 12/03/2008 NZD 8,160,000 4,994,328
Province of Saskatchewan, 5.750%, 3/05/2029 CAD 3,105,000 3,037,787
Rogers Cable, Inc., 5.500%, 3/15/2014 USD 2,980,000 2,823,550
Rogers Wireless, Inc., 7.625%, 12/15/2011 CAD 3,515,000 3,239,453
Shaw Communications, Inc., 6.100%, 11/16/2012 6,315,000 5,438,735
-----------
29,752,426
-----------
CAYMAN ISLAND - 0.9%
LPG International, Inc.,
7.250%, 12/20/2015, 144A USD 3,010,000 3,021,438
Vale Overseas Ltd., 8.250%, 1/17/2034 5,560,000 6,380,100
-----------
9,401,538
-----------
CHILE - 0.4%
Empresa Nacional de Electricidad SA
(Endesa-Chile), 7.875%, 2/01/2027(b) 3,735,000 4,024,575
-----------
COLUMBIA - 0.5%
Bavaria SA, 8.875%, 11/01/2010, 144A 4,835,000 5,221,800
-----------
FINLAND - 0.6%
Republic of Finland, 5.000%, 7/04/2007 EUR 5,225,000 6,478,276
-----------
GERMANY - 9.0%
Bundesobligation, 4.000%, 2/16/2007 19,535,000 23,863,956
Hypothekenbank in Essen AG,
5.250%, 1/22/2008(b) 5,555,000 6,946,609
KFW, 2.500%, 10/11/2010 15,925,000 18,437,344
Munchener Hypothekenbank eG,
5.000%, 1/16/2012 18,690,000 24,120,640
Republic of Germany, 3.000%, 4/11/2008 2,500,000 3,011,367
Republic of Germany, 3.250%, 4/17/2009 9,375,000 11,301,409
Republic of Germany, 4.000%, 1/04/2037 6,740,000 8,166,673
-----------
95,847,998
-----------
43
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INDONESIA - 0.5%
Republic of Indonesia, 6.875%, 3/09/2017, 144A USD 5,240,000 $ 5,161,400
-----------
IRELAND - 5.4%
Depfa ACS Bank, 0.750%, 9/22/2008 JPY 4,450,000,000 37,741,823
Republic of Ireland, 4.600%, 4/18/2016 EUR 15,025,000 19,432,310
-----------
57,174,133
-----------
JAPAN - 4.6%
Japan Government, 0.200%, 9/20/2007 JPY 5,766,000,000 48,808,921
-----------
KOREA - 0.1%
Hanarotelecom, Inc., 7.000%, 2/01/2012, 144A USD 1,610,000 1,588,981
-----------
MEXICO - 2.6%
America Movil SA de CV, 4.125%, 3/01/2009(b) 3,455,000 3,321,181
America Movil SA, 9.000%, 1/15/2016 MXN 45,000,000 4,160,176
Desarrolladora Homex SA, 7.500%, 9/28/2015 USD 7,265,000 7,047,050
Government of Mexico, 6.750%, 6/06/2006 JPY 924,000,000 7,940,748
Mexican Fixed Rate Bonds, 4.250%, 6/16/2015 EUR 3,025,000 3,588,862
Mexican Fixed Rate Bonds, 8.000%, 12/07/2023 MXN 15,500,000 1,333,099
-----------
27,391,116
-----------
NETHERLANDS - 2.6%
Deutsche Telekom AG, 5.250%, 5/20/2008 EUR 1,705,000 2,132,097
Excelcomindo Finance Co.,
7.125%, 1/18/2013, 144A USD 900,000 897,750
Kingdom of Netherlands, 5.500%, 1/15/2028 EUR 16,730,000 24,604,373
-----------
27,634,220
-----------
NORWAY - 3.1%
Kingdom of Norway, 5.500%, 5/15/2009 NOK 201,180,000 32,382,195
-----------
POLAND - 1.0%
Republic of Poland, Series 2BR,
1.020%, 6/09/2009 JPY 1,200,000,000 10,118,946
-----------
PORTUGAL - 0.2%
Republic of Portugal, 3.500%, 4/24/2008 300,000,000 2,681,472
-----------
SINGAPORE - 1.4%
Government of Singapore, 4.625%, 7/01/2010 SGD 18,515,000 12,045,561
Singapore Telecommunications Ltd.,
6.000%, 11/21/2011 EUR 1,425,000 1,894,739
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 2,340,000 1,442,923
-----------
15,383,223
-----------
SOUTH AFRICA - 0.9%
Republic of South Africa, 4.500%, 4/05/2016 EUR 7,415,000 8,922,963
Republic of South Africa, 5.250%, 5/16/2013 800,000 1,020,280
-----------
9,943,243
-----------
SPAIN - 2.6%
Government of Spain, 3.600%, 1/31/2009 22,710,000 27,655,845
-----------
SUPRANATIONAL - 0.8%
European Investment Bank, Zero Coupon Bond,
3/10/2021 AUD 15,230,000 4,762,336
Inter-American Development Bank, Zero Coupon
Bond, 5/11/2009 BRL 13,000,000 3,874,769
-----------
8,637,105
-----------
44
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
SWEDEN - 3.3%
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 30,170,000 $ 4,147,915
Government of Sweden, Series 1045,
5.250%, 3/15/2011 184,365,000 25,572,255
Stena AB, 7.000%, 12/01/2016 USD 2,705,000 2,542,700
Stena AB, 7.500%, 11/01/2013 2,855,000 2,819,313
-----------
35,082,183
-----------
UNITED KINGDOM - 7.1%
Bank of England Euro Note, 3.000%, 1/27/2009 EUR 1,580,000 1,891,554
BSKYB Finance UK PLC, 5.750%, 10/20/2017(b) GBP 5,040,000 8,770,581
J.P. Morgan Chase London, Zero Coupon Bond,
10/21/2010, 144A IDR 75,579,375,000 5,304,962
MBNA Europe Funding Plc, 6.500%, 3/27/2007 EUR 3,800,000 4,748,788
Permanent Finance Plc, 5.100%, 6/10/2009 3,531,000 4,363,196
Scottish Power UK Plc, Series EMTN,
6.625%, 1/14/2010 GBP 1,905,000 3,497,623
Standard Chartered Bank, 6.750%, 4/27/2009 800,000 1,455,993
United Kingdom Treasury, 4.250%, 3/07/2036 2,140,000 3,819,748
United Kingdom Treasury, 5.000%, 3/07/2012 13,950,000 24,944,429
United Kingdom Treasury, 5.000%, 3/07/2025 7,720,000 14,726,081
WPP Group Plc, 6.000%, 6/18/2008 EUR 1,495,000 1,898,025
-----------
75,420,980
-----------
UNITED STATES - 33.6%
Agco Corp., 6.875%, 4/15/2014 1,855,000 2,337,900
Albertson's, Inc., 6.625%, 6/01/2028 USD 873,000 703,422
Albertson's, Inc., 7.450%, 8/01/2029 3,550,000 3,134,831
Albertson's, Inc., 7.750%, 6/15/2026 790,000 712,141
Albertson's, Inc., 8.000%, 5/01/2031(b) 905,000 842,428
Albertson's, Inc., 8.700%, 5/01/2030 220,000 214,576
American Standard, Inc., 7.125%, 6/01/2006 EUR 325,000 393,300
American Standard, Inc., 8.250%, 6/01/2009 GBP 325,000 609,827
American Stores Co., 8.000%, 6/01/2026 USD 720,000 697,537
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 16,300,000 9,707,470
Barclays Financial LLC, 4.060%, 9/16/2010, 144A KRW 6,820,000,000 6,784,903
Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 183,000,000 4,406,593
Barclays Financial LLC,
4.140%, 3/23/2009, 144A(C) KRW 4,844,220,000 4,976,344
Barclays Financial LLC, 4.160%, 2/22/2010, 144A THB 183,000,000 4,415,066
Barclays Financial LLC, 4.460%, 9/23/2010, 144A KRW 3,250,000,000 3,286,126
Barclays Financial LLC,
5.500%, 11/01/2010, 144A THB 62,000,000 1,561,842
CIT Group, Inc., 5.500%, 12/01/2014 GBP 2,835,000 4,955,080
Citi Credit Card Issuance Trust,
5.375%, 4/10/2013 EUR 4,163,000 5,387,071
Citibank NA (New York),
15.000%, 7/02/2010, 144A BRL 1,260,000 634,833
Comcast Corp., 6.450%, 3/15/2037 USD 5,610,000 5,397,953
Corning, Inc., 5.900%, 3/15/2014(b) 1,675,000 1,654,036
Corning, Inc., 6.200%, 3/15/2016(b) 3,180,000 3,179,851
Corning, Inc., 6.750%, 9/15/2013 400,000 417,163
Couche-Tard US/Finance, 7.500%, 12/15/2013 3,775,000 3,869,375
45
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
DaimlerChrysler Auto Trust, Series 2005-A,
Class A4, 3.740%, 2/08/2010 USD 9,480,000 $ 9,244,292
DaimlerChrysler NA Holding, 4.875%, 6/15/2010 3,285,000 3,165,925
Dominion Resources, Inc., 5.000%, 3/15/2013 10,285,000 9,739,864
Federal Home Loan Mortgage Corp.,
3.220%, 6/20/2007 SGD 4,750,000 2,925,719
Federal Home Loan Mortgage Corp.,
4.000%, 12/01/2019 USD 201,186 187,871
Federal Home Loan Mortgage Corp.,
4.000%, 2/01/2020 291,577 272,280
Federal Home Loan Mortgage Corp.,
4.000%, 9/01/2020 1,252,699 1,168,519
Federal Home Loan Mortgage Corp.,
6.000%, 5/01/2018 947,708 959,314
Federal Home Loan Mortgage Corp.,
6.000%, 10/01/2020 1,530,177 1,548,423
Federal Home Loan Mortgage Corp.,
6.500%, 8/01/2035 1,121,483 1,143,279
Federal Home Loan Mortgage Corp.,
6.500%, 10/01/2035 1,406,692 1,434,031
Federal National Mortgage Association,
1.750%, 3/26/2008 JPY 2,310,000,000 20,031,527
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 16,200,000 9,657,289
Federal National Mortgage Association,
4.500%, 6/01/2019 USD 5,943,838 5,688,492
Federal National Mortgage Association,
4.500%, 9/01/2035 2,340,255 2,159,487
Federal National Mortgage Association,
5.000%, 10/01/2019 2,071,361 2,021,237
Federal National Mortgage Association,
5.000%, 4/01/2020 526,908 513,913
Federal National Mortgage Association,
5.000%, 6/01/2020 1,028,630 1,003,262
Federal National Mortgage Association,
5.000%, 7/01/2035 5,204,690 4,956,160
Federal National Mortgage Association,
5.000%, 9/01/2035 11,854,490 11,288,424
Federal National Mortgage Association,
5.500%, 11/01/2016 716,601 713,260
Federal National Mortgage Association,
5.500%, 11/01/2034 1,856,043 1,814,386
Federal National Mortgage Association,
5.500%, 6/01/2035 9,579,986 9,353,920
Federal National Mortgage Association,
5.500%, 9/01/2035 4,724,630 4,613,139
Federal National Mortgage Association,
6.000%, 6/01/2017 2,101,408 2,126,936
Federal National Mortgage Association,
6.000%, 5/01/2035 4,431,158 4,432,729
Federal National Mortgage Association,
6.500%, 6/01/2035 709,600 724,024
Federal National Mortgage Association,
6.500%, 7/01/2035 292,272 298,213
46
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES GLOBAL BOND FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
UNITED STATES - CONTINUED
Ford Motor Credit Co., 5.700%, 1/15/2010 USD 3,765,000 $ 3,341,148
General Electric Capital Corp.,
0.550%, 10/14/2008 JPY 560,000,000 4,709,443
General Electric Capital Corp., 0.750%, 2/05/2009 740,000,000 6,229,046
General Electric Capital Corp., Series EMTN,
1.725%, 6/27/2008 SGD 2,250,000 1,333,537
Georgia-Pacific Corp., 7.250%, 6/01/2028 USD 4,540,000 4,290,300
Goldman Sachs Group, Inc., 3.750%, 2/04/2013 EUR 1,440,000 1,703,103
Government National Mortgage Association,
6.000%, 10/20/2035 USD 1,294,873 1,306,117
Greenwich Capital Commercial Funding Corp.,
5.117%, 4/10/2037 11,075,000 10,955,174
HCA, Inc., 5.500%, 12/01/2009 3,690,000 3,595,067
Honda Auto Receivables Owner Trust, Series
2005-1, Class A4, 3.820%, 5/21/2010 9,020,000 8,756,768
HSBC Bank USA, 3.310%, 8/25/2010, 144A 11,760,000 11,912,880
J.P. Morgan Chase & Co., Zero Coupon Bond,
5/17/2010, 144A BRL 27,000,000 7,138,119
John Deere Capital Corp., 3.900%, 1/15/2008(b) USD 2,595,000 2,532,710
KfW International Finance, Inc.,
1.750%, 3/23/2010 JPY 677,000,000 5,870,021
KfW International Finance, Inc.,
2.050%, 9/21/2009 2,671,000,000 23,398,119
Kroger Co., 5.500%, 2/01/2013 USD 2,970,000 2,889,451
Lucent Technologies, Inc., 6.450%, 3/15/2029 3,405,000 3,073,013
MBNA Credit Card Master Note Trust,
4.300%, 2/15/2011 11,680,000 11,450,690
Merrill Lynch/Countrywide Commercial Mortgage
Trust, Series 2006-1, Class A2,
5.439%, 2/12/2039 5,755,000 5,751,915
MidAmerican Energy Holdings Co.,
6.125%, 4/01/2036, 144A 4,425,000 4,331,668
Morgan Stanley, 5.375%, 11/14/2013 GBP 2,010,000 3,533,792
News America Holdings, Inc.,
8.625%, 2/07/2014(d) AUD 1,675,000 1,272,805
Pemex Project Funding Master Trust,
7.875%, 2/01/2009 USD 5,600,000 5,885,600
Phillips-Van Heusen Corp., 7.250%, 2/15/2011 4,595,000 4,686,900
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 495,000 475,819
Qwest Capital Funding, Inc., 6.875%, 7/15/2028 175,000 168,000
Qwest Capital Funding, Inc., 7.250%, 2/15/2011 1,035,000 1,049,231
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 310,000 315,425
Qwest Corporation, 7.875%, 9/01/2011 2,390,000 2,551,325
Simon Property Group LP, 4.875%, 3/18/2010 5,850,000 5,704,323
Smithfield Foods, Inc., 7.000%, 8/01/2011 5,075,000 5,049,625
Time Warner, Inc., 6.625%, 5/15/2029 5,945,000 5,843,073
U.S. Treasury Bonds, 5.375%, 2/15/2031(b) 2,480,000 2,610,587
Wells Fargo & Co., 5.750%, 7/12/2010 AUD 8,110,000 5,755,066
Xerox Corp., 6.400%, 3/15/2016 USD 3,325,000 3,300,063
------------
356,235,506
------------
47
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
VENEZUELA - 1.0%
Cerro Negro Finance Ltd.,
7.900%, 12/01/2020, 144A USD 5,100,000 $ 4,998,000
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A 5,295,000 5,215,575
--------------
10,213,575
--------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $1,010,790,618) 981,158,489
--------------
TOTAL BONDS AND NOTES
(Identified Cost $1,010,790,618) 981,158,489
--------------
SHORT-TERM INVESTMENTS - 7.6% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $54,161,311 on 4/03/06
collateralized by $19,445,000 U.S. Treasury Bond,
8.750% due 8/15/20 with a value of $26,864,687;
and $30,215,000 U.S. Treasury Notes, 3.625% due
5/15/13 with a value of $28,369,800 (Note 2g) 54,148,000 54,148,000
--------------
SHARES
- --------------------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(e) 26,113,019 26,113,019
--------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $80,261,019) 80,261,019
--------------
TOTAL INVESTMENTS - 100.1%
(Identified Cost $1,091,051,637)(a) 1,061,419,508
Other assets less liabilities--(0.1)% (740,611)
--------------
TOTAL NET ASSETS - 100% $1,060,678,897
--------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is
excluded for tax purposes):
At March 31, 2006, the unrealized depreciation on investments based on cost of $1,096,923,886 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 8,130,828
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (43,635,206)
--------------
Net unrealized depreciation $ (35,504,378)
--- --------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Variable rate security. Rate as of March 31, 2006 is disclosed.
(d)Illiquid Security.
(e)Represents investment of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $95,384,400 or 8.99%
of total net assets.
Key to Abbreviations: ARS: Argentinian Peso; AUD: Australian Dollar; BRL:
Brazilian Real; CAD: Canadian Dollar; EUR: Euro; GBP: Great British Pound;
IDR: Indonesian Rupiah; JPY: Japanese Yen; KRW: South Korean Won; MXN:
Mexican Peso; NOK: Norwegian Krone; NZD: New Zealand Dollar; SEK: Swedish
Krona; SGD: Singapore Dollar; THB Thai Bhat; USD: United States Dollar
See accompanying notes to financial statements.
48
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------
BONDS AND NOTES - 98.7% OF TOTAL NET ASSETS
AUTOMOTIVE - 0.9%
DaimlerChrysler NA Holding Corp.,
6.500%, 11/15/2013 USD 75,000 $ 76,280
General Motors Acceptance Corp.,
8.000%, 11/01/2031 10,000 9,451
----------
85,731
----------
FOOD & BEVERAGE - 1.1%
Dean Foods Co., 6.900%, 10/15/2017 75,000 75,187
Smithfield Foods, Inc., Series B,
7.750%, 5/15/2013 25,000 25,750
----------
100,937
----------
GAMING - 0.8%
MGM MIRAGE, 5.875%, 2/27/2014 80,000 75,400
----------
HEALTHCARE - 1.0%
Amerisourcebergen Corp.,
5.875%, 9/15/2015, 144A 20,000 19,671
Columbia/HCA Healthcare Corp.,
7.750%, 7/15/2036 75,000 73,261
----------
92,932
----------
INDEPENDENT/ENERGY - 0.8%
Chesapeake Energy Corp., 6.500%, 8/15/2017 80,000 79,000
----------
NON-CAPTIVE DIVERSIFIED - 1.2%
General Electric Capital Corp.,
0.550%, 10/14/2008 JPY 13,000,000 109,326
----------
PAPER - 0.8%
Georgia-Pacific Corp., 7.700%, 6/15/2015 USD 70,000 70,350
----------
SOVEREIGNS - 1.0%
Government of Sweden, 4.000%, 12/01/2009 SEK 175,000 22,993
Kingdom of Norway, 5.500%, 5/15/2009 NOR 145,000 23,339
Republic of Argentina, 2.000%, 9/30/2014 ARS 130,000 43,509
----------
89,841
----------
SUPERMARKETS - 0.8%
Albertson's, Inc., 6.625%, 6/01/2028 USD 5,000 4,029
Albertson's, Inc., 7.450%, 8/01/2029 25,000 22,076
Albertson's, Inc., 7.750%, 6/15/2026 15,000 13,522
Albertson's, Inc., 8.000%, 5/01/2031 25,000 23,271
Albertson's, Inc., 8.700%, 5/01/2030 5,000 4,877
American Stores Co., 8.000%, 6/01/2026 10,000 9,688
----------
77,463
----------
TECHNOLOGY - 0.5%
Sungard Data Systems, Inc.,
9.125%, 8/15/2013, 144A 10,000 10,575
Xerox Corp., 6.400%, 3/15/2016 35,000 34,738
----------
45,313
----------
TREASURY INFLATION PROTECTED SECURITIES - 85.2%
U.S. Treasury Bonds, 2.000%, 1/15/2026(b) 279,681 265,041
U.S. Treasury Bonds, 2.375%, 1/15/2025(b) 646,826 650,035
U.S. Treasury Bonds, 3.375%, 4/15/2032(b) 1,250,940 1,541,002
U.S. Treasury Notes, 0.875%, 4/15/2010(b) 769,170 728,549
49
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TREASURY INFLATION PROTECTED SECURITIES - CONTINUED
U.S. Treasury Notes, 1.625%, 1/15/2015 USD 503,556 $ 475,211
U.S. Treasury Notes, 1.875%, 7/15/2013(b) 561,298 545,052
U.S. Treasury Notes, 1.875%, 7/15/2015(b) 489,235 470,507
U.S. Treasury Notes, 2.000%, 1/15/2014(b) 552,564 539,290
U.S. Treasury Notes, 2.000%, 7/15/2014(b) 499,581 487,228
U.S. Treasury Notes, 2.000%, 1/15/2016(b) 239,726 232,544
U.S. Treasury Notes, 3.000%, 7/15/2012(b) 589,902 614,719
U.S. Treasury Notes, 3.375%, 1/15/2012(b) 139,563 147,969
U.S. Treasury Notes, 3.500%, 1/15/2011(b) 290,465 307,042
U.S. Treasury Notes, 3.625%, 1/15/2008 288,380 296,254
U.S. Treasury Notes, 3.875%, 1/15/2009(b) 314,301 329,058
U.S. Treasury Notes, 4.250%, 1/15/2010(b) 282,804 303,849
------------
7,933,350
------------
TREASURIES - 0.4%
U.S. Treasury Bonds, 4.500%, 2/15/2036(b) 45,000 42,223
------------
WIRELESS TELECOMMUNICATION SERVICES - 0.8%
Rogers Wireless, Inc., 6.375%, 3/01/2014 75,000 74,813
------------
WIRELINES - 3.4%
AT&T Corp., 9.750%, 11/15/2031 220,000 262,694
Qwest Corp., 7.250%, 9/15/2025 25,000 25,625
Qwest Corp., 7.500%, 6/15/2023 25,000 25,406
------------
313,725
------------
TOTAL BONDS AND NOTES
(Identified Cost $9,558,673) 9,190,404
------------
SHORT-TERM INVESTMENTS - 27.5% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $158,039 on 4/3/06 collateralized
by $120,000 U.S. Treasury Bond, 8.750% due
8/15/20 with a value of 165,789 (Note 2g) 158,000 158,000
------------
SHARES
- --------------------------------------------------------------------------------------
State Street Navigator Securties Lending Prime
Portfolio(c) 2,403,546 2,403,546
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,561,546) 2,561,546
------------
TOTAL INVESTMENTS - 126.2%
(Identified Cost $12,120,219)(a) 11,751,950
Other assets less liabilities--(26.2)% (2,441,539)
------------
TOTAL NET ASSETS - 100% $ 9,310,411
------------
50
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INFLATION PROTECTED SECURITIES FUND - CONTINUED
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded
for tax purposes.):
At March 31, 2006, the net unrealized depreciation on investments based on cost of $12,189,651 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost $ 7,558
Aggregate gross unrealized depreciation for all securities in which there is an excess cost over value (445,259)
----------
Net unrealized depreciation $(437,701)
----------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Represents investment of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $30,246 or 0.32% of
total net assets.
Key to Abbreviations: ARS: Argentinian Peso; JPY: Japanese Yen; NOK:
Norwegian Krone; SEK: Swedish Krona; USD: United States Dollar
See accompanying notes to financial statements.
51
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------
BONDS AND NOTES - 85.1% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 74.3%
AIRLINES - 0.5%
American Airlines, Inc., Series 93A6,
8.040%, 9/16/2011 USD 50,184 $ 44,585
Continental Airlines, Inc., Series 2000-2,
8.307%, 4/02/2018 358,813 345,284
Continental Airlines, Inc., Series 2001-1B,
7.373%, 12/15/2015 216,733 207,245
----------
597,114
----------
AUTOMOTIVE - 3.9%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 350,000 357,000
Delphi Automotive Systems Corp.,
7.125%, 5/01/2029(b)(c) 429,000 263,835
Delphi Automotive Systems Corp.,
6.550%, 6/15/2006(b) 250,000 153,750
Ford Motor Co., 6.375%, 2/01/2029 500,000 332,500
Ford Motor Credit Co., 5.700%, 1/15/2010 1,425,000 1,264,578
Ford Motor Credit Co., 7.000%, 10/01/2013 1,415,000 1,265,584
General Motors Acceptance Canada,
6.625%, 12/17/2010 GBP 25,000 39,508
General Motors Acceptance Corp.,
6.750%, 12/01/2014 USD 195,000 175,540
General Motors Acceptance Corp.,
7.500%, 12/01/2006 NZD 250,000 149,492
General Motors Acceptance Corp.,
8.000%, 11/01/2031(c) USD 35,000 33,079
GMAC International Finance BV,
8.000%, 3/14/2007 NZD 1,250,000 756,419
Goodyear Tire & Rubber Co., 7.000%, 3/15/2028 USD 280,000 234,500
----------
5,025,785
----------
BANKING - 4.4%
Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 52,000,000 1,252,147
Barclays Financial LLC, 4.160%, 2/22/2010, 144A 50,000,000 1,206,302
Barclays Financial LLC, 4.460%, 9/23/2010, 144A KRW 520,000,000 525,780
Barclays Financial LLC, 5.500%, 11/01/2010,
144A THB 15,000,000 377,865
HSBC Bank USA, 3.310%, 8/25/2010, 144A USD 500,000 506,500
J.P. Morgan Chase & Co., Zero Coupon Bond,
5/10/2010, 144A BRL 2,200,000 581,624
J.P. Morgan Chase & Co., Zero Coupon Bond,
3/28/2011, 144A IDR 6,846,018,000 464,934
J.P. Morgan Chase London, Zero Coupon Bond,
10/21/2010, 144A 9,533,078,500 669,132
----------
5,584,284
----------
CHEMICALS - 3.6%
Borden, Inc., 7.875%, 2/15/2023 USD 999,000 826,672
Borden, Inc., 9.200%, 3/15/2021 2,231,000 2,030,210
IMC Global, Inc., 7.375%, 8/01/2018 400,000 404,000
IMC Global, Inc., 7.300%, 1/15/2028 1,405,000 1,297,869
----------
4,558,751
----------
52
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONSTRUCTION MACHINERY - 0.5%
Great Lakes Dredge & Dock Corp.,
7.750%, 12/15/2013 USD 300,000 $ 280,500
United Rentals North America, Inc.,
7.000%, 2/15/2014 395,000 380,187
----------
660,687
----------
ELECTRIC - 3.3%
AES Corp., 7.750%, 3/01/2014 1,185,000 1,244,250
AES Corp., 8.375%, 3/01/2011 GBP 405,000 714,201
Calpine Canada Energy Finance,
8.750%, 10/15/2007(b) CAD 510,000 235,818
Calpine Corp.,
8.625%, 8/15/2010(b)(c) USD 200,000 80,000
Dynegy Holdings, Inc.,
7.125%, 5/15/2018 100,000 91,500
Dynegy Holdings, Inc.,
7.625%, 10/15/2026 220,000 201,300
Dynegy Holdings, Inc.,
8.375%, 5/01/2016, 144A 250,000 248,750
NGC Corporation Capital Trust I, Series B,
8.316%, 6/01/2027 125,000 110,000
NRG Energy, Inc., 7.375%, 2/01/2016 575,000 587,219
Quezon Power Philippines Co.,
8.860%, 6/15/2017 438,750 436,556
TXU Corp., Series P,
5.550%, 11/15/2014(c) 45,000 42,093
TXU Corp., Series R,
6.550%, 11/15/2034 300,000 270,734
----------
4,262,421
----------
FOOD - 0.1%
Friendly Ice Cream Corp.,
8.375%, 6/15/2012(c) 85,000 76,925
----------
GOVERNMENT OWNED - NO GUARANTEE - 0.8%
SLM Corp., 6.500%, 6/15/2010 NZD 1,575,000 967,988
----------
HEALTHCARE - 0.6%
HCA, Inc., 7.050%, 12/01/2027 USD 250,000 228,040
HCA, Inc., 7.500%, 11/06/2033 500,000 489,584
----------
717,624
----------
HOME CONSTRUCTION - 2.1%
K Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 500,000 453,237
K Hovnanian Enterprises, Inc.,
6.375%, 12/15/2014 280,000 258,893
K Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 750,000 739,399
KB Home, 7.250%, 6/15/2018 1,260,000 1,239,641
----------
2,691,170
----------
INDEPENDENT/ENERGY - 0.3%
Astoria Depositor Corp.,
8.144%, 5/01/2021, 144A 350,000 367,500
----------
53
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INTEGRATED/ENERGY - 2.2%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020,
144A USD 1,450,000 $1,421,000
Petrozuata Finance, Inc., 8.220%, 4/01/2017,
144A 1,435,000 1,413,475
----------
2,834,475
----------
LIFE INSURANCE - 1.7%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 3,700,000 2,203,536
----------
MEDIA CABLE - 0.9%
NTL Cable Plc, 9.750%, 4/15/2014 GBP 650,000 1,185,775
----------
METALS & MINING - 0.4%
Murrin Murrin Holdings Property Ltd.,
9.375%, 8/31/2007(b)(g) 825,000 --
Vale Overseas Ltd., 8.250%, 1/17/2034 500,000 573,750
----------
573,750
----------
NON-CAPTIVE DIVERSIFIED - 1.6%
General Electric Capital Corp., 6.500%, 9/28/2015 NZD 3,250,000 2,017,538
----------
OIL FIELD SERVICES - 1.5%
North America Energy Partners, Inc.,
8.750%, 12/01/2011 USD 1,915,000 1,867,125
----------
PACKAGING - 0.6%
Owens-Illinois, Inc., 7.800%, 5/15/2018 750,000 744,375
----------
PAPER - 2.0%
Abitibi-Consolidated, Inc., 5.250%, 6/20/2008 200,000 191,000
Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 250,000 215,000
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 125,000 103,750
Bowater, Inc., 6.500%, 6/15/2013(c) 250,000 233,125
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/2028 1,160,000 1,096,200
Georgia-Pacific Corp., 7.375%, 12/01/2025 105,000 100,800
Georgia-Pacific Corp., 7.750%, 11/15/2029 625,000 612,500
----------
2,552,375
----------
PHARMACEUTICALS - 1.2%
Elan Financial Plc, 7.750%, 11/15/2011 1,140,000 1,080,150
Pharma Service Intermediate Holding Corp.,
(Step to 11.500% on 4/1/2009),
Zero Coupon Bond, 4/01/2014(d) 500,000 449,375
----------
1,529,525
----------
PIPELINES - 4.2%
El Paso Corp., 6.375%, 2/01/2009, 144A 320,000 316,400
El Paso Corp., 7.000%, 5/15/2011(c) 285,000 286,069
El Paso Corp., 7.750%, 6/15/2010, 144A 300,000 309,375
El Paso Corp., 6.750%, 5/15/2009 465,000 463,838
El Paso Corp., 7.800%, 8/01/2031(c) 500,000 502,500
Williams Cos., Inc., 7.500%, 1/15/2031 3,375,000 3,501,562
----------
5,379,744
----------
54
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RAILROADS - 0.2%
Missouri Pacific Railroad Co.,
4.750%, 1/01/2020(c) USD 30,000 $ 24,628
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 314,000 243,408
-----------
268,036
-----------
RETAILERS - 3.2%
Dillard's, Inc., 6.625%, 1/15/2018 500,000 467,500
Dillard's, Inc., 7.000%, 12/01/2028 350,000 313,250
Dillard's, Inc., 7.130%, 8/01/2018 500,000 477,500
Dillard's, Inc., 7.750%, 7/15/2026 1,500,000 1,425,000
Toys R Us, 7.375%, 10/15/2018 930,000 683,550
Woolworth Corp., 8.500%, 1/15/2022 659,000 698,540
-----------
4,065,340
-----------
SOVEREIGNS - 12.2%
Canadian Government, 2.750%, 12/01/2007 CAD 4,400,000 3,692,255
Mexican Fixed Rate Bonds, 8.000%, 12/07/2023 MXN 9,500,000 817,061
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 36,500,000 3,456,209
Republic of Argentina, Zero Coupon Bond,
12/15/2035(e) USD 720,707 66,665
Republic of Argentina, 4.889%, 8/03/2012(e) 195,000 159,413
Republic of Argentina, 8.280%, 12/31/2033 264,501 259,872
Republic of Brazil, 8.250%, 1/20/2034(c) 3,325,000 3,664,150
Republic of Brazil, 10.250%, 6/17/2013 700,000 849,800
Republic of Peru, 5.000%, 3/07/2017(e) 266,750 251,412
Republic of South Africa, 12.500%, 12/21/2006 ZAR 455,000 76,551
Republic of Uruguay, 7.500%, 3/15/2015(c) USD 1,133,000 1,178,320
Republic of Uruguay, 7.875%, 1/15/2033(f) 1,057,523 1,099,823
-----------
15,571,531
-----------
SUPERMARKETS - 1.5%
Albertson's, Inc., 6.625%, 6/01/2028 240,000 193,380
Albertson's, Inc., 7.450%, 8/01/2029 1,210,000 1,068,492
Albertson's, Inc., 8.000%, 5/01/2031 480,000 446,813
Albertson's, Inc., 8.700%, 5/01/2030 180,000 175,562
-----------
1,884,247
-----------
SUPRANATIONAL - 2.6%
Inter-American Development Bank, Zero Coupon
Bond, 5/11/2009 BRL 11,000,000 3,278,651
-----------
TECHNOLOGY - 8.3%
Affiliated Computer Services, Inc.,
5.200%, 6/01/2015 USD 100,000 91,126
Amkor Technology, Inc., 10.500%, 5/01/2009(c) 100,000 98,000
Amkor Technology, Inc., 7.125%, 3/15/2011 250,000 230,000
Amkor Technology, Inc., 7.750%, 5/15/2013(c) 775,000 713,000
Corning, Inc., 6.850%, 3/01/2029(c) 701,000 714,818
Hynix Semiconductor, Inc., 9.875%, 7/01/2012,
144A(c) 250,000 275,000
Lucent Technologies, Inc., 6.450%, 3/15/2029 3,415,000 3,082,038
Nortel Networks Corp., 6.875%, 9/01/2023 1,000,000 915,000
Northern Telecom Capital Corp.,
7.875%, 6/15/2026 1,975,000 1,905,875
Xerox Corp., 6.400%, 3/15/2016 2,500,000 2,481,250
-----------
10,506,107
-----------
55
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TRANSPORTATION SERVICES - 5.3%
American President Cos. Ltd., 8.000%, 1/15/2024 USD 2,485,000 $ 2,466,362
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 789,454 797,349
Atlas Air, Inc., Series 1999-1B, 7.630%, 1/02/2015 397,855 358,070
Atlas Air, Inc., Series 1999-1C, 8.770%, 1/02/2011 149,828 100,385
Atlas Air, Inc., Series 2000-1, 9.702%, 1/02/2008 40,344 25,820
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 372,093 375,814
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 1,564,590 1,455,068
Bombardier, Inc., 7.350%, 12/22/2026 CAD 600,000 463,673
Bombardier, Inc., 7.450%, 5/01/2034, 144A(c) USD 750,000 673,125
-----------
6,715,666
-----------
WIRELINES - 4.6%
Hawaiian Telcom Communication,
12.500%, 5/01/2015, 144A(c) 250,000 247,500
Level 3 Communications, Inc.,
11.500%, 3/01/2010 144A(c) 5,000 4,863
Philippine Long Distance Telephone Co.,
8.350%, 3/06/2017 1,100,000 1,200,375
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 934,000 897,807
Qwest Capital Funding, Inc., 6.875%, 7/15/2028 790,000 758,400
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 1,415,000 1,439,762
Qwest Capital Funding, Inc.,
7.000%, 8/03/2009(c) 400,000 406,000
Qwest Capital Funding, Inc.,
7.250%, 2/15/2011(c) 400,000 405,500
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 200,000 203,500
Qwest Communications International, Inc.,
Series B, 7.250%, 11/01/2008 25,000 25,625
Qwest Corp., 7.250%, 10/15/2035(c) 225,000 224,719
-----------
5,814,051
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $85,087,862) 94,502,096
-----------
CONVERTIBLE BONDS - 10.8%
AIRLINES - 0.5%
Continental Airlines, Inc., 5.000%, 6/15/2023 425,000 657,156
-----------
HEALTHCARE - 0.1%
Invitrogen Corp., 1.500%, 2/15/2024 150,000 130,500
-----------
INDUSTRIAL OTHER - 0.1%
Incyte Corp., 3.500%, 2/15/2011 200,000 163,500
-----------
PHARMACEUTICALS - 6.5%
Enzon Pharmaceuticals, Inc., 4.500%, 7/01/2008 755,000 703,094
Epix Pharmaceuticals, Inc., 3.000%, 6/15/2024 230,000 147,775
IVAX Corp., 4.500%, 5/15/2008 55,000 55,688
Nektar Therapeutics, 3.250%, 9/28/2012, 144A 350,000 404,688
Nektar Therapeutics, 3.500%, 10/17/2007 940,000 917,675
Regeneron Pharmaceuticals, Inc.,
5.500%, 10/17/2008 1,250,000 1,221,875
Valeant Pharmaceuticals International,
3.000%, 8/16/2010 1,230,000 1,068,562
56
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PHARMACEUTICALS - CONTINUED
Valeant Pharmaceuticals International,
4.000%, 11/15/2013 USD 950,000 $ 812,250
Vertex Pharmaceuticals, Inc., 5.750%, 2/15/2011,
144A 1,200,000 2,962,500
------------
8,294,107
------------
TECHNOLOGY - 2.6%
Amkor Technology, Inc., 5.000%, 3/15/2007(c) 670,000 654,087
Kulicke & Soffa Industries, Inc.,
0.500%, 11/30/2008 595,000 510,212
Kulicke & Soffa Industries, Inc.,
1.000%, 6/30/2010 175,000 162,313
Maxtor Corp., 5.750%, 3/01/2012(g) 1,542,000 1,418,640
Nortel Networks Corp., 4.250%, 9/01/2008 425,000 401,094
Richardson Electric Ltd., 7.750%, 12/15/2011,
144A 132,000 121,440
------------
3,267,786
------------
TEXTILE - 0.4%
Dixie Yarns, Inc., 7.000%, 5/15/2012 28,000 25,760
Kellwood Co., 3.500%, 6/15/2034 500,000 438,750
------------
464,510
------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc.,
8.000%, 8/15/2005(b)(g) 75,000 --
------------
WIRELINES - 0.6%
Level 3 Communications, Inc.,
2.875%, 7/15/2010(c) 430,000 384,312
Level 3 Communications, Inc., 6.000%, 9/15/2009 345,000 292,388
Level 3 Communications, Inc.,
6.000%, 3/15/2010(c) 105,000 83,344
------------
760,044
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $10,968,767) 13,737,603
------------
TOTAL BONDS AND NOTES
(Identified Cost $96,056,629) 108,239,699
------------
SHARES
- -----------------------------------------------------------------------------------
COMMON STOCKS - 5.9% OF TOTAL NET ASSETS
COMMUNICATIONS EQUIPMENT - 1.4%
Corning, Inc.(h) 69,766 1,877,403
------------
FOOD - 0.1%
ConAgra Foods, Inc. 3,100 66,526
------------
METALS & MINING - 0.2%
Companhia Vale do Rio Doce ADR 5,450 264,488
------------
REAL ESTATE INVESTMENT TRUSTS - 1.1%
Apartment Investment & Management Co. 4,275 200,498
Associated Estates Realty Corp.(c) 32,565 366,356
57
SHARES VALUE (+)
- ----------------------------------------------------------------------
COMMON STOCKS - CONTINUED
REAL ESTATE INVESTMENT TRUSTS - CONTINUED
Developers Diversified Realty Corp. USD 7,125 $ 390,094
Host Marriott Corp. 19,521 417,758
----------
1,374,706
----------
WIRELINES - 3.1%
Philippine Long Distance Telephone Co., ADR(c) 106,114 3,986,703
----------
TOTAL COMMON STOCKS
(Identified Cost $3,090,375) 7,569,826
----------
PREFERRED STOCKS - 5.2% OF TOTAL NET ASSETS
CONVERTIBLE PREFERRED STOCKS - 5.2%
AUTOMOTIVE - 2.6%
Cummins Capital Trust I, 7.000% 29,500 3,259,750
----------
CONSTRUCTION MACHINERY - 0.3%
United Rentals Trust, 6.500% 7,500 352,500
----------
ELECTRIC - 0.5%
AES Trust III, 6.750% 12,500 583,250
----------
ELECTRIC UTILITIES - 0.1%
CMS Energy Trust I, 7.750% 3,450 169,050
----------
LODGING - 0.0%
Felcor Lodging, Series A, 1.950%(c) 1,100 27,500
----------
PACKAGING - 0.8%
Owens-Illinois, Inc., 4.750% 30,975 1,071,735
----------
PIPELINES - 0.1%
El Paso Energy Capital Trust I, 4.750% 2,500 90,000
----------
TECHNOLOGY - 0.8%
Lucent Technologies Capital Trust, 7.750%(c) 1,000 1,000,375
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $4,428,998) 6,554,160
----------
TOTAL PREFERRED STOCKS
(Identified Cost $4,428,998) 6,554,160
----------
MUTUAL FUNDS - 0.9% OF TOTAL NET ASSETS
BOND MUTUAL FUNDS - 0.9%
High Income Opportunity Fund, Inc. 90,125 558,775
Managed High Income Portfolio, Inc. 93,550 564,107
----------
1,122,882
----------
TOTAL MUTUAL FUNDS
(Identified Cost $1,101,609) 1,122,882
----------
58
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INSTITUTIONAL HIGH INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 14.5% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income Clearing
Corporation, dated 3/31/06 at 2.950% to be repurchased at
$4,962,220 on 4/03/06 collateralized by $3,665,000 U.S.
Treasury Bond, 8.750% due 8/15/20 with a value of
$5,063,465 (Note 2g) USD $ 4,961,000 $ 4,961,000
-------------
SHARES
- ------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime Portfolio(i) 13,526,688 13,526,688
-------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $18,487,688) 18,487,688
-------------
TOTAL INVESTMENTS - 111.6%
(Identified Cost $123,165,299)(a) 141,974,255
Other assets less liabilities--(11.6)% (14,806,903)
-------------
TOTAL NET ASSETS - 100% $ 127,167,352
-------------
+ See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end
of the Fund's fiscal year for tax purposes. Such adjustments are primarily
due to wash sales, return of capital included in dividends received from the
fund's investments in REIT's and interest adjustments on defaulted bonds.
Amortization of premium on debt securities is excluded for tax purposes.):
At March 31, 2006, the net unrealized appreciation on investments based on
cost of $123,330,549 for federal Income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is
an excess of value over tax cost $ 20,086,179
Aggregate gross unrealized depreciation for all securities in which there is
an excess of tax cost over value (1,442,473)
-------------
Net unrealized appreciation $ 18,643,706
-------------
(b)Non-income producing security due to default or bankruptcy filing.
(c)All or a portion of this security was on loan to brokers at March 31, 2006.
(d)Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
(e)Variable rate security. Rate as of March 31, 2006 is disclosed.
(f)Payment-in-Kind security.
(g)Illiquid security.
(h)Non-income producing security.
(i)Represents investments of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $16,553,436 or 13.02%
of total net assets
ADRAn American Depositary Receipt (ADR) is a certificate issued by a custodian
bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States.
Key to Abbreviations: BRL: Brazilian Real; CAD: Canadian Dollar; GBP: Great
British Pound; IDR: Indonesian Rupiah; KRW: South Korean Won; MXN: Mexican
Peso; NZD: New Zealand Dollar; SGD: Singapore Dollar; THB: Thai Baht; USD:
United States Dollar; ZAR: South Africa Rand
See accompanying notes to financial statements.
59
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------
BONDS AND NOTES - 97.4% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 97.4%
AGENCIES - 1.0%
Pemex Project Funding Master Trust,
6.125%, 8/15/2008 USD 400,000 $ 403,000
----------
ASSET-BACKED SECURITIES - 2.2%
Countrywide Asset Backed Certificates,
Series 2004-S1, Class A2, 3.872%, 3/25/2020 120,000 117,739
Countrywide Asset Backed Certificates,
Series 2004-S1, Class A3, 4.615%, 2/25/2035 135,000 129,974
Countrywide Asset-Backed Certificates,
Series 2006-S1, Class A2, 5.549%, 8/15/2021 410,000 409,487
Navistar Financial Corp. Owner Trust,
Series 2004-B, Class A4, 3.530%, 10/15/2012 280,000 268,789
----------
925,989
----------
AUTOMOTIVE - 6.4%
Americredit Automobile Receivables Trust,
Series 2004-DF, Class A4, 3.430%, 7/06/2011 130,000 125,467
Capital Auto Receivables Asset Trust,
Series 2004-2, Class A3, 3.580%, 1/15/2009 365,000 357,232
Capital Auto Receivables Asset Trust,
Series 2004-2, Class A4, 3.750%, 7/15/2009 25,000 24,326
DaimlerChrysler Auto Trust, Series 2004-C,
Class A4, 3.280%, 12/08/2009 250,000 242,193
Ford Credit Auto Owner Trust,
4.380%, 1/15/2010 355,000 349,383
Ford Motor Credit Co.,
7.000%, 10/01/2013 235,000 210,185
Honda Auto Receivables Owner Trust,
Series 2004-3, Class A4, 3.280%, 2/18/2010 285,000 274,923
USAA Auto Owner Trust, Series 2004-3,
Class A4, 3.530%, 6/15/2011 415,000 402,653
USAA Auto Owner Trust, Series 2006-1,
Class A3, 5.010%, 9/15/2010 175,000 174,479
WFS Financial Owner Trust, Series 2004-2,
Class A4, 3.540%, 11/21/2011 500,000 489,855
----------
2,650,696
----------
BANKING - 3.9%
Bank of America Corp., 6.250%, 4/01/2008 435,000 442,453
Citigroup, Inc., 3.500%, 2/01/2008 115,000 111,544
Citigroup/Deutsche Bank Commercial Mortgage,
5.408%, 1/15/2046 140,000 139,629
HSBC Finance Corp., 4.750%, 4/15/2010 525,000 510,986
J.P. Morgan Chase & Co., 3.625%, 5/01/2008 400,000 386,599
----------
1,591,211
----------
BROKERAGE - 1.4%
Goldman Sachs Group Inc., 4.500%, 6/15/2010 300,000 289,111
Morgan Stanley, 5.300%, 3/01/2013 310,000 303,178
----------
592,289
----------
BUILDING MATERIALS - 0.5%
American Standard, Inc., 7.625%, 2/15/2010 190,000 200,547
----------
60
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
COMMERCIAL MORTGAGE BACKED SECURITIES - 1.8%
GS Mortgage Securities Corporation II,
Series 2005-GG4, Class A4A, 4.751%, 7/10/2039 205,000 $ 193,228
LB UBS Commercial Mortgage Trust,
Series 2005 C3, Class A3, 4.647%, 7/15/2030 230,000 220,925
Morgan Stanley Capital I Inc., 4.890%, 6/12/2047 USD 330,000 313,750
----------
727,903
----------
CONSTRUCTION MACHINERY - 0.6%
Caterpillar Financial Services Corp.,
3.100%, 5/15/2007 235,000 229,661
----------
CREDIT CARD - 0.3%
Chase Issuance Trust, 3.220%, 6/15/2010 110,000 106,827
----------
ELECTRIC - 3.6%
American Electric Power Co., Inc.,
Series A, 6.125%, 5/15/2006 167,000 167,139
Dominion Resources, Inc., 4.125%, 2/15/2008 300,000 292,542
Duke Energy Co., 5.625%, 11/30/2012 300,000 300,354
Exelon Generation Co. LLC, 6.950%, 6/15/2011 300,000 316,678
FirstEnergy Corp., Series B, 6.450%, 11/15/2011 400,000 413,894
----------
1,490,607
----------
ENTERTAINMENT - 1.0%
AOL Time Warner, Inc., 6.150%, 5/01/2007 400,000 402,998
----------
FOOD & BEVERAGE - 0.7%
HJ Heinz Finance Co., 6.000%, 3/15/2012 100,000 99,751
Kraft Food, Inc., 5.250%, 6/01/2007 200,000 199,584
----------
299,335
----------
HEALTHCARE - 2.5%
Aetna, Inc., 7.875%, 3/01/2011 350,000 384,475
HCA, Inc., 5.250%, 11/06/2008 400,000 393,123
Wellpoint, Inc., 3.750%, 12/14/2007 185,000 180,158
Wellpoint, Inc., 5.250%, 1/15/2016 95,000 91,613
----------
1,049,369
----------
INDEPENDENT/ENERGY - 1.2%
XTO Energy, Inc., 4.900%, 2/01/2014 500,000 474,043
----------
INDUSTRIAL OTHER - 0.7%
Aramark Services, Inc., 5.000%, 6/01/2012 45,000 42,771
IDEX Corp., 6.875%, 2/15/2008 250,000 253,456
----------
296,227
----------
INTEGRATED/ENERGY - 0.6%
Phillips Petroleum Co., 6.375%, 3/30/2009 250,000 257,747
----------
MEDIA CABLE - 1.6%
Comcast Cable Communications,
7.125%, 6/15/2013 190,000 201,159
Cox Communications, Inc., 5.450%, 12/15/2014 500,000 474,072
----------
675,231
----------
MEDIA NON-CABLE - 1.0%
News America, Inc., 6.625%, 1/09/2008 400,000 408,525
----------
61
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
MORTGAGE RELATED - 22.4%
Federal Home Loan Mortgage Corp.,
5.500%, 3/01/2013 USD 21,961 $ 21,874
Federal Home Loan Mortgage Corp.,
6.000%, 11/01/2012 36,732 37,145
Federal Home Loan Mortgage Corp.,
6.000%, 6/01/2035 415,294 415,774
Federal National Mortgage Association,
5.000%, 1/01/2019 511,081 499,278
Federal National Mortgage Association,
5.000%, 2/01/2019 718,887 701,491
Federal National Mortgage Association,
5.000%, 12/01/2019 1,948,036 1,900,895
Federal National Mortgage Association,
5.000%, 4/01/2020 1,221,962 1,191,825
Federal National Mortgage Association,
5.500%, 1/01/2017 86,038 85,637
Federal National Mortgage Association,
5.500%, 1/01/2017 103,669 103,145
Federal National Mortgage Association,
5.500%, 2/01/2017 51,666 51,425
Federal National Mortgage Association,
5.500%, 8/01/2017 1,106,462 1,100,872
Federal National Mortgage Association,
5.500%, 9/01/2017 256,560 255,264
Federal National Mortgage Association,
5.500%, 1/01/2020 1,954,125 1,942,929
Federal National Mortgage Association,
5.500%, 3/01/2020 877,721 872,661
Nomura Asset Securities Corp.,
6.280%, 3/15/2030 66,060 66,292
----------
9,246,507
----------
NON-CAPTIVE CONSUMER - 2.7%
American General Finance Corp.,
2.750%, 6/15/2008 350,000 330,641
Capital One Bank, 4.875%, 5/15/2008 300,000 296,968
Residential Capital Corp., 6.375%, 6/30/2010 500,000 503,710
----------
1,131,319
----------
NON-CAPTIVE DIVERSIFIED - 2.3%
CIT Group, Inc., 3.375%, 4/01/2009(b) 450,000 425,275
General Electric Capital Corp., 2.800%, 1/15/2007 150,000 147,354
General Electric Capital Corp., 3.500%, 8/15/2007 250,000 244,584
International Lease Finance Corp.,
5.750%, 2/15/2007 125,000 125,395
----------
942,608
----------
OIL FIELD SERVICES - 1.3%
Halliburton Co., 5.500%, 10/15/2010 45,000 45,106
Halliburton Co., 5.625%, 12/01/2008 150,000 151,144
Halliburton Co., 6.000%, 8/01/2006 350,000 350,555
----------
546,805
----------
PHARMACEUTICALS - 0.4%
Caremark RX, Inc., 7.375%, 10/01/2006 180,000 181,784
----------
62
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INTERMEDIATE DURATION FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RAILROADS - 0.7%
Union Pacific Corp., 3.875%, 2/15/2009(b) USD 300,000 $ 288,540
----------
REAL ESTATE INVESTMENT TRUSTS - 4.3%
American Health Properties, Inc.,
7.500%, 1/15/2007 275,000 279,694
Colonial Reality LP, 4.750%, 2/01/2010 55,000 53,019
EOP Operating LP, 6.800%, 1/15/2009 300,000 309,020
iStar Financial, Inc., 5.150%, 3/01/2012 350,000 335,885
Prologis 2006, 5.500%, 4/01/2012 400,000 395,353
Simon Property Group LP, 3.750%, 1/30/2009 400,000 381,695
----------
1,754,666
----------
REFINING - 1.1%
Valero Energy Corp., 4.750%, 6/15/2013(b) 500,000 471,106
----------
RETAILERS - 0.9%
J.C. Penney Co., Inc., 7.600%, 4/01/2007 350,000 356,320
----------
SOVEREIGNS - 0.9%
United Mexican States, 4.625%, 10/08/2008 400,000 391,400
----------
SUPERMARKETS - 1.1%
Kroger Co., 6.200%, 6/15/2012 345,000 349,696
Kroger Co., 6.750%, 4/15/2012(b) 115,000 119,716
----------
469,412
----------
TECHNOLOGY - 1.8%
Arrow Electronics, Inc., 7.000%, 1/15/2007 350,000 354,154
Corning, Inc., 6.200%, 3/15/2016 45,000 44,998
Jabil Circuit, Inc., 5.875%, 7/15/2010 350,000 350,421
----------
749,573
----------
TRANSPORTATION SERVICES - 1.0%
ERAC USA Finance Co.,
6.800%, 2/15/2008, 144A 200,000 204,362
ERAC USA Finance Co.,
7.350%, 6/15/2008, 144A 200,000 207,675
----------
412,037
----------
TREASURIES - 21.9%
U.S. Treasury Notes, 3.125%, 4/15/2009(b) 160,000 152,400
U.S. Treasury Notes, 3.375%, 2/15/2008 830,000 808,407
U.S. Treasury Notes, 3.375%, 9/15/2009 240,000 229,050
U.S. Treasury Notes, 3.500%, 11/15/2006 165,000 163,608
U.S. Treasury Notes, 4.000%, 9/30/2007 360,000 355,584
U.S. Treasury Notes, 4.000%, 4/15/2010 1,915,000 1,857,027
U.S. Treasury Notes, 4.000%, 2/15/2015(b) 3,640,000 3,411,219
U.S. Treasury Notes, 4.250%, 10/31/2007 1,400,000 1,387,202
U.S. Treasury Notes, 4.500%, 11/15/2015 685,000 664,718
----------
9,029,215
----------
WIRELESS - 0.2%
AT&T Wireless Services, Inc., 7.500%, 5/01/2007 100,000 102,273
----------
63
PRINCIPAL AMOUNT
- ----------------------------------------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 3.4%
AT&T, Inc., 4.125%, 9/15/2009 USD 280,000
AT&T, Inc., 5.100%, 9/15/2014 170,000
Qwest Corp., 5.625%, 11/15/2008 110,000
Sprint Capital Corp., 6.375%, 5/01/2009 830,000
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $41,183,919)
TOTAL BONDS AND NOTES
(Identified Cost $41,183,919)
SHORT-TERM INVESTMENTS - 5.6% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $448,110 on 4/03/06
collateralized by $490,000 U.S. Treasury Note,
3.625% due 5/15/13 with a value of $460,076
(Note 2g) 448,000
SHARES
- ----------------------------------------------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(c) 1,863,856
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,311,856)
TOTAL INVESTMENTS - 103.0%
(Identified Cost $43,495,775)(a)
Other assets less liabilities--(3.0)%
TOTAL NET ASSETS - 100%
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded
for tax purposes):
At March 31, 2006, the unrealized depreciation on investments based on cost of $43,668,709 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value
Net unrealized depreciation
VALUE (+)
- -------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
WIRELINES - 3.4%
AT&T, Inc., 4.125%, 9/15/2009 $ 267,756
AT&T, Inc., 5.100%, 9/15/2014 161,353
Qwest Corp., 5.625%, 11/15/2008 109,175
Sprint Capital Corp., 6.375%, 5/01/2009 849,877
------------
1,388,161
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $41,183,919) 40,243,931
------------
TOTAL BONDS AND NOTES
(Identified Cost $41,183,919) 40,243,931
------------
SHORT-TERM INVESTMENTS - 5.6% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $448,110 on 4/03/06
collateralized by $490,000 U.S. Treasury Note,
3.625% due 5/15/13 with a value of $460,076
(Note 2g) 448,000
------------
- -------------------------------------------------------------------------------
State Street Navigator Securities Lending Prime
Portfolio(c) 1,863,856
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $2,311,856) 2,311,856
------------
TOTAL INVESTMENTS - 103.0%
(Identified Cost $43,495,775)(a) 42,555,787
Other assets less liabilities--(3.0)% (1,248,907)
------------
TOTAL NET ASSETS - 100% $ 41,306,880
------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded
for tax purposes):
At March 31, 2006, the unrealized depreciation on investments based on cost of $43,668,709 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost $ 67,882
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value (1,180,804)
------------
Net unrealized depreciation $ (1,112,922
------------
(b)All or a portion of this security was on loan to brokers at March 31, 2006.
(c)Represents investment of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $412,037 or 1.00% of
total net assets.
See accompanying notes to financial statements.
64
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------
BONDS AND NOTES - 93.6% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 87.5%
AGENCIES - 0.3%
Pemex Project Funding Master Trust,
8.625%, 2/01/2022 USD 500,000 $ 590,000
-----------
AIRLINES - 1.9%
Qantas Airways Ltd., 6.050%, 4/15/2016, 144A 3,455,000 3,424,420
-----------
ASSET-BACKED SECURITIES - 1.3%
Community Program Loan Trust, Series 1987-A,
Class A5, 4.500%, 4/01/2029 2,500,000 2,270,756
-----------
AUTOMOTIVE - 3.4%
Delphi Automotive Systems Corp.,
7.125%, 5/01/2029(b)(c) 830,000 510,450
Ford Motor Co., 6.375%, 2/01/2029 2,800,000 1,862,000
Ford Motor Credit Co., 7.375%, 10/28/2009 150,000 141,020
General Motors Acceptance Corp.,
5.625%, 5/15/2009(c) 2,500,000 2,326,533
General Motors Acceptance Corp.,
7.500%, 12/01/2006 NZD 1,500,000 896,953
GMAC Australia, 6.500%, 8/10/2007 AUD 450,000 308,040
-----------
6,044,996
-----------
BANKING - 10.6%
Bank of America Corp., 7.200%, 4/15/2006 USD 150,000 150,080
Barclays Financial LLC, 4.060%, 9/16/2010, 144A KRW 940,000,000 935,163
Barclays Financial LLC, 4.100%, 3/22/2010, 144A THB 71,000,000 1,709,662
Barclays Financial LLC, 4.160%, 2/22/2010, 144A 70,000,000 1,688,823
Barclays Financial LLC, 4.460%, 9/23/2010, 144A KRW 1,950,000,000 1,971,676
CIT Group, Inc., 5.500%, 12/01/2014 GBP 1,000,000 1,747,823
Citibank NA, 15.000%, 7/02/2010, 144A BRL 4,000,000 2,015,342
Citigroup, Inc., 3.500%, 2/01/2008 USD 2,000,000 1,939,904
FleetBoston Financial Corp., 7.375%, 12/01/2009 175,000 186,362
HSBC Bank USA, 3.310%, 8/25/2010, 144A 2,000,000 2,026,000
J.P. Morgan Chase & Co.,
Zero Coupon Bond, 5/10/2010, 144A BRL 8,035,000 2,124,251
J.P. Morgan Chase & Co.,
Zero Coupon Bond, 3/28/2011, 144A IDR 8,972,574,000 609,355
J.P. Morgan Chase & Co., 4.000%, 2/01/2008 USD 1,000,000 977,924
J.P. Morgan Chase London,
Zero Coupon Bond, 10/21/2010, 144A IDR 9,533,078,500 669,132
Wachovia Corp., 3.500%, 8/15/2008 USD 150,000 144,396
Wells Fargo & Co., 6.375%, 8/01/2011 175,000 182,477
-----------
19,078,370
-----------
BEVERAGES - 0.7%
Cia Brasileira de Bebidas, 8.750%, 9/15/2013 1,025,000 1,178,750
-----------
BROKERAGE - 1.0%
Morgan Stanley, 3.625%, 4/01/2008 1,000,000 969,278
Morgan Stanley, 5.375%, 11/14/2013 GBP 500,000 879,053
-----------
1,848,331
-----------
CHEMICALS - 0.2%
Methanex Corp., 6.000%, 8/15/2015 USD 480,000 451,087
-----------
65
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONSUMER PRODUCTS - 0.7%
Bausch & Lomb, Inc., 7.125%, 8/01/2028 USD 1,250,000 $ 1,281,622
-----------
ELECTRIC - 1.6%
Commonwealth Edison Co., 4.700%, 4/15/2015 555,000 514,689
Commonwealth Edison Co.,
5.875%, 2/01/2033 1,180,000 1,122,371
Commonwealth Edison Co.,
4.750%, 12/01/2011(d) 71,000 68,141
Empresa Nacional de Electricidad SA
(Endesa-Chile), 7.875%, 2/01/2027 1,000,000 1,077,530
-----------
2,782,731
-----------
ENTERTAINMENT - 0.9%
Time Warner, Inc., 6.625%, 5/15/2029 790,000 776,456
Time Warner, Inc., 6.950%, 1/15/2028 370,000 375,278
Time Warner, Inc., 7.625%, 4/15/2031 245,000 266,889
Time Warner, Inc., 7.700%, 5/01/2032 160,000 175,954
-----------
1,594,577
-----------
FOREIGN LOCAL GOVERNMENTS - 10.9%
Province of Alberta, 5.930%, 9/16/2016 CAD 505,375 464,633
Province of Alberta, 5.000%, 12/16/2008 2,000,000 1,750,259
Province of British Columbia, 5.250%, 12/01/2006 600,000 517,690
Province of British Columbia, 6.000%, 6/09/2008 3,175,000 2,825,678
Province of British Columbia, 6.250%, 12/01/2009 290,000 265,093
Province of Manitoba, 5.750%, 6/02/2008 5,575,000 4,934,509
Province of Ontario, 5.700%, 12/01/2008 3,390,000 3,013,830
Province of Saskatchewan, 6.000%, 6/01/2006 6,765,000 5,811,754
-----------
19,583,446
-----------
GOVERNMENT AGENCIES - 2.8%
Federal National Mortgage Association,
2.290%, 2/19/2009 SGD 8,000,000 4,769,032
Federal National Mortgage Association,
5.000%, 2/01/2018 USD 170,844 167,023
Federal National Mortgage Association,
5.500%, 9/01/2016 124,512 123,932
Federal National Mortgage Association,
6.000%, 10/01/2028 32,841 32,921
Federal National Mortgage Association,
6.500%, 2/01/2011 12,718 12,936
-----------
5,105,844
-----------
GOVERNMENT OWNED-NO GUARANTEE - 0.3%
SLM Corp., 6.500%, 6/15/2010 NZD 970,000 596,158
-----------
HEALTHCARE - 0.8%
Columbia/HCA Healthcare Corp.,
7.750%, 7/15/2036 USD 250,000 244,202
HCA, Inc., 5.750%, 3/15/2014 1,000,000 935,617
HCA, Inc., 6.250%, 2/15/2013 150,000 145,504
HCA, Inc., 7.050%, 12/01/2027 100,000 91,216
-----------
1,416,539
-----------
66
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
HOME CONSTRUCTION - 4.3%
Centex Corp., 5.250%, 6/15/2015(c) USD 380,000 $ 352,936
Lennar Corp., 5.600%, 5/31/2015 1,250,000 1,187,886
Pulte Homes, Inc., 5.200%, 2/15/2015(c) 1,265,000 1,167,557
Pulte Homes, Inc., 6.000%, 2/15/2035(c) 2,740,000 2,385,324
Pulte Homes, Inc., 6.375%, 5/15/2033 1,180,000 1,071,683
Toll Brothers Finance Corp., 5.150%, 5/15/2015 1,725,000 1,561,125
----------
7,726,511
----------
INTEGRATED/ENERGY - 0.7%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020,
144A 500,000 490,000
Petrozuata Finance, Inc., 8.220%, 4/01/2017,
144A 700,000 689,500
----------
1,179,500
----------
LIFE INSURANCE - 1.4%
ASIF Global Financing XXVII,
2.380%, 2/26/2009, 144A SGD 4,200,000 2,501,311
----------
MEDIA CABLE - 2.4%
Comcast Corp., 5.650%, 6/15/2035 USD 1,980,000 1,725,679
Comcast Corp., 6.450%, 3/15/2037 1,265,000 1,217,186
Comcast Corp., 6.500%, 11/15/2035 1,420,000 1,377,820
----------
4,320,685
----------
MEDIA NON-CABLE - 0.1%
Clear Channel Communications, Inc.,
5.750%, 1/15/2013 250,000 237,958
----------
METALS & MINING - 0.1%
Teck Cominco Ltd., 7.000%, 9/15/2012 100,000 106,195
----------
NON-CAPTIVE DIVERSIFIED - 2.1%
General Electric Capital Corp., 1.725%, 6/27/2008 SGD 250,000 148,171
General Electric Capital Corp., 6.500%, 9/28/2015 NZD 5,925,000 3,678,128
----------
3,826,299
----------
OIL FIELD SERVICES - 0.2%
Pecom Energia SA, 8.125%, 7/15/2010, 144A USD 332,000 343,620
----------
PAPER - 1.8%
Georgia-Pacific Corp. (Timber Group),
7.250%, 6/01/2028 1,500,000 1,417,500
International Paper Co., 4.000%, 4/01/2010 500,000 468,015
International Paper Co., 4.250%, 1/15/2009 1,000,000 964,646
MacMillan Bloedel Ltd., 7.700%, 2/15/2026 305,000 325,910
----------
3,176,071
----------
PIPELINES - 1.0%
El Paso Corp., 6.375%, 2/01/2009, 144A 125,000 123,594
El Paso Corp., 6.950%, 6/01/2028, 144A 350,000 330,750
El Paso Corp., 7.000%, 5/15/2011(c) 1,125,000 1,129,218
El Paso Corp., 6.750%, 5/15/2009 250,000 249,375
----------
1,832,937
----------
PROPERTY & CASUALTY INSURANCE - 0.1%
Progressive Corp., 7.000%, 10/01/2013(c) 150,000 161,851
----------
67
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
RAILROADS - 0.6%
Canadian Pacific Railway Ltd.,
4.900%, 6/15/2010, 144A CAD 1,000,000 $ 864,332
Missouri Pacific Railroad Co., 5.000%, 1/01/2045 USD 190,000 147,285
-----------
1,011,617
-----------
REAL ESTATE INVESTMENT TRUSTS - 1.9%
Colonial Reality LP, 4.800%, 4/01/2011 1,840,000 1,745,216
Colonial Reality LP, 5.500%, 10/01/2015 290,000 277,695
EOP Operating LP, 6.750%, 2/15/2012 250,000 260,579
Highwoods Realty LP, 7.500%, 4/15/2018 1,075,000 1,152,427
-----------
3,435,917
-----------
RESTAURANTS - 0.2%
McDonald's Corp., 3.628%, 10/10/2010 SGD 500,000 305,274
-----------
RETAILERS - 0.2%
Target Corp., 5.875%, 3/01/2012 USD 150,000 153,648
Wal-Mart Stores, Inc., 6.875%, 8/10/2009 200,000 209,689
-----------
363,337
-----------
SOVEREIGNS - 15.5%
Canadian Government, 4.250%, 9/01/2008 CAD 10,470,000 9,008,321
Canadian Government, 4.500%, 9/01/2007 4,070,000 3,508,352
Canadian Government, Series WH31,
6.000%, 6/01/2008 2,050,000 1,827,508
Government of Sweden, Series 1040,
6.500%, 5/05/2008 SEK 10,315,000 1,418,155
Government of Sweden, Series 1045,
5.250%, 3/15/2011 12,225,000 1,695,663
Kingdom of Norway, 5.500%, 5/15/2009 NOK 10,000,000 1,609,613
Kingdom of Norway, 6.750%, 1/15/2007 5,710,000 896,563
Mexican Fixed Rate Bonds, 8.000%, 12/07/2023 MXN 14,000,000 1,204,089
Mexican Fixed Rate Bonds, 9.000%, 12/20/2012 46,000,000 4,355,770
Republic of South Africa, 12.500%, 12/21/2006 ZAR 5,840,000 982,548
SP Powerassets Ltd., 3.730%, 10/22/2010 SGD 500,000 308,317
United Mexican States, 7.500%, 1/14/2012 USD 905,000 977,400
-----------
27,792,299
-----------
SUPRANATIONAL - 4.9%
Inter-American Development Bank, Series EMTN,
Zero Coupon Bond, 5/11/2009 BRL 9,000,000 2,682,532
Inter-American Development Bank, Series EMTN,
6.000%, 12/15/2017 NZD 10,200,000 6,176,546
-----------
8,859,078
-----------
TECHNOLOGY - 0.7%
Avnet, Inc., 6.000%, 9/01/2015 USD 575,000 551,066
Hewlett-Packard Co., 3.625%, 3/15/2008 150,000 145,275
Motorola, Inc., 7.625%, 11/15/2010 40,000 43,628
Samsung Electronics Co. Ltd.,
7.700%, 10/01/2027, 144A 500,000 524,758
-----------
1,264,727
-----------
TEXTILE - 0.5%
Kellwood Co., 7.625%, 10/15/2017 1,000,000 935,614
-----------
68
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TRANSPORTATION SERVICES - 1.9%
American President Cos. Ltd., 8.000%, 1/15/2024 USD 100,000 $ 99,250
Atlas Air Worldwide Holdings, Inc.,
7.200%, 1/02/2019 175,115 176,866
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 3,429,237 3,189,191
------------
3,465,307
------------
TREASURIES - 7.0%
U.S. Treasury Notes, 3.000%, 2/15/2008(c) 8,555,000 8,275,294
U.S. Treasury Notes, 4.250%, 11/30/2007(c) 4,250,000 4,209,328
------------
12,484,622
------------
WIRELESS - 0.3%
America Movil SA de CV, 4.125%, 3/01/2009 500,000 480,634
------------
WIRELINES - 2.2%
AT&T, Inc., 6.150%, 9/15/2034 545,000 517,550
BellSouth Corp., 6.000%, 11/15/2034 825,000 769,427
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 500,000 480,625
Verizon Global Funding Corp., 5.850%, 9/15/2035 2,360,000 2,116,788
------------
3,884,390
------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $153,704,181) 156,943,381
------------
CONVERTIBLE BONDS - 6.1%
BANKING - 1.9%
Wells Fargo & Co., 4.430%, 5/01/2033 3,460,000 3,439,240
------------
INDEPENDENT/ENERGY - 0.4%
Devon Energy Corp., 4.900%, 8/15/2008 200,000 232,000
Devon Energy Corp., 4.950%, 8/15/2008 500,000 580,000
------------
812,000
------------
PHARMACEUTICALS - 3.7%
Bristol-Myers Squibb Co., 4.410%, 9/15/2023 2,800,000 2,796,500
Chiron Corp., 1.625%, 8/01/2033 3,740,000 3,641,825
Watson Pharmaceuticals, Inc., 1.750%, 3/15/2023 125,000 115,000
------------
6,553,325
------------
TECHNOLOGY - 0.1%
Maxtor Corp., 5.750%, 3/01/2012(d) 65,000 59,800
Richardson Electric Ltd., 7.750%, 12/15/2011,
144A(c) 44,000 40,480
------------
100,280
------------
TRANSPORTATION SERVICES - 0.0%
Builders Transportation, Inc.,
6.500%, 5/01/2011(b)(d) 129,000 --
------------
TOTAL CONVERTIBLE BONDS
(Identified Cost $10,700,613) 10,904,845
------------
TOTAL BONDS AND NOTES
(Identified Cost $164,404,794) 167,848,226
------------
69
SHARES VALUE (+)
- ----------------------------------------------------------------------------------
PREFERRED STOCKS - 1.9% OF TOTAL NET ASSETS
NON-CONVERTIBLE PREFERRED STOCKS - 0.4%
ELECTRIC - 0.4%
Central Illinois Light Co., 4.500% USD 100 $ 8,600
Connecticut Light & Power Co., 2.200% 263 10,380
Dayton Power & Light Co., 3.750% 701 46,266
Del Marva Power & Light Co., 4.000% 350 25,200
Duquesne Light Co., 4.000%(c) 300 10,200
MDU Resources Group, Inc., 5.100% 500 49,969
Northern Indiana Public Service Co., 4.250% 2,410 243,410
Public Service Electric & Gas Co., 4.080% 400 32,100
San Diego Gas & Electric Co., 4.500% 100 1,750
Union Electric Co., 4.500%(c) 4,410 373,086
----------
800,961
----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(Identified Cost $518,143) 800,961
----------
CONVERTIBLE PREFERRED STOCKS - 1.5%
CONSUMER PRODUCTS - 0.8%
Newell Financial Trust I, 5.250%, 12/01/2027 32,825 1,407,372
----------
INSURANCE - 0.7%
Travelers Property Casualty, 4.500%, 4/15/2032(c) 52,700 1,264,273
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Identified Cost $2,477,512) 2,671,645
----------
TOTAL PREFERRED STOCKS
(Identified Cost $2,995,655) 3,472,606
----------
PRINCIPAL AMOUNT
- ----------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 16.2% OF TOTAL NET ASSETS
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to
be repurchased at $9,655,373 on 4/03/06
collateralized by $7,130,000 U.S. Treasury Bond,
8.750% due 8/15/20 with value of $9,850,615
(Note 2g) $9,653,000 9,653,000
----------
70
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES INVESTMENT GRADE FIXED INCOME FUND - CONTINUED
SHARES VALUE (+)
- --------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - CONTINUED
STATE STREET NAVIGATOR SECURITIES LENDING PRIME PORTFOLIO(E) 19,390,818 $ 19,390,818
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $29,043,818) 29,043,818
-------------
TOTAL INVESTMENTS - 111.7%
(Identified Cost $196,444,267)(a) 200,364,650
Other assets less liabilities--(11.7)% (21,035,877)
-------------
TOTAL NET ASSETS - 100% $ 179,328,773
-------------
+See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments made at the end of the Fund's fiscal year for tax
purposes. Such adjustments are primarily due to return of capital included in dividends received from the funds
investments in REIT's. Amortization of premium on debt securities are not included for tax purposes.):
At March 31, 2006, the net unrealized appreciation on investments based on cost of $197,382,746 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all securities in which there is an excess of value over tax cost $ 7,890,475
Aggregate gross unrealized depreciation for all securities in which there is an excess of tax cost over value (4,908,667)
-------------
Net unrealized appreciation $ 2,981,808
-------------
(b)Non-income producing security due to default or bankruptcy filing.
(c)All or a portion of this security was on loan to brokers at March 31, 2006.
(d)Illiquid security.
(e)Represents investments of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $23,082,169 or 12.87%
of total net assets.
Key to Abbreviations: AUD: Australian Dollar; BRL: Brazilian Real; CAD:
Canadian Dollar; GBP: Great British Pound; IDR: Indonesian Rupiah; KRW:
South Korean Won; MXN: Mexican Peso; NZD: New Zealand Dollar; NOK: Norwegian
Krone; SGD: Singapore Dollar; SEK, Swedish Krona; THB: Thai Baht; USD:
United States Dollar; ZAR: South Africa Rand.
See accompanying notes to financial statements.
71
THIS PAGE INTENTIONALLY LEFT BLANK
72
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2006 (UNAUDITED)
FIXED
BOND FUND INCOME FUND
- ---------------------------------------------------------------------------------------------------------------------
ASSETS
Investments at cost $ 5,813,409,781 $ 530,346,086
Net unrealized appreciation (depreciation) 256,614,190 28,366,485
---------------- ----------------
Investments at value 6,070,023,971 558,712,571
Cash -- 45,209
Foreign currency at value (identified cost $10,698,808, $0, $8,672,240, $0, $0,
$0, and $116,548) 10,692,074 --
Receivable for Fund shares sold 27,463,163 3,000,000
Receivable for securities sold 43,184,600 18,630
Receivable for forward foreign currency exchange contracts -- --
Dividends and interest receivable 60,668,211 5,728,331
Securities lending income receivable 170,585 17,224
Receivable from investment adviser -- 749
Prepaid expenses -- --
---------------- ----------------
TOTAL ASSETS 6,212,202,604 567,522,714
---------------- ----------------
LIABILITIES
Due to custodian bank 4,666,910 --
Collateral on securities loaned, at value (Note 2) 981,993,796 97,146,936
Payable for securities purchased 32,793,977 431,145
Payable for Fund shares redeemed 2,751,592 --
Foreign taxes payable 83,329 6,686
Management fees payable 2,496,596 196,405
Administrative fees payable 524,042 48,568
Deferred Trustees' fees 173,168 32,710
Trustees' fees payable 111,541 19,112
Service and distribution fees payable 10,045 --
Other accounts payable and accrued expenses 493,887 29,630
---------------- ----------------
TOTAL LIABILITIES 1,026,098,883 97,911,192
---------------- ----------------
NET ASSETS $ 5,186,103,721 $ 469,611,522
---------------- ----------------
Net assets consist of:
Paid-in capital 5,025,069,212 442,284,735
Undistributed (overdistributed) net investment income (loss) (9,274,122) 5,764,004
Accumulated net realized loss on investments (85,423,393) (6,764,783)
Net unrealized appreciation (depreciation) on investments and foreign
currency translations 255,732,024 28,327,566
---------------- ----------------
NET ASSETS $ 5,186,103,721 $ 469,611,522
---------------- ----------------
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS
Net assets $ 3,796,282,506 $ 469,611,522
---------------- ----------------
Shares of beneficial interest 276,349,646 35,378,029
---------------- ----------------
Net asset value, offering and redemption price per share $ 13.74 $ 13.27
---------------- ----------------
RETAIL CLASS
Net assets $ 1,303,427,855 $ --
---------------- ----------------
Shares of beneficial interest 95,085,402 --
---------------- ----------------
Net asset value, offering and redemption price per share $ 13.71 $ --
---------------- ----------------
ADMIN CLASS
Net assets $ 86,393,360 $ --
---------------- ----------------
Shares of beneficial interest 6,314,473 --
---------------- ----------------
Net asset value, offering and redemption price per share $ 13.68 $ --
---------------- ----------------
Value of securities on loan (Note 2) $ 961,906,386 $ 95,194,372
---------------- ----------------
See accompanying notes to financial statements.
73
GLOBAL INFLATION PROTECTED INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE
BOND FUND SECURITIES FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND
- ----------------------------------------------------------------------------------------------------
$ 1,091,051,637 $ 12,120,219 $ 123,165,299 $ 43,495,775 $ 196,444,267
(29,632,129) (368,269) 18,808,956 (939,988) 3,920,383
- ----------------------------------------------------------------------------------------------------
1,061,419,508 11,751,950 141,974,255 42,555,787 200,364,650
115 173 51,118 800 641
8,649,624 -- -- -- 118,445
24,855,211 13,906 6,150 60,000 --
5,914,030 42,493 69,856 147,942 --
1,552,985 -- -- -- --
10,749,284 74,988 1,548,087 422,908 2,133,502
7,561 116 6,460 338 4,704
-- 11,043 7,133 8,635 --
-- 13,669 14,512 15,571 22,130
- ----------------------------------------------------------------------------------------------------
1,113,148,318 11,908,338 143,677,571 43,211,981 202,644,072
- ----------------------------------------------------------------------------------------------------
-- -- -- -- --
26,113,019 2,403,546 13,526,688 1,863,856 19,390,817
23,961,290 167,886 2,839,631 -- 3,785,941
1,556,721 4 17,425 -- --
-- -- 9,721 -- --
525,074 1,989 64,436 8,786 68,200
55,075 1,153 14,342 4,227 15,181
52,898 12,248 16,931 13,677 21,175
40,932 7,088 10,105 8,076 12,720
3,378 -- -- -- --
161,034 4,013 10,940 6,479 21,265
- ----------------------------------------------------------------------------------------------------
52,469,421 2,597,927 16,510,219 1,905,101 23,315,299
- ----------------------------------------------------------------------------------------------------
$ 1,060,678,897 $ 9,310,411 $ 127,167,352 $ 41,306,880 $ 179,328,773
- ----------------------------------------------------------------------------------------------------
1,097,784,505 9,859,213 114,893,515 42,584,634 176,855,096
12,839,597 (52,612) 1,452,263 (47,823) (356,301)
(21,850,140) (127,650) (7,982,657) (289,943) (1,072,100)
(28,095,065) (368,540) 18,804,231 (939,988) 3,902,078
- ----------------------------------------------------------------------------------------------------
$ 1,060,678,897 $ 9,310,411 $ 127,167,352 $ 41,306,880 $ 179,328,773
- ----------------------------------------------------------------------------------------------------
$ 569,694,313 $ 9,310,411 $ 127,167,352 $ 41,306,880 $ 179,328,773
- ----------------------------------------------------------------------------------------------------
38,580,934 905,216 16,288,914 4,390,034 14,630,135
- ----------------------------------------------------------------------------------------------------
$ 14.77 $ 10.29 $ 7.81 $ 9.41 $ 12.26
- ----------------------------------------------------------------------------------------------------
$ 490,984,584 $ -- $ -- $ -- $ --
- ----------------------------------------------------------------------------------------------------
33,512,945 -- -- -- --
- ----------------------------------------------------------------------------------------------------
$ 14.65 $ -- $ -- $ -- $ --
- ----------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ --
- ----------------------------------------------------------------------------------------------------
-- -- -- -- --
- ----------------------------------------------------------------------------------------------------
$ -- $ -- $ -- $ -- $ --
- ----------------------------------------------------------------------------------------------------
$ 25,560,370 $ 2,354,545 $ 13,197,327 $ 1,822,391 $ 19,006,197
- ----------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
74
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
FIXED
BOND FUND INCOME FUND
- ------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 4,791,468 $ 298,918
Interest 122,509,963 12,993,984
Securities lending income 1,284,417 155,890
Less net foreign taxes withheld/reclaim (148,603) (11,929)
-------------- --------------
128,437,245 13,436,863
-------------- --------------
EXPENSES
Management fees 12,643,462 1,119,240
Service and distribution fees--Retail Class 1,178,028 --
Service and distribution fees--Admin Class 185,783 --
Trustees' fees and expenses 167,905 27,478
Administrative 1,377,242 114,040
Custodian 219,938 31,862
Transfer agent fees--Institutional Class, Retail Class, Admin Class 1,762,240 5,188
Audit and tax services 28,725 17,048
Registration 143,045 15,287
Shareholder reporting 317,794 6,776
Legal 106,537 12,576
Expense recapture (Note 4) -- 11,427
Miscellaneous 74,333 10,431
-------------- --------------
Total expenses 18,205,032 1,371,353
Less reimbursement/waiver (130,143) --
-------------- --------------
Net expenses 18,074,889 1,371,353
-------------- --------------
Net investment income 110,362,356 12,065,510
-------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
REALIZED GAIN (LOSS) ON:
Investments--net (12,315,731) 641,297
Foreign currency transactions--net 8,557,403 3,122,304
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON:
Investments--net 39,414,003 (1,415,616)
Foreign currency translations--net (1,006,470) (46,403)
-------------- --------------
Net realized and unrealized gain (loss) on investments and foreign currency transactions 34,649,205 2,301,582
-------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 145,011,561 $ 14,367,092
-------------- --------------
See accompanying notes to financial statements.
75
GLOBAL INFLATION PROTECTED INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE
BOND FUND SECURITIES FUND INCOME FUND FIXED INCOME FUND FIXED INCOME FUND
- --------------------------------------------------------------------------------------------------
$ -- $ -- $ 341,656 $ -- $ 82,458
20,016,455 201,989 3,929,980 1,002,298 4,408,598
59,181 673 67,045 5,348 54,817
755 -- (18,375) -- --
- --------------------------------------------------------------------------------------------------
20,076,391 202,662 4,320,306 1,007,646 4,545,873
- --------------------------------------------------------------------------------------------------
3,146,284 11,625 345,641 51,631 368,922
667,264 -- -- -- --
-- -- -- -- --
56,700 10,270 14,577 11,641 17,935
289,221 2,119 33,398 10,165 44,576
114,337 7,474 13,950 8,554 18,675
415,219 9,921 12,266 6,747 8,467
21,788 13,766 19,530 15,629 17,419
71,703 9,272 11,106 11,339 11,665
97,020 2,545 3,229 2,278 4,235
33,224 303 3,285 1,206 6,214
-- -- -- -- 2,965
25,736 3,207 4,563 3,413 5,988
- --------------------------------------------------------------------------------------------------
4,938,496 70,502 461,545 122,603 507,061
(299,989) (51,901) (29,494) (39,993) --
- --------------------------------------------------------------------------------------------------
4,638,507 18,601 432,051 82,610 507,061
- --------------------------------------------------------------------------------------------------
15,437,884 184,061 3,888,255 925,036 4,038,812
- --------------------------------------------------------------------------------------------------
(1,091,558) (49,979) (60,601) 6,482 (1,069,758)
(14,631,683) (7) 62,049 -- 737,546
(8,234,267) (339,836) 4,435,341 (776,603) (2,055,390)
2,637,293 (271) (3,035) -- (27,106)
- --------------------------------------------------------------------------------------------------
(21,320,215) (390,093) 4,433,754 (770,121) (2,414,708)
- --------------------------------------------------------------------------------------------------
$ (5,882,331) $ (206,032) $ 8,322,009 $ 154,915 $ 1,624,104
- --------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
76
STATEMENTS OF CHANGES IN NET ASSETS
BOND FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 110,362,356 $ 163,658,920
Net realized gain (loss) on investments and foreign currency transactions (3,758,328) 111,642,704
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations 38,407,533 13,364,096
---------------- ------------------
Increase in net assets resulting from operations 145,011,561 288,665,720
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (129,665,940) (185,828,139)
Retail Class (36,108,010) (27,896,741)
Admin Class (2,645,173) (2,760,379)
CAPITAL GAINS:
Institutional Class -- --
Retail Class -- --
Admin Class -- --
---------------- ------------------
Total distributions (168,419,123) (216,485,259)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 1,133,683,084 1,335,356,980
---------------- ------------------
REDEMPTION FEES
Institutional Class 133,088 232,638
Retail Class 38,420 33,866
Admin Class 2,908 3,601
---------------- ------------------
Total increase in net assets 1,110,449,938 1,407,807,546
NET ASSETS
Beginning of period 4,075,653,783 2,667,846,237
---------------- ------------------
End of period $5,186,103,721 $4,075,653,783
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (9,274,122) $ 48,782,645
---------------- ------------------
FIXED INCOME FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 12,065,510 $ 21,290,666
Net realized gain on investments and foreign currency transactions 3,763,601 21,678,907
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations (1,462,019) (6,599,020)
---------------- ------------------
Increase in net assets resulting from operations 14,367,092 36,370,553
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (33,031,701) (34,745,920)
CAPITAL GAINS:
Institutional Class -- --
---------------- ------------------
Total distributions (33,031,701) (34,745,920)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 43,724,071 84,275,729
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 25,059,462 85,900,362
NET ASSETS
Beginning of period 444,552,060 358,651,698
---------------- ------------------
End of period $469,611,522 $444,552,060
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 5,764,004 $ 26,730,195
---------------- ------------------
See accompanying notes to financial statements.
77
GLOBAL BOND FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- --------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 15,437,884 $ 28,293,504
Net realized gain (loss) on investments and foreign currency transactions (15,723,241) 23,550,483
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations (5,596,974) (40,855,655)
---------------- ------------------
Increase (decrease) in net assets from operations (5,882,331) 10,988,332
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (22,782,745) (10,875,668)
Retail Class (22,149,043) (13,960,467)
CAPITAL GAINS:
Institutional Class (2,587,016) (1,047,126)
Retail Class (2,698,275) (1,522,631)
---------------- ------------------
Total distributions (50,217,079) (27,405,892)
---------------- ------------------
INCREASE (DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) (136,499,787) 568,046,723
---------------- ------------------
REDEMPTION FEES
Institutional Class 36,563 38,270
Retail Class 39,422 52,568
---------------- ------------------
Total increase (decrease) in net assets (192,523,212) 551,720,001
NET ASSETS
Beginning of period 1,253,202,109 701,482,108
---------------- ------------------
End of period $1,060,678,897 $1,253,202,109
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 12,839,597 $ 42,333,501
---------------- ------------------
INFLATION PROTECTED SECURITIES FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 184,061 $ 348,376
Net realized gain (loss) on investments and foreign currency transactions (49,986) 137,435
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations (340,107) (181,784)
---------------- ------------------
Increase (decrease) in net assets from operations (206,032) 304,027
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (232,787) (434,112)
CAPITAL GAINS:
Institutional Class (46,504) --
---------------- ------------------
Total distributions (279,291) (434,112)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 497,573 2,038,235
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 12,250 1,908,150
NET ASSETS
Beginning of period 9,298,161 7,390,011
---------------- ------------------
End of period $9,310,411 $9,298,161
---------------- ------------------
OVERDISTRIBUTED NET INVESTMENT INCOME (LOSS) $ (52,612) $ (3,886)
---------------- ------------------
See accompanying notes to financial statements.
78
STATEMENTS OF CHANGES IN NET ASSETS
INSTITUTIONAL HIGH INCOME FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 3,888,255 $ 7,149,447
Net realized gain on investments and foreign currency transactions 1,448 3,314,309
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations 4,432,306 1,631,263
---------------- ------------------
Increase in net assets resulting from operations 8,322,009 12,095,019
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (7,577,634) (8,125,448)
CAPITAL GAINS:
Institutional Class -- --
---------------- ------------------
Total distributions (7,577,634) (8,125,448)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 15,890,024 9,454,547
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 16,634,399 13,424,118
NET ASSETS
Beginning of period 110,532,953 97,108,835
---------------- ------------------
End of period $127,167,352 $110,532,953
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 1,452,263 $ 5,141,642
---------------- ------------------
INTERMEDIATE DURATION FIXED INCOME FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 925,036 $ 1,497,504
Net realized gain on investments and foreign currency transactions 6,482 40,234
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations (776,603) (990,010)
---------------- ------------------
Increase in net assets resulting from operations 154,915 547,728
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (986,282) (1,687,919)
CAPITAL GAINS:
Institutional Class -- (64,658)
---------------- ------------------
Total distributions (986,282) (1,752,577)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 1,510,159 10,781,467
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase in net assets 678,792 9,576,618
NET ASSETS
Beginning of period 40,628,088 31,051,470
---------------- ------------------
End of period $41,306,880 $40,628,088
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (47,823) $ 13,423
---------------- ------------------
See accompanying notes to financial statements.
79
INVESTMENT GRADE FIXED INCOME FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 4,038,812 $ 7,854,412
Net realized gain (loss) on investments and foreign currency transactions (332,212) 12,564,717
Change in unrealized appreciation (depreciation) on investments and foreign currency
translations (2,082,496) (9,149,099)
---------------- ------------------
Increase in net assets resulting from operations 1,624,104 11,270,030
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (8,315,002) (11,342,082)
CAPITAL GAINS:
Institutional Class (7,899,080) (3,607,797)
---------------- ------------------
Total distributions (16,214,082) (14,949,879)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 7) 7,170,109 13,334,331
---------------- ------------------
REDEMPTION FEES
Institutional Class -- --
---------------- ------------------
Total increase (decrease) in net assets (7,419,869) 9,654,482
NET ASSETS
Beginning of period 186,748,642 177,094,160
---------------- ------------------
End of period $179,328,773 $186,748,642
---------------- ------------------
UNDISTRIBUTED (OVERDISTRIBUTED) NET INVESTMENT INCOME (LOSS) $ (356,301) $ (3,919,889)
---------------- ------------------
See accompanying notes to financial statements.
80
FINANCIAL HIGHLIGHTS
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
BOND FUND
INSTITUTIONAL CLASS
3/31/2006(f) $13.81 $0.36(c) $ 0.08 $ 0.44 $(0.51) $--
9/30/2005 13.46 0.67(c) 0.57 1.24 (0.89) --
9/30/2004 12.66 0.72(c) 0.82 1.54 (0.74) --
9/30/2003 10.33 0.78(c) 2.34 3.12 (0.79) --
9/30/2002+ 10.39 0.82(c) (0.06) 0.76 (0.82) --
9/30/2001 11.53 0.94(c) (0.91) 0.03 (1.17) --
RETAIL CLASS
3/31/2006(f) $13.78 $0.35(c) $ 0.08 $ 0.43 $(0.50) $--
9/30/2005 13.44 0.64(c) 0.57 1.21 (0.87) --
9/30/2004 12.65 0.69(c) 0.82 1.51 (0.72) --
9/30/2003 10.33 0.75(c) 2.34 3.09 (0.77) --
9/30/2002+ 10.39 0.79(c) (0.05) 0.74 (0.80) --
9/30/2001 11.52 0.91(c) (0.91) 0.00 (1.13) --
ADMIN CLASS
3/31/2006(f) $13.75 $0.32(c) $ 0.09 $ 0.41 $(0.48) $--
9/30/2005 13.42 0.60(c) 0.56 1.16 (0.83) --
9/30/2004 12.64 0.65(c) 0.82 1.47 (0.69) --
9/30/2003 10.32 0.72(c) 2.34 3.06 (0.74) --
9/30/2002+ 10.38 0.76(c) (0.05) 0.71 (0.77) --
9/30/2001 11.52 0.88(c) (0.92) (0.04) (1.10) --
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(b) The adviser has agreed to reimburse a portion of the Fund's expenses and/or
waive its management fee during the period. Without this reimbursement the
Fund's ratio of operating expenses would have been higher.
(c) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(d) Amount rounds to less than $0.01 per share.
(e) Computed on an annualized basis for periods less than one year.
(f) For the six months ended March 31, 2006 (Unaudited).
+ As required October 1, 2001, the Fund has adopted the provisions of the AICPA
Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change per share to the
Institutional, Retail and Admin Classes per share net investment income and net
realized and unrealized gain (loss) was less than $0.01. The ratio of net
investment income to average net assets for the Institutional, Retail and Admin
Classes decreased from 7.77% to 7.76%, 7.53% to 7.51%, 7.24% to 7.22%,
respectively, on an annualized basis. Per share ratios and supplemental data
for periods prior to October 1, 2001, have not been restated to reflect this
change in presentation.
See accompanying notes to financial statements.
81
RATIOS TO AVERAGE NET ASSETS
- -------------- ----------------------------------------------------------
Net asset Net assets,
value, end of Net
Total Redemption end of Total the period Net Gross investment
distributions fees the period return (%)(a) (000) expenses (%)(b)(e) expenses (%)(e) income (loss) (%)/(e)/
- --------------------------------------------------------------------------------------------------------------------------
$(0.51) $0.00(d) $13.74 3.3 $3,796,283 0.75 0.75 5.21
(0.89) 0.00(d) 13.81 9.5 3,303,997 0.75 0.79 4.91
(0.74) 0.00/(d)/ 13.46 12.5 2,365,199 0.75 0.79 5.48
(0.79) -- 12.66 30.9 1,730,165 0.75 0.78 6.64
(0.82) -- 10.33 7.5 1,172,286 0.75 0.79 7.76
(1.17) -- 10.39 0.3 1,383,951 0.75 0.78 8.52
$(0.50) $0.00/(d)/ $13.71 3.2 $1,303,428 1.00 1.01 5.04
(0.87) 0.00/(d)/ 13.78 9.2 707,394 1.00 1.05 4.64
(0.72) 0.00/(d)/ 13.44 12.2 275,349 1.00 1.04 5.24
(0.77) -- 12.65 30.6 143,932 1.00 1.07 6.35
(0.80) -- 10.33 7.3 61,845 1.00 1.14 7.51
(1.13) -- 10.39 0.1 77,035 1.00 1.13 8.28
$(0.48) $0.00/(d)/ $13.68 3.1 $ 86,393 1.25 1.43 4.74
(0.83) 0.00/(d)/ 13.75 8.9 64,263 1.25 1.31 4.39
(0.69) 0.00/(d)/ 13.42 11.9 27,299 1.25 1.29 4.99
(0.74) -- 12.64 30.4 12,061 1.25 1.40 6.13
(0.77) -- 10.32 7.0 6,383 1.25 1.68 7.22
(1.10) -- 10.38 (0.3) 5,498 1.25 1.71 8.02
Portfolio
turnover
rate (%)
- ---------
8
22
42
35
22
20
8
22
42
35
22
20
8
22
42
35
22
20
See accompanying notes to financial statements.
82
FINANCIAL HIGHLIGHTS - CONTINUED
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income(a) investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2006(f) $13.88 $0.36 $ 0.06 $ 0.42 $(1.03) $ --
9/30/2005 13.93 0.75 0.58 1.33 (1.38) --
9/30/2004 13.24 0.82 0.79 1.61 (0.92) --
9/30/2003 10.95 0.84 2.40 3.24 (0.95) --
9/30/2002+ 11.23 0.87 (0.15) 0.72 (1.00) --
9/30/2001 11.95 0.96 (0.78) 0.18 (0.90) --
GLOBAL BOND FUND
INSTITUTIONAL CLASS
3/31/2006(f) $15.57 $0.23 $(0.25) $(0.02) $(0.70) $(0.08)
9/30/2005 15.59 0.44 0.05 0.49 (0.46) (0.05)
9/30/2004 14.93 0.48 0.78 1.26 (0.60) --
9/30/2003 12.68 0.62 2.25 2.87 (0.62) --
9/30/2002++ 11.08 0.68 0.92 1.60 -- --
9/30/2001 10.93 0.72 0.07 0.79 (0.60) (0.04)
RETAIL CLASS
3/31/2006(f) $15.43 $0.21 $(0.26) $(0.05) $(0.65) $(0.08)
9/30/2005 15.46 0.40 0.05 0.45 (0.43) (0.05)
9/30/2004 14.83 0.43 0.79 1.22 (0.59) --
9/30/2003 12.62 0.58 2.24 2.82 (0.61) --
9/30/2002++ 11.06 0.65 0.91 1.56 -- --
9/30/2001 10.91 0.69 0.07 0.76 (0.57) (0.04)
(a) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(b) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(c) The adviser has agreed to reimburse a portion of the Fund's expense during
the period. Without this reimbursement the Fund's ratio of expenses would have
been higher.
(d) Amount rounds to less than $0.01 per share.
(e) Computed on an annualized basis for periods less than one year.
(f) For the six months ended March 31, 2006 (Unaudited).
(h) Includes expense recapture of 0.00%. See Note 4.
+ As required effective October 1, 2001, the Fund has adopted the provisions of
the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities for financial statement purposes only.
For the year ended September 30, 2002, the effect of this change per share to
the Funds's net investment income and net realized and unrealized gain (loss)
was less than $0.01. The ratio of net investment income to average net assets
for the Fund remained unchanged. Per share ratios and supplemental data for
periods prior to October 1, 2001, have not been restated to reflect this change
in presentation.
++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Institutional and
Retail Classes was a decrease to net investment income by $0.01 and $0.01 per
share, respectively, and increase to net realized and unrealized gain (loss) on
investments by $0.01 and $0.01 per share, respectively and a decrease to the
ratio of net investment income to average net assets from 5.89% to 5.78% and
5.63% to 5.53%, respectively, on an annualized basis. Per share ratios and
supplemental data for periods prior to October 1, 2001, have not been restated
to reflect this change in presentation.
See accompanying notes to financial statements.
83
RATIOS TO AVERAGE NET ASSETS
- -------------- --------------------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total Redemption end of Total the period Net Gross investment turnover
distributions fees the period return (%)(b) (000) expenses (%)(c)(e) expenses (%)(e) income (loss) (%)(e) rate (%)
- -------------------------------------------------------------------------------------------------------------------------------
$(1.03) $ -- $13.27 3.2 $469,612 0.61 0.61(h) 5.39 9
(1.38) -- 13.88 9.9 444,552 0.65 0.65 5.47 34
(0.92) -- 13.93 12.6 358,652 0.65 0.66 6.17 35
(0.95) -- 13.24 31.5 412,521 0.65 0.67 7.03 33
(1.00) -- 10.95 6.7 372,141 0.65 0.70 7.87 21
(0.90) -- 11.23 1.6 420,091 0.65 0.68 8.39 24
$(0.78) $0.00(d) $14.77 (0.1) $569,694 0.75 0.75 3.06 38
(0.51) 0.00(d) 15.57 3.1 553,704 0.75 0.80 2.75 63
(0.60) 0.00(d) 15.59 8.6 287,830 0.80 0.85 3.15 61
(0.62) -- 14.93 23.4 83,325 0.90 0.94 4.50 107
-- -- 12.68 14.4 44,810 0.90 1.07 5.78 65
(0.64) -- 11.08 7.7 37,681 0.90 1.09 6.65 58
$(0.73) $0.00(d) $14.65 (0.3) $490,985 1.00 1.11 2.78 38
(0.48) 0.00(d) 15.43 2.8 699,498 1.00 1.09 2.57 63
(0.59) 0.00(d) 15.46 8.4 413,652 1.04 1.10 2.88 61
(0.61) -- 14.83 23.1 55,487 1.15 1.21 4.13 107
-- -- 12.62 14.1 12,103 1.15 1.47 5.53 65
(0.61) -- 11.06 7.4 10,375 1.15 1.47 6.42 58
See accompanying notes to financial statements.
84
FINANCIAL HIGHLIGHTS - CONTINUED
INCOME (LOSS) FROM INVESTMENT OPERATIONS LESS DISTRIBUTIONS
----------------------------------------- ----------------------------
Net asset
value, Net realized Dividends Distributions
beginning Net and unrealized Total from from from net
of investment gain (loss) on investment net investment realized
the period income investments operations income capital gains
- ------------------------------------------------------------------------------------------------------
INFLATION PROTECTED SECURITIES FUND
INSTITUTIONAL CLASS
3/31/2006(f) $10.84 $0.21(c) $(0.44) $(0.23) $(0.27) $(0.05)
9/30/2005 11.02 0.42(c) (0.08) 0.34 (0.52) --
9/30/2004 11.60 0.37(c) (0.12) 0.25 (0.54) (0.29)
9/30/2003 11.94 0.43(c) 0.05 0.48 (0.53) (0.29)
9/30/2002++++ 11.19 0.51(c) 0.83 1.34 (0.59) --
9/30/2001 10.62 0.62(c) 0.70 1.32 (0.75) --
INSTITUTIONAL HIGH INCOME FUND
INSTITUTIONAL CLASS
3/31/2006(f) $ 7.80 $0.26(c) $ 0.28 $ 0.54 $(0.53) $ --
9/30/2005 7.50 0.55(c) 0.39 0.94 (0.64) --
9/30/2004 6.91 0.55(c) 0.66 1.21 (0.62) --
9/30/2003 4.81 0.59(c) 1.69 2.28 (0.18) --
9/30/2002+ 6.50 0.68(c) (0.96) (0.28) (1.41) --
9/30/2001 8.33 0.91(c) (1.93) (1.02) (0.81) --
INTERMEDIATE DURATION FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2006(f) $ 9.60 $0.21(c) $(0.17) $ 0.04 $(0.23) $ --
9/30/2005 9.92 0.40(c) (0.25) 0.15 (0.45) (0.02)
9/30/2004 10.10 0.45(c) (0.10) 0.35 (0.53) --
9/30/2003 9.62 0.51(c) 0.49 1.00 (0.52) --
9/30/2002++ 10.13 0.60(c) (0.50) 0.10 (0.60) (0.01)
9/30/2001 9.55 0.64(c) 0.57 1.21 (0.63) --
INVESTMENT GRADE FIXED INCOME FUND
INSTITUTIONAL CLASS
3/31/2006(f) $13.28 $0.28(c) $(0.17) $ 0.11 $(0.58) $(0.55)
9/30/2005 13.54 0.57(c) 0.27 0.84 (0.83) (0.27)
9/30/2004 13.38 0.67(c) 0.75 1.42 (0.88) (0.38)
9/30/2003 11.56 0.77(c) 1.87 2.64 (0.78) (0.04)
9/30/2002+++ 11.16 0.77(c) 0.35 1.12 (0.66) (0.06)
9/30/2001 11.00 0.81(c) 0.15 0.96 (0.79) (0.01)
(a) Total returns would have been lower had the adviser not reduced its
advisory fees and/or borne other operating expenses.
(b) The adviser has agreed to reimburse a portion of the Fund's expense and/or
waive its management fee during the period. Without this reimbursement the
Fund's ratio of expenses would have been higher.
(c) Per share net investment income (loss) has been determined on the basis of
the weighted average number of shares outstanding during the period.
(d) Amount rounds to less than $0.01 per share.
(e) Computed on an annualized basis for periods less than one year.
(f) For the six months ended March 31, 2006 (Unaudited).
(g) Effective July 1, 2005, the Intermediate Duration Fixed Income Fund and the
Inflation Protected Securities Fund decreased their net expense limitations to
0.40% and 0.45%, respectively, from 0.45% and 0.50%, respectively.
(h) Includes expense recapture of 0.00%. See Note 4.
+ As required effective October 1, 2001, the Fund has adopted the provisions of
the AICPA Audit and Accounting Guide, Audits of Investment Companies, and began
amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Fund's net
investment income and net realized and unrealized gain (loss) was less than
$.01 per share. The ratio of net investment income to average net assets for
the Fund increased from 11.60% to 11.61% on an annualized basis. Per share
ratios and supplemental data for periods prior to October 1, 2001, have not
been restated to reflect this change in presentation.
++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change per share to the Fund was a
decrease to net investment income by $0.01 per share and an increase to net
realized and unrealized gain (loss) on investment by $0.01 per share. The ratio
of net investment income to average net assets for the Fund decreased from
6.23% to 6.13% on an annualized basis. Per share ratios and supplemental data
for periods prior to October 1, 2001, have not been restated to reflect this
change in presentation.
+++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of this change to the Fund's net
investment income and net realized and unrealized gain (loss) was less than
$0.01 per share. The ratio of net investment income to average net assets for
the Fund decreased from 6.77% to 6.76% on an annualized basis. Per share ratios
and supplemental data for periods prior to October 1, 2001, have not been
restated to reflect this change in presentation.
++++ As required effective October 1, 2001, the Fund has adopted the provisions
of the AICPA Audit and Accounting Guide, Audits of Investment Companies, and
began amortizing premium on debt securities and reclassifying paydown gains and
losses to interest income for financial statement purposes only. For the year
ended September 30, 2002, the effect of of this change to the Fund was a
decrease to net investment income by $0.06 per share and an increase to net
realized and unrealized gain (loss) on investment by $0.06 per share. The ratio
of net investment income to average net assets for the Fund decreased from
5.12% to 4.58% on an annualized basis. Per share ratios and supplemental data
for periods prior to October 1, 2001, have not been restated to reflect this
change in presentation.
See accompanying notes to financial statements.
85
RATIOS TO AVERAGE NET ASSETS
- -------------- -----------------------------------------------------------------
Net asset Net assets,
value, end of Net Portfolio
Total Redemption end of Total the period Net Gross investment turnover
distributions fees the period return (%)(a) (000) expenses (%)(b)(e) expenses (%)(e) income (loss) (%)(e) rate (%)
- -------------------------------------------------------------------------------------------------------------------------------
$(0.32) $ -- $10.29 (2.1) $ 9,310 0.40 1.52 3.96 27
(0.52) -- 10.84 3.1 9,298 0.49(g) 1.54 3.81 141
(0.83) -- 11.02 2.3 7,390 0.50 1.73 3.33 99
(0.82) -- 11.60 4.3 9,549 0.50 1.28 3.68 60
(0.59) -- 11.94 12.4 13,492 0.50 1.16 4.58 101
(0.75) -- 11.19 12.9 15,018 0.50 1.25 5.63 124
$(0.53) $ -- $ 7.81 7.4 $127,167 0.75 0.80 6.75 12
(0.64) -- 7.80 13.0 110,533 0.75 0.82 7.24 22
(0.62) -- 7.50 18.1 97,109 0.75 0.88 7.66 59
(0.18) 0.00(d) 6.91 48.7 86,141 0.75 0.91 10.01 53
(1.41) -- 4.81 (6.0) 57,055 0.75 1.10 11.61 32
(0.81) -- 6.50 (12.6) 31,972 0.75 1.03 12.64 43
$(0.23) $ -- $ 9.41 0.4 $ 41,307 0.40 0.59 4.48 25
(0.47) -- 9.60 1.5 40,628 0.44(g) 0.68 4.10 50
(0.53) -- 9.92 3.6 31,051 0.45 0.76 4.48 48
(0.52) -- 10.10 10.7 37,103 0.45 0.74 5.15 63
(0.61) -- 9.62 1.0 40,734 0.45 0.83 6.13 24
(0.63) -- 10.13 13.0 23,568 0.48 0.89 6.48 19
$(1.13) $ -- $12.26 0.8 $179,329 0.55 0.55/(h)/ 4.38 24
(1.10) -- 13.28 6.4 186,749 0.55 0.58 4.28 42
(1.26) -- 13.54 11.1 177,094 0.55 0.60 5.03 34
(0.82) -- 13.38 23.8 142,271 0.55 0.62 6.22 32
(0.72) -- 11.56 10.4 136,042 0.55 0.64 6.76 20
(0.80) -- 11.16 9.0 148,168 0.55 0.62 7.25 14
See accompanying notes to financial statements.
86
NOTES TO FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (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 investment
management 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 (individually, a "Fund" and collectively, the "Funds"). Shares
of certain Funds in the Trust were first registered under the Securities Act of
1933 (the "1933 Act") effective March 7, 1997 (subsequent to their commencement
of investment operations). Information presented in these financial statements
pertains to the fixed income funds of the Trust, the financial statements for
the equity funds are presented in a separate report. The following Funds are
included in this report:
Loomis Sayles Bond Fund (the "Bond Fund")
Loomis Sayles Fixed Income Fund (the "Fixed Income Fund")
Loomis Sayles Global Bond Fund (the "Global Bond Fund")
Loomis Sayles Inflation Protected Securities Fund (the "Inflation Protected
Securities Fund")
Loomis Sayles Institutional High Income Fund (the "Institutional High Income
Fund")
Loomis Sayles Intermediate Duration Fixed Income Fund (the "Intermediate
Duration Fixed Income Fund")
Loomis Sayles Investment Grade Fixed Income Fund (the "Investment Grade Fixed
Income Fund")
Each Fund offers Institutional Class Shares. Bond Fund and Global Bond Fund
also offer Retail Class Shares. In addition, Bond Fund offers Admin Class
Shares.
Most expenses of the Trust can be directly attributed to a Fund. Expenses which
can not be directly attributed to a Fund are generally apportioned based on the
relative net assets of each of the Funds in the Trust. Expenses of a Fund are
borne pro rata by the holders of each Class of shares, except that each Class
bears expenses unique to that Class (including the Rule 12b-1 service and
distribution fees and transfer agent fees applicable to such Class). 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 dividends
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 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.
A. SECURITY VALUATION. Debt securities for which market quotations are readily
available (other than short-term obligations with a remaining maturity of less
than sixty days) are generally valued at market price, as reported by pricing
services recommended by the investment adviser's pricing committee and approved
by the Board of Trustees. Such pricing services generally use the most recent
bid prices in the principal market in which such securities are normally
traded. Broker-dealer bid quotations may also be used to value debt and equity
securities where a pricing service does not price a security or where a pricing
service does not provide a reliable price for the security. Equity securities
for which market quotations are readily available are valued at market value,
as reported by pricing services recommended by the investment adviser's pricing
committee and approved by the Board of Trustees. Such pricing services
generally use the security's last sale price on the exchange or market where
primarily traded or, if there is no reported sale during the day, the closing
bid price. Securities traded on the NASDAQ National Market are valued at the
NASDAQ Official Closing Price ("NOCP"), or if lacking a NOCP, at the most
recent bid quotation on the NASDAQ National Market. Short-term obligations with
a remaining maturity of 60 days or less are valued at amortized cost, which
approximates market value. Securities for which market quotations are not
readily available (including restricted securities, if any) are valued at fair
value as determined in good faith by the Fund's investment adviser using
consistently applied procedures under the general supervision of the Board of
Trustees. Investments in other investment companies are valued at the net
assets values each day.
The Funds may hold securities traded in foreign markets. Foreign securities are
valued at the market price in the foreign market. However, if events occurring
after the close of the foreign market (but before the close of regular trading
on the New York Stock Exchange) are believed to materially affect the value of
those securities, such securities are fair valued pursuant to procedures
approved by the Board of Trustees. When fair valuing equity securities, a Fund
may, among other things, use modeling tools or other processes that may take
into account factors such as securities market activity and/or significant
events that occur after the close of the foreign market and before the Fund
calculates its net asset value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME. Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon thereafter as the
Fund is notified, and interest income is recorded on an accrual basis. Interest
income is increased by the accretion of discount and decreased by the
amortization of premium. Investment income is recorded net of foreign taxes
withheld when applicable. In determining net gain or loss on
87
securities sold, the cost of securities has been determined on an identified
cost basis. Investment income 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 net assets of the Fund.
C. FOREIGN CURRENCY TRANSLATION. The books and records of the Funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars are
translated into U.S. dollars based upon foreign exchange rates prevailing at
the end of the period. Purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange
rates prevailing at the end of the period, it is not practical to isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities. Such changes are included with the net realized and unrealized gain
or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign
currency, currency gains or losses realized between the trade and settlement
dates on securities transactions and the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the Funds' books
and the U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, at the end of the fiscal period, resulting from changes
in exchange rates.
Certain Funds 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.
Each Fund may purchase investments of foreign issuers. Investing in securities
of foreign issuers involves special risks and considerations not typically
associated with investing in U.S. companies and securities of the U.S.
government. These risks include revaluation of currencies and the risk of
appropriation. Moreover, the markets for securities of many foreign issuers may
be less liquid and the prices of such securities may be more volatile than
those of comparable U.S. companies and the U.S. government.
D. FORWARD FOREIGN CURRENCY CONTRACTS. Each Fund that may invest in foreign
investments may enter into forward foreign currency exchange contracts.
Contracts to buy generally are used to acquire exposure to foreign currencies,
while contracts to sell are used to hedge a Fund's investments against currency
fluctuation. Also, a contract to buy or sell may offset a previous contract.
These contracts involve market risk in excess of the unrealized gain or loss
reflected in the Fund's Statement of Assets and Liabilities. The U.S. dollar
value of the currencies the Fund has committed to buy or sell represents the
aggregate exposure to each currency the Fund has acquired or hedged through
currency contracts outstanding at period end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. 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. At March 31, 2006, the Global Bond Fund had the following open
forward foreign currency exchange contracts:
LOCAL AGGREGATE UNREALIZED
DELIVERY CURRENCY FACE TOTAL APPRECIATION
DATE AMOUNT AMOUNT VALUE (DEPRECIATION)
- ---------------------------------------------------------------------------------------
Australian Dollar (sell) 05/15/2006 40,475,000 $29,868,748 $28,945,248 $ 923,500
Australian Dollar (sell) 05/24/2006 4,020,000 2,955,424 2,874,482 80,942
Mexican Peso (buy) 04/26/2006 62,700,000 5,872,252 5,741,842 (130,410)
Mexican Peso (sell) 04/26/2006 62,700,000 5,923,196 5,741,842 181,354
New Zealand Dollar (sell) 05/15/2006 8,135,000 5,485,267 4,987,669 497,598
E. 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 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.
Accordingly, no provision for federal income tax has made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities. Such
taxes are accrued as applicable.
88
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions are
recorded on ex-dividend date. The timing and characterization of certain income
and capital gains distributions are determined in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. Permanent differences are primarily due to
differing treatments for book and tax purposes of items such as redemptions
in-kind, foreign currency transactions, defaulted bond interest, premium
amortization accruals, distributions from real estate investment trusts and
reclassification of paydown gains and losses. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to capital accounts. Temporary differences between book and
tax distributable earnings are primarily due to deferred trustees' fees,
premium amortization accruals, corporate action adjustments, mark-to-market on
forward currency contracts and wash sales. Distributions from net investment
income and short-term capital gains are considered to be ordinary income for
tax purposes.
Tax characterization of distributions is determined on an annual basis. The tax
character of distributions paid to shareholders during the year ended
September 30, 2005 was as follows:
2005 DISTRIBUTIONS PAID FROM:
- - ---------------------------------------
ORDINARY LONG-TERM
INCOME CAPITAL GAINS TOTAL
- - ------------ ------------- ------------
Bond Fund $216,485,259 $ -- $216,485,259
Fixed Income Fund 34,745,920 -- 34,745,920
Global Bond Fund 25,353,794 2,052,098 27,405,892
Inflation Protected Securities Fund 434,112 -- 434,112
Institutional High Income Fund 8,125,448 -- 8,125,448
Intermediate Duration Fixed Income Fund 1,688,139 64,438 1,752,577
Investment Grade Fixed Income Fund 11,463,633 3,486,246 14,949,879
As of September 30, 2005, capital loss carryforwards and post-October losses
were as follows:
FIXED INCOME GLOBAL INFLATION PROTECTED
BOND FUND FUND BOND FUND SECURITIES FUND
- - ------------ ------------ --------- -------------------
Capital loss carryforward:
Expires September 30, 2010 $ -- $ -- $ -- $ --
Expires September 30, 2011 (73,376,816) (9,158,202) -- --
Expires September 30, 2012 -- -- -- --
Expires September 30, 2013 -- -- -- --
------------ ------------ --------- -------------------
Total capital loss carryforward (73,376,816) (9,158,202) -- --
------------ ------------ --------- -------------------
Deferred net capital losses (post October 2004) -- -- -- (10,158)
------------ ------------ --------- -------------------
INSTITUTIONAL HIGH INTERMEDIATE DURATION INVESTMENT GRADE
INCOME FUND FIXED INCOME FUND FIXED INCOME FUND
- - ------------------ --------------------- -----------------
Capital loss carryforward:
Expires September 30, 2010 $(1,230,714) $ -- $ --
Expires September 30, 2011 (6,736,705) -- --
Expires September 30, 2012 -- -- --
Expires September 30, 2013 -- (3,797) --
------------------ --------------------- -----------------
Total capital loss carryforward (7,967,419) (3,797) --
------------------ --------------------- -----------------
Deferred net capital losses (post October 2004) -- (121,443) --
------------------ --------------------- -----------------
G. REPURCHASE AGREEMENTS. Each Fund, through its custodian, receives delivery
of the underlying securities collateralizing repurchase agreements. It is each
Fund's policy that the market value of the collateral be at least equal to 102%
of the repurchase price, including interest. The repurchase agreements are
tri-party arrangements whereby the collateral is held at the custodian bank 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.
H. DELAYED DELIVERY COMMITMENTS. Each Fund may purchase or sell securities on a
when issued or forward commitment basis. Payment and delivery may take place a
month or more after the date of the transaction. The price of the underlying
securities and the date when the securities will be delivered and paid for are
fixed at the time the transaction is negotiated. Losses may arise due to
changes in the market value of the underlying securities or if the counterparty
does not perform under the contract. Collateral consisting of liquid securities
or cash and cash equivalents is maintained in an amount at least equal to these
commitments with the custodian.
89
I. SECURITIES LENDING. The Funds have entered into an agreement with State
Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to
lend securities to certain designated borrowers. The loans are collateralized
with cash or securities in an amount equal to at least 105% or 102% of the
market value of the loaned international or domestic securities, respectively,
when the loan is initiated. Thereafter, the value of the collateral must remain
at not less than 102% of the market value of the loaned securities for U.S.
equities and U.S. corporate debt; not less than 105% of the market value of the
loaned securities for non-U.S. equities and not less than 100% of the market
value of the loaned securities for the U.S. government and agency securities,
sovereign debt issuers by non-U.S. governments and non-U.S. corporate debt. In
the event that the market value of the collateral falls below the required
percentages described above, the borrower will deliver additional collateral on
the next business day. As with other extensions of credit, the Funds may bear
the risk of loss with respect to the investment of the collateral. The Funds
invest cash collateral in short-term investments, a portion of the income from
which is remitted to the borrowers and the remainder allocated between the
Funds and State Street Bank as lending agent. The market value of securities on
loan to borrowers and the value of collateral held by the Funds with respect to
such loans at March 31, 2006, were as follows:
FUND MARKET VALUE COLLATERAL
---- ------------ ------------
Bond Fund $961,906,386 $981,993,796
Fixed Income Fund 95,194,372 97,146,936
Global Bond Fund 25,560,370 26,113,019
Inflation Protected Securities Fund 2,354,545 2,403,546
Institutional High Income Fund 13,197,327 13,526,688
Intermediate Duration Fixed Income Fund 1,822,391 1,863,856
Investment Grade Fixed Income Fund 19,006,197 19,390,817
J. INDEMNIFICATIONS. Under the Funds' organizational documents, their officers
and Trustees are indemnified against certain liability 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 Funds that have not yet occurred. However, based on experience, the
Funds expect the risk of loss to be remote.
3. PURCHASES AND SALES OF SECURITIES. For the six months ended March 31, 2006,
purchases and sales of securities (excluding short-term investments) were as
follows:
U.S. GOVERNMENT/AGENCIES OTHER SECURITIES
------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
- ---- ------------ ------------ -------------- ------------
Bond Fund $111,073,520 $246,195,676 $1,459,254,826 $ 90,384,117
Fixed Income Fund -- 158,645 79,055,143 38,895,195
Global Bond Fund 82,829,284 132,269,321 302,449,745 427,009,927
Inflation Protected Securities Fund 2,197,829 2,069,954 549,924 366,315
Institutional High Income Fund 1,294,314 -- 25,829,184 13,939,792
Intermediate Duration Fixed Income Fund 8,100,809 5,882,226 3,694,338 3,906,988
Investment Grade Fixed Income Fund 6,235,596 42,398,509 36,520,844 7,452,708
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES. Loomis, Sayles & Company, L.P. ("Loomis Sayles") serves as
investment adviser to each Fund. Separate management agreements for each Fund
in effect for the six months ended March 31, 2006, provided for fees at the
following annual percentage rates of each Fund's average daily net assets:
PERCENTAGE OF AVERAGE DAILY NET ASSETS
--------------------------------------
FIRST NEXT OVER
FUND $1 BILLION $2 BILLION $3 BILLION
- ---- ---------- ---------- ----------
Bond Fund 0.60% 0.60% 0.50%
Fixed Income Fund 0.50% 0.50% 0.50%
Global Bond Fund 0.60% 0.50% 0.50%
Inflation Protected Securities Fund 0.25% 0.25% 0.25%
Institutional High Income Fund 0.60% 0.60% 0.60%
Intermediate Duration Fixed Income Fund 0.25% 0.25% 0.25%
Investment Grade Fixed Income Fund 0.40% 0.40% 0.40%
90
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
Loomis Sayles has contractually agreed, until January 31, 2007, to reduce its
management fees and/or bear other expenses, to the extent necessary to limit
the total operating expenses of each Fund, to the following annual percentage
rate of the Fund's average daily net assets:
EXPENSE LIMIT AS A PERCENTAGE OF
AVERAGE DAILY NET ASSETS
--------------------------------
INSTITUTIONAL RETAIL ADMIN
FUND CLASS CLASS CLASS
- ---- ------------- ------ -----
Bond Fund 0.75% 1.00% 1.25%
Fixed Income Fund 0.65% -- --
Global Bond Fund 0.75% 1.00% --
Inflation Protected Securities Fund 0.40% -- --
Institutional High Income Fund 0.75% -- --
Intermediate Duration Fixed Income Fund 0.40% -- --
Investment Grade Fixed Income Fund 0.55% -- --
For the six months ended March 31, 2006, the management fees and waivers of
management fees for each Fund were as follows:
PERCENTAGE OF
GROSS WAIVER OF NET AVERAGE DAILY NET ASSETS
MANAGEMENT MANAGEMENT MANAGEMENT ------------------------
FUND FEE FEE FEE GROSS NET
- ---- ----------- ---------- ----------- ----- -----
Bond Fund $12,643,462 $ -- $12,643,462 0.57% 0.57%
Fixed Income Fund 1,119,240 -- 1,119,240 0.50% 0.50%
Global Bond Fund 3,146,284 -- 3,146,284 0.59% 0.59%
Inflation Protected Securities 11,625 11,625 -- 0.25% 0.00%
Institutional High Income Fund 345,641 29,494 316,147 0.60% 0.55%
Intermediate Duration Fixed Income Fund 51,631 39,993 11,638 0.25% 0.06%
Investment Grade Fixed Income Fund 368,922 -- 368,922 0.40% 0.40%
For the six months ended March 31, 2006, in addition to the waiver of
management fees, other expenses of $40,276 have been reimbursed to the
Inflation Protected Securities Fund.
Loomis Sayles has given binding undertakings to certain Funds to defer its
management fees and, if necessary, bear certain expenses associated with these
Funds to limit their operating expenses. These undertakings are in effect until
the dates indicated above and will be reevaluated on an annual basis.
Loomis Sayles shall be permitted to recover expenses it has borne (whether
through reduction of its management fees or otherwise) in later periods to the
extend the Funds' expenses fall below the expense limits, provided, however,
that the Funds are not obligated to pay such deferred fees more than one year
after the end of the fiscal year in which the fee was deferred.
At March 31, 2006, the amounts subject to possible reimbursement under the
expense limitation agreement were as follows:
EXPENSES SUBJECT EXPENSE SUBJECT
TO POSSIBLE TO POSSIBLE
REIMBURSEMENT REIMBURSEMENT
FUND UNTIL SEPTEMBER 30, 2006 UNTIL SEPTEMBER 30, 2007
- ---- ------------------------ ------------------------
Bond Fund $1,367,265 $130,143
Fixed Income Fund -- --
Global Bond Fund 755,546 299,989
Inflation Protected Securities Fund 95,982 51,901
Institutional High Income Fund 74,176 29,494
Intermediate Duration Fixed Income Fund 90,431 39,993
Investment Grade Fixed Income Fund 47,078 --
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trust. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management US Group, L.P. ("IXIS US Group") (formerly IXIS Asset Management
North America, L.P.), which is part of IXIS Asset Management Group, an
international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly by
three large affiliated French financial
91
services entities: the Caisse Nationale des Caisses d'Epargne, a financial
institution owned by CDC (as defined below) and by French regional savings
banks known as the Caisses d'Epargne; the Caisse des Depots et Consignations
("CDC"), a public sector financial institution created by the French government
in 1816; and CNP Assurances, a large French life insurance company.
B. ADMINISTRATIVE EXPENSE. IXIS Asset Management Advisors, L.P. ("IXIS
Advisors") performs certain administrative services to the Funds and has
subcontracted with State Street Bank to serve as sub-administrator. Pursuant to
an agreement among the Loomis Sayles Funds Trusts (the Trust and Loomis Sayles
Funds II), IXIS Advisor Funds Trust I, IXIS Advisor Funds Trust II, IXIS
Advisor Funds Trust III, IXIS Advisor Funds Trust IV and IXIS Cash Management
Trust ("IXIS Advisor Funds Trusts") (collectively, the "Trusts"), and IXIS
Advisors, each Fund paid IXIS Advisors its pro rata portion of a group fee for
these services representing the higher amount based on the following
calculations:
(1)Percentage of Average Daily Net Assets
FIRST NEXT OVER
$5 BILLION $5 BILLION $10 BILLION
---------- ---------- -----------
0.0675% 0.0625% 0.0500%
or
(2)Each Fund's pro rata portion, allocated based on the combined
assets of the Loomis Sayles Funds Trusts and the IXIS Advisor
Funds Trusts, of the annual aggregate minimum fee of $5 million.
For the six months ended March 31, 2006, fees paid to IXIS Advisors for
administrative fees were as follows:
ADMINISTRATIVE
FUND FEES
- ---- --------------
Bond Fund $1,377,242
Fixed Income Fund 114,040
Global Bond Fund 289,221
Inflation Protected Securities Fund 2,119
Institutional High Income Fund 33,398
Intermediate Duration Fixed Income Fund 10,165
Investment Grade Fixed Income Fund 44,576
C. SERVICE AND DISTRIBUTION FEES. The Trust has entered into a distribution
agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"),
a wholly owned subsidiary of IXIS US Group. Pursuant to this agreement, IXIS
Distributors serves as principal underwriter of the various Funds of the Trust.
Pursuant to Rule 12b-1 under the 1940 Act, Bond Fund and Global Bond Fund have
adopted Distribution Plans relating to each Fund's Retail Class shares (the
"Retail Class Plan") and Bond Fund has adopted a separate Distribution Plan
relating to its Admin Class shares (the "Admin Class Plan").
Under the respective Retail Class and Admin Class Plans, each Fund pays IXIS
Distributors 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 and
Admin Class Shares, as reimbursement for expenses incurred by IXIS Distributors
in providing personal services to investors in Retail Class and Admin Class
Shares and/or maintenance of shareholder accounts. In addition, the Admin Class
shares of the Bond Fund may pay a shareholder service fee at an annual rate not
to exceed 0.25% of the average daily net assets attributable to Admin Class
shares to securities dealers or financial intermediaries for providing personal
service and account maintenance for their customers who hold such shares.
D. TRUSTEES FEES AND EXPENSES. The Funds do not pay any compensation directly
to its officers or Trustees who are directors, officers or employees of IXIS
Advisors, IXIS Distributors, IXIS US Group, Loomis Sayles or their affiliates.
The Chairperson of the Board receives a retainer fee at the annual rate of
$200,000. The Chairperson does not receive any meeting attendance fees for
Board of Trustees meetings or committee meetings that she attends. Each
independent Trustee (other than the Chairperson) receives, in the aggregate, a
retainer fee at the annual rate of $55,000. Each independent Trustee also
receives a meeting attendance fee of $6,000 for each meeting of the Board of
Trustees that he or she attends in person and $3,000 for each meeting of the
Board of Trustees that he or she attends telephonically. In addition, each
committee chairman receives an additional retainer fee at the annual rate of
$10,000. Each committee member receives $4,000 or $5,000 for each contract and
governance or audit committee meeting, respectively, that he or she attends in
person and $2,000 or $2,500 for each contract and governance or audit committee
92
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
meeting, respectively, that he or she attends telephonically. These fees are
allocated among the funds in the Trusts based on a formula that takes into
account, among other factors, the relative net assets of each fund. Trustees
are reimbursed for travel expenses in connection with attendance at meetings.
Prior to November 18, 2005, the Trusts had co-chairmen of the Board. Prior to
October 1, 2005, each independent Trustee received, in the aggregate, a
retainer fee at the annual rate of $50,000 and meeting attendance fees of
$5,000 for each meeting of the Board of Trustees that he or she attended. The
co-chairmen of the Board each received an additional annual retainer of
$25,000. Each committee chairman received an additional retainer fee at the
annual rate of $7,000. Each committee member received $3,750 for each committee
meeting that he or she attended. In addition, during the period October 1, 2005
to November 18, 2005, each co-chairman received an additional one-time payment
of $25,000 as compensation for their services as chairman.
Prior to January 1, 2006, each committee member was compensated $4,000 for each
Audit Committee meeting that he or she attended in person and $2,000 for such
meeting he or she attends telephonically.
A deferred compensation plan (the "Plan") is available to the Trustees on a
voluntary basis. Each participating Trustee will receive an amount equal to the
value that such deferred compensation would have been had it been invested in a
designated fund or certain other funds of the Trusts on the normal payment
date. Deferred amounts remain in the fund until distributed in accordance with
the Plan.
Additionally, the Board of Trustees has approved the use of the Funds' assets
to pay their portion of the annual salary for 2005 of an employee at IXIS
Advisors who supports the Funds' Chief Compliance Officer. For the period from
October 1st through December 31, 2005, each Fund's portion of such expense was
approximately $575.
E. REDEMPTION FEES. Shareholders of the Bond Fund and Global Bond Fund will be
charged a 2% redemption fee if they redeem, including redeeming by exchange,
any class of shares of these Funds within 60 days of their acquisition
(including acquisition by exchange). The redemption fee is intended to offset
the costs to the Funds of short-term trading, such as portfolio transaction and
market impact costs associated with redemption activity and administrative
costs associated with processing redemptions. The redemption fee is deducted
from the shareholder's redemption or exchange proceeds and is paid to the Fund.
The "first-in, first-out" (FIFO) method is used to determine the holding period
of redeemed or exchanged shares, which means that if shares were acquired on
different days, the shares acquired first will be redeemed or exchanged first
for purposes of determining whether the redemption fee applies. A new holding
period begins with each purchase or exchange. These fees are accounted for as
an addition to paid-in capital and are presented on the Statements of Changes
in Net Assets.
5. LINE OF CREDIT. Bond Fund, Global Bond Fund and Inflation Protected
Securities Fund, together with certain other Funds of the Loomis Sayles Funds
Trusts and IXIS Advisor Funds Trusts, participate in a $75 million committed
line of credit provided by State Street Bank. Advances under the line are taken
primarily for emergency purposes. Interest is charged to a Fund based on its
borrowings at a rate per annum equal to the Federal Funds rate plus 0.50%. In
addition, a Fund is charged its pro rata portion of a facility fee equal to
0.09% per annum on the unused portion of the line of credit. For the six months
ended March 31, 2006, the Funds had no borrowings under the agreement.
6. SHAREHOLDERS. At March 31, 2006, the Loomis Sayles Funded Pension Plan and
Trust ("Pension Plan") and the Loomis Sayles Employees' Profit Sharing
Retirement Plan held shares of beneficial interest in the Funds as follows:
PROFIT SHARING
FUND PENSION PLAN RETIREMENT PLAN
- ---- ------------ ---------------
Bond Fund $1,013,158 $1,279,452
Global Bond Fund 682,121 368,937
Inflation Protected Securities Fund -- 235,998
Institutional High Income Fund 308,633 641,092
Intermediate Duration Fixed Income Fund -- 59,165
At March 31, 2006, Loomis Sayles owned 117,533 shares, equating to 12.98% of
Inflation Protected Securities Fund shares outstanding. In addition, two
individuals affiliated with Institutional High Income Fund held approximately
15.96% of the Fund's total outstanding shares.
At March 31, 2006, two shareholders individually owned more than 5% of the
Loomis Sayles Fixed Income Fund's total outstanding shares, representing, in
aggregate, 11.8% of the Fund; five shareholders individually owned more than 5%
of the
93
Loomis Institutional High Income Fund's total outstanding shares, representing,
in aggregate, 39.1% of the Fund; four shareholders individually owned more than
5% of the Loomis Sayles Intermediate Duration Fixed Income Fund's total
outstanding shares, representing, in aggregate, 58.1% of the Fund; one
shareholder owned 5.6% of the Loomis Sayles Investment Grade Fixed Income
Fund's total outstanding shares; and two shareholders individually owned more
than 5% of the Loomis Sayles Inflation Protected Securities Fund's total
outstanding shares, representing, in aggregate, 20.4% of the Fund.
7. 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 Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ---------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- --------------
Issued from the sale of shares 51,746,315 $ 713,468,192 91,412,221 $1,257,934,435
Issued in connection with the
reinvestment of distributions 8,019,398 108,937,907 11,561,959 158,018,772
Redeemed (22,747,288) (312,698,912) (39,402,964) (541,014,444)
----------- --------------- ----------- --------------
Net change 37,018,425 $ 509,707,187 63,571,216 $ 874,938,763
----------- --------------- ----------- --------------
Shares Amount Shares Amount
RETAIL CLASS ----------- ------------- ----------- --------------
Issued from the sale of shares 49,068,915 $ 674,979,801 35,692,125 $ 490,508,671
Issued in connection with the
reinvestment of distributions 2,319,539 31,479,355 1,745,321 23,833,032
Redeemed (7,647,503) (104,936,809) (6,581,827) (90,157,251)
----------- --------------- ----------- --------------
Net change 43,740,951 $ 601,522,347 30,855,619 $ 424,184,452
----------- --------------- ----------- --------------
Shares Amount Shares Amount
ADMIN CLASS ----------- ------------- ----------- --------------
Issued from the sale of shares 1,944,400 $ 26,633,576 3,478,648 $ 47,747,890
Issued in connection with the
reinvestment of distributions 158,058 2,138,018 152,572 2,079,871
Redeemed (460,643) (6,318,044) (993,193) (13,593,996)
----------- --------------- ----------- --------------
Net change 1,641,815 $ 22,453,550 2,638,027 $ 36,233,765
----------- --------------- ----------- --------------
FIXED INCOME FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ---------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- --------------
Issued from the sale of shares 1,135,787 $ 15,103,417 4,870,508 $ 65,628,272
Issued in connection with the
reinvestment of distributions 2,493,635 32,243,962 2,602,690 34,745,909
Issued from subscriptions-in-kind* -- -- 2,073,596 28,905,923
Redeemed (273,295) (3,623,308) (3,270,866) (45,004,375)
----------- --------------- ----------- --------------
Net change 3,356,127 $ 43,724,071 6,275,928 $ 84,275,729
----------- --------------- ----------- --------------
*Issued in exchange for portfolio securities contributed to the Fund in-kind by such
shareholders on September 1, 2005. Contribution includes $28,641,780 of securities and
$264,143 in receivables.
94
NOTES TO FINANCIAL STATEMENTS - CONTINUED
MARCH 31, 2006 (UNAUDITED)
GLOBAL BOND FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 9,419,000 $ 140,430,434 19,500,004 $ 310,767,699
Issued in connection with the
reinvestment of distributions 1,389,221 20,449,336 627,540 10,021,422
Issued from subscriptions-in-kind* -- -- 1,155,839 18,435,637
Redeemed (7,788,203) (117,758,995) (4,185,435) (65,939,216)
----------- --------------- ------------ --------------
Net change 3,020,018 $ 43,120,775 17,097,948 $ 273,285,542
----------- --------------- ------------ --------------
Shares Amount Shares Amount
RETAIL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 7,843,437 $ 116,537,871 28,840,330 $ 455,133,214
Issued in connection with the
reinvestment of distributions 1,598,057 23,363,589 907,874 14,388,945
Redeemed (21,274,899) (319,522,022) (11,155,213) (174,760,978)
----------- --------------- ------------ --------------
Net change (11,833,405) $(179,620,562) 18,592,991 $ 294,761,181
----------- --------------- ------------ --------------
*Issued in exchange for portfolio securities contributed to the Fund in-kind by such
shareholders on September 1, 2005. Contribution includes $18,222,555 of securities and
$213,082 in receivables.
INFLATION PROTECTED SECURITIES FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 117,855 $ 1,252,529 459,666 $ 5,048,080
Issued in connection with the
reinvestment of distributions 25,207 263,755 36,320 397,083
Redeemed (95,525) (1,018,711) (309,076) (3,406,928)
----------- --------------- ------------ --------------
Net change 47,537 $ 497,573 186,910 $ 2,038,235
----------- --------------- ------------ --------------
INSTITUTIONAL HIGH INCOME FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 1,664,438 $ 12,791,917 3,042,553 $ 23,344,866
Issued in connection with
the reinvestment of distributions 829,984 6,050,584 790,982 5,853,273
Redeemed (375,661) (2,952,477) (2,604,281) (19,743,592)
----------- --------------- ------------ --------------
Net change 2,118,761 $ 15,890,024 1,229,254 $ 9,454,547
----------- --------------- ------------ --------------
INTERMEDIATE DURATION FIXED INCOME FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ----------- ------------- ----------- -------------
Issued from the sale of shares 215,163 $ 2,051,359 1,175,599 $ 11,509,900
Issued in connection with
the reinvestment of distributions 73,085 694,785 128,411 1,250,698
Redeemed (129,650) (1,235,985) (202,398) (1,979,131)
----------- --------------- ------------ --------------
Net change 158,598 $ 1,510,159 1,101,612 $ 10,781,467
----------- --------------- ------------ --------------
95
INVESTMENT GRADE FIXED INCOME FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------ ----------------------------
Shares Amount Shares Amount
INSTITUTIONAL CLASS ---------- ------------ ---------- ------------
Issued from the sale of shares 1,485,074 $ 18,651,743 1,765,601 $ 23,512,683
Issued in connection with
the reinvestment of distributions 1,206,128 14,904,933 978,295 13,091,992
Redeemed (2,120,619) (26,386,567) (1,762,704) (23,270,344)
---------- --------------- ------------ --------------
Net change 570,583 $ 7,170,109 981,192 $ 13,334,331
---------- --------------- ------------ --------------
96
[LOGO] LS LOOMIS SAYLES FUNDS
Loomis Sayles High Income Opportunities Fund
Loomis Sayles Securitized Asset Fund
TABLE OF CONTENTS
Fund and Manager Review 1
Portfolio of Investments 5
Statements of Assets and Liabilities 15
Statements of Operations 16
Statements of Changes in Net Assets 17
Financial Highlights 19
Notes to Financial Statements 21
SEMIANNUAL REPORT
MARCH 31, 2006 (Unaudited)
FUND AND MANAGER REVIEW
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND
[PHOTO]
MATTHEW EAGAN
Manager Since April 2004
[PHOTO]
Kathleen Gaffney
KATHLEEN GAFFNEY
Manager Since April 2004
[PHOTO]
Daniel Fuss
DAN FUSS
Manager Since April 2004
[PHOTO]
ELAINE STOKES
Manager Since April 2004
KEY FUND FACTS
SYMBOL | LSIOX
OBJECTIVE | High current income. Capital appreciation is the Fund's secondary
objective.
STRATEGY | Invests substantially all of its assets, and may invest up to 100%
of its assets, in high income securities. High income securities are
fixed-income securities that Loomis Sayles believes have the potential to
generate relatively high levels of current income.
FUND INCEPTION DATE | 4/01/04
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 4/13/04
EXPENSE RATIO | 0.00%*
TOTAL NET ASSETS | $29.1 million
*All fees are paid by investors indirectly through separately negotiated
advisory relationships with the Fund's Advisor or through "wrap fee" programs
sponsored by broker dealers and investment advisers that may be affiliated or
unaffiliated with the Fund, Loomis Sayles or IXIS Asset Management Advisors,
L.P.
PORTFOLIO REVIEW
The Fund underperformed its Benchmark, the Lehman High Yield Index, for the six
months ended March 31, 2006, primarily because the securities in the Fund's
portfolio were higher average quality relative to the Benchmark. Because we
strive to maintain an overall credit quality of "BB," the Fund tends to invest
in more securities at the higher quality end of the high yield sector than the
Benchmark. In addition, we also may invest in investment grade credit. In
general, lower-quality securities outperformed during the period as investors
searched for yield in a low-return environment. Investment grade corporate
spreads changed little during the period, and demand for the sector has been
softening despite healthy corporate profits and an upbeat economy.
On the positive side, the Fund's out-of-Benchmark allocations to emerging
market debt and convertible bonds made the greatest contributions to relative
performance during the period. Emerging market debt continued to see strong
inflows, reflecting the sector's improving credit quality characteristics and
attractive yields. Brisk demand for emerging market securities caused spreads
to tighten to near-record levels. Strong issue selection within the technology
and wire-line industries boosted performance within the convertibles sector.
Strong issue selection within the media/cable industry boosted performance,
while holdings in sovereign bonds benefited from strong demand for emerging
market securities. From an individual-security perspective, the Fund's position
in US-dollar-denominated Federal Republic of Brazil bonds had the most positive
impact on relative performance.
The Fund's allocation to the auto industry detracted from relative performance
during the period due to bankruptcies and other negative news. Among individual
holdings, the Fund's position in Calpine, a utility company that filed for
bankruptcy during the period, had the most negative impact on performance and
it was sold.
OUTLOOK
The current environment of solid profit growth, low defaults and favorable
lending terms provides a favorable backdrop for the credit sectors. After a
strong first quarter, US economic growth may slow in the second quarter, but we
anticipate a healthy growth rate for the balance of 2006.
From a strategic perspective, the high yield sector appears fairly valued, as
economic conditions remain favorable and spreads stay within our expected
range. However, from a shorter-term, tactical point of view, the market looks
rich and vulnerable to spreads snapping back to the middle or wider end of the
range. Therefore, although we see select, attractive opportunities within the
high yield market, our overall assessment is one of caution. We believe
investors may benefit from "playing the range," lightening up on high yield
while spreads are tight and
1
moving back in if spreads widen. Down the road, if the economy starts to slow
dramatically or the default rate begins to rise, we would consider
significantly reducing exposure to high yield.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MARCH 31, 2006
SINCE
6 MONTHS* 1 YEAR INCEPTION(a)
----------------------------------------
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES
FUND
3.53% 8.05% 9.71%
----------------------------------------
LEHMAN HIGH YIELD INDEX(b)
3.58 7.43 7.13
----------------------------------------
LIPPER HIGH CURRENT YIELD FUNDS INDEX(b)
3.58 7.14 7.01
----------------------------------------
* Not annualized
CUMULATIVE PERFORMANCE
INCEPTION TO MARCH 31, 2006
[CHART]
Loomis Sayles Lipper High
High Income Lehman High Current Yield
Opportunities Fund Yield Index/(a)//(b)/ Funds Index/(a)//(b)/
------------------ --------------------- ---------------------
4/12/2004 $10,000 $10,000 $10,000
4/30/2004 9,850 9,932 9,977
5/31/2004 9,681 9,764 9,823
6/30/2004 9,901 9,904 9,961
7/31/2004 10,071 10,038 10,040
8/31/2004 10,389 10,235 10,204
9/30/2004 10,590 10,384 10,345
10/31/2004 10,852 10,572 10,529
11/30/2004 10,992 10,699 10,679
12/31/2004 11,273 10,858 10,840
1/31/2005 11,305 10,844 10,813
2/28/2005 11,580 11,004 10,979
3/31/2005 11,107 10,684 10,687
4/30/2005 10,942 10,580 10,562
5/31/2005 11,206 10,768 10,732
6/30/2005 11,461 10,979 10,904
7/31/2005 11,640 11,171 11,074
8/31/2005 11,685 11,192 11,126
9/30/2005 11,591 11,080 11,054
10/31/2005 11,449 11,003 10,963
11/30/2005 11,483 11,061 11,063
12/31/2005 11,619 11,156 11,165
1/31/2006 11,800 11,334 11,309
2/28/2006 11,983 11,409 11,404
3/31/2006 11,999 11,478 11,450
Data quoted reflects past performance and cannot guarantee future results.
Total returns assume reinvestment of dividends and capital gains distributions.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. For performance
current to the most recent month-end, please visit the Loomis Sayles website.
Current performance may be higher or lower than quoted.
Returns do not reflect the taxes that a shareholder would pay on fund
distributions or the redemption of shares. Periods of less than one year are
not annualized. Index performance data is not available coincident with the
Fund's inception date.
(a) Since Index performance data is not available coincident with the Fund's
inception date, the beginning value of the Index is the value as of the
month-end closest to the Fund's inception date. (b) See page 4 for a
description of the Indices.
WHAT YOU SHOULD KNOW
High yield securities are subject to a high degree of market and credit risk.
The secondary market for these securities may lack liquidity, which may
adversely affect the value of the Fund. Securities issued by US government
agencies are not issued by, and may not be guaranteed by the US government.
2
FUND AND MANAGER REVIEW
LOOMIS SAYLES SECURITIZED ASSET FUND
[PHOTO]
Cliff Rowe
CLIFTON ROWE
Manager since March 2006
[PHOTO]
Hu Fan
FAN HU
Manager since March 2006
The Fund, which launched on March 2, 2006, seeks to generate current income
consistent with capital preservation. The Fund's portfolio managers collaborate
with a team of in-house analysts to identify attractive total return
investments in the securitized asset sector. Our bottom-up security selection
process is the primary driver of the portfolio's structure and performance.
This process may result in allocations to non-Benchmark sectors, including US
Treasury and
KEY FUND FACTS
SYMBOL | LSSAX
OBJECTIVE | High current income consistent with capital preservation.
STRATEGY | Invest at least 80% of its net assets (plus any borrowings made for
investment purposes) in a diversified portfolio of securitized assets, such as
mortgage-backed and other asset-backed securities.
FUND INCEPTION DATE | 3/2/06
COMMENCEMENT OF OPERATIONS OF CLASS | Institutional: 3/2/06
EXPENSE RATIO | 0.00%*
TOTAL NET ASSETS | $11.3 million
*All fees are paid by investors indirectly through separately negotiated
advisory relationships with the Fund's Advisor or through "wrap fee" programs
sponsored by broker dealers and investment advisers that may be affiliated or
unaffiliated with the Fund, Loomis Sayles or IXIS Asset Management Advisors,
L.P.
agency securities. We build a Fund consistent with the analysts' ideas,
Benchmark characteristics and prospectus guidelines. The resulting portfolio is
designed to seek superior long-term performance relative to the securitized
asset indexes and AAA-quality benchmarks. The following commentary covers the
period from March 2, 2006, the Fund's inception date, through March 31, 2006.
PORTFOLIO REVIEW
In the current flat yield curve environment, short maturity securities have
only a slight yield disadvantage, and their price movement is much less
sensitive to interest rate moves. Accordingly, shorter maturity securities
generally outperformed longer maturity securities. Despite their yield
advantages, securitized bonds generally underperformed US Treasury securities
with similar maturities, as higher interest rates fueled concerns of declining
principal prepayments and extending durations. When interest rates are high,
mortgage borrowers tend to prepay at a slower rate. For investors in
mortgage-backed securities, this reduces the amount of principal available to
reinvest at the new, higher interest rates.
Within the securitized sectors, bonds with the least prepayment risk offered
the best performance, as interest rates rose and duration extension concerns
grew. In particular, commercial mortgage-backed securities (CMBS) outperformed.
Typically, CMBS are protected from prepayment variability through prepayment
penalties and other measures that serve to mitigate a borrower's ability to
retire principal early. Asset-backed securities (ABS) may have similar
protections, but the loans that back these bonds tend to have relatively small
balances compared to mortgage loans, so they are less likely to be refinanced
in response to interest rate moves.
Mortgage-backed securities (MBS) were relative underperformers during the
period. As interest rates rose to levels not seen in several years, investors
worried that principal prepayment might slow significantly. Expectations of
slower prepayments generally result in longer duration estimates for MBS, and
longer durations lead to declining prices when interest rates rise.
OUTLOOK
We believe the yield curve may remain relatively flat in the intermediate term,
potentially accompanied by a modest decline in rates. The relatively flat yield
curve offers little incentive for investors seeking higher income to extend
duration. Nevertheless, in a stable interest rate environment we anticipate
that our MBS holdings should perform well because of their income advantages
and potential price appreciation. We will continue to evaluate the effect of
higher interest rates on the housing and MBS markets.
3
ADDITIONAL INFORMATION
INDEX DEFINITIONS
Lipper High Current Yield Funds Index is an equally weighted, unmanaged index
of typically the 30 largest mutual funds within the high current yield funds
investment objective.
Source: Lipper, Inc.
Lehman High Yield Index is a market-weighted, unmanaged index of fixed-rate,
non-investment grade debt.
Returns are adjusted for the reinvestment of capital gains distributions and
income dividends. Indexes are unmanaged and do not have expenses that affect
results, unlike most mutual funds. It is not possible to invest directly in an
index.
PROXY VOTING INFORMATION
A description of the Funds' proxy voting policies and procedures is available
without charge, upon request, (i) by calling Loomis Sayles at 800-633-3330;
(ii) on the Funds' website, www.loomissayles.com, and (iii) on the SEC's
website at www.sec.gov. Information about how Loomis Sayles High Income
Opportunities Fund voted proxies relating to portfolio securities during the 12
months ended June 30, 2005 is available on (i) the Fund's website and (ii) the
SEC's website. Loomis Sayles Securitized Asset Fund commenced operations on
March 2, 2006.
QUARTERLY PORTFOLIO SCHEDULES
The Funds file a complete schedule of portfolio holdings with the SEC for the
first and third quarters of each fiscal year on Form N-Q. Loomis Sayles High
Income Opportunities Fund's Form N-Q is available on the SEC's website at
www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room
in Washington, DC. Information on the operation of the Public Reference Room
may be obtained by calling 800-SEC-0330. Loomis Sayles Securitized Asset Fund
commenced operation on March 2, 2006 and has not yet filed a Form N-Q.
UNDERSTANDING YOUR FUND'S EXPENSES
Typically, mutual fund shareholders incur two types of costs: (1) transaction
costs, including sales charges (loads) on purchases, redemption fees and
certain exchange fees; and (2) ongoing costs, including management fees,
distribution fees (12b-1 fees), and other fund expenses. However, the Funds are
unlike other mutual funds; they do not charge any fees or expenses.
You should be aware that shares in the Funds are available only to
institutional investment advisory clients of Loomis, Sayles & Company, L.P. and
IXIS Asset Management Advisors, L.P. ("IXIS Advisors") and to participants in
"wrap-fee" programs sponsored by broker dealers and investment advisers that
may be affiliated or unaffiliated with the Funds, Loomis Sayles or IXIS
Advisors. The institutional investment advisory clients of Loomis Sayles and
IXIS Advisors pay Loomis Sayles or IXIS Advisors a fee for their investment
advisory services, while participants in "wrap fee" programs pay a "wrap" fee
to the program's sponsor. The "wrap fee" program sponsors, in turn, pay a fee
to IXIS Advisors. "Wrap fee" program participants should read carefully the
wrap fee brochure provided to them by their program's sponsor and the fees paid
by such sponsor to IXIS Advisors. Shareholders pay no additional fees or
expenses to purchase shares of the Funds. However, shareholders will indirectly
pay a proportionate share of those costs, such as brokerage commissions, taxes
and extraordinary expenses, that are borne by the Funds through a reduction in
each Fund's net asset value.
The first line in each Fund's table below shows the actual amount of Fund
expenses ($0) you would have paid on a $1,000 investment in the Fund from
October 1, 2005 (or commencement of operations, if later) through March 31,
2006. It also shows how much a $1,000 investment would be worth at the close of
the period, assuming actual Fund returns and expenses.
The second line in each Fund's table provides information about hypothetical
account values and hypothetical expenses based on the Fund's actual expense
ratio (0%) and an assumed rate of return of 5% per year before expenses, which
is not the Fund's actual return. The hypothetical account values and expenses
may not be used to estimate the actual ending account balance or expenses you
paid on your investment for the period. You may use this information to compare
the ongoing costs of investing in the Funds and other funds. To do so, compare
this 5% hypothetical example with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period
Institutional Class 10/1/05 3/31/06 10/1/05 - 3/31/06*
- ------------------- ------------- ------------- ------------------
Actual $1,000.00 $1,035.30 $0.00
Hypothetical (5% return before expenses) $1,000.00 $1,024.93 $0.00
*Expenses are equal to the Fund's annualized expense ratio of 0.00% for the Institutional Class,
multiplied by the average account value over the period, multiplied by 182/365 (to reflect the half-year
period).
LOOMIS SAYLES SECURITIZED ASSET FUND
Beginning Ending Expenses Paid
Account Value Account Value During Period
Institutional Class 3/2/06 3/31/06 3/2/06 - 3/31/06*
- ------------------- ------------- ------------- -----------------
Actual $1,000.00 $ 997.00 $0.00
Hypothetical (5% return before expenses) $1,000.00 $1,004.11 $0.00
*Expenses are equal to the Fund's annualized expense ratio of 0.00% for the Institutional Class, multiplied
by the average account value over the period, multiplied by 30/365 (to reflect the period from
commencement of operations).
4
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND
PRINCIPAL AMOUNT VALUE (+)
- --------------------------------------------------------------------------------------------
BONDS AND NOTES - 88.6% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 85.2%
AIRLINES - 1.2%
American Airlines, Inc., Series 93A6, 8.040%, 9/16/2011 $ 163,098 $ 144,901
Continental Airlines, Inc., Series 1997-4B, 6.900%, 1/02/2017 110,912 104,201
Continental Airlines, Inc., Series 2000-2, 8.307%, 10/02/2019 16,612 15,985
Continental Airlines, Inc., Series 2001-1B, 7.373%, 12/15/2015 89,446 85,530
----------
350,617
----------
AUTOMOTIVE - 9.0%
Cummins Engine Co., Inc., 7.125%, 3/01/2028 150,000 153,000
Delphi Automotive Systems Corp., 6.550%, 6/15/2006(b) 35,000 21,525
Delphi Automotive Systems Corp., 7.125%, 5/01/2029(b) 35,000 21,525
Ford Motor Co., 6.375%, 2/01/2029 150,000 99,750
Ford Motor Co., 6.625%, 10/01/2028 260,000 174,200
Ford Motor Co., 7.450%, 7/16/2031(c) 200,000 148,500
Ford Motor Credit Co., 5.700%, 1/15/2010 755,000 670,004
Ford Motor Credit Co., 7.000%, 10/01/2013 200,000 178,881
General Motors Acceptance Corp., 6.750%, 12/01/2014(c) 455,000 409,593
General Motors Acceptance Corp., 6.875%, 9/15/2011 150,000 139,812
General Motors Acceptance Corp., 8.000%, 11/01/2031(c) 495,000 467,826
Goodyear Tire & Rubber Co., 7.000%, 3/15/2028(c) 160,000 134,000
Tenneco Automotive, Inc., 8.625%, 11/15/2014(c) 10,000 10,000
----------
2,628,616
----------
BUILDING MATERIALS - 0.2%
Texas Industries, Inc., 7.250%, 7/15/2013 70,000 72,100
----------
CHEMICALS - 3.0%
Borden, Inc., 7.875%, 2/15/2023 85,000 70,337
Borden, Inc., 8.375%, 4/15/2016 175,000 161,000
Hercules, Inc., 6.500%, 6/30/2029 300,000 237,000
IMC Global, Inc., 7.300%, 1/15/2028 50,000 46,188
LPG International, Inc., 7.250%, 12/20/2015, 144A 100,000 100,380
Methanex Corp., 6.000%, 8/15/2015 150,000 140,965
Nalco Finance Holdings LLC, Zero Coupon Bond
(step to 9.00% on 2/01/09), 2/01/2014(d) 43,000 32,465
Polyone Corp., 8.875%, 5/01/2012(c) 80,000 82,000
----------
870,335
----------
CONSTRUCTION MACHINERY - 0.7%
Case Credit Corp., 6.750%, 10/21/2007 100,000 100,375
Great Lakes Dredge & Dock Corp., 7.750%, 12/15/2013(c) 35,000 32,725
United Rentals North America, Inc., 7.000%, 2/15/2014 75,000 72,188
----------
205,288
----------
CONSUMER CYCLICAL SERVICES - 0.4%
Alderwoods Group, Inc., 7.750%, 9/15/2012 25,000 25,688
Service Corp. International, 7.500%, 6/15/2017, 144A 85,000 86,487
----------
112,175
----------
CONSUMER NON-CYCLICAL SERVICES - 0.1%
Jostens IH Corp., 7.625%, 10/01/2012 25,000 24,688
----------
5
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
CONSUMER PRODUCTS - 1.4%
Church & Dwight Co., Inc., 6.000%, 12/15/2012 $ 130,000 $ 127,887
Spectrum Brands Inc., 7.375%, 2/01/2015(c) 315,000 274,050
----------
401,937
----------
ELECTRIC - 5.9%
AES Corp., 7.750%, 3/01/2014(c) 160,000 168,000
Allegheny Energy Supply Co., LLC, 7.800%, 3/15/2011 40,000 42,550
Allegheny Generating Co., 6.875%, 9/01/2023 100,000 97,375
Dynegy Holdings, Inc., 7.125%, 5/15/2018 125,000 114,375
Dynegy Holdings, Inc., 8.375%, 5/01/2016 144A 280,000 278,600
Edison Mission Energy, 7.730%, 6/15/2009 210,000 215,250
Empresa Nacional de Electricidad SA (Endesa-Chile),
7.875%, 2/01/2027 45,000 48,489
Enersis SA, 7.375%, 1/15/2014 50,000 52,315
Enersis SA, 7.400%, 12/01/2016 175,000 184,174
NGC Corporation Capital Trust I, Series B,
8.316%, 6/01/2027 220,000 193,600
NRG Energy, Inc., 7.250%, 2/01/2014 45,000 45,731
NRG Energy, Inc., 7.375%, 2/01/2016 130,000 132,762
TECO Energy, Inc., 7.200%, 5/01/2011 125,000 130,313
----------
1,703,534
----------
GAMING - 0.9%
Harrah's Operating Co., Inc., 5.750%, 10/01/2017 285,000 269,867
----------
HEALTHCARE - 5.1%
Accellent, Inc., 10.500%, 12/01/2013 125,000 133,438
Columbia/HCA Healthcare Corp., 7.580%, 9/15/2025 175,000 169,436
HCA, Inc., 7.050%, 12/01/2027 350,000 319,257
HCA, Inc., 7.500%, 11/06/2033 550,000 538,542
IASIS Healthcare, 8.750%, 6/15/2014 320,000 320,000
----------
1,480,673
----------
HOME CONSTRUCTION - 5.1%
D.R. Horton, Inc., 5.625%, 1/15/2016 300,000 279,095
Desarrolladora Homex SA, 7.500%, 9/28/2015 420,000 407,400
Hovnanian K Enterprises, Inc., 6.250%, 1/15/2016 350,000 317,266
Hovnanian K Enterprises, Inc., 6.375%, 12/15/2014 90,000 83,215
Hovnanian K Enterprises, Inc., 6.500%, 1/15/2014 115,000 107,835
KB Home, 7.250%, 6/15/2018 280,000 275,476
----------
1,470,287
----------
INDEPENDENT/ENERGY - 2.3%
Astoria Depositor Corp., 8.144%, 5/01/2021, 144A 150,000 157,500
Chesapeake Energy Corp., 6.500%, 8/15/2017 55,000 54,312
Chesapeake Energy Corp., 6.875%, 1/15/2016 100,000 100,750
Chesapeake Energy Corp., 6.875%, 11/15/2020, 144A 320,000 322,400
Swift Energy Co., 7.625%, 7/15/2011 20,000 20,200
----------
655,162
----------
INTEGRATED/ENERGY - 0.6%
Cerro Negro Finance Ltd., 7.900%, 12/01/2020, 144A 90,000 88,200
6
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- ------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
INTEGRATED/ENERGY - CONTINUED
Petrozuata Finance, Inc., 8.220%, 4/01/2017, 144A $ 95,000 $ 93,575
---------
181,775
---------
LODGING - 0.2%
Host Marriott LP, Series 0, 6.375%, 3/15/2015(c) 50,000 49,188
---------
MEDIA CABLE - 2.9%
Charter Communications Operating LLC/CAP,
8.000%, 4/30/2012, 144A 170,000 169,150
Comcast Corp., 5.650%, 6/15/2035 80,000 69,724
CSC Holdings, Inc., 7.250%, 4/15/2012, 144A 215,000 210,163
CSC Holdings, Inc., 7.875%, 2/15/2018 310,000 310,387
PanAmSat Corp., 6.875%, 1/15/2028 25,000 22,250
Rogers Cable, Inc., 5.500%, 3/15/2014 75,000 71,063
---------
852,737
---------
MEDIA NON-CABLE - 1.5%
Dex Media, Inc., 8.000%, 11/15/2013 30,000 30,900
Echostar DBS Corp., 7.125%, 2/01/2016, 144A 275,000 270,531
R.H. Donnelley Corp., Series A, 6.875%, 1/15/2013, 144A 150,000 140,250
---------
441,681
---------
METALS & MINING - 2.2%
Glencore Funding LLC, 6.000%, 4/15/2014, 144A 155,000 147,560
International Steel Group, Inc., 6.500%, 4/15/2014 75,000 74,625
Novelis, Inc., 7.750%, 2/15/2015, 144A 70,000 67,200
Vale Overseas Ltd., 6.250%, 1/11/2016 145,000 142,644
Vale Overseas Ltd., 8.250%, 1/17/2034 175,000 200,812
---------
632,841
---------
OIL FIELD SERVICES - 1.2%
Chart Industries, Inc., 9.125%, 10/15/2015, 144A 130,000 134,225
Grant Prideco, Inc., 6.125%, 8/15/2015 50,000 48,750
North America Energy Partners, Inc., 8.750%, 12/01/2011 35,000 34,125
Pecom Energia SA, 8.125%, 7/15/2010, 144A 40,000 41,400
Pride International, Inc., 7.375%, 7/15/2014 85,000 89,250
---------
347,750
---------
PACKAGING - 1.9%
Owens-Illinois, Inc., 7.800%, 5/15/2018 555,000 550,837
---------
PAPER - 2.4%
Abitibi-Consolidated, Inc., 6.000%, 6/20/2013 75,000 64,500
Abitibi-Consolidated, Inc., 7.500%, 4/01/2028 220,000 182,600
Boise Cascade LLC, 7.475%, 10/15/2012(c)(e) 20,000 20,250
Bowater, Inc., 6.500%, 6/15/2013(c) 155,000 144,537
Georgia-Pacific Corp., 7.250%, 6/01/2028 30,000 28,350
Georgia-Pacific Corp., 7.375%, 12/01/2025(c) 225,000 216,000
Georgia-Pacific Corp., 7.750%, 11/15/2029(c) 50,000 49,000
Georgia-Pacific Corp., 8.000%, 1/15/2024 5,000 5,044
---------
710,281
---------
7
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
PHARMACEUTICALS - 0.6%
Elan Financial Plc, 7.750%, 11/15/2011 $ 200,000 $ 189,500
----------
PIPELINES - 3.1%
El Paso Corp., 6.375%, 2/01/2009, 144A 240,000 237,300
El Paso Corp., 6.500%, 6/01/2008, 144A 85,000 84,788
El Paso Corp., 6.950%, 6/01/2028, 144A 250,000 236,250
Williams Cos., Inc., 7.500%, 1/15/2031 235,000 243,812
Williams Cos., Inc., 7.750%, 6/15/2031 85,000 90,100
----------
892,250
----------
REAL ESTATE INVESTMENT TRUSTS - 0.6%
Host Marriott LP, Series M, 7.000%, 8/15/2012 175,000 178,719
----------
RETAILERS - 1.3%
Dillard's, Inc., 6.625%, 1/15/2018(c) 155,000 144,925
Dillard's, Inc., 7.130%, 8/01/2018 25,000 23,875
GSC Holdings Corp., 8.000%, 10/01/2012, 144A(c) 215,000 213,387
----------
382,187
----------
SOVEREIGNS - 0.9%
Republic of Brazil, 8.250%, 1/20/2034(c) 235,000 258,970
----------
SUPERMARKETS - 1.2%
Albertson's, Inc., 6.625%, 6/01/2028 55,000 44,316
Albertson's, Inc., 7.450%, 8/01/2029 240,000 211,932
Albertson's, Inc., 7.750%, 6/15/2026 20,000 18,029
Albertson's, Inc., 8.000%, 5/01/2031(c) 30,000 27,926
American Stores Co., 8.000%, 6/01/2026 20,000 19,376
Couche-Tard US/Finance, 7.500%, 12/15/2013 40,000 41,000
----------
362,579
----------
TECHNOLOGY - 9.4%
Affiliated Computer Services, Inc., 5.200%, 6/01/2015 95,000 86,570
Amkor Technology, Inc., 7.750%, 5/15/2013 40,000 36,800
Amkor Technology, Inc., 10.500%, 5/01/2009(c) 25,000 24,500
Hynix Semiconductor, Inc., 9.875%, 7/01/2012, 144A 50,000 55,000
Lucent Technologies, Inc., 6.450%, 3/15/2029 175,000 157,937
Nortel Networks Corp., 6.875%, 9/01/2023 125,000 114,375
Northern Telecom Capital Corp., 7.875%, 6/15/2026 615,000 593,475
Sanmina-Sci Corp., 6.750%, 3/01/2013(c) 40,000 38,100
Sungard Data Systems, Inc., 10.250%, 8/15/2015, 144A 100,000 105,250
Unisys Corp., 6.875%, 3/15/2010(c) 435,000 423,037
Unisys Corp., 8.000%, 10/15/2012 25,000 24,563
Xerox Corp., 6.400%, 3/15/2016 1,080,000 1,071,900
----------
2,731,507
----------
TRANSPORTATION SERVICES - 4.6%
American President Cos. Ltd., 8.000%, 1/15/2024 25,000 24,813
Atlas Air, Inc., 7.200%, 1/02/2019 17,942 18,122
Atlas Air, Inc., Series A, 7.380%, 1/02/2018 36,480 36,845
Atlas Air, Inc., Series B, 7.680%, 1/02/2014 34,292 31,892
Bombardier, Inc., 7.450%, 5/01/2034, 144A 935,000 839,162
8
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -------------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TRANSPORTATION SERVICES - CONTINUED
Overseas Shipholding Group, 7.500%, 2/15/2024 $ 155,000 $ 154,612
Stena AB, 7.000%, 12/01/2016 190,000 178,600
Stena AB, 7.500%, 11/01/2013 45,000 44,437
-----------
1,328,483
-----------
TREASURIES - 9.3%
U.S. Treasury Note, 3.000%, 12/31/2006(c) 2,750,000 2,712,295
-----------
WIRELESS TELECOMMUNICATION SERVICES - 1.0%
Citizens Communications Co., 7.000%, 11/01/2025 15,000 13,238
Citizens Communications Co., 9.000%, 8/15/2031 20,000 21,375
Rogers Wireless, Inc., 6.375%, 3/01/2014 205,000 204,487
Rogers Wireless, Inc., 7.250%, 12/15/2012 50,000 52,687
-----------
291,787
-----------
WIRELINES - 5.0%
Cincinnati Bell Telephone Co., 6.300%, 12/01/2028(c) 185,000 170,200
Cincinnati Bell, Inc., 8.375%, 1/15/2014 150,000 152,438
Hanarotelecom, Inc., 7.000%, 2/01/2012, 144A 405,000 399,713
L-3 Communications Corp., 6.375%, 10/15/2015 25,000 24,625
Philippine Long Distance Telephone Co., 8.350%, 3/06/2017 150,000 163,687
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 300,000 288,375
Qwest Capital Funding, Inc., 6.875%, 7/15/2028(c) 115,000 110,400
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 140,000 142,450
-----------
1,451,888
-----------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $24,460,947) 24,792,534
-----------
CONVERTIBLE BONDS - 3.4%
AIRLINES - 0.0%
AMR Corp., 4.500%, 2/15/2024 10,000 14,000
-----------
INDUSTRIAL OTHER - 0.2%
Incyte Corp., 3.500%, 2/15/2011 55,000 44,963
-----------
MEDIA NON CABLE - 0.2%
Sinclair Broadcast Group, Inc., 4.875%, 7/15/2018 80,000 70,300
-----------
PHARMACEUTICALS - 1.3%
Epix Pharmaceuticals, Inc., 3.000%, 6/15/2024 45,000 28,913
Human Genome Sciences, Inc., 2.250%, 8/15/2012 85,000 73,312
Regeneron Pharmaceuticals, Inc., 5.500%, 10/17/2008 100,000 97,750
Valeant Pharmaceuticals International, 3.000%, 8/16/2010(c) 50,000 43,437
Valeant Pharmaceuticals International, 4.000%, 11/15/2013 160,000 136,800
-----------
380,212
-----------
TECHNOLOGY - 1.0%
Amkor Technology, Inc., 5.000%, 3/15/2007 60,000 58,575
Ciena Corp., 3.750%, 2/01/2008 55,000 51,975
Kulicke & Soffa Industries, Inc., 0.500%, 11/30/2008 50,000 42,875
Kulicke & Soffa Industries, Inc., 1.000%, 6/30/2010 45,000 41,737
9
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
TECHNOLOGY - CONTINUED
Maxtor Corp., 5.750%, 3/01/2012(f) $ 47,000 $ 43,240
Nortel Networks Corp., 4.250%, 9/01/2008(c) 65,000 61,344
-----------
299,746
-----------
WIRELINES - 0.7%
Level 3 Communications, Inc., 2.875%, 7/15/2010(c) 115,000 102,781
Level 3 Communications, Inc., 6.000%, 9/15/2009 45,000 38,138
Level 3 Communications, Inc., 6.000%, 3/15/2010(c) 65,000 51,594
-----------
192,513
-----------
TOTAL CONVERTIBLE BONDS
(Identified Cost $969,432) 1,001,734
-----------
TOTAL BONDS AND NOTES
(Identified Cost $25,430,379) 25,794,268
-----------
SHARES
- -----------------------------------------------------------------------------------------
COMMON STOCKS - 0.3%
WIRELINES - 0.3%
Philippine Long Distance Telephone Co., ADR(c) 2,569 96,517
-----------
TOTAL COMMON STOCKS
(Identified Cost $70,497) 96,517
-----------
PREFERRED STOCKS - 0.6%
CONVERTIBLE PREFERRED STOCKS - 0.6%
CONSUMER PRODUCTS - 0.3%
Newell Financial Trust I, 5.250% 1,675 71,816
-----------
ELECTRIC - 0.1%
AES Trust III, 6.750% 775 36,161
-----------
PIPELINES - 0.2%
El Paso Energy Capital Trust I, 4.750% 1,500 54,000
-----------
TOTAL PREFERRED STOCKS
(Identified Cost $162,843) 161,977
-----------
PRINCIPAL AMOUNT
- -----------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 24.9%
Tri-Party Repurchase Agreement with Fixed Income Clearing
Corporation, dated 3/31/06 at 2.950% to be repurchased at
$3,112,765 on 4/03/06 collateralized by $3,220,000 U.S.
Treasury Note, 4.000% due 6/15/09 with a value of
$3,177,007 (Note 2g of Notes to Financial Statements) $ 3,112,000 3,112,000
-----------
10
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND - CONTINUED
SHARES VALUE (+)
- ------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - CONTINUED
State Street Navigator Securities Lending Prime
Portfolio(g) 4,119,905 $ 4,119,905
------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $7,231,905) 7,231,905
------------
TOTAL INVESTMENTS - 114.4%
(Identified Cost $32,895,624)(a) 33,284,667
Other assets less liabilities--(14.4)% (4,183,031)
------------
TOTAL NET ASSETS - 100% $ 29,101,636
------------
+ See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amounts exclude certain adjustments
made at the end of the Fund's fiscal year for tax purposes.
Such adjustments are primarily due to wash sales. Amortization
of premium on debt securities is excluded for tax purposes.):
At March 31, 2006, the unrealized appreciation on investments
based on cost of $32,897,773 for federal income tax purposes
was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost $ 644,970
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (258,076)
------------
Net unrealized appreciation $ 386,894
------------
(b)Non-income producing security due to default or bankruptcy
filing.
(c)All or a portion of this security was on loan to brokers at
March 31, 2006.
(d)Step Bond: Coupon is zero or below market rate for an initial period and
then increases at a specified date and rate.
(e)Variable rate security. Rate as of March 31, 2006 is disclosed.
(f)Illiquid Security. At March 31, 2006, the value of this security amounted to
$43,240 or 0.15% of total net assets.
(g)Represents investment of securities lending collateral.
144ASecurities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At March 31,
2006, the total value of these securities amounted to $4,478,471 or 15.39%
of total net assets.
ADRAn American Depositary Receipt is a certificate issued by a custodian bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States.
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
Technology 10.4%
Treasuries 9.3
Automotive 9.0
Wirelines 6.0
Electric 6.0
Healthcare 5.1
Home Construction 5.1
Transportation Services 4.6
Pipelines 3.3
Chemicals 3.0
Media Cable 2.9
Paper 2.4
Independent/Energy 2.3
Metals & Mining 2.2
Other, less than 2% each 17.9
See accompanying notes to financial statements.
11
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SECURITIZED ASSET FUND
PRINCIPAL AMOUNT VALUE (+)
- ---------------------------------------------------------------------------------------
BONDS AND NOTES - 80.5% OF TOTAL NET ASSETS
NON-CONVERTIBLE BONDS - 80.5%
AGENCY - 67.3%
Federal Home Loan Mortgage Corp. (TBA),
4.500%, 4/30/2021 $ 100,000 $ 95,437
Federal Home Loan Mortgage Corp. (TBA),
5.000%, 4/30/2036 1,200,000 1,141,500
Federal Home Loan Mortgage Corp. (TBA),
6.500%, 4/30/2036 300,000 305,719
Federal Home Loan Mortgage Corp., 4.500%, 3/01/2021 125,000 119,335
Federal Home Loan Mortgage Corp., 4.500%, 11/01/2035 130,000 119,919
Federal Home Loan Mortgage Corp., 5.000%, 7/01/2020 88,584 86,415
Federal Home Loan Mortgage Corp., 5.000%, 3/01/2021 200,000 194,936
Federal Home Loan Mortgage Corp., 5.000%, 12/01/2035 204,980 195,080
Federal Home Loan Mortgage Corp., 5.000%, 3/01/2036 104,990 99,894
Federal Home Loan Mortgage Corp., 5.000%, 4/01/2036 205,000 195,049
Federal Home Loan Mortgage Corp., 5.500%, 3/01/2021 120,000 119,211
Federal National Mortgage Association (TBA),
4.500%, 4/30/2021 200,000 191,188
Federal National Mortgage Association (TBA),
4.500%, 4/30/2036 100,000 92,219
Federal National Mortgage Association (TBA),
5.000%, 4/30/2021 100,000 97,469
Federal National Mortgage Association (TBA),
5.000%, 4/30/2036 500,000 475,937
Federal National Mortgage Association (TBA),
5.500%, 4/30/2036 1,400,000 1,366,313
Federal National Mortgage Association (TBA),
5.500%, 4/30/2036 800,000 781,000
Federal National Mortgage Association (TBA),
6.000%, 4/30/2036 850,000 849,735
Federal National Mortgage Association, 5.000%, 3/01/2021 119,999 116,998
Federal National Mortgage Association, 5.500%, 5/01/2035 200,000 195,281
Federal National Mortgage Association, 5.500%, 2/01/2036 205,000 200,131
Federal National Mortgage Association, 5.500%, 4/01/2036 200,000 195,250
Federal National Mortgage Association, 6.000%, 10/01/2034 115,000 115,048
Federal National Mortgage Association, 6.000%, 3/01/2036 115,000 115,000
Government National Mortgage Association,
5.500%, 3/15/2036 120,000 118,845
----------
7,582,909
----------
ASSET-BACKED SECURITIES - 3.5%
Countrywide Asset Backed Certificates, Series 2004-S1,
Class A3, 4.615%, 2/25/2035 200,000 192,555
Countrywide Asset-Backed Certificates, Series 2006-S1,
Class A2, 5.549%, 4/25/2036 200,000 199,750
----------
392,305
----------
AUTO LOAN - 0.9%
Nissan Auto Receivables Owner Trust, Series 2005-A,
3.820%, 7/15/2010 100,000 97,245
----------
12
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SECURITIZED ASSET FUND - CONTINUED
PRINCIPAL AMOUNT VALUE (+)
- -----------------------------------------------------------------------------------------------
BONDS AND NOTES - CONTINUED
COMMERCIAL MORTGAGE-BACKED SECURITIES - 8.8%
Banc of America Commercial Mortgage, Inc., Series
2005-6, Class A2, 5.165%, 9/10/2047 $ 120,000 $ 118,802
Banc of America Commercial Mortgage, Inc., Series
2005-6, Class A4, 5.354%, 9/10/2047 100,000 97,548
Bear Stearns Commercial Mortgage Securities, Series
2005-T18, Class A2, 4.556%, 2/13/2042 60,000 58,339
Bear Stearns Commercial Mortgage Securities, Series
2001, Class A2, 6.480%, 2/15/2035 175,000 182,228
Greenwich Capital Commercial Funding Corp., 5.117%,
4/10/2037 120,000 118,701
GS Mortgage Securities Corp. II, Series
2004-GG2, Class A6, 5.396%, 8/10/2038 125,000 123,307
JP Morgan Chase Commercial Mortgage Securities
Corp., Series 2001-CIBC, Class A3, 6.260%, 3/15/2033 190,000 196,517
Wachovia Bank Commercial Mortgage Trust, Series
2005-C16, Class A2, 4.380%, 10/15/2041 100,000 96,706
---------------
992,148
---------------
TOTAL NON-CONVERTIBLE BONDS
(Identified Cost $9,109,047) 9,064,607
---------------
TOTAL BONDS AND NOTES
(Identified Cost $9,109,047) 9,064,607
---------------
SHORT-TERM INVESTMENTS - 70.1%
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 3/31/06 at 2.950% to be
repurchased at $881,217 on 4/03/06 collateralized by
$960,000 U.S. Treasury Note, 3.625% due 5/15/13 with
value of $901,374 (Note 2g of Notes to Financial
Statements) 881,000 881,000
---------------
United States Treasury Bill, 4.348%, 4/20/2006(b) 7,035,000 7,018,858
---------------
TOTAL SHORT-TERM INVESTMENTS
(Identified Cost $7,899,858) 7,899,858
---------------
TOTAL INVESTMENTS - 150.6%
(Identified Cost $17,008,905)(a) 16,964,465
Other assets less liabilities--(50.6)% (5,701,679)
---------------
TOTAL NET ASSETS - 100% $ 11,262,786
---------------
+ See Note 2a of Notes to Financial Statements.
(a)Federal Tax Information (Amortization of premium on debt securities is
excluded for tax purposes.):
At March 31, 2006, the net unrealized depreciation on investments
based on cost of $17,008,869 for federal Income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all securities in which
there is an excess of value over tax cost $ 4,309
Aggregate gross unrealized depreciation for all securities in which
there is an excess of tax cost over value (48,713)
---------------
Net unrealized depreciation $ (44,404)
---------------
(b)All or a portion of this security has been segregated to cover
collateral requirements on TBA obligations.
TBATo Be Announced (see Note 2h of Notes to Financial Statements).
13
PORTFOLIO OF INVESTMENTS - AS OF MARCH 31, 2006 (UNAUDITED)
LOOMIS SAYLES SECURITIZED ASSET FUND - CONTINUED
HOLDINGS AT MARCH 31, 2006 AS A PERCENTAGE OF NET ASSETS
- --------------------------------------------------------------------------------
Agency 67.3%
Commercial Mortgage-Backed Securities 8.8
Asset-Backed Securities 3.5
Other, less than 2% each 0.9
See accompanying notes to financial statements.
14
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2006 (UNAUDITED)
HIGH INCOME
OPPORTUNITIES SECURITIZED
FUND ASSET FUND
- ---------------------------------------------------------------------------------------
ASSETS
Investments at cost $ 32,895,624 $ 17,008,905
Net unrealized appreciation (depreciation) 389,043 (44,440)
------------ ------------
Investments at value 33,284,667 16,964,465
Cash 128 598
Securities lending income receivable 923 --
Receivable for Fund shares sold 330,958 2,896,484
Dividends and interest receivable 452,706 24,764
------------ ------------
TOTAL ASSETS 34,069,382 19,886,311
------------ ------------
LIABILITIES
Payable for securities purchased 841,795 8,623,525
Collateral on securities loaned, at value (Note 2) 4,119,905 --
Payable for Fund shares redeemed 5,836 --
Payable for foreign taxes 210 --
------------ ------------
TOTAL LIABILITIES 4,967,746 8,623,525
------------ ------------
NET ASSETS $ 29,101,636 $ 11,262,786
------------ ------------
Net assets consist of:
Paid-in capital 28,615,301 11,292,640
Undistributed net investment income 126,038 15,133
Accumulated net realized loss on investments (28,746) (547)
Net unrealized appreciation (depreciation) on investments 389,043 (44,440)
------------ ------------
NET ASSETS $ 29,101,636 $ 11,262,786
------------ ------------
NET ASSET VALUE AND OFFERING PRICE
INSTITUTIONAL CLASS:
Net assets $ 29,101,636 $ 11,262,786
------------ ------------
Shares of beneficial interest 2,788,358 1,129,297
------------ ------------
Net asset value, offering and redemption price per share $ 10.44 $ 9.97
------------ ------------
Value of securities on loan (Note 2) $ 4,044,214 $ --
------------ ------------
See accompanying notes to financial statements.
15
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
HIGH INCOME
OPPORTUNITIES SECURITIZED
FUND ASSET FUND(a)
- --------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends $ 5,149 $ --
Interest 600,779 15,133
Securities lending income 6,648 --
Less foreign taxes withheld (375) --
--------- -------------
Net investment income 612,201 15,133
--------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized loss on investments--net (29,804) (547)
Change in unrealized appreciation (depreciation) on investments--net 78,935 (44,440)
--------- -------------
Net realized and unrealized gain (loss) on investments 49,131 (44,987)
--------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 661,332 $(29,854)
--------- -------------
(a)For the period March 2, 2006 (commencement of operations) through March 31,
2006.
See accompanying notes to financial statements.
16
STATEMENTS OF CHANGES IN NET ASSETS
HIGH INCOME OPPORTUNITIES FUND
SIX MONTHS ENDED
MARCH 31, 2006 YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 2005
- ------------------------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 612,201 $ 747,172
Net realized gain (loss) on investments (29,804) 75,440
Net change in unrealized appreciation (depreciation) on investments 78,935 53,214
---------------- ------------------
Increase in net assets resulting from operations 661,332 875,826
---------------- ------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class (566,958) (722,198)
CAPITAL GAINS:
Institutional Class (69,731) --
---------------- ------------------
Total distributions (636,689) (722,198)
---------------- ------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) 15,962,053 3,882,443
---------------- ------------------
Total increase in net assets 15,986,696 4,036,071
NET ASSETS
Beginning of period 13,114,940 9,078,869
---------------- ------------------
End of period $29,101,636 $13,114,940
---------------- ------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 126,038 $ 80,795
---------------- ------------------
See accompanying notes to financial statements.
17
STATEMENTS OF CHANGES IN NET ASSETS
SECURITIZED ASSET FUND
FOR THE PERIOD FROM
MARCH 2, 2006*
THROUGH
MARCH 31, 2006
(UNAUDITED)
- --------------------------------------------------------------------------------------------
FROM OPERATIONS:
Net investment income $ 15,133
Net realized loss on investments (547)
Net change in unrealized appreciation (depreciation) on investments (44,440)
-------------------
Decrease in net assets resulting from operations (29,854)
-------------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
NET INVESTMENT INCOME:
Institutional Class --
CAPITAL GAINS:
Institutional Class --
-------------------
INCREASE IN NET ASSETS DERIVED FROM CAPITAL SHARES TRANSACTIONS (NOTE 6) 11,292,640
-------------------
Total increase in net assets 11,262,786
NET ASSETS
Beginning of period --
-------------------
End of period $11,262,786
-------------------
UNDISTRIBUTED NET INVESTMENT INCOME $ 15,133
-------------------
*Commencement of operations.
See accompanying notes to financial statements.
18
FINANCIAL HIGHLIGHTS
INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS:
------------------------------------- ----------------------------
Net asset Net realized Dividends Distributions
value, Net and unrealized Total from from from net
beginning investment gain (loss) on investment net investment realized
of the period income investments operations income capital gains
- -----------------------------------------------------------------------------------------------------
HIGH INCOME OPPORTUNITIES FUND
INSTITUTIONAL CLASS
3/31/2006(f) $10.50 $0.36 $ 0.00(h) $ 0.36 $(0.38) $(0.04)
9/30/2005 10.32 0.78(e) 0.17 0.95 (0.77) --
9/30/2004(a) 10.00 0.33(e) 0.25 0.58 (0.26) --
SECURITIZED ASSET FUND
INSTITUTIONAL CLASS
3/31/2006(g) $10.00 $0.03(e) $(0.06) $(0.03) $ -- $ --
(a)For the period April 13, 2004 (commencement of operations) through
September 30, 2004.
(b)Periods less than one year are not annualized.
(c)Loomis Sayles has agreed to pay, without reimbursement from the Fund, all
expenses associated with the operating of the Fund.
(d)Annualized for periods less than one year.
(e)Per share net investment income has been calculated using the average shares
outstanding during the period.
(f)For the six month ended March 31, 2006. (Unaudited)
(g)For the period March 2, 2006 (commencement of operations) through March 31,
2006. (Unaudited)
(h)Amount rounds to less than $0.01 per share.
See accompanying notes to financial statements.
19
RATIOS TO AVERAGE NET ASSETS:
- -------------- ------------------------------
Net asset Net assets, Net Portfolio
value, Total end of Net Gross investment turnover
Total end of return the period expenses expenses income rate
distributions the period (%)(b) (000) (%)(c) (%)(c) (%)(d) (%)
- -----------------------------------------------------------------------------------
$(0.42) $10.44 3.5 $29,102 -- -- 7.22 28
(0.77) 10.50 9.5 13,115 -- -- 7.40 22
(0.26) 10.32 5.9 9,079 -- -- 7.03 45
-- $ 9.97 (0.3) $11,263 -- -- 3.56 5
See accompanying notes to financial statements.
20
NOTES TO FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (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 investment
management 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 (each such series is a "Fund"). The following Funds are
included in this report:
LOOMIS SAYLES HIGH INCOME OPPORTUNITIES FUND (THE "HIGH INCOME OPPORTUNITIES
FUND")
LOOMIS SAYLES SECURITIZED ASSET FUND (THE "SECURITIZED ASSET FUND")
Each Fund offers Institutional Class Shares. The Funds' shares are offered
exclusively to investors in "wrap fee" programs approved by IXIS Asset
Management Advisors, L.P. ("IXIS Advisors"), and/or Loomis Sayles & Company,
L.P. ("Loomis Sayles") and to institutional advisory clients of IXIS Advisors
or Loomis Sayles that, in each case, meet the Funds' policies as established by
Loomis Sayles. The financial statements of the other Funds of the Trust are
presented in separate reports.
2. SIGNIFICANT ACCOUNTING POLICIES. The following is a summary of significant
accounting policies consistently followed by each Fund in preparation of its
financial statements. Each Fund's financial statements 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.
A. SECURITY VALUATION. Debt securities for which market quotations are readily
available (other than short-term obligations with a remaining maturity of less
than sixty days) are generally valued at market price, as reported by pricing
services recommended by the investment adviser's pricing committee and approved
by the Board of Trustees. Such pricing services generally use the most recent
bid prices in the principal market in which such securities are normally
traded. Broker-dealer bid quotations may also be used to value debt and equity
securities where a pricing service does not price a security or where a pricing
service does not provide a reliable price for the security. Equity securities,
including closed-end investment companies, for which market quotations are
readily available are valued at market value, as reported by pricing services
recommended by the investment adviser's pricing committee and approved by the
Board of Trustees. Such pricing services generally use the security's last sale
price on the exchange or market where primarily traded or, if there is no
reported sale during the day, the closing bid price. Securities traded on the
NASDAQ National Market are valued at the NASDAQ Official Closing Price
("NOCP"), or if lacking a NOCP, at the most recent bid quotation on the NASDAQ
National Market. Short-term obligations with a remaining maturity of 60 days or
less are valued at amortized cost, which approximates market value. Securities
for which market quotations are not readily available (including restricted
securities, if any) are valued at fair value as determined in good faith by
each Fund's investment adviser using consistently applied procedures pursuant
to the procedures approved by the Board of Trustees.
The High Income Opportunities Fund may hold securities traded in foreign
markets. Foreign securities are valued at the market price in the foreign
market. However, if events occurring after the close of the foreign market (but
before the close of regular trading on the New York Stock Exchange) are
believed to materially affect the value of those securities, such securities
are fair valued pursuant to procedures approved by the Board of Trustees. When
fair valuing its securities, a Fund may, among other things, use modeling tools
or other processes that may take into account factors such as securities market
activity and/or significant events that occur after the close of the foreign
market and before the Fund calculates its net asset value.
B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME. Security transactions
are accounted for on trade date. Dividend income is recorded on ex-dividend
date, or in the case of certain foreign securities, as soon thereafter as the
Fund is notified, and interest income is recorded on an accrual basis. Interest
income is increased by the accretion of discount and decreased by the
amortization of premium. Investment income is recorded net of foreign taxes
withheld when applicable. In determining net gain or loss on securities sold,
the cost of securities has been determined on an identified cost basis.
C. FOREIGN CURRENCY TRANSLATION. The books and records of the Funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars are
translated into U.S. dollars based upon foreign exchange rates prevailing at
the end of the period. Purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign exchange
rates prevailing at the end of the period, it is not practical to isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities. Such changes are included with the net realized and unrealized gain
or loss on investments.
21
Net realized foreign exchange gains or losses arise from sales of foreign
currency, currency gains or losses realized between the trade and settlement
dates on securities transactions and the difference between the amounts of
dividends, interest and foreign withholding taxes recorded on the Funds' books
and the U.S. dollar equivalent of the amounts actually received or paid. Net
unrealized foreign exchange gains and losses arise from changes in the value of
assets and liabilities, at the end of the fiscal period, resulting from changes
in exchange rates.
The High Income Opportunities Fund may use foreign currency exchange contracts
to facilitate transactions in foreign-denominated investments. Losses may arise
from changes in the value of the foreign currency or if the counterparties do
not perform under the contracts' terms. At March 31, 2006, there were no open
foreign currency exchange contracts.
The High Income Opportunities Fund may purchase investments of foreign issuers.
Investing in securities of foreign issuers involves special risks and
considerations not typically associated with investing in U.S. companies and
securities of the U.S. government. These risks include revaluation of
currencies and the risk of appropriation. Moreover, the markets for securities
of many foreign issuers may be less liquid and the prices of such securities
may be more volatile than those of comparable U.S. companies and the U.S.
government.
D. FORWARD FOREIGN CURRENCY CONTRACTS. The High Income Opportunities Fund may
use forward foreign currency contracts. Contracts to buy are generally used to
acquire exposure to foreign currencies, while contracts to sell are used to
hedge the Fund's investments against currency fluctuation. Also, a contract to
buy or sell can offset a previous contract. These contracts involve market risk
in excess of the unrealized gain or loss reflected in the Fund's Statement of
Assets and Liabilities. The U.S. dollar value of the currencies the Fund has
committed to buy or sell represents the aggregate exposure to each currency the
Fund has acquired or hedged through currency contracts outstanding at period
end.
All contracts are "marked-to-market" daily at the applicable exchange rates and
any gains or losses are recorded for financial statement purposes as unrealized
until settlement date. 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. At March 31, 2006, there were no open forward currency
contracts.
E. 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 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.
Accordingly, no provisions for federal income tax has been made. A Fund may be
subject to foreign taxes on income and gains on investments that are accrued
based upon the Fund's understanding of the tax rules and regulations that exist
in the countries in which the Fund invests. Foreign governments may also impose
taxes or other payments on investments with respect to foreign securities. Such
taxes are accrued as applicable.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions are
recorded on ex-dividend date. The timing and characterization of certain income
and capital gains distributions are determined in accordance with federal tax
regulations, which may differ from accounting principles generally accepted in
the United States of America. Permanent differences are primarily due to
differing treatments for book and tax purposes of items such as premium
amortization. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to capital accounts. Temporary
differences between book and tax distributable earnings are primarily due to
wash sales, deferred trustees fees, defaulted bond accruals and premium
amortization accruals. Distributions from net investment income and short-term
capital gains are considered to be ordinary income for tax purposes.
The tax characterization of distributions is determined on an annual basis. The
tax character of distributions paid to shareholders during the years ended
September 30, 2005 was as follows:
2005 DISTRIBUTIONS PAID FROM:
- - -------------------------------
ORDINARY LONG-TERM
INCOME CAPITAL GAINS TOTAL
- - -------- ------------- --------
High Income Opportunities Fund $722,198 $-- $722,198
Securitized Asset Fund -- -- --
22
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
G. REPURCHASE AGREEMENTS. Each Fund, through its custodian, receives delivery
of the underlying securities collateralizing repurchase agreements. It is each
Fund's policy that the market value of the collateral be at least equal to 102%
of the repurchase price, including interest. The repurchase agreements are
tri-party agreements whereby the collateral is held at the custodian bank 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.
H. DELAYED DELIVERY COMMITMENTS. Each Fund may purchase or sell securities on a
when issued or forward commitment basis. Payment and delivery may take place a
month or more after the date of the transaction. The price of the underlying
securities and the date when the securities will be delivered and paid for are
fixed at the time the transaction is negotiated. Losses may arise due to
changes in the market value of the underlying securities or if the counterparty
does not perform under the contract. Collateral consisting of liquid securities
or cash and cash equivalents is maintained in an amount at least equal to these
commitments with the custodian.
I. SECURITIES LENDING. The Funds have entered into an agreement with State
Street Bank and Trust Company ("State Street Bank"), as agent of the Funds, to
lend securities to certain designated borrowers. The loans are collateralized
with cash or securities in an amount equal to at least 105% or 102% of the
market value of the loaned international or domestic securities, respectively,
when the loan is initiated. Thereafter, the value of the collateral must remain
at least 102% of the market value of loaned securities for U.S. equities and
U.S. corporate debt; at least 105% of the market value of loaned securities for
non-U.S. equities; and at least 100% of the market value of loaned securities
for U.S. government securities, sovereign debt issued by non-U.S. governments
and non-U.S. corporate debt. In the event that the market value of the
collateral falls below the required percentages described above, the borrower
will deliver additional collateral on the next business day. As with other
extensions of credit, the Funds may bear the risk of loss with respect to the
investment of the collateral. The Funds invest cash collateral in short-term
investments, a portion of the income from which is remitted to the borrowers
and the remainder allocated between the Funds and State Street Bank as lending
agent. The market value of securities on loan to borrowers and the value of
collateral held by the Funds with respect to such loans at March 31, 2006, were
as follows:
MARKET VALUE VALUE OF
FUND ON LOAN COLLATERAL
- ---- ------------ ----------
High Income Opportunities Fund $4,044,214 $4,119,905
Securitized Asset Fund -- --
J. INDEMNIFICATIONS. Under the Funds' organizational documents, its officers
and Trustees are indemnified against certain liability arising out of the
performance of their duties to the Funds. Additionally, in the normal course of
business, the Funds' enter into contracts with service providers that contain
general indemnification clauses. The Funds' maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Funds that have not yet occurred. However, based on experience the
Funds expect the risk of loss to be remote.
3. PURCHASES AND SALES OF SECURITIES. For the six months ended March 31, 2006,
purchases and sales of securities (excluding short-term investments and U.S.
Government/Agency Securities) were as follows:
U.S. GOVERNMENT/AGENCIES OTHER SECURITIES
------------------------ ----------------------
FUND PURCHASE SALES PURCHASE SALES
- ---- ---------- ---------- ----------- ----------
High Income Opportunities Fund $4,057,480 $1,341,056 $14,571,052 $3,234,352
Securitized Asset Fund 9,011,621 410,534 1,481,358 --
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
A. MANAGEMENT FEES. Loomis Sayles has agreed to pay, without reimbursement from
the Funds or the Trust, the following expenses of the Funds: compensation to
trustees of the Trust who are not "interested persons" (as defined in the 1940
Act) of the Trust; registration, filing and other fees in connection with
requirements of regulatory authorities; the charges and expenses of any entity
appointed by the Funds for custodial, paying agent, shareholder servicing and
plan agent services; charges and expenses of independent registered public
accounting firm retained by the Funds; charges and expenses of any transfer
agents and registrars appointed by the Funds; any cost of certificates
representing shares of the Funds; legal fees and expenses in connection with
the day-to-day affairs of the Funds, including registering and qualifying its
shares with Federal and State regulatory authorities; expenses of meetings of
shareholders and trustees of the Trust; the costs of services, including
services of counsel, required in connection with the preparation of the Funds'
registration statements and prospectuses, including amendments and revisions
thereto, annual, semi-annual and other periodic reports of the Funds, and
notices and proxy solicitation material furnished to
23
shareholders of the Funds or regulatory authorities, and any costs of printing
or mailing these items; and the Funds' expenses of bookkeeping, accounting,
auditing and financial reporting, including related clerical expenses.
Loomis Sayles serves as investment adviser to each Fund. Under the terms of
each management agreement, Loomis Sayles does not charge the Funds an
investment advisory fee, also known as a management fee, or any other fee for
those services or for bearing those expenses. Although the Funds do not
compensate Loomis Sayles directly for services under the advisory agreement,
Loomis Sayles will typically receive an advisory fee from the sponsors of "wrap
programs," who in turn charge the programs participants.
Certain officers and employees of Loomis Sayles are also officers or Trustees
of the Trust. Loomis Sayles' general partner is indirectly owned by IXIS Asset
Management US Group, L.P. ("IXIS US Group") (formerly IXIS Asset Management
North America, L.P.), which is part of IXIS Asset Management Group, an
international asset management group based in Paris, France. IXIS Asset
Management Group is ultimately owned principally, directly or indirectly by
three large affiliated French financial services entities: the Caisse Nationale
des Caisses d'Epargne, a financial institution owned by CDC (as defined below)
and by French regional savings banks known as the Caisses d'Epargne; the Caisse
des Depots et Consignations ("CDC"), a public sector financial institution
created by the French government in 1816; and CNP Assurance, a large French
life insurance company.
B. ADMINISTRATIVE FEES. IXIS Advisors, a wholly owned subsidiary of IXIS US
Group, provides certain administrative services to the Funds and subcontracted
with State Street Bank, to serve as sub-administrator. Loomis Sayles has agreed
to pay, without reimbursement from the Trust or Funds, fees to IXIS Advisors
for services to the Funds under each agreement.
C. SERVICE AND DISTRIBUTION FEES. The Trust has entered into a distribution
agreement with IXIS Asset Management Distributors, L.P. ("IXIS Distributors"),
a wholly owned subsidiary of IXIS US Group. Pursuant to this agreement, IXIS
Distributors serves as principal underwriter of the Funds. The Distributor
currently is not paid a fee for serving as Distributor for the Funds. Loomis
Sayles has agreed to reimburse the Distributor to the extent the Distributor
incurs expenses in connection with any redemption of Fund shares.
D. TRUSTEES FEES AND EXPENSES. The Funds do not pay any compensation directly
to its officers or Trustees who are directors, officers or employees of IXIS
Advisors, IXIS Distributors, IXIS US Group, Loomis Sayles or their affiliates.
The Chairperson of the Board receives a retainer fee at the annual rate of
$200,000. The Chairperson does not receive any meeting attendance fees for
Board of Trustees meetings or committee meetings that she attends. Each
independent Trustee (other than the Chairperson) receives, in the aggregate, a
retainer fee at the annual rate of $55,000. Each independent Trustee also
receives a meeting attendance fee of $6,000 for each meeting of the Board of
Trustees that he or she attends in person and $3,000 for each meeting of the
Board of Trustees that he or she attends telephonically. In addition, each
committee chairman receives an additional retainer fee at the annual rate of
$10,000. Each committee member receives $4,000 or $5,000 for each Contract and
Governance or Audit Committee meeting, respectively, that he or she attends in
person and $2,000 or $2,500 for each Contract and Governance or Audit Committee
meeting, respectively, that he or she attends telephonically. These fees are
allocated among the funds in the Trusts based on a formula that takes into
account, among other factors, the relative net assets of each fund. Trustees
are reimbursed for travel expenses in connection with attendance at meetings.
Loomis Sayles has agreed to reimburse the Trustees for the Funds' pro rata
portion of its Trustees Fees.
Prior to November 18, 2005, the Trusts had co-chairmen of the Board. Prior to
October 1, 2005, each independent Trustee received, in the aggregate, a
retainer fee at the annual rate of $50,000 and meeting attendance fees of
$5,000 for each meeting of the Board of Trustees that he or she attended. The
co-chairmen of the Board each received an additional annual retainer of
$25,000. Each committee chairman received an additional retainer fee at the
annual rate of $7,000. Each committee member received $3,750 for each committee
meeting that he or she attended. In addition, during the period October 1, 2005
to November 18, 2005, each co-chairman received an additional one-time payment
of $25,000 as compensation for their services as chairman.
Prior to January 1, 2006, each committee member was compensated $4,000 for each
Audit Committee meeting that he or she attended in person and $2,000 for each
such meeting he or she attended telephonically.
5. LINE OF CREDIT. The Funds, together with certain other Funds of the Loomis
Sayles Funds Trusts and IXIS Advisor Funds Trusts, participates in a $75
million committed line of credit provided by State Street Bank. Advances under
the line are taken primarily for temporary or emergency purposes. Interest is
charged to each participating Fund based on its borrowings at a rate per annum
equal to the Federal Funds rate plus 0.50%. In addition, each Fund is charged
its pro rata portion of a facility fee equal to 0.09% per annum on the unused
portion of the line of credit. For the six months ended March 31, 2006, the
Funds had no borrowing under this agreement. Loomis Sayles has agreed to pay,
without reimbursement from the Trust or Funds, such fees to State Street Bank.
24
NOTES TO FINANCIAL STATEMENTS - CONTINUED
FOR THE SIX MONTHS ENDED MARCH 31, 2006 (UNAUDITED)
6. CAPITAL SHARES. Each Fund may issue an unlimited number of shares of
beneficial interest without par value. Transactions in capital shares were as
follows:
HIGH INCOME OPPORTUNITIES FUND
Six Months Ended March 31, 2006 Year Ended September 30, 2005
------------------------------- -----------------------------
Shares Amount Shares Amount
---------- ----------- ------- ----------
Issued from the sale of shares 1,784,008 $18,498,095 332,020 $3,491,555
Issued in connection with the
reinvestment of distributions 47,688 491,488 66,024 693,068
Redeemed (292,616) (3,027,530) (28,419) (302,180)
---------- -------------- ------------ --------------
Net Change 1,539,080 $15,962,053 369,625 $3,882,443
---------- -------------- ------------ --------------
SECURITIZED ASSET FUND
Period Ended March 31, 2006 (a)
-------------------------------
Shares Amount
---------- -----------
Issued from the sale of shares 1,130,100 $11,300,668
Issued in connection with the
reinvestment of distributions -- --
Redeemed (803) (8,028)
---------- --------------
Net Change 1,129,297 $11,292,640
---------- --------------
(a) From March 2, 2006, commencement of operations.
25
Item 2. Code of Ethics.
Not applicable
Item 3. Audit Committee Financial Expert.
Not applicable
Item 4. Principal Accountant Fees and Services.
Not applicable
Item 5. Audit Committee of Listed Registrants.
Not applicable
Item 6. Schedule of Investments.
Included as part of the Report to Shareholders filed as Item 1 herewith.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable
Item 9. Purchases of Equity Securities by Closed-End Management Investment
Companies and Affiliated Purchasers.
Not applicable
Item 10. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may
recommend nominees to the Trust's Board of Trustees.
Item 11. Controls and Procedures.
The Registrant's principal executive officer and principal financial officer
have concluded that the Registrant's disclosure controls and procedures are
sufficient to ensure that information required to be disclosed by the
Registrant in this Form N-CSR was recorded, processed, summarized and reported
within the time periods specified in the Securities and Exchange Commission's
rules and forms, based upon such officers' evaluation of these controls and
procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant's internal control over financial
reporting that occurred during the Registrant's last fiscal quarter of the
period covered by the report that has materially affected, or is reasonably
likely to materially affect, the Registrant's internal control over financial
reporting.
Item 12. Exhibits.
(a) (1) Not applicable
(a) (2) Certifications of Principal Executive Officer and Principal
Financial Officer pursuant to 30a-2 under the Investment Company
Act of 1940 (17 CFR 270.30a-2), as herewith as exhibit (a)(2)(1)
and a(2)(2), respectively
(a) (3) Not applicable.
(b) Certifications of Principal Executive Officer and Principal Financial
Officer pursuant to Section 906 of Sarbanes-Oxley Act of2002 are filed
herewith as Exhibit (b).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the Registrant has duly caused this report to
be signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds I
By: /s/ Robert J. Blanding
-----------------------------
Name: Robert J. Blanding
Title: President and Chief Executive
Officer
Date: May 24, 2006
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/ Robert J. Blanding
-----------------------------
Name: Robert J. Blanding
Title: President and Chief Executive
Officer
Date: May 24, 2006
By: /s/ Michael C. Kardok
-----------------------------
Name: Michael C. Kardok
Title: Treasurer
Date: May 24, 2006